quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] compilation issue in latest snapshot from tree

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

On Mon, 2008-10-20 at 12:05 -0400, Sylvain Bertrand wrote:
> I just ran svn update.
> Could that be related to the troubles that sourceforge is
> experiencing?

I don't know. How about svn status? Did you by any chance modify
anything?

Luigi


-- 

Poets have been mysteriously silent on the subject of cheese. 
-- Gilbert K. Chesterton 

Re: [Quantlib-dev] compilation issue in latest snapshot from tree

[Sylvain B. <syl...@gm...>]

I just ran svn update.
Could that be related to the troubles that sourceforge is experiencing?

S

On Mon, Oct 20, 2008 at 12:02 PM, Luigi Ballabio
<lui...@gm...>wrote:

> On Mon, 2008-10-20 at 11:48 -0400, Sylvain Bertrand wrote:
> > In file included from ../../ql/quantlib.hpp:44,
> >                  from BermudanSwaption.cpp:22:
> > ../../ql/instruments/all.hpp:19:52: error:
> > ql/instruments/dividendbarrieroption.hpp: No such file or directory
>
> instruments/all.hpp does not include dividendbarrieroption.hpp.
> Are you sure you have the latest code?
>
> 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
>
>
>

Re: [Quantlib-dev] compilation issue in latest snapshot from tree

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

On Mon, 2008-10-20 at 11:48 -0400, Sylvain Bertrand wrote:
> In file included from ../../ql/quantlib.hpp:44,
>                  from BermudanSwaption.cpp:22:
> ../../ql/instruments/all.hpp:19:52: error:
> ql/instruments/dividendbarrieroption.hpp: No such file or directory

instruments/all.hpp does not include dividendbarrieroption.hpp.
Are you sure you have the latest code?

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 

[Quantlib-dev] compilation issue in latest snapshot from tree

[Sylvain B. <syl...@gm...>]

Hi guys,

Here's what I get, looks like some includes were not updated:

g++ -DHAVE_CONFIG_H -I. -I../../ql  -I../.. -I../..   -g -O2 -Wall -MT
BermudanSwaption.o -MD -MP -MF .deps/BermudanSwaption.Tpo -c -o
BermudanSwaption.o BermudanSwaption.cpp
In file included from ../../ql/quantlib.hpp:44,
                 from BermudanSwaption.cpp:22:
../../ql/instruments/all.hpp:19:52: error:
ql/instruments/dividendbarrieroption.hpp: No such file or directory
In file included from ../../ql/math/interpolations/all.hpp:17,
                 from ../../ql/math/all.hpp:30,
                 from ../../ql/quantlib.hpp:46,
                 from BermudanSwaption.cpp:22:
Regards,
Sylvain

Re: [Quantlib-dev] Problem with svn update

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

On Mon, 2008-10-20 at 06:08 -0700, N_Lassesen wrote:
> I am experiencing promblems with svn update. Every now and then when update
> to the latest revision, the process exits with the message:
> svn: REPORT of '/svnroot/quantlib/!svn/vcc/default': Could not read response
> body: An existing connection was forcibly closed by the remote host.
> (https://quantlib.svn.sourceforge.net)

Yes, Sourceforge is having problems.  They are looking into it---I'm
afraid we'll have to wait for the servers to start behaving...

Luigi



-- 

An ideal world is left as an exercise to the reader. 
-- Paul Graham 

[Quantlib-dev] Problem with svn update

[N_Lassesen <nic...@ca...>]

I am experiencing promblems with svn update. Every now and then when update
to the latest revision, the process exits with the message:
svn: REPORT of '/svnroot/quantlib/!svn/vcc/default': Could not read response
body: An existing connection was forcibly closed by the remote host.
(https://quantlib.svn.sourceforge.net)

I can then restart the update and it will continue from where it left off,
but this is pretty annoying with lengthy updates. I have tried googling the
error message, but I could not find anything useful.

Have anybody else experienced this problem?

