quantlib-dev — Discussion of QuantLib development

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

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

Patches item #2433147, was opened at 2008-12-16 10:52
Message generated for change (Comment added) made by nobody
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Joe Malicki (jmalicki)
Assigned to: Nobody/Anonymous (nobody)
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: 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=2433147&group_id=12740

[Quantlib-dev] [ quantlib-Patches-2315587 ] Fast Fourier Transform changes.

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

Patches item #2315587, was opened at 2008-11-19 20:32
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2315587&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Slava Mazur (shlagbaum)
Assigned to: Luigi Ballabio (lballabio)
Summary: Fast Fourier Transform changes.

Initial Comment:
I propose the following changes to ql/math/fastfouriertransform.hpp and related files:

1. Enabled it (ifdef changed to ifndef)

2. Made number of frequencies a run time parameter, which 
is passed as a parameter of class ctor. Very often the frequency of FT is determined at run time, so it's better 
to have it this way.

3. Improved performance. Sines and cosines for a given frequency are calculated ones at object construction. This also allows for reuse the same object for different transformations.

4. Changed interface of fft method. Additional template parameter added to distinguish between the types of input and output sequences. End of output sequence added to allow for different input and output length.

5. Added check on consistency of size of the input sequence. Replaced [] by *-type dereference, which is more appropriate for iterators.

6. Added operator () to make the class a functor.

7. Minor changes to bit_reverse method.

8. Added a test to the test suite (separate patch).

The differences between proposed changes and the current trunk version are attached. 

Regards,

Slava Mazur

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2009-01-29 17:19

Message:
Slava, I guess we'll have to wait until your company settles on an option.
Sorry, but there's not much I can do...


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

Comment By: Nobody/Anonymous (nobody)
Date: 2009-01-29 16:11

Message:
Luigi, i also would prefer the second option, but i still don't have a
clear permission from my company to do that. The problem here is pretty
standard - i can put my name in the copyright because this violates company
policies and they relactant to put their because they probably afraid of
possible implications and because they will have to review the current
policies. So, if you think of option 1 is a viable one - go for it, i don't
care much about authorship of this stuff. Let me know if you can recommend
something better. I'll let you know if there are any changes on my side.
Sorry, if it looked like i was ignoring your messages. I just didn't have
anything certain and don't have it now.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-01-28 12:04

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.


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

Comment By: Luigi Ballabio (lballabio)
Date: 2008-12-15 09:38

Message:
yes, we do care. We're just slow.


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

Comment By: Slava Mazur (shlagbaum)
Date: 2008-12-12 16:29

Message:
Anybody cares about this?

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2315587&group_id=12740

[Quantlib-dev] [ quantlib-Patches-2315587 ] Fast Fourier Transform changes.

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

Patches item #2315587, was opened at 2008-11-19 19:32
Message generated for change (Comment added) made by nobody
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Slava Mazur (shlagbaum)
Assigned to: Luigi Ballabio (lballabio)
Summary: Fast Fourier Transform changes.

Initial Comment:
I propose the following changes to ql/math/fastfouriertransform.hpp and related files:

1. Enabled it (ifdef changed to ifndef)

2. Made number of frequencies a run time parameter, which 
is passed as a parameter of class ctor. Very often the frequency of FT is determined at run time, so it's better 
to have it this way.

3. Improved performance. Sines and cosines for a given frequency are calculated ones at object construction. This also allows for reuse the same object for different transformations.

4. Changed interface of fft method. Additional template parameter added to distinguish between the types of input and output sequences. End of output sequence added to allow for different input and output length.

5. Added check on consistency of size of the input sequence. Replaced [] by *-type dereference, which is more appropriate for iterators.

6. Added operator () to make the class a functor.

7. Minor changes to bit_reverse method.

8. Added a test to the test suite (separate patch).

The differences between proposed changes and the current trunk version are attached. 

