quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] CUDA

[steve.affine <st...@af...>]

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++.

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

Which parts in particular are you interested in?

/Steve


Juan Leni [matyca] wrote:
> 
> Is someone interested in porting some parts of the library to CUDA?
> 

-- 
View this message in context: http://www.nabble.com/CUDA-tp23896022p23899653.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

[Quantlib-dev] CUDA

[Juan L. [matyca] <jl...@ma...>]

Is someone interested in porting some parts of the library to CUDA?

[Quantlib-dev] [ quantlib-Bugs-2477785 ] QuantLib fails to compile on vc++ 2003

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

Bugs item #2477785, was opened at 2008-12-30 21:58
Message generated for change (Comment added) made by nobody
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2477785&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,
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Category: None
Group: None
Status: Closed
Resolution: Wont Fix
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Luigi Ballabio (lballabio)
Summary: QuantLib fails to compile on vc++ 2003

Initial Comment:
c:\OpenSource\QuantLib-0.9.7\ql\money.cpp(201): fatal error C1001: INTERNAL COMPILER ERROR
        (compiler file 'msc1.cpp', line 2708) 
         Please choose the Technical Support command on the Visual C++ 
         Help menu, or open the Technical Support help file for more information

ojo...@pr...

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

Comment By: Nobody/Anonymous (nobody)
Date: 2009-06-05 12:58

Message:
disable browse informations for money.cpp to avoid this compiler bug.

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

Comment By: Nobody/Anonymous (nobody)
Date: 2009-06-05 12:58

Message:
disable browse informations for money.cpp to avoid this compiler bug.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-02-17 10:00

Message:
You can try reducing the optimization level--or, as suggested, change Boost
version.
Other than that, the compiler doesn't give enough information for us to
make any sensible change.

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

Comment By: Nobody/Anonymous (nobody)
Date: 2009-02-12 18:16

Message:
I had the same problem using boost 1.38 - just use an earlier version of
Boost and the problem disappears

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

You can respond by visiting: 
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[Quantlib-dev] [ quantlib-Bugs-2477785 ] QuantLib fails to compile on vc++ 2003

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

Bugs item #2477785, was opened at 2008-12-30 21:58
Message generated for change (Comment added) made by nobody
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2477785&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: Closed
Resolution: Wont Fix
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Luigi Ballabio (lballabio)
Summary: QuantLib fails to compile on vc++ 2003

Initial Comment:
c:\OpenSource\QuantLib-0.9.7\ql\money.cpp(201): fatal error C1001: INTERNAL COMPILER ERROR
        (compiler file 'msc1.cpp', line 2708) 
         Please choose the Technical Support command on the Visual C++ 
         Help menu, or open the Technical Support help file for more information

ojo...@pr...

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

Comment By: Nobody/Anonymous (nobody)
Date: 2009-06-05 12:58

Message:
disable browse informations for money.cpp to avoid this compiler bug.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-02-17 10:00

Message:
You can try reducing the optimization level--or, as suggested, change Boost
version.
Other than that, the compiler doesn't give enough information for us to
make any sensible change.

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

Comment By: Nobody/Anonymous (nobody)
Date: 2009-02-12 18:16

Message:
I had the same problem using boost 1.38 - just use an earlier version of
Boost and the problem disappears

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2477785&group_id=12740

[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 12:45
Message generated for change (Tracker Item Submitted) made by tglauner
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=2800128&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
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.

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

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[Quantlib-dev] [ quantlib-Bugs-2797120 ] Failure to compile Python ext. - Visual C++ 2008, Boost 1.36

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

Bugs item #2797120, was opened at 2009-05-27 02:16
Message generated for change (Tracker Item Submitted) made by pm13
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2797120&group_id=12740

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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: pm13 (pm13)
Assigned to: Nobody/Anonymous (nobody)
Summary: Failure to compile Python ext. - Visual C++ 2008, Boost 1.36

Initial Comment:
The whole title should be:
Failure to compile Python extensions with Visual C++ 2008 and Boost 1.36.0 without change in setup.py

(This is almost the same as an another bug, difference is in the version of Boost).

