quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] [Quantlib-users] Using QuantLibXL

[Slava D <sla...@go...>]

Hi Eric,

thank you very much for your -email.

>>it's not necessary to run vcredist on a machine where Visual C++ is
already

> installed.  It shouldn't do any harm either.



Yep, thanks will know this.

>>I don't entirely understand your comments above.  There is no

> QuantLibObjectHandler.  QuantLibAddin contains a project called
> QuantLibObjects.  I wouldn't expect you to run Dependency Walker on that,
> rather on the XLL.


sorry for the confusion. I ran dependency walker on QuantLibObject xll-s.

I did everything with VS2005, but plan to try again with VS2008.

>>Please try the following:

>
> 1) svn checkout from
>
>    https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk
>
>    to
>
>    C:\projects\trunk
>
> 2) Start VC8
>
> 3) Open QuantLibXL\QuantLibXL_full_vc8.sln, select configuration Release,
> and
> do Build | Build Solution.
>
> 4) Start Excel and load QuantLibXL\xll\QuantLibXL-vc80-mt-s-0_9_6.xll




am I missing something - can I compile QuantLibXL without compiling
QuantLib, genXXX and QuantLibObject?


>>I'm pleased at the prospect that you may contribute back
to the Project

To be honest, I would like to give something back.

As soon as I get QuantLib up and running, I plan to come back and to see
whether I can do something.

Thanks for the clarifications with the vcredist.

I got into all those details out of despair - all compilations were clean
but QuantLib xll was not opening.

I have not tried anything again as I am still waiting for my VS2008 license.

I will update when I try again.

thanks you very much for your help.

many thanks,

Slava

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

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

Bugs item #2104135, was opened at 2008-09-10 18:01
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=2104135&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: 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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Re: [Quantlib-dev] question on Black-Scholes stochastic process.

[Yee M. C. <ym...@ya...>]

Yeah, it should be dlog(S(t, S)) = (r(t) - \frac{\sigma(t, S)^2}{2}) dt + \sigma dW_t

Yee Man

--- On Tue, 9/9/08, Sun, Xiuxin <xiu...@ci...> wrote:

> From: Sun, Xiuxin <xiu...@ci...>
> Subject: [Quantlib-dev] question on Black-Scholes stochastic process.
> To: qua...@li...
> Date: Tuesday, September 9, 2008, 1:43 AM
> HI all,
> 
> In blackscholesprocess.hpp there are comment lines about
> what the
> BlackScholesProcess stands for :
> 
> dS(t, S) = (r(t) - \frac{\sigma(t, S)^2}{2}) dt +
> \sigma dW_t.
> 
> For this since it is a differential format, shouldn't
> BS process be
> dS(t, S)/S(t, S) = ... ?
> 
> Also is the drift part from the brownie motion ,
> \frac{\sigma(t,
> S)^2}{2}) , still presented in the differential format?
> 
> please help to make me clear.
> 
> Regards,
> sun
> 
> 
> 
> -------------------------------------------------------------------------
> 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


      

[Quantlib-dev] question on Black-Scholes stochastic process.

[Sun, X. <xiu...@ci...>]

HI all,

In blackscholesprocess.hpp there are comment lines about what the
BlackScholesProcess stands for :

dS(t, S) = (r(t) - \frac{\sigma(t, S)^2}{2}) dt + \sigma dW_t.

For this since it is a differential format, shouldn't BS process be
dS(t, S)/S(t, S) = ... ?

Also is the drift part from the brownie motion , \frac{\sigma(t,
S)^2}{2}) , still presented in the differential format?

please help to make me clear.

Regards,
sun

[Quantlib-dev] [ quantlib-Bugs-2091327 ] Legendre basis system is missing

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

Bugs item #2091327, was opened at 2008-09-03 17:17
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
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including the initial issue submission, for this request,
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Category: None
Group: None
>Status: Closed
>Resolution: Rejected
Priority: 5
Private: No
Submitted By: marcmus (marcmus)
Assigned to: Nobody/Anonymous (nobody)
Summary: Legendre basis system is missing

Initial Comment:
The Legendre polynomial as basis system is missing in the Monte Carlo American engine even if its implementation was provided.