Regards,

Slava Mazur

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

Comment By: Nobody/Anonymous (nobody)
Date: 2009-01-29 15:11

Message:
Luigi, i also would prefer the second option, but i still don't have a
clear permission from my company to do that. The problem here is pretty
standard - i can put my name in the copyright because this violates company
policies and they relactant to put their because they probably afraid of
possible implications and because they will have to review the current
policies. So, if you think of option 1 is a viable one - go for it, i don't
care much about authorship of this stuff. Let me know if you can recommend
something better. I'll let you know if there are any changes on my side.
Sorry, if it looked like i was ignoring your messages. I just didn't have
anything certain and don't have it now.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-01-28 11:04

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.


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

Comment By: Luigi Ballabio (lballabio)
Date: 2008-12-15 08:38

Message:
yes, we do care. We're just slow.


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

Comment By: Slava Mazur (shlagbaum)
Date: 2008-12-12 15:29

Message:
Anybody cares about this?

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2315587&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 12:37
Message generated for change (Comment added) made by lballabio
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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: 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: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Joe Malicki (jmalicki)
Assigned to: Nobody/Anonymous (nobody)
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: 2009-01-29 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] Problem with method residualNorm() in the class NonLinearLeastSquare

[Silakhdar K. <sil...@gm...>]

Hi!

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 also checked the simplex optimization method and I think it does not
suffer of this problem.

Is there anybody in this forum who can investigate the solution and do the
corrections if necessary.

My best regards
SK

Re: [Quantlib-dev] inline calls to volatility bridges?

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

Quoting Ferdinando Ametrano <qf...@am...>:

> On Wed, Jan 28, 2009 at 11:13 AM, Luigi Ballabio
> <lui...@gm...> wrote:
> > Nope, it's a virtual method. In most cases a compiler would not inline
> > it, even if it was defined as inline.
>
> Amen
>
> ciao -- Nando
>

Thank you both for the answers,
fair enough, it is a trade off; anyway this is not the method I will be calling
at every time step of a MC simulation.

I was curious though and I have checked the assembler code VC++ generates with
an inlined virtual member. On the default compilation it ignores me and does not
inline but it does with -Ob1 and -Ob2. Naively though the vt ptrs might
dissapear but of course they are there for their local stacks.

Regards
pepe

Re: [Quantlib-dev] quantlib-swig patches?

[Joe M. <jma...@gm...>]

On Wed, Jan 28, 2009 at 3:15 AM, Luigi Ballabio
<lui...@gm...> wrote:
> On Wed, 2009-01-28 at 00:32 -0500, Joe Malicki wrote:
>> About a month ago I uploaded several  patches to quantlib-swig to make
>> its coverage of QuantLib more complete (Tracker 2433245 and 2433147)
>> and had a few more speculative ones where the right solutions aren't
>> clear in the wings.
>>
>> Is there interest in making the SWIG bindings of QuantLib more
>> complete?  Or is this not the right way to contribute?
>
> It's the right way.  It's just that lately I haven't been able to find
> much time to apply the patches.  Sorry for the delay.
>
> Luigi

Thanks!

-joe

[Quantlib-dev] [ quantlib-Patches-2421551 ] Fix to simplex optimization method

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

Patches item #2421551, was opened at 2008-12-12 16:43
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2421551&group_id=12740

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including the initial issue submission, for this request,
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Category: None
Group: None
>Status: Closed
>Resolution: Accepted
Priority: 5
Private: No
Submitted By: Slava Mazur (shlagbaum)
Assigned to: Nobody/Anonymous (nobody)
Summary: Fix to simplex optimization method

Initial Comment:
Current implementation has a possibility to get to an endless loop if the current approximation reaches a constraint boundary or by erroneous client's settings. The proposed patch fixes this.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-01-28 14:22

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


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

Comment By: Slava Mazur (shlagbaum)
Date: 2009-01-08 21:42

Message:
Done.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-01-08 10:05

Message:
Could you please attach the patch as a context diff? (diff -C 3)
The lack of context is making it difficult for my patch program to apply
the final hunk in the correct place.

Thanks,
    Luigi


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

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Re: [Quantlib-dev] inline calls to volatility bridges?