/Nicolai

-- 
View this message in context: http://www.nabble.com/Problem-with-svn-update-tp20067486p20067486.html
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Re: [Quantlib-dev] build errors

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

Still issues with building the test-suite in debug. Release, Release
(static) and debug (static) work ok.

here are the first few...

msvcprtd.lib(MSVCP80D.dll) : error LNK2005: "public: __thiscall
std::basic_string<char,struct std::char_traits<char>,class
std::allocator<char> >::~basic_string<char,struct
std::char_traits<char>,class std::allocator<char> >(void)"
(??1?$basic_string@DU?$char_traits@D@std@@V?$allocator@D@2@@std@@QAE@XZ)
already defined in quantlib-vc80-mt-gd-0_9_7.lib(errors.obj)
msvcprtd.lib(MSVCP80D.dll) : error LNK2005: "public: int __thiscall
std::ios_base::setf(int,int)" (?setf@ios_base@std@@QAEHHH@Z) already
defined in quantlib-vc80-mt-gd-0_9_7.lib(dataformatters.obj)
msvcprtd.lib(MSVCP80D.dll) : error LNK2005: "public: void __thiscall
std::basic_ostringstream<char,struct std::char_traits<char>,class
std::allocator<char> >::`vbase destructor'(void)"
(??_D?$basic_ostringstream@DU?$char_traits@D@std@@V?$allocator@D@2@@std@@QAEXXZ)
already defined in quantlib-vc80-mt-gd-0_9_7.lib(errors.obj)
msvcprtd.lib(MSVCP80D.dll) : error LNK2005: "public: __thiscall
std::basic_ostringstream<char,struct std::char_traits<char>,class
std::allocator<char> >::basic_ostringstream<char,struct
std::char_traits<char>,class std::allocator<char> >(int)"
(??0?$basic_ostringstream@DU?$char_traits@D@std@@V?$allocator@D@2@@std@@QAE@H@Z)
already defined in quantlib-vc80-mt-gd-0_9_7.lib(errors.obj)
msvcprtd.lib(MSVCP80D.dll) : error LNK2005: "public: class
std::basic_string<char,struct std::char_traits<char>,class
std::allocator<char> > __thiscall std::basic_ostringstream<char,struct
std::char_traits<char>,class std::allocator<char> >::str(void)const "
(?str@?$basic_ostringstream@DU?$char_traits@D@std@@V?$allocator@D@2@@std@@QBE?AV?$basic_string@DU?$char_traits@D@std@@V?$allocator@D@2@@2@XZ)
already defined in quantlib-vc80-mt-gd-0_9_7.lib(errors.obj)
msvcprtd.lib(MSVCP80D.dll) : error LNK2005: "public: __thiscall
std::basic_string<char,struct std::char_traits<char>,class
std::allocator<char> >::basic_string<char,struct
std::char_traits<char>,class std::allocator<char> >(char const *)"
(??0?$basic_string@DU?$char_traits@D@std@@V?$allocator@D@2@@std@@QAE@PBD@Z)
already defined in quantlib-vc80-mt-gd-0_9_7.lib(errors.obj)
msvcprtd.lib(MSVCP80D.dll) : error LNK2005: "public: static float
__cdecl std::numeric_limits<float>::max(void)"
(?max@?$numeric_limits@M@std@@SAMXZ) already defined in
quantlib-vc80-mt-gd-0_9_7.lib(dataformatters.obj)
msvcprtd.lib(MSVCP80D.dll) : error LNK2005: "public: class
std::basic_ostream<char,struct std::char_traits<char> > & __thiscall
std::basic_ostream<char,struct std::char_traits<char>
>::operator<<(unsigned int)"
(??6?$basic_ostream@DU?$char_traits@D@std@@@std@@QAEAAV01@I@Z) already
defined in quantlib-vc80-mt-gd-0_9_7.lib(tridiagonaloperator.obj)
msvcprtd.lib(MSVCP80D.dll) : error LNK2005: "public: __thiscall
std::_Container_base::~_Container_base(void)"
(??1_Container_base@std@@QAE@XZ) already defined in
quantlib-vc80-mt-gd-0_9_7.lib(errors.obj)
msvcprtd.lib(MSVCP80D.dll) : error LNK2005: "public: void __thiscall
std::_Container_base::_Orphan_all(void)const "
(?_Orphan_all@_Container_base@std@@QBEXXZ) already defined in
quantlib-vc80-mt-gd-0_9_7.lib(errors.obj)
msvcprtd.lib(MSVCP80D.dll) : error LNK2005: "public: __thiscall
std::_Container_base::_Container_base(void)"
(??0_Container_base@std@@QAE@XZ) already defined in
quantlib-vc80-mt-gd-0_9_7.lib(errors.obj)
msvcprtd.lib(MSVCP80D.dll) : error LNK2005: "public: __thiscall
std::basic_string<char,struct std::char_traits<char>,class
std::allocator<char> >::basic_string<char,struct
std::char_traits<char>,class std::allocator<char> >(class
std::basic_string<char,struct std::char_traits<char>,class
std::allocator<char> > const &)"
(??0?$basic_string@DU?$char_traits@D@std@@V?$allocator@D@2@@std@@QAE@ABV01@@Z)
already defined in quantlib-vc80-mt-gd-0_9_7.lib(errors.obj)

