quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] Addin Question

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

Hi Richard,

In case you or someone else wants to take a crack at this,  the 
documentation for exporting functions from QuantLib to QuantLibXL is here:

https://www.quantlib.org/quantlibaddin/extend_tutorial.html

Regards,
Eric

On 2018-06-12 21:15, Richard Marshall wrote:
> Hi Eric,
>
> Thanks for responding. A decade long economic recovery and an AI boom really has sucked people’s available time away from this project!
>
> If anyone could give some time, I would be very grateful.
>
> If the process of exposing the functionality is straight forward, but mechanical, then there’s a very small chance I could complete it myself. But my last C++ coding was almost 2 decades ago, so I’d need serious spoon feeding...
>
> Thinking out loud... this would make a great project for an aspiring quant / computer science university graduate student. Unfortunately, I left that arena a long time ago.
>
> Kind regards
> Richard
>
> Sent from my iPad
>
>> On 12 Jun 2018, at 19:02, Eric Ehlers <eri...@re...> wrote:
>>
>> Hi Richard,
>>
>> Unfortunately these days I don't have time for more than just keeping the project alive.  Perhaps another kind soul here on the list would volunteer to help out.
>>
>> Kind Regards,
>> Eric
>>
>>> On 2018-06-08 15:24, Richard Marshall wrote:
>>> Hi,
>>> Is there any chance that the inflation swap-curve construction could be exposed in the next release of the XL addin?
>>>
>>> I would find it really helpful!
>>>
>>> kind regards
>>> Richard
>>>
>>> Sent from my iPad
>>> ------------------------------------------------------------------------------
>>> Check out the vibrant tech community on one of the world's most
>>> engaging tech sites, Slashdot.org! http://sdm.link/slashdot
>>> _______________________________________________
>>> QuantLib-dev mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] Addin Question

[Richard M. <dr....@gm...>]

Hi Eric,

Thanks for responding. A decade long economic recovery and an AI boom really has sucked people’s available time away from this project!

If anyone could give some time, I would be very grateful. 

If the process of exposing the functionality is straight forward, but mechanical, then there’s a very small chance I could complete it myself. But my last C++ coding was almost 2 decades ago, so I’d need serious spoon feeding...

Thinking out loud... this would make a great project for an aspiring quant / computer science university graduate student. Unfortunately, I left that arena a long time ago.

Kind regards
Richard 

Sent from my iPad

> On 12 Jun 2018, at 19:02, Eric Ehlers <eri...@re...> wrote:
> 
> Hi Richard,
> 
> Unfortunately these days I don't have time for more than just keeping the project alive.  Perhaps another kind soul here on the list would volunteer to help out.
> 
> Kind Regards,
> Eric
> 
>> On 2018-06-08 15:24, Richard Marshall wrote:
>> Hi,
>> Is there any chance that the inflation swap-curve construction could be exposed in the next release of the XL addin?
>> 
>> I would find it really helpful!
>> 
>> kind regards
>> Richard
>> 
>> Sent from my iPad
>> ------------------------------------------------------------------------------
>> Check out the vibrant tech community on one of the world's most
>> engaging tech sites, Slashdot.org! http://sdm.link/slashdot
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> 

Re: [Quantlib-dev] Addin Question

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

Hi Richard,

Unfortunately these days I don't have time for more than just keeping 
the project alive.  Perhaps another kind soul here on the list would 
volunteer to help out.

Kind Regards,
Eric

On 2018-06-08 15:24, Richard Marshall wrote:
> Hi,
> Is there any chance that the inflation swap-curve construction could be exposed in the next release of the XL addin?
>
> I would find it really helpful!
>
> kind regards
> Richard
>
> Sent from my iPad
> ------------------------------------------------------------------------------
> Check out the vibrant tech community on one of the world's most
> engaging tech sites, Slashdot.org! http://sdm.link/slashdot
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] Addin Question

[Ioannis R. <qua...@de...>]

FYI

If you are only interested in constructing an inflation curve in Excel, 
you may also use the Deriscope alternative Excel interface of QuantLib.