Suggested solution : 
Add the test for Legendre basis system in the QL_REQUIRE statement inside the constrcutor  AmericanPathPricer::AmericanPathPricer (file : MCAmericanEngine.cpp)

Best regards,

ma...@gm...



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

Comment By: Klaus Spanderen (klausspanderen)
Date: 2008-09-05 11:03

Message:
Logged In: YES 
user_id=1587351
Originator: NO

Legendre polynomials are orthogonal polynomials, for which the interval of
orthogonality is [1, 1] and the weight function is simply 1.You have to
make sure that the state function AmercicanPathPricer::state is tied to
this interval (which it isn't;-). Therefore I've removed the Legendre
polynomials.

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

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[Quantlib-dev] [ quantlib-Bugs-2096014 ] configure fails to find unit test libs with full path in CC

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

Bugs item #2096014, was opened at 2008-09-06 02:33
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2096014&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: Anton Blanchard (antonb)
>Assigned to: Luigi Ballabio (lballabio)
Summary: configure fails to find unit test libs with full path in CC

Initial Comment:
A common way to test an alternate compiler is to override CC and CXX, eg:

./configure CC=/root/gcc-test/bin/gcc CXX=/root/gcc-test/bin/g++

Unfortunately configure fails to find the boost unit test libs because it creates patterns with the full pathname:

/root/gcc-test/bin/g++ -o conftest conftest.cc  -lboost_unit_test_framework-/root/gcc-test/bin/gcc44

We can use basename to strip the full path from CC. After applying the patch and running autoconf we now find the library:

/root/gcc-test/bin/g++ -o conftest conftest.cc  -lboost_unit_test_framework-gcc44

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

Comment By: Luigi Ballabio (lballabio)
Date: 2008-09-09 09:57

Message:
The patch was applied to the Subversion repository.
Thank you for the report and the fix.


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

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Re: [Quantlib-dev] [Quantlib-users] Using QuantLibXL

[Eric E. <eri...@na...>]

Hi Slava,

On Sat, September 6, 2008 19:21, Slava D wrote:
> Hi Eric.,
>
> thank you very much for your e-mail.
>
> I took everything via TortoiseSVN as you adviced in one of your e-mails.
>
> I also run vcredist.exe as some people recommend.

It's not necessary to run vcredist on a machine where Visual C++ is already
installed.  It shouldn't do any harm either.

> I did full rebuild of everything (QuantLib, genXXX, and then
> QuantLibObjectHandler). For ObjectHandler I did with flag Using FAT 32
> workaround as Yes (as it is recommended on the net). Dependendwlaker still
> indicates that QuantLibObjectHandler is still missing msvcr80.dll (for the
> release mode) and msvcr80d.dll (for the debug mode). I have also checked
> that my manifest is looking for the dll-s above with the same version
> numbers as I have on my machine.

I don't entirely understand your comments above.  There is no
QuantLibObjectHandler.  QuantLibAddin contains a project called
QuantLibObjects.  I wouldn't expect you to run Dependency Walker on that,
rather on the XLL.

Please try the following:

1) svn checkout from

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

   to

    C:\projects\trunk

2) Start VC8

3) Open QuantLibXL\QuantLibXL_full_vc8.sln, select configuration Release, and
do Build | Build Solution.

4) Start Excel and load QuantLibXL\xll\QuantLibXL-vc80-mt-s-0_9_6.xll

Note that with configuration Release, the Microsoft C runtime is statically
linked into the XLL, so there is no runtime dependency on the MS DLLs.

> I plan to do a full rebuild somewhere Monday-Tuesday on a virgin machine
> with VS2008.

Sounds good.  I think with the steps above you'll be just as well on your
existing machine.

Which version of Visual C++ are you using?

    Visual C++ 2003 = VC7
    Visual C++ 2005 = VC8
    Visual C++ 2008 = VC9

Earlier you talk about msvcr80.dll which is VC8.  Here you talk about VC9.  If
you're switching to the newer compiler in an attempt to fix this problem, that
shouldn't be necessary though it shouldn't hurt either.

> I am going to use VS2008 with SP1.  Do I need to run vsredist.exe before
> douing the full rebuild?

On the machine where Visual Studio is installed, it should not be necessary to
run vcredist at all.

