quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] building under x64

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

On Mon, 2009-02-16 at 08:23 +0000, Bojan Nikolic wrote:
> If you are getting zeros as the NULL template values the most likely
> reason is that the template null hasn't been specialised for a type
> that is being used.

True.  Mark, can you run a compilation after replacing
<ql/utilities/null.hpp> with the one I'm attaching?  You'll get a number
of errors saying that Null<T> is undefined for a few types.  I'm
interested in knowing for what built-in type(s) it fails.

Also, is there any #define we can check to see if we're compiling for 64
bits?

Luigi

P.S. re the other 64-bit fix (atoi vs lexical_cast): it compiles, but it
changes behavior.  If the input is, say, "foo", lexical_cast raises an
exception, whereas atoi quietly returns 0.  I'd prefer a solution that
keeps the old behavior.


-- 

The young man knows the rules, but the old man knows the exceptions. 
-- O. W. Holmes 

Re: [Quantlib-dev] heterogeneous stcdo engine

[Jose Aparicio-N. <ja...@fr...>]

Files look empty.....

Regards
Pepe

Re: [Quantlib-dev] building under x64

[Tamas S. <ta...@ao...>]

indeed:

http://www.viva64.com/content/articles/64-bit-development/?f=PortSample.html&lang=en&content=64-bit-development

Best,

Tamas


On 16 Feb 2009, at 08:23, Bojan Nikolic wrote:

>
> Hi Mark & Tamas,
>
> It is unlikely to be a problem with flags (-fPIC is for "position
> independent code" so something that would come up at linking stage).
>
> If you are getting zeros as the NULL template values the most likely
> reason is that the template null hasn't been specialised for a type
> that is being used. See the file:
>
> ql/utilities/null.hpp
>
>     // BN: This is the un-specialised  version which returns Type()
>     // which will be zero
>
>    //! template class providing a null value for a given type.
>    template <class Type>
>    class Null {
>      public:
>        Null() {}
>        operator Type() const { return Type(); }
>    };
>
>    // Specialised versions follow....
>
> I suspect you need to add  a specialisation for the size_t type since
> on 64bit windows size_t is (I think) not the same type as unsigned
> int.
>
> Best,
> Bojan
>
>
>
>
> --  
> Bojan Nikolic          ||          http://www.bnikolic.co.uk
>
> ------------------------------------------------------------------------------
> Open Source Business Conference (OSBC), March 24-25, 2009, San  
> Francisco, CA
> -OSBC tackles the biggest issue in open source: Open Sourcing the  
> Enterprise
> -Strategies to boost innovation and cut costs with open source  
> participation
> -Receive a $600 discount off the registration fee with the source  
> code: SFAD
> http://p.sf.net/sfu/XcvMzF8H
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] building under x64

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

Hi Mark & Tamas,

It is unlikely to be a problem with flags (-fPIC is for "position
independent code" so something that would come up at linking stage).

If you are getting zeros as the NULL template values the most likely
reason is that the template null hasn't been specialised for a type
that is being used. See the file:

ql/utilities/null.hpp

     // BN: This is the un-specialised  version which returns Type()
     // which will be zero

    //! template class providing a null value for a given type.
    template <class Type>
    class Null {
      public:
        Null() {}
        operator Type() const { return Type(); }
    };

    // Specialised versions follow....

I suspect you need to add  a specialisation for the size_t type since
on 64bit windows size_t is (I think) not the same type as unsigned
int.