Ioannis


On 08.06.2018 15:24, Richard Marshall wrote:
> Hi,
> Is there any chance that the inflation swap-curve construction could be exposed in the next release of the XL addin?
>
> I would find it really helpful!
>
> kind regards
> Richard
>
> Sent from my iPad
> ------------------------------------------------------------------------------
> Check out the vibrant tech community on one of the world's most
> engaging tech sites, Slashdot.org! http://sdm.link/slashdot
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

[Quantlib-dev] Addin Question

[Richard M. <dr....@gm...>]

Hi, 
Is there any chance that the inflation swap-curve construction could be exposed in the next release of the XL addin? 

I would find it really helpful!

kind regards 
Richard 

Sent from my iPad

[Quantlib-dev] QuantLib 1.13 released

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

Hello everybody,
    QuantLib 1.13 has been released and is available for download at <
http://quantlib.org/download.shtml>.

The list of changes for this release is at <
http://quantlib.org/reference/history.html>.

Please report any problems you have with this release to the QuantLib
mailing list (<qua...@li...>), or open a GitHub
issue at <https://github.com/lballabio/quantlib/issues>.

-- The QuantLib group

Re: [Quantlib-dev] pointer to instrument in engine constructor

[Dominik C. <dom...@ho...>]

Hi,
Thank you for your response.
Thanks,
Dominik


On 3 May 2018 1:32:12 pm Luigi Ballabio <lui...@gm...> wrote:

Hello Dominik,
    it probably should.  We're stuck with the current implementation for backwards compatibility.

Luigi


On Wed, May 2, 2018 at 6:23 PM Dominik Cirmirakis <dom...@ho...<mailto:dom...@ho...>> wrote:
Hi,

Why an engine can't have a pointer to instrument to get all the details?
Copying details from instrument via arguments creates additional layer
of complexity and more code.

Thanks,

Dominik

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Re: [Quantlib-dev] pointer to instrument in engine constructor

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

Hello Dominik,
    it probably should.  We're stuck with the current implementation for
backwards compatibility.

Luigi


On Wed, May 2, 2018 at 6:23 PM Dominik Cirmirakis <
dom...@ho...> wrote:

> Hi,
>
> Why an engine can't have a pointer to instrument to get all the details?
> Copying details from instrument via arguments creates additional layer
> of complexity and more code.
>
> Thanks,
>
> Dominik
>
>
> ------------------------------------------------------------------------------
> Check out the vibrant tech community on one of the world's most
> engaging tech sites, Slashdot.org! http://sdm.link/slashdot
> _______________________________________________
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> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

[Quantlib-dev] pointer to instrument in engine constructor

[Dominik C. <dom...@ho...>]

Hi,

Why an engine can't have a pointer to instrument to get all the details? 
Copying details from instrument via arguments creates additional layer 
of complexity and more code.

Thanks,

Dominik

[Quantlib-dev] QuantLib 1.12.1 released

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

QuantLib 1.12.1 has been released and is available for download at <
http://quantlib.org/download.shtml>.

It is a bug-fix release for QuantLib 1.12, preventing an error that would
occur during initialization of the test suite when using the newly released
Boost 1.67.0. The library code is otherwise unchanged.

Please report any problems you have with this release to the QuantLib
mailing list (<qua...@li...>), or open a GitHub
issue at <https://github.com/lballabio/quantlib/issues>.

-- The QuantLib group

[Quantlib-dev] LINK2001 unresolved external symbol, Visual Studio 2017

[asavoldi <sav...@gm...>]

Hi gents,

I've recently moved to Visual Studio 2017. Therefore, I've recompiled
QuantLib library, both release and debug versions. By compiling a project,
in release mode, which uses the QuantLib library, I've noticed the following
error: "unresolved external symbol __imp__invalid_parameter", file:
QuantLib-vc141-mt-gd.lib

The wired thing is that the required library version is the debug one (e.g.
QuantLib-vc141-mt-gd.lib) and not, as expected, the release one (e.g.
QuantLib-vc141-mt.lib).