If you copy the XLL to another computer:
- If the XLL was compiled with configuration Release, then it is not necessary
to install vcredist.
- If the XLL was compiled with configuration Release CRTDLL, then you need to
install vcredist.

I haven't tried SP1 for VC9.  For VC8, the vcredist on the Microsoft website
corresponds to VC8 without SP1.  When you install SP1 for VC8, you get new
vcredist files here:

    C:\Program Files\Microsoft Visual Studio
8\SDK\v2.0\BootStrapper\Packages\vcredist_x86\vcredist_x86.exe
    C:\Program Files\Microsoft Visual Studio
8\SDK\v2.0\BootStrapper\Packages\vcredist_x64\vcredist_x64.exe

I think it may be the case that a binary compiled with VC8 no SP1 will crash
if executed with the vcredist from VC8+SP1, and vice versa.  I have yet to
establish whether this is true of the Release CRTDLL build of QuantLibXL.

> did you take VS2008 with sp1, or just vs2008?

For VS2008, aka VC9, I just have the Express edition which I use only to test
that the build completes successfully.  For my production work I use VC8+SP1.

> Thank you very much for your help again - it is nice to feel that I can ask
> somebody for an advice.

No problem, really.  I'm pleased at the prospect that you may contribute back
to the Project but in any case we're always happy to help.

Regards,
Eric

-------------------------
Eric Ehlers
nazcatech sprl | Brussels | http://www.nazcatech.be
Distributed computing for pricing analytics - Use Microsoft Excel as a client
to the Grid

Re: [Quantlib-dev] [Quantlib-users] Using QuantLibXL

[Slava D <sla...@go...>]

Hi Eric.,

thank you very much for your e-mail.

I took everything via TortoiseSVN as you adviced in one of your e-mails.

I also run vcredist.exe as some people recommend.

I did full rebuild of everything (QuantLib, genXXX, and then
QuantLibObjectHandler). For ObjectHandler I did with flag Using FAT 32
workaround as Yes (as it is recommended on the net). Dependendwlaker still
indicates that QuantLibObjectHandler is still missing msvcr80.dll (for the
release mode) and msvcr80d.dll (for the debug mode). I have also checked
that my manifest is looking for the dll-s above with the same version
numbers as I have on my machine.

Mistery.

I plan to do a full rebuild somewhere Monday-Tuesday on a virgin machine
with VS2008.

I do want to make it work as I plan to use QuantLib quite a lot.



I have a couple of questions:

I am going to use VS2008 with SP1.  Do I need to run vsredist.exe before
douing the full rebuild?

did you take VS2008 with sp1, or just vs2008?


Thank you very much for your help again - it is nice to feel that I can ask
somebody for an advice.

many thanks,

Slava


On Tue, Sep 2, 2008 at 11:18 AM, Eric Ehlers <eri...@na...>wrote:

> Hi Slava,
>
> On Mon, September 1, 2008 20:51, Slava D wrote:
> > However, having checked QuantLibObjectHandler xll-s (they are not
> required
> > for static QuantLibXL, but they are good points to check), I have noticed
> > that there is an error there that "MSVCR80.dll" is not found.
> >
> > I believe that there are some problems with the manifest for
> > QuantLibObjectHandler - I have used full rebuild (on the net there are a
> > couple of ways to fix it in the right way). Some blogs on the net are
> > claiming that the problems with "MSVCR80.dll" are coming when you do a
> full
> > rebuild.
>
> Compiled with VC8 configuration "Release CRTDLL", the XLL will have a run
> time
> dependency on MSVCR80.dll.  Certainly if the dependency walker indicates
> that
> that dependency is unsatisfied then it would explain the error "not a valid
> add-in".  Normally if you test the XLL on the same machine on which it was
> compiled then this error doesn't occur.  I have never heard of this problem
> being triggered by a full rebuild.
>
> > I will also try to use the link you sent to me for the trunk - before I
> was
> > using
> >
> > http://quantlib.svn.sourceforge.net/viewvc/quantlib/
> >
> > there I took your files for QuantLibObjetHandler and QuantLibXL with your
> > comments that you fixed static stuff.
>
> The best is to use TortoiseSVN to check out the root directory of the
> repository trunk as described in my earlier message.
>
> > Let me try to everything again an I will let you know how things are.
> >
> > However, I do believe that we would converge pretty soon to something
> > reasonable.
> >
> > thanks for you help again,
>
> No problem, happy to help, I'm optimistic that a clean start will fix the
> problem, please keep me posted.
>
> Regards,
> Eric
>
> -------------------------
> Eric Ehlers
> nazcatech sprl | Brussels | http://www.nazcatech.be
> Distributed computing for pricing analytics - Use Microsoft Excel as a
> client
> to the Grid
>
>