2008/10/13 Ferdinando Ametrano <na...@am...>:
> Hi Mark
>
>> I am having trouble building the test-suite.
>> Unresolved symbol errors in cdo.obj and calendars.obj. Excluding them from
>> the build resolves the problem.
>>
>> Also when building the "debug" version, I got multiply defined symbols
>> errors.
>> These disappear when doing "debug static"
>
> I updated the VC8 project to include all the files added in the last
> week. I successfully compiled and linked Release and Debug
> configurations of Rev15633.
>
> BTW I noticed that while you commit modified/added/removed files, you
> never commit updated projects: no problem about that, but I wonder if
> you happen to have obsolete project files on your PC. If you're sure
> you have up-to-date project files a "rebuild all" should fix any kind
> of linking problems
>
> hope it helps
>
> ciao -- Nando
>



-- 
Quant Job Interview Questions and Answers is now out: www.markjoshi.com

Assoc Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com

Re: [Quantlib-dev] BUG: wrong calendar for USD Libor ON fixing

[Simon I. <s.i...@gm...>]

I know there are days when the banks in NY are open for settlement purposes
but the NYSE is closed.
Therefore a USD depo could be placed on a day when the NYSE is closed - so
the value date of the USD-Libor should be based upon NY settlement dates not
exchange dates.

Make sense?

Simon


On Thu, Oct 16, 2008 at 4:01 PM, Luigi Ballabio <lui...@gm...>wrote:

> On Wed, 2008-10-15 at 07:40 -0700, snovik wrote:
> > Of course, I might be wrong but to my knowledge USD Libor fixings are
> based
> > on the US public holidays (i.e. settlement calendar) and not NYSE
> calendar.
>
> Hmm. I've checked the official Euribor page at
> <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412> and it talks
> about business days "in the principal financial centre of the currency
> concerned". Any expert here that can say a final word?
>
> Luigi
>
>
> --
>
> There is no likelihood man can ever tap the power of the atom.
> -- Robert Millikan, Nobel Prize in Physics, 1923
>
>
>
> -------------------------------------------------------------------------
> This SF.Net email is sponsored by the Moblin Your Move Developer's
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>

Re: [Quantlib-dev] CDO test failure

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

Hi Chris

> You may wish to add the line
> results_.expectedTrancheLoss.resize(dates.size(), 0.0);
> in syntheticcdoengines.cpp, line 184.

you're right, thank you for pointing this out. Anyway it's not enough yet.
Checking on my spare machine in my spare time...

ciao -- Nando

Re: [Quantlib-dev] BUG: wrong calendar for USD Libor ON fixing

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

On Wed, 2008-10-15 at 07:40 -0700, snovik wrote:
> Of course, I might be wrong but to my knowledge USD Libor fixings are based
> on the US public holidays (i.e. settlement calendar) and not NYSE calendar.

Hmm. I've checked the official Euribor page at
<http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412> and it talks
about business days "in the principal financial centre of the currency
concerned". Any expert here that can say a final word?

Luigi


-- 

There is no likelihood man can ever tap the power of the atom. 
-- Robert Millikan, Nobel Prize in Physics, 1923 

Re: [Quantlib-dev] CDO test failure

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

On Thu, Oct 16, 2008 at 12:52 PM, Luigi Ballabio
<lui...@gm...> wrote:
> do you have a spare machine where you can compile and run the test
> case in debug mode? The message from the debug build might be
> more informative.

here it is:

> unknown location(0): fatal error in "CdoTest::testHW": c:\programs\microsoft
> visual studio 9.0\vc\include\vector(779) : Assertion failed: vector subscript out
> of range

c:\projects\trunk\quantlib\test-suite\cdo.cpp(69): last checkpoint

ciao -- Nando

Re: [Quantlib-dev] CDO test failure

[Chris L. <Chr...@so...>]

Hi Nando,

Nice to see the credit stuff is getting in there at last.
You may wish to add the line

results_.expectedTrancheLoss.resize(dates.size(), 0.0);

in syntheticcdoengines.cpp, line 184.

