Menu
▾
▴
quantlib-dev — Discussion of QuantLib development
You can subscribe to this list here.
| 2000 |
Jan
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
(17) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 |
Jan
|
Feb
|
Mar
|
Apr
|
May
|
Jun
|
Jul
|
Aug
|
Sep
|
Oct
|
Nov
|
Dec
(23) |
| 2002 |
Jan
(18) |
Feb
(20) |
Mar
(22) |
Apr
(41) |
May
(28) |
Jun
(25) |
Jul
(10) |
Aug
(7) |
Sep
(5) |
Oct
(20) |
Nov
(13) |
Dec
(11) |
| 2003 |
Jan
(28) |
Feb
(5) |
Mar
(6) |
Apr
(5) |
May
(17) |
Jun
(6) |
Jul
(45) |
Aug
(35) |
Sep
(24) |
Oct
(50) |
Nov
(53) |
Dec
(6) |
| 2004 |
Jan
(4) |
Feb
(10) |
Mar
(52) |
Apr
(46) |
May
(8) |
Jun
(25) |
Jul
(12) |
Aug
(6) |
Sep
(8) |
Oct
(8) |
Nov
(9) |
Dec
(7) |
| 2005 |
Jan
(18) |
Feb
(60) |
Mar
(19) |
Apr
(26) |
May
(14) |
Jun
(27) |
Jul
(8) |
Aug
(15) |
Sep
(19) |
Oct
(53) |
Nov
(20) |
Dec
(23) |
| 2006 |
Jan
(16) |
Feb
(27) |
Mar
(33) |
Apr
(51) |
May
(36) |
Jun
(25) |
Jul
(54) |
Aug
(30) |
Sep
(25) |
Oct
(67) |
Nov
(43) |
Dec
(13) |
| 2007 |
Jan
(23) |
Feb
(27) |
Mar
(55) |
Apr
(79) |
May
(60) |
Jun
(66) |
Jul
(46) |
Aug
(30) |
Sep
(90) |
Oct
(49) |
Nov
(85) |
Dec
(74) |
| 2008 |
Jan
(68) |
Feb
(59) |
Mar
(64) |
Apr
(28) |
May
(66) |
Jun
(35) |
Jul
(73) |
Aug
(76) |
Sep
(65) |
Oct
(46) |
Nov
(41) |
Dec
(19) |
| 2009 |
Jan
(46) |
Feb
(90) |
Mar
(51) |
Apr
(104) |
May
(13) |
Jun
(24) |
Jul
(20) |
Aug
(39) |
Sep
(109) |
Oct
(101) |
Nov
(117) |
Dec
(57) |
| 2010 |
Jan
(55) |
Feb
(42) |
Mar
(39) |
Apr
(22) |
May
(33) |
Jun
(41) |
Jul
(25) |
Aug
(52) |
Sep
(75) |
Oct
(60) |
Nov
(62) |
Dec
(52) |
| 2011 |
Jan
(70) |
Feb
(31) |
Mar
(26) |
Apr
(28) |
May
(17) |
Jun
(38) |
Jul
(51) |
Aug
(35) |
Sep
(27) |
Oct
(35) |
Nov
(10) |
Dec
(20) |
| 2012 |
Jan
(21) |
Feb
(29) |
Mar
(13) |
Apr
(37) |
May
(33) |
Jun
(12) |
Jul
(34) |
Aug
(27) |
Sep
(29) |
Oct
(35) |
Nov
(58) |
Dec
(27) |
| 2013 |
Jan
(27) |
Feb
(16) |
Mar
(40) |
Apr
(16) |
May
(34) |
Jun
(37) |
Jul
(6) |
Aug
(3) |
Sep
(4) |
Oct
(49) |
Nov
(13) |
Dec
(12) |
| 2014 |
Jan
(15) |
Feb
(21) |
Mar
(11) |
Apr
(13) |
May
(27) |
Jun
(60) |
Jul
(19) |
Aug
(29) |
Sep
(20) |
Oct
(28) |
Nov
(41) |
Dec
(15) |
| 2015 |
Jan
(33) |
Feb
(29) |
Mar
(26) |
Apr
(17) |
May
(2) |
Jun
(13) |
Jul
(21) |
Aug
(30) |
Sep
(22) |
Oct
(15) |
Nov
(46) |
Dec
(20) |
| 2016 |
Jan
(6) |
Feb
(5) |
Mar
(9) |
Apr
(15) |
May
(9) |
Jun
(4) |
Jul
(3) |
Aug
(4) |
Sep
(39) |
Oct
(8) |
Nov
(5) |
Dec
(8) |
| 2017 |
Jan
(4) |
Feb
(14) |
Mar
(4) |
Apr
(16) |
May
(5) |
Jun
(10) |
Jul
(25) |
Aug
(2) |
Sep
(5) |
Oct
(11) |
Nov
(8) |
Dec
(11) |
| 2018 |
Jan
(7) |
Feb
(4) |
Mar
|
Apr
(1) |
May
(4) |
Jun
(21) |
Jul
(8) |
Aug
(3) |
Sep
(2) |
Oct
(2) |
Nov
(1) |
Dec
|
| 2019 |
Jan
(1) |
Feb
(5) |
Mar
(18) |
Apr
(9) |
May
(5) |
Jun
(21) |
Jul
(25) |
Aug
(25) |
Sep
(4) |
Oct
(2) |
Nov
(2) |
Dec
(5) |
| 2020 |
Jan
|
Feb
|
Mar
(3) |
Apr
|
May
(2) |
Jun
(2) |
Jul
(1) |
Aug
|
Sep
(1) |
Oct
(2) |
Nov
(6) |
Dec
|
| 2021 |
Jan
(1) |
Feb
|
Mar
(2) |
Apr
(1) |
May
(4) |
Jun
|
Jul
(1) |
Aug
|
Sep
(2) |
Oct
(9) |
Nov
(1) |
Dec
(5) |
| 2022 |
Jan
(7) |
Feb
(3) |
Mar
|
Apr
(2) |
May
(5) |
Jun
(3) |
Jul
(3) |
Aug
(3) |
Sep
(3) |
Oct
(14) |
Nov
|
Dec
(1) |
| 2023 |
Jan
(10) |
Feb
|
Mar
|
Apr
(2) |
May
|
Jun
(2) |
Jul
(2) |
Aug
(1) |
Sep
|
Oct
(5) |
Nov
|
Dec
|
| 2024 |
Jan
(8) |
Feb
|
Mar
(2) |
Apr
(1) |
May
|
Jun
|
Jul
(4) |
Aug
(5) |
Sep
|
Oct
(4) |
Nov
(1) |
Dec
(1) |
| 2025 |
Jan
(3) |
Feb
(2) |
Mar
(2) |
Apr
(1) |
May
(2) |
Jun
|
Jul
(1) |
Aug
|
Sep
|
Oct
(1) |
Nov
|
Dec
|