I tried to compile Python extensions for QuantLib in Windows XP SP3. I used Visual C++ 2008 Express Edition, Python 2.6.2, Boost 1.36.0, Boost Jam 3.1.16, QuantLib 0.9.7 and QuantLib-SWIG 0.9.7.

My steps:
1. Install Visual C++
2. Install Python
3. Extract Boost and Boost Jam, compile Boost (bjam.exe install)
4. Extract QuantLib, copy Boost headers and compiled libraries to the extracted directory, compile QuantLib in Visual Studio
5. Extract QuantLib-SWIG, set QL_DIR to the extracted directory, try to compile Python extensions (python.exe setup.py install)

I am not sure if it is the right procedure. But it could be - it works with a little patch.
In the last step (python.exe setup.py install) I got this exception (more in the first attachment):
C:\Program Files\Microsoft Visual Studio 9.0\VC\INCLUDE\xlocale(342) : warning C4530: C++ exception handler used, but unwind semantics are not enabled. Specify /EHsc

C:\Program Files\Microsoft Visual Studio 9.0\VC\BIN\link.exe /DLL /nologo /INCREMENTAL:NO /LIBPATH:C:\Python26\libs /LIBPATH:C:\Python26\PCbuild /LIBPATH:C:\QuantLib-0.9.7\lib /EXPORT:init_QuantLib build\temp.win32-2.6\Release\QuantLib/quantlib_wrap.obj /OUT:build\lib.win32-2.6\QuantLib\_QuantLib.pyd /IMPLIB:build\temp.win32-2.6\Release\QuantLib\_QuantLib.lib /MANIFESTFILE:build\temp.win32-2.6\Release\QuantLib\_QuantLib.pyd.manifest /subsystem:windows /machine:I386

   Creating library build\temp.win32-2.6\Release\QuantLib\_QuantLib.lib and object build\temp.win32-2.6\Release\QuantLib\_QuantLib.exp

quantlib_wrap.obj : error LNK2019: unresolved external symbol "void __cdecl boost::throw_exception(class std::exception const &)" (?throw_exception@boost@@YAXABVexception@std@@@Z) referenced in function "public: double __thiscall boost::function1<double,double>::operator()(double)const " (??R?$function1@NN@boost@@QBENN@Z)

build\lib.win32-2.6\QuantLib\_QuantLib.pyd : fatal error LNK1120: 1 unresolved externals

I used the advice and I added "/EHsc" to extra_compile_args:
extra_compile_args = ['/GR', '/FD', '/Zm250', '/EHsc']

With changed setup.py I was able to compile Python extensions (more in the second attachment) and tests passed (python.exe setup.py test).



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

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[Quantlib-dev] [ quantlib-Bugs-2797119 ] Failure to compile Python ext. - Visual C++ 2008, Boost 1.39

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

Bugs item #2797119, was opened at 2009-05-27 02:11
Message generated for change (Settings changed) made by pm13
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2797119&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: pm13 (pm13)
Assigned to: Nobody/Anonymous (nobody)
>Summary: Failure to compile Python ext. - Visual C++ 2008, Boost 1.39

Initial Comment:
I tried to compile Python extensions for QuantLib in Windows XP SP3. I used Visual C++ 2008 Express Edition, Python 2.6.2, Boost 1.39.0, Boost Jam 3.1.17, QuantLib 0.9.7 and QuantLib-SWIG 0.9.7.

My steps:
1. Install Visual C++
2. Install Python
3. Extract Boost and Boost Jam, compile Boost (bjam.exe install)
4. Extract QuantLib, copy Boost headers and compiled libraries to the extracted directory, compile QuantLib in Visual Studio
5. Extract QuantLib-SWIG, set QL_DIR to the extracted directory, try to compile Python extensions (python.exe setup.py install)

I am not sure if it is the right procedure. But it could be - it works with different version of Boost and with a little patch.

