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From: SourceForge.net <no...@so...> - 2008-12-16 12:28:26
|
Patches item #2433245, was opened at 2008-12-16 06:37 Message generated for change (Tracker Item Submitted) made by Item Submitter 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. ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2433245&group_id=12740 |
|
From: SourceForge.net <no...@so...> - 2008-12-16 10:52:34
|
Patches item #2433147, was opened at 2008-12-16 05:52 Message generated for change (Tracker Item Submitted) made by Item Submitter 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. ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2433147&group_id=12740 |
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From: Dima <dim...@go...> - 2008-12-15 09:44:37
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Hi, any interest in a compound option pricing engine? Is anyone working on this already? |
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From: SourceForge.net <no...@so...> - 2008-12-15 08:38:40
|
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: Nobody/Anonymous (nobody) 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 |
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From: SourceForge.net <no...@so...> - 2008-12-12 16:33:22
|
Bugs item #2421793, was opened at 2008-12-12 16:33 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=2421793&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: Brian K. Boonstra (brianboonstra) Assigned to: Nobody/Anonymous (nobody) Summary: Propagate filename change to VC7 (Visual Studio 2003) projec Initial Comment: The vc71.dsp contains a reference to mcbasketengine.cpp (and .hpp) but the file has changed names to mceuropeanbasketengine.cpp (and .hpp). ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2421793&group_id=12740 |
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From: SourceForge.net <no...@so...> - 2008-12-12 15:43:43
|
Patches item #2421551, was opened at 2008-12-12 10:43 Message generated for change (Tracker Item Submitted) made by Item Submitter 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. ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2421551&group_id=12740 |
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From: SourceForge.net <no...@so...> - 2008-12-12 15:29:28
|
Patches item #2315587, was opened at 2008-11-19 14:32 Message generated for change (Comment added) made by shlagbaum 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: Nobody/Anonymous (nobody) 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: Slava Mazur (shlagbaum) Date: 2008-12-12 10:29 Message: Anybody cares about this? ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2315587&group_id=12740 |
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From: SourceForge.net <no...@so...> - 2008-12-09 09:36:29
|
Bugs item #2389706, was opened at 2008-12-04 18:26 Message generated for change (Settings changed) made by lballabio You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2389706&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: Rejected Priority: 5 Private: No Submitted By: Nobody/Anonymous (nobody) Assigned to: Nobody/Anonymous (nobody) Summary: the linker looking for QuantLib-vc90-mt-gd-0_9_7.lib, Initial Comment: but have only QuantLib-vc90-mt-sgd-0_9_7.lib ---------------------------------------------------------------------- Comment By: Luigi Ballabio (lballabio) Date: 2008-12-09 10:35 Message: You have to build the library in a different configuration (or build your program with the same configuration as the library.) You'll get QuantLib-vc90-mt-gd-0_9_7.lib by compiling in "Debug" mode. ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2389706&group_id=12740 |
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From: SourceForge.net <no...@so...> - 2008-12-09 09:36:01
|
Bugs item #2389706, was opened at 2008-12-04 18:26 Message generated for change (Comment added) made by lballabio You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2389706&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: the linker looking for QuantLib-vc90-mt-gd-0_9_7.lib, Initial Comment: but have only QuantLib-vc90-mt-sgd-0_9_7.lib ---------------------------------------------------------------------- Comment By: Luigi Ballabio (lballabio) Date: 2008-12-09 10:35 Message: You have to build the library in a different configuration (or build your program with the same configuration as the library.) You'll get QuantLib-vc90-mt-gd-0_9_7.lib by compiling in "Debug" mode. ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2389706&group_id=12740 |
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From: Andrew K. <an...@gm...> - 2008-12-08 14:13:48
|
Hello everybody. Generally, this class is ok, so you could use it for instance in FD engines or trees. But you should keep in mind next hints: - your dt must be the same as time step in lattice method, otherwise the result will be unreliable, cause of difference in accuracy (check it among plain vanilas) - the better choise is to use Bicubic interpolation of implied vol surface - if your interpolation method is smooth the dy sensitivity won't be generally high, but i guess it's better to use lattice spot step for dy. Nevertheless, there are still some problems: 1) The first one is speed. The derivative calculation is performed by FD valuation, which is too slowly. Despite FD i plan to use first and second derivative of bicubic interpolation. 2) The second is tails. It's necessary to use extrapolation to constant values, which still save variance increasing. Have anybody worked with this problem and could give some advices? Regards. -- View this message in context: http://www.nabble.com/LocalVolSurface-class-tp20896055p20896055.html Sent from the quantlib-dev mailing list archive at Nabble.com. |
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From: Andrew K. <an...@gm...> - 2008-12-08 09:54:10
|
Dear, all
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
feature of this class is an executeIntermediateStep(step) method, which
implement grid transformation during ex-div date (FDDividendEngineShiftScale
class) or grid scaling on every step (FDDividendEngineMerton73 class). The
main error hides in the call of
initializeInitialCondition();
function, cause it contains initial grid initialization, which is absolutly
unnecessary during intermidiate step. To correct the error you should
replace this line by
intrinsicValues_.sample(*payoff_);
so only payoff initialization will be executed. I use
FDDividendAmericanEngineShiftScale class for american option valuation, and
should say that it works perfectly, also with impliedVolatility() method.