Best,
Bojan




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

Re: [Quantlib-dev] 0.9.0 release branch

[Tamas S. <ta...@ao...>]

SVN trunk:

https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib

you alos need an svn client like this:

http://tortoisesvn.tigris.org/

Best,

TRS

On 15 Feb 2009, at 20:46, uptotibet wrote:

>
> The same thing happens with WINDOWS6, VC9, BOOST 1.38, and QL-0.9.7.
>
> Where could I find the trunk you are referring to or does this need  
> more
> coding?
>
> I'll continue to investigate.
>
>
> Best,
> David Brown
>
>
>
>
>
> Luigi Ballabio wrote:
>>
>>
>> On Feb 20, 2008, at 5:15 PM, Marco Marchioro wrote:
>>> I was able to compile QuantLib 0.9.0 on Leopard, OS X 10.5.2, GCC
>>> 4.0.1,
>>> after installing XCode 3.0.
>>> However, all tests pass but one:
>>>
>>> --------------
>>> Testing swaption volatility matrix...
>>> swaptionvolatilitymatrix.cpp(128): fatal error in
>>> "SwaptionVolatilityMatrixTest::testSwaptionVolMatrixCoherence":
>>> recovery of 0th swap tenor failed for floating reference date,
>>> floating market data:
>>> expected swap tenor  = 1Y
>>>   actual swap tenor  = 1Y
>>> expected swap length = 1
>>>   actual swap length = 1.00274
>>> -------------
>>>
>>> Anybody knows why this happens?
>>
>> Marco,
>>  it's a bug that, due to Murphy's law, surfaced shortly after  
>> release.
>> It was some mismatch in date/time calculation. Unfortunately, the
>> resulting lengths matched in December. It was fixed on the trunk
>> sometime last month.
>>
>> Luigi
>>
>>
>> -------------------------------------------------------------------------
>> This SF.net email is sponsored by: Microsoft
>> Defy all challenges. Microsoft(R) Visual Studio 2008.
>> http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
>>
>
> -- 
> View this message in context: http://www.nabble.com/0.9.0-release-branch-tp13970225p22027367.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
>
> ------------------------------------------------------------------------------
> Open Source Business Conference (OSBC), March 24-25, 2009, San  
> Francisco, CA
> -OSBC tackles the biggest issue in open source: Open Sourcing the  
> Enterprise
> -Strategies to boost innovation and cut costs with open source  
> participation
> -Receive a $600 discount off the registration fee with the source  
> code: SFAD
> http://p.sf.net/sfu/XcvMzF8H
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] building under x64

[Tamas S. <ta...@ao...>]

Dear Mark,

these errors must be caused by the Microsoft compiler, because I don't  
have any problems on my linux x64 system (boost 1.37, quantlib svn).  
Maybe some flags have to be turn on, like fPIC on linux? Are you  
compiling static or dynamic libs? Unfortunately I don't have 64bit  
studio to test it.

Best,

Tamas

On 16 Feb 2009, at 05:14, Mark joshi wrote:

> Most of the bugs when running QuantLib under x64 seem to come down to
> the Null template.
>
> As far as I can tell this is supposed to return the largest integer
> which is then interpreted as a non-set piece of data.
> In x64, it gets turned into a zero and this causes problems. I haven't
> found a solution to the issue yet.
>
> Any ideas?
>
> Mark
>
> ------------------------------------------------------------------------------
> Open Source Business Conference (OSBC), March 24-25, 2009, San  
> Francisco, CA
> -OSBC tackles the biggest issue in open source: Open Sourcing the  
> Enterprise
> -Strategies to boost innovation and cut costs with open source  
> participation
> -Receive a $600 discount off the registration fee with the source  
> code: SFAD
> http://p.sf.net/sfu/XcvMzF8H
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Quantlib-dev] heterogeneous stcdo engine

[Jose Aparicio-N. <ja...@fr...>]

Hi all,
Someone was asking for this a few weeks ago. Can anyone please
upload it to experimental?
Roland, I also need help on how to modify the copula, can we look into this?

The engine can be used in two ways, with a single correlation number and only
one copula for all the name pairs or with a name to name correlation matrix.