[Quantlib-dev] [ quantlib-Bugs-2096014 ] configure fails to find unit test libs with full path in CC

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

Bugs item #2096014, was opened at 2008-09-06 10:33
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=2096014&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: Anton Blanchard (antonb)
Assigned to: Nobody/Anonymous (nobody)
Summary: configure fails to find unit test libs with full path in CC

Initial Comment:
A common way to test an alternate compiler is to override CC and CXX, eg:

./configure CC=/root/gcc-test/bin/gcc CXX=/root/gcc-test/bin/g++

Unfortunately configure fails to find the boost unit test libs because it creates patterns with the full pathname:

/root/gcc-test/bin/g++ -o conftest conftest.cc  -lboost_unit_test_framework-/root/gcc-test/bin/gcc44

We can use basename to strip the full path from CC. After applying the patch and running autoconf we now find the library:

/root/gcc-test/bin/g++ -o conftest conftest.cc  -lboost_unit_test_framework-gcc44

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

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[Quantlib-dev] [ quantlib-Feature Requests-2023353 ] CUDA port

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

Feature Requests item #2023353, was opened at 2008-07-21 10:39
Message generated for change (Comment added) made by jlsanmartin
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=2023353&group_id=12740

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including the initial issue submission, for this request,
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Category: None
Group: None
Status: Open
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: CUDA port

Initial Comment:
Hello,

A great feature would be a CUDA port of QuantLib.
Thanks !

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

Comment By: Jose Luis San Martin (jlsanmartin)
Date: 2008-09-05 15:47

Message:
Logged In: YES 
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Originator: NO

Thanks Luigi,

I sent the message to the dev mailing list. Maybe it was the correct place
for a question like this.



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

Comment By: Luigi Ballabio (lballabio)
Date: 2008-09-05 10:06

Message:
Logged In: YES 
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Originator: NO

Jose Luis,
    if you don't mind, please repost the question on the quantlib-dev
mailing list so that the discussion can reach a greater number of people.

Thanks,
    Luigi


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

Comment By: Jose Luis San Martin (jlsanmartin)
Date: 2008-08-31 18:31

Message:
Logged In: YES 
user_id=2198063
Originator: NO

Hi All,

I'm interested in the Cuda port for QuantLib, at the moment i'm looking
for an open source project with high performance requirements. I have no
idea about quantitative finance but i have no problem with learn about it.

The first thing i need is some advice to know where to start, which module
could be easy to understand to start analyzing code to evaluate if is
possible the Cuda port.

Thanks in advance.

-- 

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

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[Quantlib-dev] Cuda Port for Quantlib

[Jose L. S. M. <jos...@gm...>]

Hi All,

I'm interested in the Cuda port for QuantLib, at the moment I'm looking
for an open source project with high performance requirements. I have no
idea about quantitative finance but i have no problem with learn about it.

The first thing i need is some advice to know where to start, which module
could be easy to understand to start analyzing code to evaluate if is
possible the Cuda port.

Thanks in advance.

-- 
.:. Jose Luis .:.

Re: [Quantlib-dev] What "Launcher" is?

[Eric E. <eri...@na...>]

Hi Piter,

On Fri, September 5, 2008 03:11, Piter Dias wrote:
>
>> It is used to launch an Excel session which opens QuantLibXL.xla (so you
don't have to install the addin in Excel) and then performs the selected
actions (e.g. bootstrap the Yield Curves, the swaption vol, etc).
>
> Wow. This is really cool.
>
> I saw something similar to launch some pricing spreadsheets, but a loader
add-in had to be installed first.
>
> You seems to be some steps ahead. Can't wait to test it.

A demo of the Launcher is available at this link:

http://www.nazcatech.be/launcher.html

There are a huge number of variables - firewall configuration etc. - which
could cause it not to work at any given site.  But if you're curious it's
worth a try.