Rgds,
Chris

-----Original Message-----
From: Ferdinando Ametrano [mailto:na...@am...] 
Sent: 16 October 2008 11:20
To: QuantLib developers
Cc: Roland Lichters
Subject: [Quantlib-dev] CDO test failure


Hi all

the CDO unit test fails with VC8 and VC9. Any idea why and how to fix
it? Please find below the relevant report.

ciao -- Nando

==================

------ Build started: Project: testsuite, Configuration: Release Win32
------ Auto run test ==================================
Testing QuantLib-vc90-mt-0_9_7.lib ==================================
Running 385 test cases...
Platform: Win32
Compiler: Microsoft Visual C++ version 9.0
STL     : Dinkumware standard library version 503
Boost   : 1.35.0
Testing Barone-Adesi and Whaley approximation for American options...
[...] Testing CDO premiums against Hull-White values... correlation
attach - detach expected : found1 found2 ...
--------------------------------------------------------
unknown location(0): fatal error in "CdoTest::testHW": Invalid parameter
detected by C runtime library
.\cdo.cpp(69): last checkpoint
Testing Cliquet option values...
[...]
Testing caplet LMM Monte-Carlo caplet pricing...

Tests completed in 31 m 18 s
Test suite "Master Test Suite" failed with:
  440 assertions out of 441 passed
  1 assertion out of 441 failed
  384 test cases out of 385 passed
  1 test case out of 385 failed
  1 test case out of 385 aborted
Build log was saved at
"file://c:\Projects\trunk\QuantLib\test-suite\build\vc90\Release\BuildLo
g.htm"
testsuite - 1 error(s), 0 warning(s)

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Re: [Quantlib-dev] CDO test failure

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

On Thu, 2008-10-16 at 12:20 +0200, Ferdinando Ametrano wrote:
> the CDO unit test fails with VC8 and VC9. Any idea why and how to fix
> it? Please find below the relevant report.
> 
> --------------------------------------------------------
> unknown location(0): fatal error in "CdoTest::testHW": Invalid
> parameter detected by C runtime library

No idea. I know you don't have time to go and debug it, but do you have
a spare machine where you can compile and run the test case in debug
mode? The message from the debug build might be more informative.

Luigi


-- 

Testing can never demonstrate the absence of errors in software, only 
their presence. 
-- W.E. Dijkstra 

[Quantlib-dev] CDO test failure

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

Hi all

the CDO unit test fails with VC8 and VC9. Any idea why and how to fix
it? Please find below the relevant report.

ciao -- Nando

==================

------ Build started: Project: testsuite, Configuration: Release Win32 ------
Auto run test
==================================
Testing QuantLib-vc90-mt-0_9_7.lib
==================================
Running 385 test cases...
Platform: Win32
Compiler: Microsoft Visual C++ version 9.0
STL     : Dinkumware standard library version 503
Boost   : 1.35.0
Testing Barone-Adesi and Whaley approximation for American options...
[...]
Testing CDO premiums against Hull-White values...
correlation attach - detach expected : found1 found2 ...
--------------------------------------------------------
unknown location(0): fatal error in "CdoTest::testHW": Invalid
parameter detected by C runtime library
.\cdo.cpp(69): last checkpoint
Testing Cliquet option values...
[...]
Testing caplet LMM Monte-Carlo caplet pricing...

Tests completed in 31 m 18 s
Test suite "Master Test Suite" failed with:
  440 assertions out of 441 passed
  1 assertion out of 441 failed
  384 test cases out of 385 passed
  1 test case out of 385 failed
  1 test case out of 385 aborted
Build log was saved at
"file://c:\Projects\trunk\QuantLib\test-suite\build\vc90\Release\BuildLog.htm"
testsuite - 1 error(s), 0 warning(s)

[Quantlib-dev] BUG: wrong calendar for USD Libor ON fixing

[snovik <sn...@gm...>]

Of course, I might be wrong but to my knowledge USD Libor fixings are based
on the US public holidays (i.e. settlement calendar) and not NYSE calendar.
-- 
View this message in context: http://www.nabble.com/BUG%3A-wrong-calendar-for-USD-Libor-ON-fixing-tp19994948p19994948.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

Re: [Quantlib-dev] build errors

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

Hi Mark

> I am having trouble building the test-suite.
> Unresolved symbol errors in cdo.obj and calendars.obj. Excluding them from
> the build resolves the problem.
>
> Also when building the "debug" version, I got multiply defined symbols
> errors.
> These disappear when doing "debug static"

I updated the VC8 project to include all the files added in the last
week. I successfully compiled and linked Release and Debug
configurations of Rev15633.