The code I am sending corresponds to the single number case as it is.
If you want the name to name correlation case you need to patch the existing
copula and add a method to change the correlation. This method is just a
dirty trick to make it work and cannot be a final solution since it breaks
the handle and the registration mechanism to all observers of the handle.
aybe we should have an overloaded interface (conditionalProbability, etc)
that receives a correlation value (Real).
Also you should enable the call to this patch in the pricer; this is,
uncomment the line (#130):

                copula_->resetCorrelation(oneFactorCorrels_[iName]);

in method : RecursiveCdoEngine::expectedConditionalLoss(const Date& date,
                                     Real mktFactor) const

and use the matrix constructor.

patch then the base one factor copula class with this dreadful code:

        void resetCorrelation(Real newCorrel) {
            unregisterWith(correlation_);
            correlation_.linkTo(boost::shared_ptr<Quote>(new
                SimpleQuote(newCorrel)));
            registerWith(correlation_);
            // problem: on BC pricings I am going to call ths often
            //          and theres a new
            // problem: I have just broken the update mechanism with
            //          the original handle
        }

Ill wait to get this point clear to decide wether the first constructor needs
to register the object with the copula. Typically a single factor correlation
would be coming from an index tranche quote and in that case changes would
need propagation.

--

There is one more question with the initialize method coming from the
base engine, it is explained in a code comment.

I am sorry I am not provinding test client code this time; since the amount
of data for this engine is quite large I have been driving it from a
worksheet. In the limit of uniform curves and RRs it converges quite well
to Rolands LHP implementation.

Another point is I have patched the tranche base engines where they compute
the NPV of flows ( calculate() ) once we have the ELs, I might be wrong but
it looks like the sense of the legs are both receiving the flows so we end
up with the same sign.

The integral in the expected tranche loss method calls a boost::bind that
needs a fairly recent version of the library. I jumped three versions and
have 1.37.0...eer, I do not remeber which one I had before... it did not
work for that one. It has to be the one able to bind to member functions.

Regards
Pepe

[Quantlib-dev] building under x64

[Mark j. <mar...@gm...>]

Most of the bugs when running QuantLib under x64 seem to come down to
the Null template.

As far as I can tell this is supposed to return the largest integer
which is then interpreted as a non-set piece of data.
In x64, it gets turned into a zero and this causes problems. I haven't
found a solution to the issue yet.

Any ideas?

Mark

Re: [Quantlib-dev] [Quantlib-users] credit modeling, Issuer, etc.

[Jose Aparicio-N. <ja...@fr...>]

Hi,
The recovery is treated as a parameter and not modelled.
But without thinking of calibration of the recovery model, even kept as a
parameter I agree that there are incoherences:

----<Technical>-------
The same name has different curves by seniority and as such an issuer in the
lib could be representing a name/seniority couple. But it is not because the
events register by issuer, and all seniorities should be registered with the
same event. I believe theres an issue here; one issuer can have different
recoveries (seniorities) but only one default probability.

----<Market>----------
At least conceptually, the market might think otherwise: These are quotes for
Abbey Nat. on April, 24, 2006 with respective recovery rates of 0.2, 0.15, 0.4
and 0.2 (i.e. quotes during "quiet times")

	  6  1	2  3  4  5  7  10
	  M  Y	Y  Y  Y  Y  Y   Y
JRSUBUT2  0  0	0  0.000782933	0  0.001275  0  0.002430464

PREFT1	0  0  0.0014  0  0  0.0036  0.0044  0.0054

SNRFOR	0.000174507  0.000233197  0.000314393  0.000428969 0.000617	0.000729813 
0.000920194  0.001219621

SUBLT2	0.0002194  0.000350379  0.000574109  0.000712179  0.000965	0.001210217 
0.001680983  0.002361352


If one calibrates HRs and computes the probability of default 10Y ahead one
gets values ranging from 7 to 2 percent. Now, we can blame liquidity (two last
 curves are close and are more liquid, they are rated curves) but maybe the
model is not good enough. The problem with constant/parametric RR is that once
you fix one theres no way your going to be able to get a second coherent curve,
 you could as much fix another recovery for a single tenor curve.