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

On Wed, Jan 28, 2009 at 11:13 AM, Luigi Ballabio
<lui...@gm...> wrote:
> Nope, it's a virtual method. In most cases a compiler would not inline
> it, even if it was defined as inline.

Amen

ciao -- Nando

[Quantlib-dev] [ quantlib-Patches-2315587 ] Fast Fourier Transform changes.

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

Patches item #2315587, was opened at 2008-11-19 20:32
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2315587&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: Slava Mazur (shlagbaum)
Assigned to: Luigi Ballabio (lballabio)
Summary: Fast Fourier Transform changes.

Initial Comment:
I propose the following changes to ql/math/fastfouriertransform.hpp and related files:

1. Enabled it (ifdef changed to ifndef)

2. Made number of frequencies a run time parameter, which 
is passed as a parameter of class ctor. Very often the frequency of FT is determined at run time, so it's better 
to have it this way.

3. Improved performance. Sines and cosines for a given frequency are calculated ones at object construction. This also allows for reuse the same object for different transformations.

4. Changed interface of fft method. Additional template parameter added to distinguish between the types of input and output sequences. End of output sequence added to allow for different input and output length.

5. Added check on consistency of size of the input sequence. Replaced [] by *-type dereference, which is more appropriate for iterators.

6. Added operator () to make the class a functor.

7. Minor changes to bit_reverse method.

8. Added a test to the test suite (separate patch).

The differences between proposed changes and the current trunk version are attached. 

Regards,

Slava Mazur

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-01-28 12:04

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.


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

Comment By: Luigi Ballabio (lballabio)
Date: 2008-12-15 09:38

Message:
yes, we do care. We're just slow.


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

Comment By: Slava Mazur (shlagbaum)
Date: 2008-12-12 16:29

Message:
Anybody cares about this?

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2315587&group_id=12740

[Quantlib-dev] [ quantlib-Patches-2315605 ] Fast Fourier Transform test

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

Patches item #2315605, was opened at 2008-11-19 20:40
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2315605&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: Slava Mazur (shlagbaum)
Assigned to: Luigi Ballabio (lballabio)
Summary: Fast Fourier Transform test

Initial Comment:
Example of calculation of convolution of a discrete sequence via FFT is added to test_suite.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-01-28 12:04

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=2315605&group_id=12740

Re: [Quantlib-dev] inline calls to volatility bridges?

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

On Wed, 2009-01-28 at 10:40 +0100, Ferdinando Ametrano wrote:
> It's coded this way to reduce file dependencies: [...]
> 
> Besides I'm not an expert here, but chances are a good compiler could
> inline anyway...

Nope, it's a virtual method. In most cases a compiler would not inline
it, even if it was defined as inline.

Luigi


-- 

When I was a boy of fourteen, my father was so ignorant I could hardly 
stand to have the old man around. But when I got to be twenty-one, I 
was astonished at how much the old man had learned in seven years. 
-- Mark Twain 

Re: [Quantlib-dev] inline calls to volatility bridges?

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

Hi Jose

On Wed, Jan 28, 2009 at 8:12 AM, Jose Aparicio-Navarro <ja...@fr...> wrote:
> Hi all,
> Maybe I am missing something but should not these methods be inlined?
> In file: swaptionconstantvol.cpp
>
>    Volatility ConstantSwaptionVolatility::volatilityImpl(const Date&,
>                                                          const Period&,
>                                                          Rate) const {
>        return volatility_->value();
>    }

volatility_ is a Quote, and in swaptionconstantvol.hpp there is only a
forward declaration of the Quote class, while the relevanty header is
only included in the cpp file. So the quote interface cannot be
accessed in the hpp file.

It's coded this way to reduce file dependencies: any change to Quote
would require swaptionconstantvol.cpp to be recompiled, but would not
trigger the recompilation of all files including
swaptionconstantvol.hpp. While it might seem a minor benefit this
approach leads to huge benefits in very large projects where changing
a base class could trigger a very time-consuming rebuild-all

Besides I'm not an expert here, but chances are a good compiler could
inline anyway...

ciao -- Nando

Re: [Quantlib-dev] quantlib-swig patches?