| 2026 |
Jan
(1) |
Feb
(12) |
Mar
|
Apr
(2) |
May
(8) |
Jun
|
Jul
(1) |
Aug
|
Sep
|
Oct
|
Nov
|
Dec
|
|
From: SourceForge.net <no...@so...> - 2009-01-15 16:47:28
|
Bugs item #2510431, was opened at 2009-01-15 17:47 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=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: 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). ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2510431&group_id=12740 |
|
From: hari001 <st....@gm...> - 2009-01-13 14:59:03
|
Hi, As newly registered user i only wanted to say hi to everyone else who uses this forum. I would like to know more about it. Thanks Regards Jimmy http://equity.talkingfinancing.com Equity Loans -- View this message in context: http://www.nabble.com/multithreading-Quantlib--tp21311512p21437202.html Sent from the quantlib-dev mailing list archive at Nabble.com. |
|
From: Ilya M. <il...@ci...> - 2009-01-13 13:14:59
|
Hi Luigi, Regarding the expertise: Cilk++ is pretty easy to learn. We've had high school students learn it in a couple days. We'd be glad to put together a web-based live class for the Quantlib developers if that's of interest. And, if/when you start applying Cilk++ to the library, we can help along the way a bit as well. Regarding the licensing: The essence of the CAPL license is that for open source projects that are willing to share their code, it's free and open. If the end user is not willing to share the resulting code, then they can buy a commercial license. Cheers, ilya -----Original Message----- From: Luigi Ballabio [mailto:lui...@gm...] Sent: Tuesday, January 13, 2009 4:17 AM To: Ilya Mirman Cc: qua...@li... Subject: Re: [Quantlib-dev] multithreading Quantlib? On Mon, 2009-01-05 at 19:40 -0500, Ilya Mirman wrote: > I am wondering - is there demand for / interest in multithreading > Quantlib? Hi Ilya, there is interest, but not the necessary expertise among the main developers. It would be good to have the option, though, in case any developer with the skills were to come onboard. > We at Cilk Arts just released Cilk++ (3 keywords and a runtime system > that extends compute-intensive C++ apps into the multicore realm), and > there's an edition available for open source projects. It does sounds interesting, but on your site (<http://www.cilk.com/home/get-cilk>) I read that "If you are building open source software and sharing your derivative works with the community, the CAPL operates like the GPL." We'd have a problem with that, as the QuantLib license is a modified BSD license and it's not compatible with the GPL. Did you happen to have this problem with other projects? Did you solve it, and if so, how? Thanks, Luigi -- Anyone who says he can see through women is missing a lot. -- Groucho Marx |
|
From: Luigi B. <lui...@gm...> - 2009-01-13 09:18:01
|
On Mon, 2009-01-05 at 19:40 -0500, Ilya Mirman wrote: > I am wondering - is there demand for / interest in multithreading > Quantlib? Hi Ilya, there is interest, but not the necessary expertise among the main developers. It would be good to have the option, though, in case any developer with the skills were to come onboard. > We at Cilk Arts just released Cilk++ (3 keywords and a runtime system > that extends compute-intensive C++ apps into the multicore realm), and > there's an edition available for open source projects. It does sounds interesting, but on your site (<http://www.cilk.com/home/get-cilk>) I read that "If you are building open source software and sharing your derivative works with the community, the CAPL operates like the GPL." We'd have a problem with that, as the QuantLib license is a modified BSD license and it's not compatible with the GPL. Did you happen to have this problem with other projects? Did you solve it, and if so, how? Thanks, Luigi -- Anyone who says he can see through women is missing a lot. -- Groucho Marx |