So the concept of a constant RR for all tenors is flawed..... (still the
library should provide IMHO the probability model that is a standard)

This brings in your point of a term structure for the recovery rate. Again we
should eventually have a model of the recovery rate. But lets first fix the
issuer point (a data/problem representation problem). The recovery rate is not
an issuer property; maybe an issuer-seniority, maybe a model parameter. And we
should not allow calibration of HR curves with helpers from different
seniorities (mea culpa).

Regards
pepe




Quoting Chris Kenyon <chr...@ya...>:

> Dear All,
>
> I'd like to start a bit of a discussion about credit modeling in QL given
> that it is starting to appear and that the credit crisis has done some very
> effective stress-testing of assumptions.  So I'll divide this into high-level
> and technical sections.
>
> High-Level
>
> Term structures are one of the fundamental things in QL, but I'm not sure
> that QL has the right ones for credit.  In the market I can trade a CDS and
> find quotes on Bloomberg.  However, I cannot directly trade a recovery rate
> (except OTC via digital default swaps, or recovery swaps as they are
> sometimes know).  Since the tradelable numbers should, IMNSHO, be fundamental
> QL needs:
>     CdsTermStructure
> and (maybe)
>     RecoveryRateTermStructure
> Only then can we get on with defining default probability term structures.
> Yes, you can argue that the CDS quotes themselves provide the term structure
> (if you add recoveries ...) ... but that is not the same as packaging this
> info up in a useful way.
>     Also, if you want an instrument-based probability of default term
> structure then you should give it recovery swaps as well as CDSs - giving it
> a recovery rate doesn't specify what observable it came from (assumptions
> anyone?).
>
> Technical
>
> The class Issuer currently holds a default probability term structure and a
> recovery rate.  However, if you look on Markit (or one of its competitors)
> then you see that a legal entity can have up to about 10 different CDS spread
> curves quoted - these come from different currencies, seniorities, and
> restructuring/default clauses.
>
> I suggest that the Issuer class should be polymorphic (i.e. lots of
> virtual's) and that it also inherit from Observer/Observable for ease of use
> with the rest of QL.  Then users can add as much complexity as they want for
> different situations.
>
> Well, that's my contribution to starting the dicussion ... all replies
> encouraged!
>
> Best regards,
> Chris

Re: [Quantlib-dev] 0.9.0 release branch

[uptotibet <db...@ic...>]

The same thing happens with WINDOWS6, VC9, BOOST 1.38, and QL-0.9.7.

Where could I find the trunk you are referring to or does this need more
coding?

I'll continue to investigate.


Best,
David Brown





Luigi Ballabio wrote:
> 
> 
> On Feb 20, 2008, at 5:15 PM, Marco Marchioro wrote:
>> I was able to compile QuantLib 0.9.0 on Leopard, OS X 10.5.2, GCC 
>> 4.0.1,
>> after installing XCode 3.0.
>> However, all tests pass but one:
>>
>> --------------
>> Testing swaption volatility matrix...
>> swaptionvolatilitymatrix.cpp(128): fatal error in
>> "SwaptionVolatilityMatrixTest::testSwaptionVolMatrixCoherence":
>> recovery of 0th swap tenor failed for floating reference date,
>> floating market data:
>> expected swap tenor  = 1Y
>>    actual swap tenor  = 1Y
>> expected swap length = 1
>>    actual swap length = 1.00274
>> -------------
>>
>> Anybody knows why this happens?
> 
> Marco,
> 	it's a bug that, due to Murphy's law, surfaced shortly after release. 
> It was some mismatch in date/time calculation. Unfortunately, the 
> resulting lengths matched in December. It was fixed on the trunk 
> sometime last month.
> 
> Luigi
> 
> 
> -------------------------------------------------------------------------
> This SF.net email is sponsored by: Microsoft
> Defy all challenges. Microsoft(R) Visual Studio 2008.
> http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> 
> 

-- 
View this message in context: http://www.nabble.com/0.9.0-release-branch-tp13970225p22027367.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

[Quantlib-dev] credit modeling, Issuer, etc.

