quantlib-dev — Discussion of QuantLib development

[Quantlib-dev] libboost_filesystem-vc90-mt-sgd-1_38.lib

[artella <art...@go...>]

Hi,

I have downloaded boost 1.38 and built via bjam. When I try to build
QuantLibXL_full_vc9.sln requests are made for :

1)libboost_regex-vc90-mt-sgd-1_38.lib
2)libboost_serialization-vc90-mt-sgd-1_38.lib
3)libboost_unit_test_framework-vc90-mt-sgd-1_38.lib

I am able to find these. However a request is also made for : 

(-->libboost_filesystem-vc90-mt-sgd-1_38.lib<--)

which I have not managed to find. 

NB I have managed to find : 

libboost_filesystem-vc90-gd-1_38.lib

and 

libboost_filesystem-vc90-1_38.lib

Thanks

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Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[16177]trunk/QuantLib

[<s.i...@gm...>]

I'd agree that simplifying the bond class into bond "amount" and number of bonds (separate to Quantlib) is useful... However, calling it "faceAmount" doesn't work for me... We normally talk about an amortizing (or accreting) "notional" - not a "face amount".

Can anyone think of a better term?
What does Bloomberg use for it's schedules?

------Original Message------
From: Ferdinando Ametrano
To: lui...@gm...
Cc: qua...@li...
Sent: Apr 20, 2009 17:22
Subject: Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[16177]trunk/QuantLib

On Mon, Apr 20, 2009 at 6:00 PM, Luigi Ballabio
<lui...@gm...> wrote:
> Are you telling me we're using the wrong term and we should use
> faceAmount instead of notional?

yes I am.

Here's my 0.02€: the face amount is the bond's nominal outstanding
debt which will be redeemed at maturity (or during bond's life for
amortizing bonds). The notional of a bond is the face amount times
number of bonds.

ciao -- Nando

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Re: [Quantlib-dev] todaysDate in localtime ?

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

On Mon, Apr 20, 2009 at 5:51 PM, Luigi Ballabio
<lui...@gm...> wrote:
>> In ql/time/date.cpp
>> [...]
> [...]
> We should probably use localtime as the default.
> Objections?

I agree

ciao -- Nando

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[16177] trunk/QuantLib

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

On Mon, Apr 20, 2009 at 6:00 PM, Luigi Ballabio
<lui...@gm...> wrote:
> Are you telling me we're using the wrong term and we should use
> faceAmount instead of notional?

yes I am.

Here's my 0.02€: the face amount is the bond's nominal outstanding
debt which will be redeemed at maturity (or during bond's life for
amortizing bonds). The notional of a bond is the face amount times
number of bonds.

ciao -- Nando

[Quantlib-dev] Heston.cpp Alan Lewis decorrelation for Heston

[PinkLizard <ka...@li...>]

Hi, 
In Hestonprocess.cpp there is a switch on Exact Variance Simulation where
it's said that one uses Alan Lewi's trick to decorrelate equity and variance
process.

Anyone can explain me this trick? I can't find it in the reference "Quantlib
code is very high quality"...

Thanks
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Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[16177] trunk/QuantLib

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

On Mon, 2009-04-20 at 17:33 +0200, Ferdinando Ametrano wrote:
> On Mon, Apr 20, 2009 at 5:21 PM, Luigi Ballabio
> <lui...@gm...> wrote:
> >> - removed Bond::faceAmount, as it is now ambiguous for amortizing bonds
> >
> > We could disambiguate instead (initialFaceAmount/currentFaceAmount?)
> 
> what would be the difference with notional() ?

No difference really, just idly wondering whether we could save the old
convenience method as a shortcut to notionals().front() or whatever.
initialNotional() was just as fine.  But it's no big deal.


> If I have a notional of 1M of a given bond whose face amount is 100, I
> actually own 10,000 bonds, isn't it?

Now if your strategy was to confuse me, you succeeded.  Are you telling
me we're using the wrong term and we should use faceAmount instead of
notional? Or are you telling me that the face amount should be in the
same basis as the price (you aren't, are you?)

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] todaysDate in localtime ?