|
From: Luigi B. <lui...@gm...> - 2009-01-12 16:43:20
|
On Mon, 2008-12-08 at 01:54 -0800, Andrew Kolesnikov wrote: > In the Known Bugs list you could find bugs related to different FD Engines, > which essentially are the child classes of the FDDividendEngine. [...] The > main error hides in the call of > > initializeInitialCondition(); > > function, cause it contains initial grid initialization, which is absolutly > unnecessary during intermidiate step. Done, thanks. > Also with one useful addition in exercise.cpp file: > > AmericanExercise::AmericanExercise(const Date& latestDate, > bool payoffAtExpiry) > > Such constructor is already documented, but isn't realised. Ouch. Fixed this too. Thanks, Luigi -- The rule on staying alive as a forecaster is to give 'em a number or give 'em a date, but never give 'em both at once. -- Jane Bryant Quinn |
|
From: SourceForge.net <no...@so...> - 2009-01-12 16:26:28
|
Bugs item #2500659, was opened at 2009-01-12 07:17 Message generated for change (Comment added) made by lballabio You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2500659&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: Deleted >Resolution: Rejected Priority: 5 Private: No Submitted By: Nobody/Anonymous (nobody) Assigned to: Nobody/Anonymous (nobody) Summary: Need help for compiling Initial Comment: I am using vc++ 2008, now I am able to compile the code but my problem is that I am not getting how to call the constructor of the class "CTSMMCapletCalibration" as I am trying to call it and give necessary inputs so that I can check the output, I am getting an initialization error. can anyone help me out in the regard. Thanks in advance. please mail me the the solution to my id: csb...@gm... , I will be grateful ---------------------------------------------------------------------- >Comment By: Luigi Ballabio (lballabio) Date: 2009-01-12 17:26 Message: Please post requests for help on the mailing list. This tracker is for bug reports. Thanks, Luigi ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2500659&group_id=12740 |
|
From: SourceForge.net <no...@so...> - 2009-01-12 06:17:16
|
Bugs item #2500659, was opened at 2009-01-12 06:17 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=2500659&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: Need help for compiling Initial Comment: I am using vc++ 2008, now I am able to compile the code but my problem is that I am not getting how to call the constructor of the class "CTSMMCapletCalibration" as I am trying to call it and give necessary inputs so that I can check the output, I am getting an initialization error. can anyone help me out in the regard. Thanks in advance. please mail me the the solution to my id: csb...@gm... , I will be grateful ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2500659&group_id=12740 |
|
From: Martin A. <Qua...@pl...> - 2009-01-11 06:47:36
|
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'. Commenting its #include
out of 'ql/math/randomnumbers/all.hpp' lets this compile cleanly.