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

Dear All,

I'd like to start a bit of a discussion about credit modeling in QL given that it is starting to appear and that the credit crisis has done some very effective stress-testing of assumptions.  So I'll divide this into high-level and technical sections.

High-Level

Term structures are one of the fundamental things in QL, but I'm not sure that QL has the right ones for credit.  In the market I can trade a CDS and find quotes on Bloomberg.  However, I cannot directly trade a recovery rate (except OTC via digital default swaps, or recovery swaps as they are sometimes know).  Since the tradelable numbers should, IMNSHO, be fundamental QL needs:
    CdsTermStructure
and (maybe)
    RecoveryRateTermStructure
Only then can we get on with defining default probability term structures.  Yes, you can argue that the CDS quotes themselves provide the term structure (if you add recoveries ...) ... but that is not the same as packaging this info up in a useful way.
    Also, if you want an instrument-based probability of default term structure then you should give it recovery swaps as well as CDSs - giving it a recovery rate doesn't specify what observable it came from (assumptions anyone?).

Technical

The class Issuer currently holds a default probability term structure and a recovery rate.  However, if you look on Markit (or one of its competitors) then you see that a legal entity can have up to about 10 different CDS spread curves quoted - these come from different currencies, seniorities, and restructuring/default clauses.

I suggest that the Issuer class should be polymorphic (i.e. lots of virtual's) and that it also inherit from Observer/Observable for ease of use with the rest of QL.  Then users can add as much complexity as they want for different situations.

Well, that's my contribution to starting the dicussion ... all replies encouraged!

Best regards,
Chris

[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 (Tracker Item Submitted) made by Item Submitter
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...





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

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

[Quantlib-dev] building under x64

[Mark j. <mar...@gm...>]

Dear All,

my project for the last couple of days has been building QuantLib under x64
i.e. with the 64 bit tool set for Visual Studio 9.0 Professional.

Since there had been discussion on the list previously, I'm passing on my
experiences.

First, some parts of Boost seem to have issues with x64. In particular,
lexical_cast seems to break. I therefore have commented
out its uses in two files in QuantLib and replaced them with atoi .

Second, as usual the hardest part of building QuantLib is installing boost.
The pre-built installers don't seem to support x64. So you have to install
bjam and build it yourself.

The command line command I used was

bjam address-model=64 --build-dir=mybuilddirectory stage

run from the Visual C++ 64 bit tools command prompt in the directory
C:\boost\boost_1_38_0
where i had unzipped Boost version 1.38

address-model = 64 ensures 64 bit addressing
--build-dir=mybuilddirectory says do all the building in mybuilddirectory
stage makes it copy all the produced library files into stage/lib

I had also created a file user-config.jam in this directory (i.e.
C:\boost\boost_1_38_0)  with the single line

using msvc : 9.0 : : <arch>amd64 ;

in it. (I am not actually sure that this had any effect.)

This produced a lot of libraries but only the ones suitable for release
rather than release (static) .

With these things done, I was able to build the test-suite in x64 mode and
run it.

However, there were 29 errors. These were typically of the form

unknown location(0): fatal error in
"QuantLib::detail::quantlib_test_case(&VarianceSwapTest::testMCVarianceSwap)":
std::exception: timeSteps must be positive, 0 not allowed

which means some number has been passed to a routine as zero when it should
be positive. This is probably related to the large number of warnings when
compiling about loss of data when casting numeric types.

>Tests completed in 13 m 37 s
1>Test suite "Master Test Suite" failed with:
1>  510 assertions out of 539 passed
1>  29 assertions out of 539 failed
1>  366 test cases out of 395 passed
1>  29 test cases out of 395 failed
1>  29 test cases out of 395 aborted

Other points to watch are that if you simply use the configuration manager
to create the x64 project files then the same directories are used for win32
and x64, and building in one overwrites the other. And the compiler doesn't
recompile the files on changing but simply complains that they are of the
wrong sort.

It may be time to consider whether QuantLib should start supporting x64
builds.