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

On Fri, 2009-04-17 at 21:22 -0500, Dirk Eddelbuettel wrote:
> In ql/time/date.cpp we have
> 
>     Date Date::todaysDate() {
>         std::time_t t;
> 
>         if (std::time(&t) == std::time_t(-1)) // -1 means time() didn't work
>             return Date();
>         std::tm *gt = std::gmtime(&t);
>         return Date(Day(gt->tm_mday),
>                     Month(gt->tm_mon+1),
>                     Year(gt->tm_year+1900));
>     }
> 
> I'd like to be able to use std::localtime instead as I just got bitten when I
> asked for todaysDate() here in UTC+6 and got tomorrow's date instead.  
> 
> Shall I add that with a binary toggle to turn localtime on/off with a default
> to off, i.e. existing behaviour?

Ouch.  You're right.  We should probably use localtime as the default.
Objections?


> I'd also love a Date() constructor from "yyyymmdd" or
> (long) yyyymmdd as just relying on the Applix/Excel number is a tad
> restrictive.

You can use DateParser in <ql/utilities/dataparsers.hpp>.

Luigi


-- 

Don't let school get in the way of your education. 
-- Mark Twain 

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[16177] trunk/QuantLib

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

On Mon, Apr 20, 2009 at 5:21 PM, Luigi Ballabio
<lui...@gm...> wrote:
>> - removed Bond::faceAmount, as it is now ambiguous for amortizing bonds
>
> We could disambiguate instead (initialFaceAmount/currentFaceAmount?)

what would be the difference with notional() ? Aren't notionals() and
notional(Date d = Date()) that should be renamed faceAmounts() and
faceAmount(Date d = Date()) respectively?

If I have a notional of 1M of a given bond whose face amount is 100, I
actually own 10,000 bonds, isn't it?

ciao -- Nando

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[16177] trunk/QuantLib

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

On Mon, Apr 20, 2009 at 5:21 PM, Luigi Ballabio
<lui...@gm...> wrote:
>> - removed Bond::faceAmount, as it is now ambiguous for amortizing bonds
>
> We could disambiguate instead (initialFaceAmount/currentFaceAmount?)

what would be the difference with notional() ? Aren't notionals() and
notional(Date d = Date()) that should be renamed faceAmounts() and
faceAmount(Date d = Date()) respectively?

ciao -- Nando

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[16177] trunk/QuantLib

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

On Thu, 2009-04-16 at 17:40 +0000, na...@us... wrote:
> Revision: 16177
>           http://quantlib.svn.sourceforge.net/quantlib/?rev=16177&view=rev
> Author:   nando
> Date:     2009-04-16 17:40:01 +0000 (Thu, 16 Apr 2009)
> 
> Log Message:
> -----------
> - removed Bond::faceAmount, as it is now ambiguous for amortizing bonds

We could disambiguate instead (initialFaceAmount/currentFaceAmount?)

> - a warning might be added in ConvertibleBond documentation stating
> that its behavior is unspecified in the case of amortizing bonds

Right. Or we could check constant notional as a precondition.

Luigi


-- 

Don't let school get in the way of your education. 
-- Mark Twain 

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

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

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] errors on building QuantLibAddin

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

I meant Rev16184...

On Mon, Apr 20, 2009 at 3:01 PM, Ferdinando Ametrano <qf...@am...> wrote:
> Hi all
>
> I have no problem with Rev16194 with both VC8 and VC9. Please provide
> more details if you still have problems after a whole trunk update to
> Rev16194
>
> ciao -- Nando
>
> On Mon, Apr 20, 2009 at 1:21 PM, cx479 <ar...@hu...> wrote:
>>
>> currently have revision 16182 of QuantLib
>> revision 16093 of QuantLibAddin
>>
>> QuantLib builds fine.
>>
>> When I build QuantLibAddin, get errors in enumeratedclasses.cpp originating
>> from :
>>
>> new QuantLib::FDAmericanEngine<>(process, timeSteps, timeSteps-1));
>> new QuantLib::FDBermudanEngine<>(process, timeSteps, timeSteps-1));
>> new QuantLib::FDEuropeanEngine<>(process, timeSteps, timeSteps-1));
>>
>> When changed to :
>>
>> new QuantLib::FDAmericanEngine(process, timeSteps, timeSteps-1));
>> new QuantLib::FDBermudanEngine(process, timeSteps, timeSteps-1));
>> new QuantLib::FDEuropeanEngine(process, timeSteps, timeSteps-1));
>>
>> this file compiler fine. But then further down the line I get errors in
>> other files :
>>
>> e.g.
>>
>> ratehelpers.cpp(183) : error C2039: 'BondHelper' : is not a member of
>> 'QuantLib'
>>
>> Thanks
>>
>> --
>> View this message in context: http://www.nabble.com/errors-on-building-QuantLibAddin-tp23134818p23134818.html
>> Sent from the quantlib-dev mailing list archive at Nabble.com.
>>
>>
>> ------------------------------------------------------------------------------
>> Stay on top of everything new and different, both inside and
>> around Java (TM) technology - register by April 22, and save
>> $200 on the JavaOne (SM) conference, June 2-5, 2009, San Francisco.
>> 300 plus technical and hands-on sessions. Register today.
>> Use priority code J9JMT32. http://p.sf.net/sfu/p
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Re: [Quantlib-dev] errors on building QuantLibAddin