Regards,
Eric
-------------------------
Eric Ehlers
nazcatech sprl | Brussels | http://www.nazcatech.be
Distributed computing for pricing analytics - Use Microsoft Excel as a client
to the Grid

Re: [Quantlib-dev] Some questions about forcing recalculation

[Eric E. <eri...@na...>]

Hi Andrew,

On Thu, September 4, 2008 10:13, a.p. wrote:
>
> Eric wrote:
>
> "Not exactly.  Suppose Range B depends on Range A.  If A's inputs change,
> Excel
> is smart enough to recalculate B, even if A's return value is unchanged.  In
> the scenario I describe above, A's return value would in fact change on each
> recalculation, as the update counter is incremented - my_obj#0000,
> my_obj#0001, etc.  But even without that, B is still recalculated.  If you
> set
> calculation to automatic then you don't even need to hit F9"
>
> Sure, moreover this example doesn't conflict with my previous statement
> about
> argument change. But, you see, if we discuss trader workbook it's absolutely
> inconvinient to use range reference: there are a lot of instuments(objects),
> which are created at start up and upgraded during whole day, and many
> functions
> (different calculations, in fact, created in different workbooks) dependent
> on
> these objects. So string reference (e.g. "my_obj") is more applicable in
> practice.

I would most certainly use an Excel range reference in this case, not raw
strings nor triggers.  You say the range reference is inconvenient, I would
argue that it's a question of carefully designing the structure of your
workbooks and controlling their interdependencies.

But I appreciate that you have a different opinion so let's agree to disagree.
:-)

> "ObjectHandler 0.9.6 includes an enhancement that also solves this problem.
> The enhancement ensures that all object references are up to date.  Suppose
> Object B depends on Object A.  Any time Object B is retrieved, OH checks
> whether B is newer then A, if not, OH recreates B before returning it to the
> user."
>
> So, does it include support for dependecy functions, i.e. will funcion with
> string reference f("my_obj", some static arguments...) be recalculated if
> my_obj is updated?

No, updating my_obj does not immediately force recalculation of dependent
functions.  Rather, any time you retrieve an object B which depends on my_obj,
OH ensures that B is newer than my_obj.  The new feature is not relevant to
the case you describe above.  When f() is recalculated, it receives by
definition an up to date reference to my_obj.

> "What is the class of your "my_obj"?  I have never witnessed a use case like
> the one you describe.  Typically when an object is required globally, it is
> something such as a term structure which can be created just once when the
> application is initialized, and thereafter updated non-destructively."
>
> It could be term structure, but dependency functions use string reference
> instead
> of cell, so it doesn't matter.

I'm curious to know.  Why is your user recreating the term structure
repeatedly throughout the session?  Why not create it just once?  Changes in
the rates will update the state of the original TS without recreating it.  If
the user needs to change the structure of the TS, you could create multiple
TSs at startup, and use a Handle to point to whichever TS is desired at a
given moment.  Dependent objects could reference the Handle without needing to
know to which TS it points.

Regards,
Eric

-------------------------
Eric Ehlers
nazcatech sprl | Brussels | http://www.nazcatech.be
Distributed computing for pricing analytics - Use Microsoft Excel as a client
to the Grid

[Quantlib-dev] [ quantlib-Bugs-2091327 ] Legendre basis system is missing

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

Bugs item #2091327, was opened at 2008-09-03 15:17
Message generated for change (Comment added) made by klausspanderen
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2091327&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: Mustapha MARCHOUD (marcmus)
Assigned to: Nobody/Anonymous (nobody)
Summary: Legendre basis system is missing

Initial Comment:
The Legendre polynomial as basis system is missing in the Monte Carlo American engine even if its implementation was provided.

Suggested solution : 
Add the test for Legendre basis system in the QL_REQUIRE statement inside the constrcutor  AmericanPathPricer::AmericanPathPricer (file : MCAmericanEngine.cpp)

Best regards,

ma...@gm...