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

On Wed, 2009-01-28 at 00:32 -0500, Joe Malicki wrote:
> About a month ago I uploaded several  patches to quantlib-swig to make
> its coverage of QuantLib more complete (Tracker 2433245 and 2433147)
> and had a few more speculative ones where the right solutions aren't
> clear in the wings.
> 
> Is there interest in making the SWIG bindings of QuantLib more
> complete?  Or is this not the right way to contribute?

It's the right way.  It's just that lately I haven't been able to find
much time to apply the patches.  Sorry for the delay.

Luigi


-- 

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

[Quantlib-dev] inline calls to volatility bridges?

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

Hi all,
Maybe I am missing something but should not these methods be inlined?
In file: swaptionconstantvol.cpp

    Volatility ConstantSwaptionVolatility::volatilityImpl(const Date&,
                                                          const Period&,
                                                          Rate) const {
        return volatility_->value();
    }

    Volatility ConstantSwaptionVolatility::volatilityImpl(Time,
                                                          Time,
                                                          Rate) const {
        return volatility_->value();
    }

the same goes for the equivalent methods in spreadedswaptionvol.cpp

Regards
pp

[Quantlib-dev] quantlib-swig patches?

[Joe M. <jma...@gm...>]

About a month ago I uploaded several  patches to quantlib-swig to make
its coverage of QuantLib more complete (Tracker 2433245 and 2433147)
and had a few more speculative ones where the right solutions aren't
clear in the wings.

Is there interest in making the SWIG bindings of QuantLib more
complete?  Or is this not the right way to contribute?

Just curious for feedback, as I think this project is great and I'd
like to give back a lot more - both to the SWIG port, because I tend
to prefer to make the "higher level" program in Python for
prototyping, experimentation, and
integration with data sources etc., and the C++ with more models - but
am wondering how to contribute?

Thanks!
Joe Malicki

Re: [Quantlib-dev] Eonia Swap

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

On Jan 26, 2009, at 4:25 PM, Roland Lichters wrote:
> it seems to me that there is no overnight index swap with daily  
> compounding feature in QuantLib so far. Am I right or just blind :-)?

You might be blind anyway, but you're right. :)

> In the former case I'd like to contribute index, coupon, instrument,  
> helper.

Ok, thanks a lot.

Luigi

[Quantlib-dev] Eonia Swap

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

Hi Luigi, all,
it seems to me that there is no overnight index swap with daily compounding
feature in QuantLib so far. Am I right or just blind :-)? In the former case
I'd like to contribute index, coupon, instrument, helper.

Best,
Roland

[Quantlib-dev] [ quantlib-Bugs-2510431 ] QuantLib::CoxIngersollRoss cannot be instantiated

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

Bugs item #2510431, was opened at 2009-01-15 17:47
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2510431&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
>Status: Closed
>Resolution: Fixed
Priority: 5
Private: No
Submitted By: marcmus (marcmus)
Assigned to: Nobody/Anonymous (nobody)
Summary: QuantLib::CoxIngersollRoss cannot be instantiated

Initial Comment:
An exception was thrown when trying to create the CoxIngersollRoss model.

The debugger stops in CoxingersollRoss::test method.It seems that the exception looks like an IndexOutOfBoundsException (Java).


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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-01-26 15:49

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


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

Comment By: Nobody/Anonymous (nobody)
Date: 2009-01-23 18:37

Message:
The function CoxIngersollRoss::VolatilityConstraint::test(const Array&
params) in file coxingersollross.cpp is wrongly implemented
(constantparameter has only one parameter).

Anyway I think the class VolatilityConstraint is not necessary. I rather
suggest replacing in the constructor
    CoxIngersollRoss::CoxIngersollRoss(Rate r0, Real theta,
                                       Real k, Real sigma)
the line
        sigma_ = ConstantParameter(sigma, VolatilityConstraint());
with 
        sigma_ = ConstantParameter(sigma, BoundaryConstraint(0.0,2.0 * k_
* theta_));

PS: I have just got quantlib so I don't know if I should modify it.