For my purposes (at the moment, pretty simple calculations) this is an
acceptable work-around, but something can't be right...
Here's the start of the error report:
[andrewsm@square Perl]$ make
make all-am
make[1]: Entering directory
`/home/andrewsm/linux/programming/oss/quantlib/trunk/QuantLib-SWIG/Perl'
make -f Makefile.quantlib
make[2]: Entering directory
`/home/andrewsm/linux/programming/oss/quantlib/trunk/QuantLib-SWIG/Perl'
gcc -std=gnu99 -c -I/home/andrewsm/.quantlib-local/include
-D_REENTRANT -D_GNU_SOURCE -DDEBUGGING -fno-strict-aliasing -pipe
-I/usr/local/include -D_LARGEFILE_SOURCE -D_FILE_OFFSET_BITS=64
-I/usr/include/gdbm -g -O2 -fno-strict-aliasing -Wno-unused
-Wno-uninitialized -Wno-sign-compare -Wno-write-strings
-DVERSION=\"0.9.8\" -DXS_VERSION=\"0.9.8\" -fPIC
"-I/usr/lib64/perl5/5.10.0/x86_64-linux-thread-multi/CORE"
quantlib_wrap.cpp
cc1plus: warning: command line option "-std=gnu99" is valid for C/ObjC
but not for C++
In file included from /usr/include/boost/random/subtract_with_carry.hpp:29,
from /usr/include/boost/random/ranlux.hpp:20,
from
/home/andrewsm/.quantlib-local/include/ql/math/randomnumbers/ranluxuniformrng.hpp:28,
from
/home/andrewsm/.quantlib-local/include/ql/math/randomnumbers/all.hpp:18,
from /home/andrewsm/.quantlib-local/include/ql/math/all.hpp:33,
from /home/andrewsm/.quantlib-local/include/ql/quantlib.hpp:46,
from quantlib_wrap.cpp:2051:
/usr/include/boost/random/linear_congruential.hpp:68:61: error: macro
"seed" passed 2 arguments, but takes just 0
/usr/include/boost/random/linear_congruential.hpp:71:27: error: macro
"seed" passed 1 arguments, but takes just 0
/usr/include/boost/random/linear_congruential.hpp:78:31: error: macro
"seed" passed 2 arguments, but takes just 0
/usr/include/boost/random/linear_congruential.hpp:214:27: error: macro
"seed" passed 1 arguments, but takes just 0
/usr/include/boost/random/linear_congruential.hpp:214:47: error: macro
"seed" passed 1 arguments, but takes just 0
/usr/include/boost/random/linear_congruential.hpp:215:24: error: macro
"seed" passed 1 arguments, but takes just 0
/usr/include/boost/random/linear_congruential.hpp:215:39: error: macro
"seed" passed 1 arguments, but takes just 0
/usr/include/boost/random/linear_congruential.hpp:216:50: error: macro
"seed" passed 2 arguments, but takes just 0
/usr/include/boost/random/linear_congruential.hpp:216:73: error: macro
"seed" passed 2 arguments, but takes just 0
In file included from /usr/include/boost/random/ranlux.hpp:20,
from
/home/andrewsm/.quantlib-local/include/ql/math/randomnumbers/ranluxuniformrng.hpp:28,
from
/home/andrewsm/.quantlib-local/include/ql/math/randomnumbers/all.hpp:18,
from /home/andrewsm/.quantlib-local/include/ql/math/all.hpp:33,
from /home/andrewsm/.quantlib-local/include/ql/quantlib.hpp:46,
from quantlib_wrap.cpp:2051:
/usr/include/boost/random/subtract_with_carry.hpp:88:60: error: macro
"seed" passed 1 arguments, but takes just 0
/usr/include/boost/random/subtract_with_carry.hpp:90:59: error: macro
"seed" passed 1 arguments, but takes just 0
/usr/include/boost/random/subtract_with_carry.hpp:91:79: error: macro
"seed" passed 2 arguments, but takes just 0
/usr/include/boost/random/subtract_with_carry.hpp:95:39: error: macro
"seed" passed 1 arguments, but takes just 0
/usr/include/boost/random/subtract_with_carry.hpp:98:16: error: macro
"seed" passed 1 arguments, but takes just 0
/usr/include/boost/random/subtract_with_carry.hpp:105:28: error: macro
"seed" passed 1 arguments, but takes just 0
Hope this helps someone
Martin
:-)
PS: I've got a penny-perfect Perl version of the example
'swapvaluation.cpp' ready for submission, if anyone's interested.
|
|
From: Ken-JP <kf...@gm...> - 2009-01-11 03:06:14
|
One Error in Windows XP, release build...
------ Build started: Project: testsuite, Configuration: Release (static
runtime) Win32 ------
Linking...
Creating manifest...
Auto run test
====================================
Testing QuantLib-vc80-mt-s-0_9_7.lib
====================================
Running 390 test cases...
Platform: Win32