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

Comment By: Klaus Spanderen (klausspanderen)
Date: 2008-09-05 09:03

Message:
Logged In: YES 
user_id=1587351
Originator: NO

Legendre polynomials are orthogonal polynomials, for which the interval of
orthogonality is [1, 1] and the weight function is simply 1.You have to
make sure that the state function AmercicanPathPricer::state is tied to
this interval (which it isn't;-). Therefore I've removed the Legendre
polynomials.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2091327&group_id=12740

[Quantlib-dev] [ quantlib-Feature Requests-2023353 ] CUDA port

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

Feature Requests item #2023353, was opened at 2008-07-21 10:39
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=2023353&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
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: CUDA port

Initial Comment:
Hello,

A great feature would be a CUDA port of QuantLib.
Thanks !

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2008-09-05 10:06

Message:
Logged In: YES 
user_id=75450
Originator: NO

Jose Luis,
    if you don't mind, please repost the question on the quantlib-dev
mailing list so that the discussion can reach a greater number of people.

Thanks,
    Luigi


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

Comment By: Jose Luis San Martin (jlsanmartin)
Date: 2008-08-31 18:31

Message:
Logged In: YES 
user_id=2198063
Originator: NO

Hi All,

I'm interested in the Cuda port for QuantLib, at the moment i'm looking
for an open source project with high performance requirements. I have no
idea about quantitative finance but i have no problem with learn about it.

The first thing i need is some advice to know where to start, which module
could be easy to understand to start analyzing code to evaluate if is
possible the Cuda port.

Thanks in advance.

-- 

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=2023353&group_id=12740

[Quantlib-dev] [ quantlib-Feature Requests-1941916 ] Asian Average Strike Option

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

Feature Requests item #1941916, was opened at 2008-04-14 12:19
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=1941916&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
Priority: 5
Private: No
Submitted By: abhishek Srivastava (abhiabhi001)
Assigned to: Nobody/Anonymous (nobody)
Summary: Asian Average Strike Option

Initial Comment:
Hi

in the instrument list "Asian Average Strike Option" is not avaialable.

Thanks
Abhishek

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2008-09-05 09:59

Message:
Logged In: YES 
user_id=75450
Originator: NO

The discrete arithmetic average strike will be available in next release.

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

Comment By: Andreas Spengler (aspengler)
Date: 2008-09-03 20:28

Message:
Logged In: YES 
user_id=437086
Originator: NO

Hi,

I recently implemented an Asian Option on the basis of "moment matching".
As part of getting to know QuantLib, I would be willing to code this, if
the methodology is reasonable for you...

Rgds,

Andreas

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=1941916&group_id=12740

Re: [Quantlib-dev] What "Launcher" is?

[Piter D. <pit...@ma...>]

> It is used to launch an Excel session which opens QuantLibXL.xla (so
> you don't have to install the addin in Excel) and then performs the
> selected actions (e.g. bootstrap the Yield Curves, the swaption vol,
> etc).

Wow. This is really cool.

I saw something similar to launch some pricing spreadsheets, but a loader
add-in had to be installed first.

You seems to be some steps ahead. Can't wait to test it.

Thanks,

---- Mensagem Original ----
From: "Ferdinando Ametrano" <na...@am...>
To: pit...@ca...
Sent: Qui, Setembro 4, 2008 6:11 am
Subject: Re: [Quantlib-dev] What "Launcher" is?

On Thu, Sep 4, 2008 at 1:34 AM, Piter Dias <pit...@ma...> wrote:
> What this "Launcher" directoty inside QuantLib project tree is?
> It has some VB (.Net) code and an intriguing form...
> Is this some cool stuff for QuantLibXL we should know about? :-)

it's cool but probably not ready for prime time yet.

It is used to launch an Excel session which opens QuantLibXL.xla (so
you don't have to install the addin in Excel) and then performs the
selected actions (e.g. bootstrap the Yield Curves, the swaption vol,
etc). It is able to do this in a very customizable way, i.e. it can
load multiple xlas from different locations, use the spreadsheet
folder you prefer, etc, using resources and folders which are allowed
to be scattered around your network.
Different configuration can be stored for quick launching and few of
them can be maintained by superuser so that normal user just use them
without been able to customize them.

It is mainly used to deploy QuantLibXL.xla along with other xlas in a
trading environment.

ciao -- Nando

Re: [Quantlib-dev] Visual C++ configurations

[Eric E. <eri...@na...>]

Hi Luigi,

On Wed, September 3, 2008 22:28, Luigi Ballabio wrote:
> I'm also concerned
> about QuantLibXL---Eric, does it support single-thread mode, or does
> it require the multi-threaded runtime? If the latter, we might want to
> use the crtdll configuration as default.