I am happy to discuss further,

best

Mark

[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: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
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: 2009-02-12 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-Bugs-2568491 ] Coding standard errors in Quantlib

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

Bugs item #2568491, was opened at 2009-02-05 14:27
Message generated for change (Comment added) made by marcelstampfer
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2568491&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: Marcel Stampfer (marcelstampfer)
Assigned to: Nobody/Anonymous (nobody)
Summary: Coding standard errors in Quantlib

Initial Comment:
Hi Luigi,

I'm just getting to know Quantlib and thought that a way I could get started with writing some code would be to do some static analysis. Doing this, I've found some potential bugs in the code that could be easily patched. Some of the errors that I've found have to do with the follow violations:

Calling virtual functions from constructors and destructors
Using local variables that have the same name as class/parent class variables 
Not initializing all member variables in constructors
Downcasting a pointer to an abstract base class to a subclass
Making implicit conversions from one type to another
Passing objects by reference instead of by value (more an optimization issue)
Not throwing an exception by value or catching by reference

Do you think that any of these errors warrant patching? I could give concrete examples if you like but should download the SVN head beforehand as I'm using the release code. 

Regards
Marcel

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

Comment By: Marcel Stampfer (marcelstampfer)
Date: 2009-02-06 12:47

Message:
Okay. My plan is to run the examples and unit tests through a debugger to
see if any of these violations are reached (there are 100's). With that I
can compare patched versions to determine if any of the violations are bugs
in the code.

Marcel

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-02-06 09:53

Message:
Yes, please go ahead.

Luigi


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2568491&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-2568491 ] Coding standard errors in Quantlib

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

Bugs item #2568491, was opened at 2009-02-05 15:27
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2568491&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: Marcel Stampfer (marcelstampfer)
Assigned to: Nobody/Anonymous (nobody)
Summary: Coding standard errors in Quantlib

Initial Comment:
Hi Luigi,

I'm just getting to know Quantlib and thought that a way I could get started with writing some code would be to do some static analysis. Doing this, I've found some potential bugs in the code that could be easily patched. Some of the errors that I've found have to do with the follow violations:

Calling virtual functions from constructors and destructors
Using local variables that have the same name as class/parent class variables 
Not initializing all member variables in constructors
Downcasting a pointer to an abstract base class to a subclass
Making implicit conversions from one type to another
Passing objects by reference instead of by value (more an optimization issue)
Not throwing an exception by value or catching by reference

Do you think that any of these errors warrant patching? I could give concrete examples if you like but should download the SVN head beforehand as I'm using the release code. 

Regards
Marcel

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2009-02-06 10:53

Message:
Yes, please go ahead.

Luigi


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2568491&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-2568491 ] Coding standard errors in Quantlib

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

Bugs item #2568491, was opened at 2009-02-05 14:27
Message generated for change (Tracker Item Submitted) made by Item Submitter
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2568491&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: Marcel Stampfer (marcelstampfer)
Assigned to: Nobody/Anonymous (nobody)
Summary: Coding standard errors in Quantlib

Initial Comment:
Hi Luigi,

I'm just getting to know Quantlib and thought that a way I could get started with writing some code would be to do some static analysis. Doing this, I've found some potential bugs in the code that could be easily patched. Some of the errors that I've found have to do with the follow violations:

Calling virtual functions from constructors and destructors
Using local variables that have the same name as class/parent class variables 
Not initializing all member variables in constructors
Downcasting a pointer to an abstract base class to a subclass
Making implicit conversions from one type to another
Passing objects by reference instead of by value (more an optimization issue)
Not throwing an exception by value or catching by reference

Do you think that any of these errors warrant patching? I could give concrete examples if you like but should download the SVN head beforehand as I'm using the release code. 

Regards
Marcel

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2568491&group_id=12740

Re: [Quantlib-dev] boost 1.37 unit-test framework on osx

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

On Wed, 2009-02-04 at 12:53 +0000, Tamas Sashalmi wrote:
> I've tried to compile svn version of QuantLib on osx with the "new'  
> boost 1.37. The configure script shows it did not find the unit test  
> libraries. The error caused by using wrong library names during  
> linking from the script. 
> 
> Solution:
>   Add
> 
> boost_unit_test_framework-x$CC_BASENAME$CC_VERSION-mt
> to
> acinclude.m4

Done, thanks.