Compiler: Microsoft Visual C++ version 8.0
STL : Dinkumware standard library version 405
Boost : 1.35.0
...
Testing swaption volatility matrix...
./swaptionvolatilitymatrix.cpp(214): fatal error in
"QuantLib::detail::quantlib_test_case(&SwaptionVolatilityMatrixTest::testSwaptionVolMatrixCoherence)":
optionDateFromTenor mismatch for floating reference date, floating market
data:
option tenor: 1M
actual option date: February 11th, 2009
exp. option date: February 12th, 2009
--
View this message in context: http://www.nabble.com/Test-Case-Failure%3A-SwaptionVolatilityMatrixTest-tp21395257p21395257.html
Sent from the quantlib-dev mailing list archive at Nabble.com.
|
|
From: SourceForge.net <no...@so...> - 2009-01-08 20:42:07
|
Patches item #2421551, was opened at 2008-12-12 10:43 Message generated for change (Comment added) made by shlagbaum You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2421551&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: 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: Slava Mazur (shlagbaum) Date: 2009-01-08 15:42 Message: Done. ---------------------------------------------------------------------- Comment By: Luigi Ballabio (lballabio) Date: 2009-01-08 04:05 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 ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2421551&group_id=12740 |
|
From: SourceForge.net <no...@so...> - 2009-01-08 09:06:08
|
Patches item #2315605, was opened at 2008-11-19 20:40 Message generated for change (Settings changed) 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. ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2315605&group_id=12740 |
|
From: SourceForge.net <no...@so...> - 2009-01-08 09:06:06
|
Patches item #2315587, was opened at 2008-11-19 20:32 Message generated for change (Settings changed) 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: 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 |
|
From: SourceForge.net <no...@so...> - 2009-01-08 09:05:30
|
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 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: 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: 2009-01-08 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 ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2421551&group_id=12740 |
|
From: Luigi B. <lui...@gm...> - 2009-01-07 11:21:33
|
On Sat, 2009-01-03 at 01:24 -0800, thusi wrote: > Could some one please tell me the purpose of the ------for loop ------------ > in the code below. > > The code is in the test-suite of quantlib. The cpp file is > pathgenerator.cpp. > > ------------------------------------------ > for (i=0; i<100; i++) > generator.next(); > > sample_type sample = generator.next(); > Real calculated = sample.value.back(); > Real error = std::fabs(calculated-expected); > > -------------------------------------------- > What I don't understand is why does it generate hundred samples, and then do > the calculation of the variable ---Calculated---. Does it do some kind of > averaging of all these paths? No average---it just checks the value of the 101th sample against its expected value. As a test, it's as good as any... Luigi -- Debugging is twice as hard as writing the code in the first place. Therefore, if you write the code as cleverly as possible, you are, by definition, not smart enough to debug it. -- Brian W. Kernighan |
|
From: Luigi B. <lui...@gm...> - 2009-01-07 10:22:03
|
On Tue, 2009-01-06 at 10:32 -0800, Nathan Abbott wrote: > There is a bug in couponpricer.cpp. You're right. I applied your fix in the Subversion repository. Thanks, Luigi -- Do the right thing. It will gratify some people and astonish the rest. -- Mark Twain |
|
From: Nathan A. <nka...@gm...> - 2009-01-06 18:32:16
|
There is a bug in couponpricer.cpp. I found the bug when I tried to evaluate
a cap floor with a coupon that has a payment date on Jan 05, 2009. The
evaluation date was set to Jan 02, 2009. The reference date of the curve was
set to Jan 06, 2009. The method that has the error is shown below starting
at line 38.