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

Hi all

I have no problem with Rev16194 with both VC8 and VC9. Please provide
more details if you still have problems after a whole trunk update to
Rev16194

ciao -- Nando

On Mon, Apr 20, 2009 at 1:21 PM, cx479 <ar...@hu...> wrote:
>
> currently have revision 16182 of QuantLib
> revision 16093 of QuantLibAddin
>
> QuantLib builds fine.
>
> When I build QuantLibAddin, get errors in enumeratedclasses.cpp originating
> from :
>
> new QuantLib::FDAmericanEngine<>(process, timeSteps, timeSteps-1));
> new QuantLib::FDBermudanEngine<>(process, timeSteps, timeSteps-1));
> new QuantLib::FDEuropeanEngine<>(process, timeSteps, timeSteps-1));
>
> When changed to :
>
> new QuantLib::FDAmericanEngine(process, timeSteps, timeSteps-1));
> new QuantLib::FDBermudanEngine(process, timeSteps, timeSteps-1));
> new QuantLib::FDEuropeanEngine(process, timeSteps, timeSteps-1));
>
> this file compiler fine. But then further down the line I get errors in
> other files :
>
> e.g.
>
> ratehelpers.cpp(183) : error C2039: 'BondHelper' : is not a member of
> 'QuantLib'
>
> Thanks
>
> --
> View this message in context: http://www.nabble.com/errors-on-building-QuantLibAddin-tp23134818p23134818.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
>
> ------------------------------------------------------------------------------
> Stay on top of everything new and different, both inside and
> around Java (TM) technology - register by April 22, and save
> $200 on the JavaOne (SM) conference, June 2-5, 2009, San Francisco.
> 300 plus technical and hands-on sessions. Register today.
> Use priority code J9JMT32. http://p.sf.net/sfu/p
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Quantlib-dev] errors on building QuantLibAddin

[cx479 <ar...@hu...>]

currently have revision 16182 of QuantLib
revision 16093 of QuantLibAddin

QuantLib builds fine.

When I build QuantLibAddin, get errors in enumeratedclasses.cpp originating
from :

new QuantLib::FDAmericanEngine<>(process, timeSteps, timeSteps-1));
new QuantLib::FDBermudanEngine<>(process, timeSteps, timeSteps-1));
new QuantLib::FDEuropeanEngine<>(process, timeSteps, timeSteps-1));

When changed to : 

new QuantLib::FDAmericanEngine(process, timeSteps, timeSteps-1));
new QuantLib::FDBermudanEngine(process, timeSteps, timeSteps-1));
new QuantLib::FDEuropeanEngine(process, timeSteps, timeSteps-1));

this file compiler fine. But then further down the line I get errors in
other files : 

e.g. 

ratehelpers.cpp(183) : error C2039: 'BondHelper' : is not a member of
'QuantLib'

Thanks

-- 
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[Quantlib-dev] todaysDate in localtime ?

[Dirk E. <ed...@de...>]

In ql/time/date.cpp we have

    Date Date::todaysDate() {
        std::time_t t;

        if (std::time(&t) == std::time_t(-1)) // -1 means time() didn't work
            return Date();
        std::tm *gt = std::gmtime(&t);
        return Date(Day(gt->tm_mday),
                    Month(gt->tm_mon+1),
                    Year(gt->tm_year+1900));
    }

I'd like to be able to use std::localtime instead as I just got bitten when I
asked for todaysDate() here in UTC+6 and got tomorrow's date instead.  

Shall I add that with a binary toggle to turn localtime on/off with a default
to off, i.e. existing behaviour?

Other suggestions?  I'd also love a Date() constructor from "yyyymmdd" or
(long) yyyymmdd as just relying on the Applix/Excel number is a tad
restrictive.

Dirk

-- 
Three out of two people have difficulties with fractions.