BTW I noticed that while you commit modified/added/removed files, you
never commit updated projects: no problem about that, but I wonder if
you happen to have obsolete project files on your PC. If you're sure
you have up-to-date project files a "rebuild all" should fix any kind
of linking problems

hope it helps

ciao -- Nando

Re: [Quantlib-dev] build errors

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

On Mon, 2008-10-13 at 14:58 +1100, Mark joshi wrote:
> I am having trouble building the test-suite.
> Unresolved symbol errors in cdo.obj and calendars.obj. Excluding them
> from the build resolves the problem.

The VC projects were not up to date with the latest new files. I've seen
that Nando just committed an updated version, so they should be ok now.

Luigi


-- 

Olmstead's Law: 
After all is said and done, a hell of a lot more is said 
than done. 

[Quantlib-dev] Heston formula

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

We already have Heston code for various things including the Fourier
transform solution.
Is there a Black-type formula implemented?

What's the easiest to get the price of a caplet given the parameters of the
Heston model plus forward, strike, annuity?

thanks

mark



-- 
Quant Job Interview Questions and Answers is now out: www.markjoshi.com

Assoc Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com

[Quantlib-dev] build errors

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

I am having trouble building the test-suite.
Unresolved symbol errors in cdo.obj and calendars.obj. Excluding them from
the build resolves the problem.

Also when building the "debug" version, I got multiply defined symbols
errors.
These disappear when doing "debug static"

I am using VC8.

Mark


-- 
Quant Job Interview Questions and Answers is now out: www.markjoshi.com

Assoc Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com

[Quantlib-dev] American equity option pricing

[Scott S. <ssi...@gm...>]

QuantLib developers,
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.  Having studied the code a modest amount I believe this is something
that can be done without significant code changes to the QuantLib code.  I
have read some of the other posts and related articles about including
discrete dividends.  Any suggestions about what a correct implementation of
this in QuantLib would look like would be much appreciated.  Directions and
classes that I could investigate further would also be appreciated.
Scott

[Quantlib-dev] Bonds sample

[Florent G. <flo...@gm...>]

Today: Monday, September 15th, 2008
Settlement date: Thursday, September 18th, 2008

                          ZC     Fixed  Floating
------------------------------------------------
 Net present value    100.95    107.68    102.36
       Clean price    100.95    106.14    101.80
       Dirty price    100.95    107.68    102.36
    Accrued coupon      0.00      1.54      0.56
   Previous coupon    0.00 %    4.50 %    2.89 %
       Next coupon       xxx    4.50 %    3.43 %
             Yield    2.99 %    3.65 %    2.20 %

Sample indirect computations (for the floating rate bond):
------------------------------------------------
Yield to Clean Price: 101.80
Clean Price to Yield: 2.20 %

Run completed in 0 s

Re: [Quantlib-dev] Cuda Port for Quantlib

[Mark j. <ma...@ma...>]

Thanks everyone for their interest in this.

Clearly, the pricing part of the LMM is a straight Monte Carlo simulation
and so parallelizable.
I am certainly interested in pursuing the option of doing this. I have some
ideas on the minimal
path to get some CUDA use into the LMM implementation of QuantLib.

I suggest forming a subgroup. Perhaps everyone who wants to participate
could drop me an
e-mail.

mark

[Quantlib-dev] Compiling QuantLib 0.9.6 on Windows in 64bit

[EdStone999 <Alp...@ya...>]

On Windows XP64, using VS2008 with Win32 target, all compiles well.
When switching to target x64, get a bunch of error messages, including:

C:\Program Files
(x86)\boost\boost_1_36_0\boost/detail/lcast_precision.hpp(71) : error C2039:
'const_max' : is not a member of 'boost::integer_traits<T>'

Any suggestions on best way to recompile a solution which is working well in
Win32 platform into a x64 platform?