In the last step (python.exe setup.py install) I got this exception (and much more, see the attachment):
C:\QuantLib-0.9.7\boost/function/function_template.hpp(80) : error C2143: syntax error : missing ';' before 'namespace'

C:\QuantLib-0.9.7\boost/function/function_template.hpp(980) : error C2838: '()' : illegal qualified name in member declaration

        C:\QuantLib-0.9.7\boost/function/function_template.hpp(80) : see reference to class template instantiation 'boost::function0<R>' being compiled

C:\QuantLib-0.9.7\boost/function/function_template.hpp(995) : error C2804: binary 'operator ==' has too many parameters

C:\QuantLib-0.9.7\boost/function/function_template.hpp(1002) : error C2804: binary 'operator !=' has too many parameters

C:\QuantLib-0.9.7\boost/function/function_template.hpp(1098) : error C2764: 'R' : template parameter not used or deducible in partial specialization 'boost::function<R(void)>'

C:\QuantLib-0.9.7\boost/function/function_template.hpp(1098) : error C3412: 'boost::function<R(void)>' : cannot specialize template in current scope


Maybe there is a simple solution (I almost don't know C++) but I only found following link and I went around the problem by using Boost 1.36.0:
http://thread.gmane.org/gmane.comp.lib.boost.user/42699


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

Comment By: pm13 (pm13)
Date: 2009-05-27 02:12

Message:
The whole title should be:
Failure to compile Python extensions with Visual C++ 2008 and Boost 1.39.0

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2797119&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-2797119 ] Failure to compile Python extensions with Visual C++ 2008 an

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

Bugs item #2797119, was opened at 2009-05-27 02:11
Message generated for change (Comment added) made by pm13
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2797119&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: pm13 (pm13)
Assigned to: Nobody/Anonymous (nobody)
Summary: Failure to compile Python extensions with Visual C++ 2008 an

Initial Comment:
I tried to compile Python extensions for QuantLib in Windows XP SP3. I used Visual C++ 2008 Express Edition, Python 2.6.2, Boost 1.39.0, Boost Jam 3.1.17, QuantLib 0.9.7 and QuantLib-SWIG 0.9.7.

My steps:
1. Install Visual C++
2. Install Python
3. Extract Boost and Boost Jam, compile Boost (bjam.exe install)
4. Extract QuantLib, copy Boost headers and compiled libraries to the extracted directory, compile QuantLib in Visual Studio
5. Extract QuantLib-SWIG, set QL_DIR to the extracted directory, try to compile Python extensions (python.exe setup.py install)

I am not sure if it is the right procedure. But it could be - it works with different version of Boost and with a little patch.

In the last step (python.exe setup.py install) I got this exception (and much more, see the attachment):
C:\QuantLib-0.9.7\boost/function/function_template.hpp(80) : error C2143: syntax error : missing ';' before 'namespace'

C:\QuantLib-0.9.7\boost/function/function_template.hpp(980) : error C2838: '()' : illegal qualified name in member declaration

        C:\QuantLib-0.9.7\boost/function/function_template.hpp(80) : see reference to class template instantiation 'boost::function0<R>' being compiled

C:\QuantLib-0.9.7\boost/function/function_template.hpp(995) : error C2804: binary 'operator ==' has too many parameters

C:\QuantLib-0.9.7\boost/function/function_template.hpp(1002) : error C2804: binary 'operator !=' has too many parameters

C:\QuantLib-0.9.7\boost/function/function_template.hpp(1098) : error C2764: 'R' : template parameter not used or deducible in partial specialization 'boost::function<R(void)>'

C:\QuantLib-0.9.7\boost/function/function_template.hpp(1098) : error C3412: 'boost::function<R(void)>' : cannot specialize template in current scope


Maybe there is a simple solution (I almost don't know C++) but I only found following link and I went around the problem by using Boost 1.36.0:
http://thread.gmane.org/gmane.comp.lib.boost.user/42699


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

>Comment By: pm13 (pm13)
Date: 2009-05-27 02:12

Message:
The whole title should be:
Failure to compile Python extensions with Visual C++ 2008 and Boost 1.39.0