Re: [Quantlib-dev] isExpired

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

Hi Nando,
	sorry if I'll be short---I don't have much time and I will be gone in
the afternoon.

On Fri, 2009-04-17 at 11:31 +0200, Ferdinando Ametrano wrote:
> > So basically, you tried to discount to yesterday with the evaluation
> > date set to today?
> 
> it is not nonsensical as (you try to make) it sounds, especially in a
> dynamic environment.
> I have a session on QuantLibXL with the evaluation date equal to
> today. I'm asked by the control office to justify a bond price
> valuation done about 2 months ago. I deserialize the xml files of that
> bond and its interest rate curve as they were at the time. The yield
> curve has fixed reference date. The bond clean price fails because of
> the evaluation date, and it should not since both bond and interest
> rate curve are coherent.

I think the clean price should fail.  It's true that, with a fixed
reference date for the curve, you can calculate the NPV. But for the
clean price you need to calculate the bond settlement date, and you
can't retrieve that from the discount curve---you don't know if the
reference date was t+0, t+2 or whatever.

And in general, yes, it might be a pain to keep curves, instrument and
evaluation date consistent. But otherwise, I'm not sure that the library
can always determine when you want it to disregard the evaluation date
that you set earlier in the session. I tend to think it dangerous when
the code tries to double-guess the user.


> ok, now that at least we agree that it should check the evaluation
> date, let's try to move ahead one more step. It might check the yield
> term structure reference date if a pricing engine is set: wouldn't
> this be better?

It would. But to retrieve the discount curve, you'll have to downcast
the engine (not a big problem now, but there might be a few different
engines in the future.) We'd be entering a quagmire of "it's a
discounting engine? Ok, get the discount curve. It's not? It's a
short-rate model engine? Ok, get the model, and get the risk-free curve
from it. It's not? ..."

> It would allow to price the bond in the above QuantLibXL example

Again, not sure about that. NPV? Yes. Price? No.


> This is the key point you can observe in Revision 16180
> (http://quantlib.svn.sourceforge.net/quantlib/?rev=16180&view=rev):
> isExpired sometime refers to the evaluation date, some other times to
> the term structure reference date. In my opinion the latter should be
> the correct, or at least preferred, behavior.

Same problem here. When it checks against the reference date, it's
because we didn't move the instrument to the pricing-engine framework
and we still have the discount curve available. We'll lose it if we move
it into the engine.

Also, it depends. If we're checking cash-flow dates, they should be
checked against the curve reference date. If we're checking exercise
dates, those should be checked against the evaluation date, shouldn't
they?

Later,
	Luigi


-- 

The First Rule of Optimization: Don't do it. 
The Second Rule of Optimization (For experts only): Don't do it yet. 
-- Michael Jackson 

Re: [Quantlib-dev] isExpired

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

Hi Luigi

> So basically, you tried to discount to yesterday with the evaluation
> date set to today?

it is not nonsensical as (you try to make) it sounds, especially in a
dynamic environment.
I have a session on QuantLibXL with the evaluation date equal to
today. I'm asked by the control office to justify a bond price
valuation done about 2 months ago. I deserialize the xml files of that
bond and its interest rate curve as they were at the time. The yield
curve has fixed reference date. The bond clean price fails because of
the evaluation date, and it should not since both bond and interest
rate curve are coherent. To solve this issue I have to change
evaluation date, disrupting my session, or just use a different
dedicated session for the control office check.
No big deal, but definitely not nice.

>> >> E.g. Bond::isExpired check the settlementDate() vs
>> >> Settings::instance().evaluationDate().
>
> Oh, you mean "it checks the last cash flow against the settlement date,
> instead of checking it against the evaluation date".  I though you meant
> "it compares the settlement date and the evaluation date".  Agreed, it
> should check the evaluation date.

ok, now that at least we agree that it should check the evaluation
date, let's try to move ahead one more step. It might check the yield
term structure reference date if a pricing engine is set: wouldn't
this be better?
It would allow to price the bond in the above QuantLibXL example

This is the key point you can observe in Revision 16180
(http://quantlib.svn.sourceforge.net/quantlib/?rev=16180&view=rev):
isExpired sometime refers to the evaluation date, some other times to
the term structure reference date. In my opinion the latter should be
the correct, or at least preferred, behavior.