I've compiled QuantLib 1.12 with pre-builded binaries Boost 1_64_0.

Coul anyone let me know what to do in order to solve this issue?

Thanks in advance,
Regards,
Antonio



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Re: [Quantlib-dev] Can anyone explain/provide the numerical algorithm used in SurvivalProbability trait?

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

As far as I can make out of it:
- for the guess: if we have a previous curve (i.e., if validData is true),
the guess is its value for the node we're bootstrapping; if not, and if
we're at the first node (i == 1), it estimates the survival probability
from a hazard rate of 1% over a three-months period (0.25), which is just a
guess from some sensible initial values; if we're at a later node, then we
have already built part of the curve and we get a guess by extrapolating it.
- for the min value, I'm not sure of the idea behind the implementation.
If we have a previous curve, it seems to assume that the survival
probability can't be less than half the previous value; if not, it starts
from the last node and calculates the minimum survival probability based on
some maximum hazard rate.  It might be simpler to just take a minimum value
a bit above zero; but then again, this is just to limit the search range of
the solver and probably doesn't make a difference for the final value.

Luigi


On Mon, Jan 29, 2018 at 12:57 AM yuzhao88 <yuz...@gm...> wrote:

> Anyone has any idea about the numerical methods used?
>
> On Mon, Jan 22, 2018, 10:04 PM yuzhao88 <yuz...@gm...> wrote:
>
>> I am trying to make sense of the guess method in the SurvivalProbability
>> trait. Can anyone explain/provide some reference of the parameters and the
>> algorithms used in the guess and minValueAfter function?
>>
>> Thanks in advance!
>>
>
> ------------------------------------------------------------------------------
> Check out the vibrant tech community on one of the world's most
> engaging tech sites, Slashdot.org! http://sdm.link/slashdot
> _______________________________________________
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> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

[Quantlib-dev] Clone instruments PiecewiseYieldCurve

[Peter de G. <ste...@gm...>]

I have a PiecewiseYieldCurve that I would like to create several copies of
after which the underlying quotes are bumped. I run into the issue that
inside the copies a reference to the quotes (Handle) is hold so when bumped
all curves change. I really need a copy including quotes/ratehelper as other
manipulations to the curves (e.g. roll forward the bumped curve) are
required and this is all done via Excel as interface. So a usercase would be
to build the swap curve then create a copy and shock the 10y swap rate and
again create a copy and zerorate spread and all the intermediate curves are
stored in memory.

I have searched and came across several (very old) topics on cloning a
piecewisecurve and they seem to indicate that at that time it was not
possible and it was suggested to clone the termstructure. An example of a
topic is,

http://quantlib.10058.n7.nabble.com/Question-about-copy-constructors-tc4027.html#a4028
<http://quantlib.10058.n7.nabble.com/Question-about-copy-constructors-tc4027.html#a4028>  

Does anyone have a solution to this or has functionality been implemented
that a Clone can be done where the quotes/ratehelpers are also copied and
fully delinked?



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[Quantlib-dev] QuantLib 1.12 released

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

Hello everybody,
    QuantLib 1.12 has been released and is available for download at <
http://quantlib.org/download.shtml>.

The list of changes for this release is at <
http://quantlib.org/reference/history.html>.

Please report any problems you have with this release to the QuantLib
mailing list (<qua...@li...>), or open a GitHub
issue at <https://github.com/lballabio/quantlib/issues>.

-- The QuantLib group

Re: [Quantlib-dev] Can anyone explain/provide the numerical algorithm used in SurvivalProbability trait?

[yuzhao88 <yuz...@gm...>]

Anyone has any idea about the numerical methods used?