Luigi


-- 

Don't say "yes" until I finish talking. 
-- Darryl F. Zanuck 

[Quantlib-dev] boost 1.37 unit-test framework on osx

[Tamas S. <ta...@gm...>]

Dear QuantLib group,

I have a problem:
I've tried to compile svn version of QuantLib on osx with the "new'  
boost 1.37. The configure script shows it did not find the unit test  
libraries. The error caused by using wrong library names during  
linking from the script. It tries to link with  
libboost_unit_test_framework-gcc40 but on osx the proper name is:  
libboost_unit_test_framework-xgcc40-mt. For quick solution see below.  
(a script "boost-config" should be the real solution....at least on  
unix...)

Best,

Tamas

Solution:
Add

boost_unit_test_framework-x$CC_BASENAME$CC_VERSION-mt
to
acinclude.m4

eg:

Index: acinclude.m4
===================================================================
--- acinclude.m4    (revision 15883)
+++ acinclude.m4    (working copy)
@@ -101,6 +101,7 @@
                   boost_unit_test_framework-$CC_BASENAME$CC_VERSION- 
mt \
                   boost_unit_test_framework-mt-$CC_BASENAME \
                   boost_unit_test_framework-$CC_BASENAME-mt \
+                  boost_unit_test_framework-x$CC_BASENAME$CC_VERSION- 
mt \
                   boost_unit_test_framework-mt ; do
      LIBS="$ql_original_LIBS -l$boost_lib"
      # 1.33.1 or 1.34 static

[Quantlib-dev] boost 1.37 unit-test framework on osx

[Tamas S. <ta...@ao...>]

Dear QuantLib group,

I have a problem:
I've tried to compile svn version of QuantLib on osx with the "new'  
boost 1.37. The configure script shows it did not find the unit test  
libraries. The error caused by using wrong library names during  
linking from the script. It tries to link with  
libboost_unit_test_framework-gcc40 but on osx the proper name is:  
libboost_unit_test_framework-xgcc40-mt. For quick solution see below.  
(a script "boost-config" should be the real solution....at least on  
unix...)

Best,

Tamas

Solution:
  Add

boost_unit_test_framework-x$CC_BASENAME$CC_VERSION-mt
to
acinclude.m4

eg:

Index: acinclude.m4
===================================================================
--- acinclude.m4    (revision 15883)
+++ acinclude.m4    (working copy)
@@ -101,6 +101,7 @@
                    boost_unit_test_framework-$CC_BASENAME$CC_VERSION- 
mt \
                    boost_unit_test_framework-mt-$CC_BASENAME \
                    boost_unit_test_framework-$CC_BASENAME-mt \
+                  boost_unit_test_framework-x$CC_BASENAME$CC_VERSION- 
mt \
                    boost_unit_test_framework-mt ; do
       LIBS="$ql_original_LIBS -l$boost_lib"
       # 1.33.1 or 1.34 static

Re: [Quantlib-dev] Problem with method residualNorm() in the class NonLinearLeastSquare

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

Klaus,
	I guess you're the expert here. May you have a look at it?

Thanks,
	Luigi

On Thu, 2009-01-29 at 10:43 +0100, Silakhdar Krikeb wrote:
> Lately I did some optimization work and wrote code using class
> NonLinearLeastSquare. I discovered that the method residualNorm()
> does not return the proper expected result with the
> optimization method LevenbergMarquardt. After some investigation, I
> think I solved the problem by adding the following line:
>  
> P.setFunctionValue(P.costFunction().value(x_));  
>  
> to the metod LevenbergMarquardt::minimize(Problem&,const
> EndCriteria&) (levenbergmarquardt.cpp, Ln 95 just after
> P.setCurrentValue(x_))


-- 

I hate quotations. 
-- Ralph Waldo Emerson 

Re: [Quantlib-dev] Finite difference method for convertible bonds?