While this can be probably patched locally (and I'm mainly interest in
the Bond class right now), thinking along this line might lead to
conclude that we should add the reference date in Instrument::results,
i.e. the date at which value and error estimate have been evaluated.
This would make the information set in Instrument::results "complete"
and would allow for easy check/use of that reference date. Then the
current evaluation date might then just become a fall-back case when
the engine is not provided in order to calculate Bond::settlementDate
and Bond::accruedAmount

I look forward to feedback

ciao -- Nando

Re: [Quantlib-dev] isExpired

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

On Thu, 2009-04-16 at 19:54 +0200, Ferdinando Ametrano wrote:
> > If there's no payment after the evaluation date, you can consider the
> > instrument as expired.  Unless your settlement date is _before_ the
> > evaluation date, but that's nonsense, isn't it?
> 
> Not really. I tried to price an expired (from the point of view of the
> evaluation date) bond with an YieldTermStructure whose settlement date
> was also before evaluation date, i.e. I would have liked not to care
> about the evaluation date at all.

So basically, you tried to discount to yesterday with the evaluation
date set to today?


> >> E.g. Bond::isExpired check the settlementDate() vs
> >> Settings::instance().evaluationDate().

Oh, you mean "it checks the last cash flow against the settlement date,
instead of checking it against the evaluation date".  I though you meant
"it compares the settlement date and the evaluation date".  Agreed, it
should check the evaluation date.

Luigi


-- 

To err is human -- to blame it on a computer is even more so. 
-- unknown 

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[16174] trunk/QuantLib

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

Hi Luigi

>> - modified Event:Date() to return a const reference
>
> This doesn't give you anything [..] and forces any Event class to store
> the date, thus preventing it from calculating the date on the fly.
Agreed. It escaped me. I can revert it tomorrow

>> - added static Event::hasOccurredFunction to encapsulate the hasOccurred logic to be used also by non-Event object
>
> If it's generic logic, it shouldn't be in the Event class, even as a
> static method.
Agreed again. I put it there just because the Event class
documentation suggest that it should be the only place in the code
that is affected directly by QL_TODAYS_PAYMENTS.
I could take it out of the Event class and keep it in the same
event.hpp file, or put it in its own file, as you prefer

> Then again, if you want to use it somewhere else, it's
> probably a sign that something else should be inherited from Event and
> is currently missing.
Agreed again, anyway it would require a lot of refactoring and I'm
currently not up for it.
The goal of this commit was to uniform the hasOccurred logic which was
erratic for non-Event object, and I would keep this result.

ciao -- Nando

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[16174] trunk/QuantLib

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

On Thu, 2009-04-16 at 14:56 +0000, na...@us... wrote:
> Revision: 16174
>           http://quantlib.svn.sourceforge.net/quantlib/?rev=16174&view=rev
> Author:   nando
> 
> Log Message:
> -----------
> - added static Event::hasOccurredFunction to encapsulate the hasOccurred logic to be used also by non-Event object

If it's generic logic, it shouldn't be in the Event class, even as a
static method.  Then again, if you want to use it somewhere else, it's
probably a sign that something else should be inherited from Event and
is currently missing.


> - modified Event:Date() to return a const reference

This doesn't give you anything (allocating a reference is just as costly
as allocating a Date on the stack, since Date only contains a long. Any
number of methods doesn't make a class any more heavier to instantiate)
and forces any Event class to store the date, thus preventing it from
calculating the date on the fly.


In short, I'd revert the whole changeset, at least until we think a bit
more about it.  Objections?

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 

[Quantlib-dev] isExpired

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

Hi all

in revision 16174
(http://quantlib.svn.sourceforge.net/quantlib/?rev=16174&view=rev)
I've revisited Instrument::isExpired implementation, which is now
often using Event::hasOccurredFunction

I noticed that in many cases the Instrument is considered to be
expired if its last payment date is earlier than
Settings::instance().evaluationDate().

Unless I miss something this approach is wrong. isExired if often used
in order to bypass NPV evaluation setting it to zero, and as such it
should rely on a PricingEngine and/or TermStructure::referenceDate()
to verify expiration

E.g. Bond::isExpired check the settlementDate() vs
Settings::instance().evaluationDate(). This imply that if a bond trade
with t+3 settlement it could be expired and still have cashflows to be
discounted for an YieldTermStructure with t=0 as referenceDate

If I'm right removing the default referenceDate from
Event::hasOccurredFunction would show at compilation time most of the
places where expiration is deduced from
Settings::instance().evaluationDate()

Any feedback?

ciao -- Nando

Re: [Quantlib-dev] canada calendar: easter monday

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

On Tue, 2009-04-14 at 07:09 -0700, Matt Knox wrote:
> easter monday is mistakenly flagged as a holiday for the Canadian calendars.
> Only the friday (good friday) is an actual holiday (as far as the markets
> and the vast majority of employers are concerned anyway).