The latest release of log4cxx requires multithread (whether static or dynamic) and so in 0.9.6 the
SingleThread configurations have been dropped from the VC7 files for ObjectHandler, QuantLibAddin,
and QuantLibXL.

QuantLibXL supports 2 builds:
1) ObjectHandler and QuantLibXL in single XLL - may be built with any configuration
2) ObjectHandler and QuantLibXL in two separate XLLs - requires the CRTDLL configuration

Regards,
Eric

-------------------------
Eric Ehlers
nazcatech sprl | Brussels | http://www.nazcatech.be
Distributed computing for pricing analytics - Use Microsoft Excel as a client to the Grid

Re: [Quantlib-dev] What "Launcher" is?

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

On Thu, Sep 4, 2008 at 11:27 AM, Luigi Ballabio
<lui...@gm...> wrote:
> On Thu, 2008-09-04 at 11:11 +0200, Ferdinando Ametrano wrote:
>> On Thu, Sep 4, 2008 at 1:34 AM, Piter Dias <pit...@ma...> wrote:
>> > What this "Launcher" directoty inside QuantLib project tree is?
>>
>> it's cool but probably not ready for prime time yet.
>
> Release early, release often?

sure, but there's work in order to release it, at least if you don't
want to be swamped with questions on the mailing lists ;-)

ciao -- Nando

Re: [Quantlib-dev] What "Launcher" is?

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

On Thu, 2008-09-04 at 11:11 +0200, Ferdinando Ametrano wrote:
> On Thu, Sep 4, 2008 at 1:34 AM, Piter Dias <pit...@ma...> wrote:
> > What this "Launcher" directoty inside QuantLib project tree is?
> > It has some VB (.Net) code and an intriguing form...
> > Is this some cool stuff for QuantLibXL we should know about? :-)
> 
> it's cool but probably not ready for prime time yet.

Release early, release often?

Luigi


-- 

Brady's First Law of Problem Solving: 
When confronted by a difficult problem, you can solve it more 
easily by reducing it to the question, "How would the Lone 
Ranger have handled this?" 

Re: [Quantlib-dev] Visual C++ configurations

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

Hi all

my 0.02€

> First: the nomenclature is cryptic. It's not obvious that CRTDLL
> stands for "common runtime dll." We should clarify the names.
it should actually stand for "C runtime dll"

> For VC++ 7, I'm not so sure.
I would leave it behind, in some fashion.
I mean: VC8 is 3 years old, and VC9 is a the first MS free compiler. I
wouldn't be that much concerned about the VC7 choice, as long as it's
documented. As far as my time and resources are concerned I probably
won't maintain it anymore.

> what VC++ 8 and 9 calls "Release" is what we call
> "Release CRTDLL".
> [...]
> Needless to say, I'd like to fix this in future releases. For VC++ 8
> and 9, I'd call "Release" the default configuration (crtdll) and
> something like "Release (static runtime)" the current Release.
fine with me

ciao -- Nando

Re: [Quantlib-dev] Some questions about forcing recalculation

[a.p. <an...@gm...>]

Eric wrote:

"Not exactly.  Suppose Range B depends on Range A.  If A's inputs change,
Excel 
is smart enough to recalculate B, even if A's return value is unchanged.  In 
the scenario I describe above, A's return value would in fact change on each 
recalculation, as the update counter is incremented - my_obj#0000, 
my_obj#0001, etc.  But even without that, B is still recalculated.  If you
set 
calculation to automatic then you don't even need to hit F9"

Sure, moreover this example doesn't conflict with my previous statement
about
argument change. But, you see, if we discuss trader workbook it's absolutely
inconvinient to use range reference: there are a lot of instuments(objects),
which are created at start up and upgraded during whole day, and many
functions 
(different calculations, in fact, created in different workbooks) dependent
on 
these objects. So string reference (e.g. "my_obj") is more applicable in
practice.

"ObjectHandler 0.9.6 includes an enhancement that also solves this problem. 
The enhancement ensures that all object references are up to date.  Suppose 
Object B depends on Object A.  Any time Object B is retrieved, OH checks 
whether B is newer then A, if not, OH recreates B before returning it to the 
user."