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

On Tue, 2009-01-20 at 12:47 -0800, vilhauer wrote:
>       I am interested to know if any work has been done to implement a
> finite-difference method approach to model convertible bonds.  I searched
> the archives and it looks like Joseph Wang might have been working on
> something in 2005?

No, at this time there's no finite-difference code for convertibles; the
only available engine uses binomial trees.  If you want to look at that,
the instrument is in <ql/instruments/bonds> and the engine in
<ql/pricingengines/hybrid>.

Luigi


-- 

The first rule of intelligent tinkering is to save all the parts. 
-- Paul Erlich 

[Quantlib-dev] [ quantlib-Patches-2433245 ] Add bond() method to FixedRateBondHelper SWIG bindings

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

Patches item #2433245, was opened at 2008-12-16 12:37
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2433245&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: Accepted
Priority: 5
Private: No
Submitted By: Joe Malicki (jmalicki)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Add bond() method to FixedRateBondHelper SWIG bindings

Initial Comment:
SWIG bindings for FixedRateBondHelper was missing bond() method.  This corrects and tests it.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-02-03 09:46

Message:
The patch was applied to the code repository.
It will be included in next release.
Thank you.


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

Comment By: Nobody/Anonymous (nobody)
Date: 2009-01-30 18:45

Message:
Copyright (C) 2009 Joseph Malicki

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-01-29 15:56

Message:
A question before I can apply the patch: who owns the copyright of the code
you contributed? Is it you, your employer, your own company...? Posting the
copyright attribution I should use, i.e., something like
    Copyright (C) 2009 Random J. Hacker
or
    Copyright (C) 2009 ACME inc.
would be best.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2433245&group_id=12740

[Quantlib-dev] [ quantlib-Patches-2433147 ] Complete Bond and FixedRateBond SWIG bindings

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

Patches item #2433147, was opened at 2008-12-16 11:52
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2433147&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: Accepted
Priority: 5
Private: No
Submitted By: Joe Malicki (jmalicki)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Complete Bond and FixedRateBond SWIG bindings

Initial Comment:
Bond and FixedRateBond were missing some SWIG bindings for methods.

This should complete them, and has tests.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-02-03 09:45

Message:
The patch was applied to the code repository.
It will be included in next release.
Thank you.


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

Comment By: Nobody/Anonymous (nobody)
Date: 2009-01-30 18:45

Message:
Copyright (C) 2009 Joseph Malicki

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-01-29 15:56

Message:
A question before I can apply the patch: who owns the copyright of the code
you contributed? Is it you, your employer, your own company...? Posting the
copyright attribution I should use, i.e., something like
    Copyright (C) 2009 Random J. Hacker
or
    Copyright (C) 2009 ACME inc.
would be best.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2433147&group_id=12740

[Quantlib-dev] [ quantlib-Patches-2433245 ] Add bond() method to FixedRateBondHelper SWIG bindings

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

Patches item #2433245, was opened at 2008-12-16 11:37
Message generated for change (Comment added) made by nobody
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2433245&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: Joe Malicki (jmalicki)
Assigned to: Nobody/Anonymous (nobody)
Summary: Add bond() method to FixedRateBondHelper SWIG bindings

Initial Comment:
SWIG bindings for FixedRateBondHelper was missing bond() method.  This corrects and tests it.

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

Comment By: Nobody/Anonymous (nobody)
Date: 2009-01-30 17:45

Message:
Copyright (C) 2009 Joseph Malicki

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-01-29 14:56

Message:
A question before I can apply the patch: who owns the copyright of the code
you contributed? Is it you, your employer, your own company...? Posting the
copyright attribution I should use, i.e., something like
    Copyright (C) 2009 Random J. Hacker
or
    Copyright (C) 2009 ACME inc.
would be best.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2433245&group_id=12740