Fixed, thanks.

Luigi


-- 

Westheimer's Discovery: 
A couple of months in the laboratory can frequently save a 
couple of hours in the library. 

[Quantlib-dev] canada calendar: easter monday

[Matt K. <mat...@ho...>]

Hi there,

easter monday is mistakenly flagged as a holiday for the Canadian calendars.
Only the friday (good friday) is an actual holiday (as far as the markets
and the vast majority of employers are concerned anyway). This can be
verified on bloomberg.

Thanks,

- Matt
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Re: [Quantlib-dev] mortgage bond

[stefanadelbert <ste...@gm...>]

Hi Nathan

Today I've been playing with QLNet and ASP and have got a proof of concept
going. I've just used the FixedRateBond class so far and have essentially
modelled an interest only mortgage with it.

I have not had a look at your code yet, but I reckon that for my purposes I
might take your C++ code and port it to the C# QLNet project onto a branch,
if you're OK with that. I still need to finalise with the owners of QLNet
about how best to do that.

Stefan


Nathan Abbott wrote:
> 
> Sorry for the delay. Here is what I have written so for. First the code is
> off QuantLib 0.9.7. It will not work with the current copy of QuantLib in
> subversion.
> 
> in ql/cashflows/cashflows.hpp,cashflows.cpp
>     I add a sumAmount to the cashflows class. The loan class use this
> method.
> 
> 
> in ql/cashflows/fixedratecoupon.hpp, fixedratecoupon.cpp
>     I add delaydays method to a FixedRateLeg. We need this for Mortgage
> Bonds
> 
> in ql/experimental/loans/amortizingfixedrateleg.hpp,
> amortizingfixedrateleg.cpp
>     I created a AmortizingFixedRateLeg class. This has the amortizing
> logic
> need to create a loan cash flow.
> 
> in ql/experimental/loans/loan.hpp, loan.cpp
>     This is a base loan class. It is very similiar to the bond class.
> 
>  in ql/experimental/loans/fixedrateloan.hpp, fixedrateloan.cpp
>     This is a FixedRateLoan class that inherits from the loan class. It
> use
> the AmortizingFixedRateLeg to create it legs. It can create its own cash
> flows and get the npv from an pricingengine.
> 
> in ql/experimental/loans/discountingloanengine.cpp
>     This is the pricing engine for the loan class.
> 
>  in ql/experimental/mortgagebonds/mortgagebond.hpp, mortgagebond.cpp
>     This is a base MortgageBond class. Obviously, it inherits from the
> bond
> class. Right now all it has is a  WAL calculation method.
> 
>   in ql/experimental/mortgagebonds/fixedratemortgagebond.hpp,
> fixedratemortgagebond.cpp
>     This is a FixedRateMortgageBond class. Obviously, it inherits from the
> mortgagebond class. It is very similiar to the AmortizingFixedRateBond
> 
> 
> On Wed, Apr 8, 2009 at 3:24 AM, Jose Aparicio-Navarro
> <ja...@fr...>wrote:
> 
>> Hi Nathan, yes thank you, I want to sign for the free copy :-)
>> I'll try to look at it from the prepayments/default side. But I do not
>> think I'll implement anything in the short term.
>> It is 0.9.7 code, right?
>>
>> Regards
>> Pepe
>>
>>
>> Quoting Nathan Abbott <nka...@gm...>:
>>
>> > I have a version of a Loan class, a FixedRateLoan class, a MortgageBond
>> > class, and a FixedRateMortgageBond class that I am working on. If any
>> body
>> > wants to look at them just email me. Any suggests and comments would be
>> > helpful.
>> >
>>
> 
>  
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> 

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Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[16144] trunk/QuantLib/ql/time/schedule.cpp

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

On Fri, Apr 10, 2009 at 6:13 PM, Luigi Ballabio
<lui...@gm...> wrote:
>> Log Message:
>> -----------
>> Unadjusted termination date as per ISDA convention
>
> Did you run the test suite after this one?

ehm... no, sorry

If it can be of partial comfort I ate my own crap, as I was in the
middle of some credit structure re-factoring (introducing jumps) and
was banging my head about what I broke in that unit-test :-(

ciao -- Nando