I guess this bug could be corrected in the new QL version, also with one
useful addition in exercise.cpp file:
AmericanExercise::AmericanExercise(const Date& latestDate,
bool payoffAtExpiry)
: EarlyExercise(American, payoffAtExpiry) {
dates_ = std::vector<Date>(1, latestDate);
}
Such constructor is already documented, but isn't realised.
Best wishes.
--
View this message in context: http://www.nabble.com/FDDividendEngine-bug-correction-tp20892161p20892161.html
Sent from the quantlib-dev mailing list archive at Nabble.com.
|
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From: SourceForge.net <no...@so...> - 2008-12-04 17:26:44
|
Bugs item #2389706, was opened at 2008-12-04 17:26 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=2389706&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: the linker looking for QuantLib-vc90-mt-gd-0_9_7.lib, Initial Comment: but have only QuantLib-vc90-mt-sgd-0_9_7.lib ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2389706&group_id=12740 |
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From: SourceForge.net <no...@so...> - 2008-11-24 23:00:28
|
Bugs item #2340504, was opened at 2008-11-24 17:00 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=2340504&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: Patrick McEvoy (mccraic) Assigned to: Nobody/Anonymous (nobody) Summary: QuantLib fails to compile on Fedora 9 Initial Comment: Hello, I am trying to compile QuantLib-0.9.7 on a Fedora 9 X86_64 box using gcc-4.3.0-8.x86_64 and gcc-c++-4.3.0-8.x86_64. Everything compiles fine until I get the following error. Making all in test-suite make[1]: Entering directory `Quantlib/QuantLib-0.9.7/test-suite' if g++ -DHAVE_CONFIG_H -I. -I. -I../ql -I.. -I.. -DQL_WORKING_BOOST_STREAMS -g -O2 -Wall -MT riskstats.o -MD -MP -MF ".deps/riskstats.Tpo" -c -o riskstats.o riskstats.cpp; \ then mv -f ".deps/riskstats.Tpo" ".deps/riskstats.Po"; else rm -f ".deps/riskstats.Tpo"; exit 1; fi g++: Internal error: Segmentation fault (program cc1plus) Please submit a full bug report. See <http://bugzilla.redhat.com/bugzilla> for instructions. make[1]: *** [riskstats.o] Error 1 make[1]: Leaving directory `Quantlib/QuantLib-0.9.7/test-suite' make: *** [all-recursive] Error 1 [root@R2T2 QuantLib-0.9.7]# Any ideas on how to fix this? Thanks, Patrick ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2340504&group_id=12740 |
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From: Ferdinando A. <na...@am...> - 2008-11-20 12:00:20
|
On Thu, Nov 20, 2008 at 12:41 PM, Luigi Ballabio <lui...@gm...> wrote: > On Thu, 2008-11-20 at 11:24 +0000, na...@us... wrote: >> Log Message: >> ----------- >> fixed bug: the first (next-to-last) date was not always included in the schedule >> >> Modified Paths: >> -------------- >> trunk/QuantLib/ql/time/schedule.cpp > > May you include a test case to ensure that the bug won't come back? I'm working on that one. ciao -- Nando |
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From: Luigi B. <lui...@gm...> - 2008-11-20 11:44:32
|
On Thu, 2008-11-20 at 11:24 +0000, na...@us... wrote: > Log Message: > ----------- > fixed bug: the first (next-to-last) date was not always included in the schedule > > Modified Paths: > -------------- > trunk/QuantLib/ql/time/schedule.cpp May you include a test case to ensure that the bug won't come back? Thanks, Luigi -- Poets have been mysteriously silent on the subject of cheese. -- Gilbert K. Chesterton |
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From: SourceForge.net <no...@so...> - 2008-11-19 19:40:59
|
Patches item #2315605, was opened at 2008-11-19 14:40 Message generated for change (Tracker Item Submitted) made by Item Submitter 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: Nobody/Anonymous (nobody) 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 |
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From: SourceForge.net <no...@so...> - 2008-11-19 19:32:40
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Patches item #2315587, was opened at 2008-11-19 14:32 Message generated for change (Tracker Item Submitted) made by Item Submitter 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: Nobody/Anonymous (nobody) 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 ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2315587&group_id=12740 |
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From: Luigi B. <lui...@gm...> - 2008-11-18 11:57:13
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On Mon, 2008-11-17 at 03:35 -0800, Rwanma wrote: > could you tell me when you think the 1.0 release will be ready for testing ? Sometime in 2009. But you can start testing the current release (which might not be very different.) Luigi -- The box said "Use Windows 95 or better," so I got a Macintosh. |
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From: Luigi B. <lui...@gm...> - 2008-11-18 08:24:45
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On Sun, 2008-11-16 at 12:00 -0800, a.p. wrote: > Initially i didn't find FDDividendAmericanEngine, but it implements all my > efforts and changes by using FDEngineAdapter, so now i work with this class. > Who's the developer of these classes and with whom i could consult about > their usage? They were developed by Joseph Wang. If you have questions, the best thing is to post them on this list; see <http://quantlib.org/faq.shtml#General questions0>. Luigi -- Quote me as saying I was misquoted. -- Groucho Marx |
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From: Rwanma <rw...@gm...> - 2008-11-17 11:38:41