Thx,
- E
-- 
View this message in context: http://www.nabble.com/Compiling-QuantLib-0.9.6-on-Windows-in-64bit-tp19855107p19855107.html
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Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[15598] trunk/QuantLib

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

On Sep 29, 2008, at 8:00 PM, na...@us... wrote:
> Log Message:
> -----------
> made RateHelper a real class (it was a typedef) to allow for  
> specialized interface (rate() inspector so far)
>
> Modified: trunk/QuantLib/ql/termstructures/yield/bondhelpers.cpp
> ===================================================================
> --- trunk/QuantLib/ql/termstructures/yield/bondhelpers.cpp	 
> 2008-09-26 17:05:55 UTC (rev 15597)
> +++ trunk/QuantLib/ql/termstructures/yield/bondhelpers.cpp	 
> 2008-09-29 18:00:07 UTC (rev 15598)
> @@ -82,6 +81,13 @@
>         return bond_;
>     }
>
> +    Rate FixedRateBondHelper::rate() const {
> +        QL_FAIL("not implemented yet");
> +        // some kind of conventional yield should be calculated
> +        Rate yield;
> +        return yield;
> +    }
> +

I'm not sure about this.  When one has to inhibit a method, it looks  
like a hint that maybe the interface is not general enough to go in  
the base class.  But even if this is only temporary, it is not clear  
to me what the semantics of rate() is.  In other words, how should one  
interpret the returned value when one doesn't know what specific kind  
of rate helper one's inspecting?  Are we not putting different  
specialized methods under the same umbrella in order to add them to  
the base-class interface?

If the results are needed for some kind of analysis, I'd be more  
comfortable by adding a full set of inspectors to each rate helper to  
retrieve their data, make them visitable, and use a visitor to run the  
analysis.  It would also avoid interface bloat if more results were  
needed in the future.

Luigi

[Quantlib-dev] [ quantlib-Bugs-2104135 ] HybridHestonHullWhiteProcess -> negative prices for a Call

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Bugs item #2104135, was opened at 2008-09-10 20:01
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: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: HybridHestonHullWhiteProcess -> negative prices for a Call

Initial Comment:
I am getting negative prices for a call option (among other calibration problems) in the following example code.  (Almost entirely based on test-suite code.)



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>Comment By: Luigi Ballabio (lballabio)
Date: 2008-09-24 15:46

Message:
results.value = std::max(0.0, results.value);

at the end of the engine's calculate() method?

Luigi

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Comment By: Klaus Spanderen (klausspanderen)
Date: 2008-09-16 09:01

Message:
Hi Luigi,

I can also generate negative option NPVs with Monte-Carlo engines
we have in actual library code (I guess nearly all MC engines 
supporting control variate can generate negative NPVs for deep
OTM options. At least for the MCAmericanEngine it was pretty easy to
find an example.). 

The root of the problem is the control variate algorithm itself, which 
might generate negative NPVs having a finite MC statistics, see line 104
in montecarlomodel.hpp. At the time being I don't see a one line fix for
this behaviour.

best regards
 Klaus

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Comment By: Luigi Ballabio (lballabio)
Date: 2008-09-15 18:08

Message:
Klaus,
    I hope you don't mind my stepping in. Is this an issue of the
MultiVanillaOption class you had in the example, or of an instrument/engine
we have in actual library code? If it's library code, I'd try and avoid
negative NPVs being returned--even if the calibration or the use of control
variates is not optimal. Maybe the engine can floor the option value at
zero?

Luigi


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

Comment By: Klaus Spanderen (klausspanderen)
Date: 2008-09-13 14:27

Message:
Hi

The example is using control variate to reduce the statistical error. But
this method can also lead to small negative option NPV for deep OTM options
(as happen in your example). Therefore these options are ignored during the
calibration. 

A few other thinks
- in line 751 a constant vol of 12% is added to initialize the calibration
helper. IMO that's a bug because the calibration helper does not match to
the impliedVols array.
- you are using only a few instruments to calibrate the Hull-WHite model.
The \sigma is IMO unrealistically high. Look e.g. into the BermudanSwaption
example to get more realistic values.  
- the targetQualityIndex of the test case is much too small for real world
problems. For real problems it is better to monitor the improvements of the
qualityIndex and exit if no further progress is made. (E.g. for your
example I'm getting a qualityIndex of around 100.)
- The algorithm is based on Monte-Carlo optimization and therefore by far
not as stable as a normal Heston calibration. That the reason why I've
removed the example a month ago.

best regards
 Klaus


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

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