void BlackIborCouponPricer::initialize(const FloatingRateCoupon& coupon) {
coupon_ = dynamic_cast<const IborCoupon*>(&coupon);
gearing_ = coupon_->gearing();
spread_ = coupon_->spread();
Date paymentDate = coupon_->date();
const boost::shared_ptr<InterestRateIndex>& index =
coupon_->index();
Handle<YieldTermStructure> rateCurve = index->termStructure();
Date today = Settings::instance().evaluationDate();
if (paymentDate > today) // Error!!! should ask for the reference
date !!!!
discount_ = rateCurve->discount(paymentDate);
else
discount_ = 1.0;
spreadLegValue_ = spread_ * coupon_->accrualPeriod()* discount_;
}
The error occurred in because the payment date of the coupon was between the
evaluation date and the reference date of the curve. The method checks to
see if the payment date is greater than the evaluation date. If it is, then
it tries to get the discount factor of the date from the curve. If the you
ask a curve for the discount factor of a date before its reference date, the
curve will throw you an error. This is what happen to me because Jan 05 our
payment date was greater than Jan 02 our evaluation date and Jan 05 was less
than our reference date of Jan 06.
To fix it, I suggest the following changes to the code that is shown below.
Now the method checks to see if payment date is greater or equal to the
reference date of the curve.
void BlackIborCouponPricer::initialize(const FloatingRateCoupon& coupon) {
coupon_ = dynamic_cast<const IborCoupon*>(&coupon);
gearing_ = coupon_->gearing();
spread_ = coupon_->spread();
Date paymentDate = coupon_->date();
const boost::shared_ptr<InterestRateIndex>& index =
coupon_->index();
Handle<YieldTermStructure> rateCurve = index->termStructure();
Date referenceDate = rateCurve->referenceDate();
if (paymentDate >= referenceDate)
discount_ = rateCurve->discount(paymentDate);
else
discount_ = 1.0;
spreadLegValue_ = spread_ * coupon_->accrualPeriod()* discount_;
}
|
|
From: Ilya M. <il...@ci...> - 2009-01-06 00:54:01
|
Hello, I am wondering - is there demand for / interest in multithreading Quantlib? We at Cilk Arts just released Cilk++ (3 keywords and a runtime system that extends compute-intensive C++ apps into the multicore realm), and there's an edition available for open source projects. http://www.cilk.com/multicore-blog/bid/7775/Cilk-for-Linux-a-great-stocking- stuffer Thank you, ilya Ilya Mirman Cilk Arts, Inc. 55 Cambridge Street | Burlington | MA | 01803 | USA Tel: 781-725-2455 x709 | Mobile: 978-460-1002 | Fax: 781-253-0280 | <http://www.cilk.com> www.cilk.com Cilk++ for Linux is NOW AVAILABLE |
|
From: thusi <ts...@ho...> - 2009-01-03 09:24:38
|
Hi
Could some one please tell me the purpose of the ------for loop ------------
in the code below.