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2797119&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-2797119 ] Failure to compile Python extensions with Visual C++ 2008 an

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

Bugs item #2797119, was opened at 2009-05-27 02:11
Message generated for change (Tracker Item Submitted) made by pm13
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2797119&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: pm13 (pm13)
Assigned to: Nobody/Anonymous (nobody)
Summary: Failure to compile Python extensions with Visual C++ 2008 an

Initial Comment:
I tried to compile Python extensions for QuantLib in Windows XP SP3. I used Visual C++ 2008 Express Edition, Python 2.6.2, Boost 1.39.0, Boost Jam 3.1.17, QuantLib 0.9.7 and QuantLib-SWIG 0.9.7.

My steps:
1. Install Visual C++
2. Install Python
3. Extract Boost and Boost Jam, compile Boost (bjam.exe install)
4. Extract QuantLib, copy Boost headers and compiled libraries to the extracted directory, compile QuantLib in Visual Studio
5. Extract QuantLib-SWIG, set QL_DIR to the extracted directory, try to compile Python extensions (python.exe setup.py install)

I am not sure if it is the right procedure. But it could be - it works with different version of Boost and with a little patch.

In the last step (python.exe setup.py install) I got this exception (and much more, see the attachment):
C:\QuantLib-0.9.7\boost/function/function_template.hpp(80) : error C2143: syntax error : missing ';' before 'namespace'

C:\QuantLib-0.9.7\boost/function/function_template.hpp(980) : error C2838: '()' : illegal qualified name in member declaration

        C:\QuantLib-0.9.7\boost/function/function_template.hpp(80) : see reference to class template instantiation 'boost::function0<R>' being compiled

C:\QuantLib-0.9.7\boost/function/function_template.hpp(995) : error C2804: binary 'operator ==' has too many parameters

C:\QuantLib-0.9.7\boost/function/function_template.hpp(1002) : error C2804: binary 'operator !=' has too many parameters

C:\QuantLib-0.9.7\boost/function/function_template.hpp(1098) : error C2764: 'R' : template parameter not used or deducible in partial specialization 'boost::function<R(void)>'

C:\QuantLib-0.9.7\boost/function/function_template.hpp(1098) : error C3412: 'boost::function<R(void)>' : cannot specialize template in current scope


Maybe there is a simple solution (I almost don't know C++) but I only found following link and I went around the problem by using Boost 1.36.0:
http://thread.gmane.org/gmane.comp.lib.boost.user/42699


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

You can respond by visiting: 
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[Quantlib-dev] [ quantlib-Bugs-2796269 ] memory leak

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

Bugs item #2796269, was opened at 2009-05-25 05:31
Message generated for change (Comment added) made by nobody
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2796269&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,
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Category: None
Group: None
Status: Closed
Resolution: Fixed
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Luigi Ballabio (lballabio)
Summary: memory leak

Initial Comment:
FittedBondCurve.cpp on 78 should be
for (Size i=0; i<numberOfBonds; i++) {


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

Comment By: Nobody/Anonymous (nobody)
Date: 2009-05-26 04:25

Message:
Thank you for your quick fix.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-05-25 08:13

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


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

You can respond by visiting: 
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[Quantlib-dev] [ quantlib-Bugs-2796269 ] memory leak

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

Bugs item #2796269, was opened at 2009-05-25 07:31
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2796269&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: Closed
>Resolution: Fixed
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Luigi Ballabio (lballabio)
Summary: memory leak

Initial Comment:
FittedBondCurve.cpp on 78 should be
for (Size i=0; i<numberOfBonds; i++) {


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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-05-25 10:13

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


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

You can respond by visiting: 
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[Quantlib-dev] [ quantlib-Bugs-2796269 ] memory leak

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

Bugs item #2796269, was opened at 2009-05-25 05:31
Message generated for change (Tracker Item Submitted) made by nobody
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2796269&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: memory leak

Initial Comment:
FittedBondCurve.cpp on 78 should be
for (Size i=0; i<numberOfBonds; i++) {


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

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Re: [Quantlib-dev] Optimization Question

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

On Thu, 2009-05-07 at 11:57 +0200, Dima wrote:
> a simple question, which I wasn't able to answer after looking into
> the existing code.
> If my optimizer fails to fulfill one of the optimization criterias,
> does it throw automatically?