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

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[Quantlib-dev] [ quantlib-Bugs-2534054 ] Line 409: svd.cpp

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

Bugs item #2534054, was opened at 2009-01-25 00:57
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2534054&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: Line 409: svd.cpp

Initial Comment:
The comparison (I think) is against p-1, not p.

ks starts at p-1 and goes backwards so it can NEVER be equal to p anyway.

- Damian

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2009-01-26 10:40

Message:
Do you mean line 309?

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[Quantlib-dev] [ quantlib-Bugs-2534054 ] Line 409: svd.cpp

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

Bugs item #2534054, was opened at 2009-01-24 23:57
Message generated for change (Tracker Item Submitted) made by Item Submitter
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: Line 409: svd.cpp

Initial Comment:
The comparison (I think) is against p-1, not p.

ks starts at p-1 and goes backwards so it can NEVER be equal to p anyway.

- Damian

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[Quantlib-dev] [ quantlib-Bugs-2510431 ] QuantLib::CoxIngersollRoss cannot be instantiated

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

Bugs item #2510431, was opened at 2009-01-15 16:47
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: marcmus (marcmus)
Assigned to: Nobody/Anonymous (nobody)
Summary: QuantLib::CoxIngersollRoss cannot be instantiated

Initial Comment:
An exception was thrown when trying to create the CoxIngersollRoss model.

The debugger stops in CoxingersollRoss::test method.It seems that the exception looks like an IndexOutOfBoundsException (Java).


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Comment By: Nobody/Anonymous (nobody)
Date: 2009-01-23 17:37

Message:
The function CoxIngersollRoss::VolatilityConstraint::test(const Array&
params) in file coxingersollross.cpp is wrongly implemented
(constantparameter has only one parameter).

Anyway I think the class VolatilityConstraint is not necessary. I rather
suggest replacing in the constructor
    CoxIngersollRoss::CoxIngersollRoss(Rate r0, Real theta,
                                       Real k, Real sigma)
the line
        sigma_ = ConstantParameter(sigma, VolatilityConstraint());
with 
        sigma_ = ConstantParameter(sigma, BoundaryConstraint(0.0,2.0 * k_
* theta_));

PS: I have just got quantlib so I don't know if I should modify it.

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

[vilhauer <tho...@gm...>]

Hi - 

      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?  In any case, I would appreciate any help for pointing me
in the right direction for sample code for an FD approach for convertibles,
or contacts for someone who could do the same.  

Thanks very much in advance for any help.
-- 
View this message in context: http://www.nabble.com/Finite-difference-method-for-convertible-bonds--tp21555231p21555231.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

Re: [Quantlib-dev] SVN somehow breaks on ql/math/randomnumbers/ranluxuniformrng.hpp

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

On Sun, 2009-01-11 at 01:47 -0500, Martin Andrews wrote:
> I've just compiled (sucessfully) the latest SVN Quantlib.  Now I'm
> building the Quantlib-SWIG interface for Perl.  I've run into an error
> w.r.t the recently contributed
> 'ql/math/randomnumbers/ranluxuniformrng.hpp'.
> 
> Here's the start of the error report:
> 
> [...] /usr/include/boost/random/linear_congruential.hpp:68:61: error: macro
> "seed" passed 2 arguments, but takes just 0

Hmm. Do the Perl headers, by any chance, define a macro called "seed"?
What happens if you edit ql.i and add "undef seed" inside the "#ifdef
SWIGPERL" section at the beginning?


> PS:  I've got a penny-perfect Perl version of the example
> 'swapvaluation.cpp' ready for submission, if anyone's interested.

I am--send it to me and I'll include it in next release.  (I'm also
happy to see that the Perl module works for someone; it segfaults on my
machine. I might come back to you and ask for details...)

Luigi


-- 

If you can't convince them, confuse them. 
-- Harry S. Truman