So, does it include support for dependecy functions, i.e. will funcion with
string reference f("my_obj", some static arguments...) be recalculated if 
my_obj is updated?

"What is the class of your "my_obj"?  I have never witnessed a use case like 
the one you describe.  Typically when an object is required globally, it is 
something such as a term structure which can be created just once when the 
application is initialized, and thereafter updated non-destructively."

It could be term structure, but dependency functions use string reference
instead
of cell, so it doesn't matter.

Regards,
Andrew

-- 
View this message in context: http://www.nabble.com/Some-questions-about-forcing-recalculation-tp19140076p19306314.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

Re: [Quantlib-dev] What "Launcher" is?

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

On Thu, Sep 4, 2008 at 1:34 AM, Piter Dias <pit...@ma...> wrote:
> What this "Launcher" directoty inside QuantLib project tree is?
> It has some VB (.Net) code and an intriguing form...
> Is this some cool stuff for QuantLibXL we should know about? :-)

it's cool but probably not ready for prime time yet.

It is used to launch an Excel session which opens QuantLibXL.xla (so
you don't have to install the addin in Excel) and then performs the
selected actions (e.g. bootstrap the Yield Curves, the swaption vol,
etc). It is able to do this in a very customizable way, i.e. it can
load multiple xlas from different locations, use the spreadsheet
folder you prefer, etc, using resources and folders which are allowed
to be scattered around your network.
Different configuration can be stored for quick launching and few of
them can be maintained by superuser so that normal user just use them
without been able to customize them.

It is mainly used to deploy QuantLibXL.xla along with other xlas in a
trading environment.

ciao -- Nando

Re: [Quantlib-dev] Visual C++ configurations

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

Just a quick thought from my own experience on multiple platforms... Release
(static runtime) is more stable than Release (crtdll) for many purposes.
Specifically, there are major problems with crtdll (both debug and release)
when using from a Java environment. Even more complicatedly, many of these
only occur with Microsoft IE7 and XP (other problems on Vista).
Usually, static runtime is much easier for distribution.

Simon


On Wed, Sep 3, 2008 at 10:28 PM, Luigi Ballabio <lui...@gm...>wrote:

>
> Hi all,
>        I've just answered a poor soul on quantlib-users that asked about
> the
> difference between the various VC++ configurations we've defined. A
> few thoughts:
>
> First: the nomenclature is cryptic. It's not obvious that CRTDLL
> stands for "common runtime dll." We should clarify the names.
>
> Second, and perhaps most important: there's a mismatch between what we
> call release and what the default is for VC++ projects. If one asks
> for a new project, VC++ creates one with a Debug and a Release
> configuration. Unfortunately, they don't correspond to what we call
> release. If a user has compiled QuantLib in Release mode and tries to
> link it to its new application, he'll have an unexpected linking
> error.  What VC++ 7 calls "Release" is what we call "Release
> SingleThread"; what VC++ 8 and 9 calls "Release" is what we call
> "Release CRTDLL".
>
> Needless to say, I'd like to fix this in future releases. For VC++ 8
> and 9, I'd call "Release" the default configuration (crtdll) and
> something like "Release (static runtime)" the current Release. Well,
> actually, I'm not even sure that I'd leave multiple configurations
> instead of just Debug/Release; on the one hand, they're confusing for
> most users, and on the other hand, a user that needs a particular
> runtime is likely to know what settings to change to obtain it. We can
> talk about this; at the very least, I'd switch the names.
>
> For VC++ 7, I'm not so sure. For uniformity, I'd call Release what VC+
> + calls Release, i.e., the single-thread configuration. But doing so,
> we'd lose uniformity between VC++ versions; and I'm also concerned
> about QuantLibXL---Eric, does it support single-thread mode, or does
> it require the multi-threaded runtime? If the latter, we might want to
> use the crtdll configuration as default.
>
> Thought anyone?
>
> Later,
>        Luigi
>
>
>
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[Quantlib-dev] What "Launcher" is?

[Piter D. <pit...@ma...>]

Guys,

What this "Launcher" directoty inside QuantLib project tree is?

It has some VB (.Net) code and an intriguing form...

Is this some cool stuff for QuantLibXL we should know about? :-)

Regards,

Piter Dias
pit...@pi...