No, it returns an EndCriteria instance whose Type corresponds to the
reason it didn't succeed.

Luigi


-- 

Debugging is twice as hard as writing the code in the first place. 
Therefore, if you write the code as cleverly as possible, you are, 
by definition, not smart enough to debug it. 
-- Brian W. Kernighan 

Re: [Quantlib-dev] looking for possible task.

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

On Thu, 2009-04-30 at 21:43 +0800, sun wrote:
> I'm wondering if there are projects from you so I can join and
> experience the quant development. With some basic knowledge of
> numerical simulations and financial modelling, it will be good if the
> task is related to such kinds of training.

Hi Sun,
	I don't have anything right now, but I'll keep you in mind.

Luigi


-- 

Call on God, but row away from the rocks. 
-- Indian proverb 

Re: [Quantlib-dev] BermudanSwaption using non flatforward YieldTermStructure

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

Hi Joe,

On Wed, 2009-04-29 at 04:10 -0700, lowlyworm wrote:
> I'm trying to reproduce some calculations from Brigo and Mercurio book
> interest rate models - theory and practice 2nd edition. particularly the
> g2++ model in chapter 4. I'm using the BermudaSwaption example and have
> modified the data but am not understanding how to change from the
> FlatForward YieldTermStructure to a non-FlatForward yield term structure
> (using values from Fig 1.1) so i can reproduce their results.

instead of FlatForward, you can use (for instance) InterpolatedZeroCurve
and feed it the zero rates and the kind of interpolation you want to
use. It's missing the feature of using simple rates up to one year and
compounded rates afterwards, so you'll have to convert all rates to a
uniform compounding.  Apart from that, you can just replace FlatForward,
as in, e.g.,

Handle<YieldTermStructure> rhTermStructure(
    boost::shared_ptr<InterpolatedZeroCurve<Linear> >(
        new InterpolatedZeroCurve<Linear>(...)));

Hope it helps,
	Luigi



-- 

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

[Quantlib-dev] Optimization Question

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

Hi everyone:


a simple question, which I wasn't able to answer after looking into the
existing code.
If my optimizer fails to fulfill one of the optimization criterias, does it
throw automatically?

I haven't seen any check/throwing in the current calibrations. Thanks in
advance. Dima

Re: [Quantlib-dev] LocalvolSurface.cpp

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

Hi Michael,

> Anyways, can you send me a link or a paper with more information about the
> arbitrage violations due to constant extrapolation? I still cant see why
> constant extrapolation is violating the arbitrage criteria.

Please find attached a small program, where the constant extrapolation as 
implemented in BlackVarianceSurface generates an arbitrage violation  - 
negative call spread price when the maturity becomes large enough. To get it 
running you have to enable extrapolation in analyticeuopeanengine.hpp at line 
45. (Hope I got everything right with the example;-)
 
regards 
 Klaus

[Quantlib-dev] looking for possible task.

[sun <pyt...@gm...>]

Hi Dev,

I'm wondering if there are projects from you so I can join and
experience the quant development. With some basic knowledge of
numerical simulations and financial modelling, it will be good if the
task is related to such kinds of training.

Best Regards,
sun

Re: [Quantlib-dev] LocalvolSurface.cpp

[Michael H. <Mic...@gm...>]

Hallo Dima,

 

I am very curious about your new kernel interpolation. Sounds like this is
something that can help me a lot right now. I would like to try around a bit
with different interpolation methods to overcome my numerical problems. If I
can make my surface smoother with kernel interpolation I will give it a go
and would like to do some testing on it.