On Mon, Jan 22, 2018, 10:04 PM yuzhao88 <yuz...@gm...> wrote:

> I am trying to make sense of the guess method in the SurvivalProbability
> trait. Can anyone explain/provide some reference of the parameters and the
> algorithms used in the guess and minValueAfter function?
>
> Thanks in advance!
>

[Quantlib-dev] Can anyone explain/provide the numerical algorithm used in SurvivalProbability trait?

[yuzhao88 <yuz...@gm...>]

I am trying to make sense of the guess method in the SurvivalProbability
trait. Can anyone explain/provide some reference of the parameters and the
algorithms used in the guess and minValueAfter function?

Thanks in advance!

Re: [Quantlib-dev] How to construct an interest curve using an existing curve with two minor modifications?

[yuzhao88 <yuz...@gm...>]

You absolutely correct in that at time 0, df will be zero. However,
remember that in bullet point one, the reference date is shifted to
effectively —2. .98 is actually picked so that the df at the new reference
date is still effectively 1.

On Thu, Jan 11, 2018, 2:43 PM Francois Botha <ig...@gm...> wrote:

> Hi
>
> I hope Luigi agrees with me. For point 1, I think you should look at a
> video by the master himself. https://youtu.be/pc1yOmxU2GQ
>
> For point 2, I'm not sure whether it's possible or why you would want to
> do that. Scaling the discount rate by a fixed factor would imply for
> instance that the new curve would have a discount rate of 0.98 at time 0.
> To me, that doesn't make sense. A discount rate should always be 1 at time
> 0. But maybe I'm wrong.
>
> Regards
> Francois
>
>
> On 11 Jan 2018 15:04, "zcg6433" <yuz...@gm...> wrote:
>
> How to construct an zero curve using an existing curve with the following
> two
> modifications?
> 1. move the reference date by two dates earlier.
> 2. Assuming the knot points of the curve are represented using discount
> factors, then the all of the knot points of the new curve should be 0.98 *
> those of the old curve. ( i.e. this has the equivalent effect of
> downscaling
> the discount factor of the original curve by 0.98 )
>
>
>
> --
> Sent from: http://quantlib.10058.n7.nabble.com/quantlib-dev-f8818.html
>
>
> ------------------------------------------------------------------------------
> Check out the vibrant tech community on one of the world's most
> engaging tech sites, Slashdot.org! http://sdm.link/slashdot
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>
>

Re: [Quantlib-dev] How to construct an interest curve using an existing curve with two minor modifications?

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

I'm not sure that the video applies, unfortunately.  It looks like the
inverse case of https://youtu.be/8Lc5r0YxAME : given a curve with reference
on today's date, imply an earlier curve.  The 0.98 discount factor would be
the factor from today's date to a couple of days earlier, which can't be
implied from the current curve.

I think the way to do it would be similar to what we did in the
ImpliedTermStructure class.  You'll need to write a new class (you can copy
ImpliedTermStructure and modify it) that takes the original curve, the new
reference date, and the discount factor between the new reference and
today.  Its discountImpl method would figure out the time according to the
original curve and return the original discount multiplied by 0.98 (or
whatever the discount factor is between the two reference dates).

Hope this helps,
    Luigi


On Thu, Jan 11, 2018 at 8:44 PM Francois Botha <ig...@gm...> wrote:

> Hi
>
> I hope Luigi agrees with me. For point 1, I think you should look at a
> video by the master himself. https://youtu.be/pc1yOmxU2GQ
>
> For point 2, I'm not sure whether it's possible or why you would want to
> do that. Scaling the discount rate by a fixed factor would imply for
> instance that the new curve would have a discount rate of 0.98 at time 0.
> To me, that doesn't make sense. A discount rate should always be 1 at time
> 0. But maybe I'm wrong.
>
> Regards
> Francois
>
>
> On 11 Jan 2018 15:04, "zcg6433" <yuz...@gm...> wrote:
>
> How to construct an zero curve using an existing curve with the following
> two
> modifications?
> 1. move the reference date by two dates earlier.
> 2. Assuming the knot points of the curve are represented using discount
> factors, then the all of the knot points of the new curve should be 0.98 *
> those of the old curve. ( i.e. this has the equivalent effect of
> downscaling
> the discount factor of the original curve by 0.98 )
>
>
>
> --
> Sent from: http://quantlib.10058.n7.nabble.com/quantlib-dev-f8818.html
>
>
> ------------------------------------------------------------------------------
> Check out the vibrant tech community on one of the world's most
> engaging tech sites, Slashdot.org! http://sdm.link/slashdot
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>
>
> ------------------------------------------------------------------------------
> Check out the vibrant tech community on one of the world's most
> engaging tech sites, Slashdot.org! http://sdm.link/slashdot
> _______________________________________________
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> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Re: [Quantlib-dev] How to construct an interest curve using an existing curve with two minor modifications?

[Francois B. <ig...@gm...>]

Hi

I hope Luigi agrees with me. For point 1, I think you should look at a
video by the master himself. https://youtu.be/pc1yOmxU2GQ

For point 2, I'm not sure whether it's possible or why you would want to do
that. Scaling the discount rate by a fixed factor would imply for instance
that the new curve would have a discount rate of 0.98 at time 0. To me,
that doesn't make sense. A discount rate should always be 1 at time 0. But
maybe I'm wrong.

Regards
Francois

On 11 Jan 2018 15:04, "zcg6433" <yuz...@gm...> wrote:

How to construct an zero curve using an existing curve with the following
two
modifications?
1. move the reference date by two dates earlier.
2. Assuming the knot points of the curve are represented using discount
factors, then the all of the knot points of the new curve should be 0.98 *
those of the old curve. ( i.e. this has the equivalent effect of downscaling
the discount factor of the original curve by 0.98 )



--
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------------------------------------------------------------
------------------
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_______________________________________________
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[Quantlib-dev] How to construct an interest curve using an existing curve with two minor modifications?

[zcg6433 <yuz...@gm...>]

How to construct an zero curve using an existing curve with the following two
modifications?
1. move the reference date by two dates earlier.
2. Assuming the knot points of the curve are represented using discount
factors, then the all of the knot points of the new curve should be 0.98 *
those of the old curve. ( i.e. this has the equivalent effect of downscaling
the discount factor of the original curve by 0.98 )



--
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[Quantlib-dev] Wrapping Quantlib into a web service API

[Josep R. <jos...@gm...>]

Hi All,

I have been lately working on a side project which consists in wrapping
some Quantlib functionalities into a web service API. To do so I have used
Crow C++ (https://github.com/ipkn/crow) to serve the requests and Rapidjson
(http://rapidjson.org/) as a parser.

I wanted to share it in case someone would be interested on it or just take
advantage of the work I have already done.

Further information can be found at https://quantra.io

Best Regards,
Josep

[Quantlib-dev] evolution of the Libors in the LMM model under the terminal forward measure

[laaouini a. <laa...@ya...>]

Hello everybody,How to implement the method evolve(Time t0, const Array& x0, Time dt, const Array& dw) const of the classLiborForwardModelProcess when the Libors evolve following the  terminal forward measureas numeraire? Actually, the current implementation of this method, corresponds to the case when the Libors evolve following the numeraire,under which the first Libor is a martingale.(and not the last one)? 

Re: [Quantlib-dev] Quntlib install problem- Linux- ubuntu 16.04

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

Are you following the instructions at
http://quantlib.org/install/linux-python.shtml ?