The code is in the test-suite of quantlib. The cpp file is
pathgenerator.cpp.
------------------------------------------
for (i=0; i<100; i++)
generator.next();
sample_type sample = generator.next();
Real calculated = sample.value.back();
Real error = std::fabs(calculated-expected);
--------------------------------------------
What I don't understand is why does it generate hundred samples, and then do
the calculation of the variable ---Calculated---. Does it do some kind of
averaging of all these paths?
Thanks a lot.
Thusi
--
View this message in context: http://www.nabble.com/PathGenerator%3A-Question-relating-to-PathGenerator-Test-Case-tp21263290p21263290.html
Sent from the quantlib-dev mailing list archive at Nabble.com.
|
|
From: Gottfried Z. <got...@wi...> - 2008-12-31 10:51:50
|
BODY { font-family:Arial, Helvetica, sans-serif;font-size:12px;
}Hello to everyone,
Hope someone can advise if anywhere is using QuantLib in combination
with Neural Networks software like fann or SNNS (
http://en.wikipedia.org/wiki/SNNS [1] )
Thanks in advance for any feedback
Best regards
Gottfried Zojer
http://www.wirtschaftswunder.co.uk/
Links:
------
[1] http://en.wikipedia.org/wiki/SNNS
|
|
From: SourceForge.net <no...@so...> - 2008-12-30 21:58:25
|
Bugs item #2477785, was opened at 2008-12-30 21:58 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=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... ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2477785&group_id=12740 |
|
From: Luigi B. <lui...@gm...> - 2008-12-19 11:18:44
|
On Fri, 2008-12-19 at 12:01 +0100, Dima wrote: > Thanks. Didn't manage to upload with the patch manager, there > was a message saying no group id. Uploaded a zipped project: > > longvega.com/CompoundOption.zip Ok, thanks. Luigi -- The First Rule of Optimization: Don't do it. The Second Rule of Optimization (For experts only): Don't do it yet. -- Michael Jackson |
|
From: Dima <dim...@go...> - 2008-12-19 11:01:42
|
Thanks. Didn't manage to upload with the patch manager, there was a message saying no group id. Uploaded a zipped project: longvega.com/CompoundOption.zip 2008/12/18 Luigi Ballabio <lui...@gm...> > On Wed, 2008-12-17 at 18:02 +0100, Dima wrote: > > Good! Meanwhile I've finished this and am writing the > > testclass. I have the current trunk version. How do I submit > > the code then? I'm using SVN and can obviously not > > check things in. > > You can use the patch manager on Sourceforge, or post the code here. > > Luigi > > > -- > > Innovation is hard to schedule. > -- Dan Fylstra > > > |
|
From: Luigi B. <lui...@gm...> - 2008-12-18 08:29:55
|
On Wed, 2008-12-17 at 18:02 +0100, Dima wrote: > Good! Meanwhile I've finished this and am writing the > testclass. I have the current trunk version. How do I submit > the code then? I'm using SVN and can obviously not > check things in. You can use the patch manager on Sourceforge, or post the code here. Luigi -- Innovation is hard to schedule. -- Dan Fylstra |
|
From: Dima <dim...@go...> - 2008-12-17 17:02:23
|
Good! Meanwhile I've finished this and am writing the testclass. I have the current trunk version. How do I submit the code then? I'm using SVN and can obviously not check things in. 2008/12/17 Luigi Ballabio <lui...@gm...> > On Mon, 2008-12-15 at 10:44 +0100, Dima wrote: > > any interest in a compound option pricing engine? > > Yes. > > > Is anyone working on this already? > > Not that I know of. > > Luigi > > > -- > > There is no such thing as public opinion. There is only published > opinion. > -- Winston Churchill > > > |
|
From: Luigi B. <lui...@gm...> - 2008-12-17 14:38:32
|
On Mon, 2008-12-15 at 10:44 +0100, Dima wrote: > any interest in a compound option pricing engine? Yes. > Is anyone working on this already? Not that I know of. Luigi -- There is no such thing as public opinion. There is only published opinion. -- Winston Churchill |
101 messages has been excluded from this view by a project administrator.