 

How do I get your new kernel interpolation running?  Can I check it out from
the SVN?  I checked the trunk and I found a file called
kernelinterpolation.hpp.   Does it work for 2-dimensions or just for one
because for the surface I need it for two dimensions. Can you please also
send me a link or a paper with more informations about it so I can build up
some theoretical knowledge before I start testing.

 

Greetings,

Michael

 

  _____  

From: Dima [mailto:dim...@go...] 
Sent: Mittwoch, 29. April 2009 11:55
To: Klaus Spanderen
Cc: qua...@li...
Subject: Re: [Quantlib-dev] LocalvolSurface.cpp

 

 

Just a remark regarding interpolation. I've implemented kernel

interpolation (its in the trunk), which can be made sufficiently smooth 

by choosing a proper standard deviation of the gaussian kernel. I've heard 

that this smoothness property makes it a good choice for local vol
calibrations.

I don't have any personal experience with that though.

 

 

 

 

Re: [Quantlib-dev] LocalvolSurface.cpp

[Michael H. <Mic...@gm...>]

Hallo Klaus,


> BiLinear interpolation doesn't work due to the jumps in the first
derivative. 
> BiCubic should be much better.

I totally agree that BiLinear interpolation is not the smoothest
interpolation out there. And you are right that in theorie you would get
points of discontinuity exactly everywhere where the linear slope changes.
Moreover the first derivative would look like a step function. That would in
theory lead to a sum of dirac delta functions in the second derivative. But
this is only in theory. Since we do discrete approximations in quantlib, I
doubt that we have this effect ...

Anyways, I do also have problems with BiCubic Interpolation. My hope is now
that the newly implemented kernel interpolation (thanks to Dima) gives
better test results.



> Constant extrapolation could introduce arbitrage violations far ITM or far
OTM 
> and these arbitrage violations can lead to negative variances. Is this
part 
> of the problem in your tests?


I would love to not use the constant extrapolation but instead the
InterpolatorDefaultExtrapolation. But this doesn't work since I run into
another problem by doing this. That is very far ITM/OTM the monoton variance
criteria is violated at some point and the program crashes due to this
issue. I have now Idea how to encounter this problem?? So I cant really say
if that would make it better ...


Anyways, can you send me a link or a paper with more information about the
arbitrage violations due to constant extrapolation? I still cant see why
constant extrapolation is violating the arbitrage criteria. At least it
doesn't violate any of the arbitrage criterias that I know (see Roger Lee or
Gatheral or Musiela/Rutkowski) ...


Greetings from Munich
Michael

[Quantlib-dev] BermudanSwaption using non flatforward YieldTermStructure

[lowlyworm <jb...@gm...>]

Hi all,

I'm trying to reproduce some calculations from Brigo and Mercurio book
interest rate models - theory and practice 2nd edition. particularly the
g2++ model in chapter 4. I'm using the BermudaSwaption example and have
modified the data but am not understanding how to change from the
FlatForward YieldTermStructure to a non-FlatForward yield term structure
(using values from Fig 1.1) so i can reproduce their results. Any help would
be greatly appreciated!

Thanks -Joe


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View this message in context: http://www.nabble.com/BermudanSwaption-using-non-flatforward-YieldTermStructure-tp23295164p23295164.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

Re: [Quantlib-dev] LocalvolSurface.cpp

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

Just a remark regarding interpolation. I've implemented kernelinterpolation
(its in the trunk), which can be made sufficiently smooth
by choosing a proper standard deviation of the gaussian kernel. I've heard
that this smoothness property makes it a good choice for local vol
calibrations.
I don't have any personal experience with that though.