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Hi, could you tell me when you think the 1.0 release will be ready for testing ? thanks -- View this message in context: http://www.nabble.com/QuantLib-1.0-tp20537821p20537821.html Sent from the quantlib-dev mailing list archive at Nabble.com. |
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From: a.p. <an...@gm...> - 2008-11-16 20:00:02
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Dear, Luigi, thanks for reply, but i wish my message had deleted (moreover i deleted it via nabble.com), cause i found an error in my code :) These classes work perfectly, i've checked it. Initially i didn't find FDDividendAmericanEngine, but it implements all my efforts and changes by using FDEngineAdapter, so now i work with this class. Who's the developer of these classes and with whom i could consult about their usage? Luigi Ballabio wrote: > > On Wed, 2008-11-12 at 04:43 -0800, a.p. wrote: >> For proper valuation i've changed the declaration of used class: >> class FDDividendEngineShiftScale : public DividendVanillaOption::engine, >> FDDividendEngineBase >> it's necessary for DividendVanillaOption.setPricingEngine initialization, >> and added calculate() function description: > > Andrew, > I'm not very familiar with those classes, but did you try the engines > in <ql/pricingengines/vanilla/fddividendamericanengine.hpp>? > > Luigi > > > -- > > It is better to know some of the questions than all of the answers. > -- James Thurber > > > > ------------------------------------------------------------------------- > This SF.Net email is sponsored by the Moblin Your Move Developer's > challenge > Build the coolest Linux based applications with Moblin SDK & win great > prizes > Grand prize is a trip for two to an Open Source event anywhere in the > world > http://moblin-contest.org/redirect.php?banner_id=100&url=/ > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > -- View this message in context: http://www.nabble.com/FDDividendEngineShiftScale-class-tp20496215p20529302.html Sent from the quantlib-dev mailing list archive at Nabble.com. |
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From: Stephen T. <ko...@gm...> - 2008-11-16 01:45:28
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Hi All, I am a PhD student who has recently started using QuantLib. It happened some days ago that I need to do some calculations using the Multi-factor gaussian copula credit model. I found out that QuantLib lacks it but instead has several single-factor copula models. At the same time, I want to participate in the QuantLib project so as to brush up my C++ as well as gain some experience in large-scale software development. Multi-factor gaussian copula model seems a good starting point because it involves mainly mathematical calcaltions and so I can code it even without fully understanding complicated classes like PricingEngine. What do you guys think? Besides, any advice on what parts of QuantLib I should study in detail before coding it? And can people who contributed to QuantLib when they were relativeily new users share some experience? Also, is any one also implementing it or something similar? Thanks a lot. Cheers, Stephen |
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From: Luigi B. <lui...@gm...> - 2008-11-14 15:31:33
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On Wed, 2008-11-12 at 04:43 -0800, a.p. wrote: > For proper valuation i've changed the declaration of used class: > class FDDividendEngineShiftScale : public DividendVanillaOption::engine, > FDDividendEngineBase > it's necessary for DividendVanillaOption.setPricingEngine initialization, > and added calculate() function description: Andrew, I'm not very familiar with those classes, but did you try the engines in <ql/pricingengines/vanilla/fddividendamericanengine.hpp>? Luigi -- It is better to know some of the questions than all of the answers. -- James Thurber |
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From: Luigi B. <lui...@gm...> - 2008-11-14 14:34:38
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On Sun, 2008-10-12 at 12:49 -0400, Scott Sinclair wrote: > I am relatively new to this community and was looking for some input > on how to price an American equity option with both a time dependent > interest rate and a time dependent volatility with discrete dividends > using a trinomial tree. Scott, apologies for the delay. As you might have seen, the TrinomialTree class provides most of the machinery---were it not for discrete dividends. They've been mentioned more than once here, but nobody went and implemented them yet. Ideally, they would be included in the generation of the tree, but I'm not familiar with the techniques that should be used for recombining. Do you have any idea? Luigi -- All generalizations are false, including this one. -- Mark Twain |
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From: Ferdinando A. <na...@am...> - 2008-11-14 11:26:51
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On Thu, Nov 13, 2008 at 8:33 PM, Dima <dim...@go...> wrote: > After thinking about it I'd suggest > to code the delta calculations in a new class called BlackDeltaCalculator > with a similar constructor as the BlackCalculator class. This might look > like > overkill (an own class for Delta calculation) on first sight, but my reasons > are > as follows: [...] Not sure I agree, anyway it could be the right way to start: code it the way it best suits you, provide unit tests (!!!!!), we quickly add it to the experimental folder, gather feedback, and then maybe later refactor the code ciao -- Nando |
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