Luigi


On Thu, Dec 21, 2017 at 5:29 PM wassim <jem...@ou...> wrote:

> I have been using quantlib on a windows Python Version and it works
> perfectly.
>
> I’am trying to get it t work on my linux version but I have been stuck for
> a
> good while on compiling the files with boost. You will find below the error
> message.
>
>
> *********************
> quantlib_wrap.cpp:2346:27: fatal error: ql/quantlib.hpp: No such file or
> directory
> compilation terminated.
> Makefile.quantlib:336: recipe for target 'quantlib_wrap.o' failed
> make[3]: *** [quantlib_wrap.o] Error 1
> make[3]: Leaving directory '/root/djangov/FastNet/QuantLib-SWIG-1.7/Perl'
> Makefile:426: recipe for target '.build-stamp' failed
> make[2]: *** [.build-stamp] Error 2
> make[2]: Leaving directory '/root/djangov/FastNet/QuantLib-SWIG-1.7/Perl'
> Makefile:220: recipe for target 'all' failed
> make[1]: *** [all] Error 2
> make[1]: Leaving directory '/root/djangov/FastNet/QuantLib-SWIG-1.7/Perl'
> Makefile:349: recipe for target 'all-recursive' failed
> make: *** [all-recursive] Error 1
>
> *********************
>
>
> I would more that grateful if anybody can direct me to where I can find
> help
>
>
>
> --
> Sent from: http://quantlib.10058.n7.nabble.com/quantlib-dev-f8818.html
>
>
> ------------------------------------------------------------------------------
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[Quantlib-dev] Open Source Risk Engine (ORE) 1.8.3.0 released

[Roland L. <rol...@go...>]

Dear all,
 
ORE is the first end-to-end open source risk application based on QuantLib, see opensourcerisk.org <http://opensourcerisk.org/> and github.com/opensourcerisk/engine <https://github.com/opensourcerisk/engine>.

This third release extends the 
- sensitivity framework (adding inflation, equity and credit)
- MC simulation framework (adding inflation simulation to IR/FX/EQ)
- product range (adding CMS, CMS Caps/Floors, CDS, as well as Bond amortisation structures)
- risk methods (adding a parametric, delta gamma normal, Value at Risk)
- unit test framework and examples

We hope that ORE will accelerate the process of the professional risk community embracing the Open Source opportunity to create a global standard. 
Please download the code and information at opensourcerisk.org <http://opensourcerisk.org/> and engage with your peers through the forum to contribute to the development of the next generation global risk standards.

Best regards,
Roland

Re: [Quantlib-dev] Settlement days

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

Hello,
    the Euribor fixing for a given date (and a given tenor; let's say we're
using 6-months Euribor) is the rate for a period that starts two business
days after the fixing date and ends six months after.  The two days of
delay are the fixing days.  The name "settlement days" might be a misnomer;
I guess you might consider them the days until the underlying deposit is
settled.

For instance: today is December 13th, 2017.  Today's Euribor 6M fixing is
the rate paid for borrowing money two days from now (on December 15th) and
returning it six months later (on June 15th, 2018).

Hope this helps,
    Luigi


On Mon, Dec 11, 2017 at 1:17 PM laaouini anas <laa...@ya...>
wrote:

> Hello everybody,
> I have 2 questions about fixingDays parameter:
> +What are "fixing days" for an Euribor Index?
> +Why "settlement days" parameter  is equal to 2 for an Euribor object of
> C++ QuantLib?
>
> ---------------------------------------------------------<euribor.cpp>
> Euribor::Euribor(const Period& tenor,
>
>                      const Handle<YieldTermStructure>& h)
>
>     : IborIndex("Euribor", tenor,
>
>                 2, // settlement days
>
>                 EURCurrency(), TARGET(),
>
>                 euriborConvention(tenor), euriborEOM(tenor),
>
>                 Actual360(), h) {
>
>         QL_REQUIRE(this->tenor().units()!=Days,
>
>                    "for daily tenors (" << this->tenor() <<
>
>                    ") dedicated DailyTenor constructor must be used");
>
>     }
>
>
>