2009/4/29 Klaus Spanderen <kl...@sp...>

> Hi
>
> > I ran my tests with both. BiLinear and BiCubic intrapolation. I
> encountered
> > the instability issues with both.
>
> BiLinear interpolation doesn't work due to the jumps in the first
> derivative.
> BiCubic should be much better.
>
> > You are right that the problems appear far ITM and OTM. But I cant really
> > figure out why, since I set up a constant extrapolation for both, Strike
> > and Maturity in my BlackVarianceSurface.
>
> Constant extrapolation could introduce arbitrage violations far ITM or far
> OTM
> and these arbitrage violations can lead to negative variances. Is this part
> of the problem in your tests?
>
> > Thank you also for the link. To me it seem like if we want to use the
> > dupire formula efficient, stable and productive, we wont get around
> > implementing some fancy optimization-splines and smoothing algorithm.
>
> yes.;-)
>
> regards
>  Klaus
>
>
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>

Re: [Quantlib-dev] LocalvolSurface.cpp

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

Hi

> I ran my tests with both. BiLinear and BiCubic intrapolation. I encountered
> the instability issues with both.

BiLinear interpolation doesn't work due to the jumps in the first derivative. 
BiCubic should be much better.

> You are right that the problems appear far ITM and OTM. But I cant really
> figure out why, since I set up a constant extrapolation for both, Strike
> and Maturity in my BlackVarianceSurface.

Constant extrapolation could introduce arbitrage violations far ITM or far OTM 
and these arbitrage violations can lead to negative variances. Is this part 
of the problem in your tests?

> Thank you also for the link. To me it seem like if we want to use the
> dupire formula efficient, stable and productive, we wont get around
> implementing some fancy optimization-splines and smoothing algorithm.

yes.;-)

regards 
 Klaus

Re: [Quantlib-dev] EnhancedBlackScholesProcess which supports Vega Tests

[Michael H. <Mic...@gm...>]

Hallo Luigi,

Done with the patch manager at ID 2783225.


Greetings,
Michael



-----Original Message-----
From: Luigi Ballabio [mailto:lui...@gm...] 
Sent: Dienstag, 21. April 2009 11:52
To: Michael Heckl
Cc: qua...@li...
Subject: Re: [Quantlib-dev] EnhancedBlackScholesProcess which supports Vega
Tests

On Thu, 2009-04-09 at 23:45 +0200, Michael Heckl wrote:
> I solved this problem by building up an Enhanced Black Scholes Process
> which takes as parameters a stress level and a square of the local
> Volatility Surface which it stresses on demand. I thought maybe anyone
> is interested in my solution? I already tested it and it works fine.
> The solution itself is quite easy and I am working with it so far
> without any problems. I would like to contribute it and maybe we can
> together improve it and enhance Quantlib?
> 
> Since this is my first experience with Quantlib Mailing Lists I am not
> quite sure if I can attach my cpp files? Can anybody give me some
> advice?

Sorry for the delay---yes, you can post them here or in the Sourceforge
patch manager.

Luigi


-- 

Just remember what ol' Jack Burton does when the earth quakes, the 
poison arrows fall from the sky, and the pillars of Heaven shake. Yeah, 
Jack Burton just looks that big old storm right in the eye and says, 
"Give me your best shot. I can take it." 
-- Jack Burton, "Big trouble in Little China" 

[Quantlib-dev] [ quantlib-Patches-2783225 ] EnhancedBlackScholesProcess that supports vega stresstests

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

Patches item #2783225, was opened at 2009-04-28 23:40
Message generated for change (Tracker Item Submitted) made by heckl
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2783225&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: Michael Heckl (heckl)
Assigned to: Nobody/Anonymous (nobody)
Summary: EnhancedBlackScholesProcess that supports vega stresstests

Initial Comment:
This BlackScholes Process takes 5 extra arguments which define a square of the local volatility surface that is stressed by a configurable stress-level.

You can also use this process for local vol curve stress tests. The solution is quite easy but very very helpful. I did lots of testing on it and it works perfectly. Especially for examining where (what moneyness and what time bucket) the vega sensitivities are at path dependent asian options you can do wonderful stresstests with monte carlo.  This is because it is not always wanted to stress the implied surface (since this could cause smoothness problems), but also to stress the local volatility surface. There is no other option to do this so far. That is why i developed this process.

Check it out. I can also provide some test cases that demonstrate the tremendous usefulness of this process.

Greetings,
Michael

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2783225&group_id=12740