quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] 0.95 tarballs

[Chris K. <chr...@ya...>]

Hi,

0.95 tarballs compile and the tests run on: Mac / OSX 10.4.11 / gcc 4.0.1
The "make docs-html" gives the following warnings:

[~/C++Libraries/QuantLib-0.9.5/Docs] make docs-html
/usr/bin/sed -e "s/GENERATE_MAN           = NO/GENERATE_MAN           = YES/" \
           -e "s/GENERATE_HTML          = NO/GENERATE_HTML          = YES/" \
           -e "s/GENERATE_LATEX         = NO/GENERATE_LATEX         = YES/" \
           -e "s|ql_basepath|/|" \
           -e "s|ql_version|0.9.5|" \
       quantlib.doxy > .quantlib.doxy
/usr/local/bin/doxygen .quantlib.doxy
Warning: ignoring unsupported tag `DOXYFILE_ENCODING      =' at line 6, file .quantlib.doxy
Warning: ignoring unsupported tag `QT_AUTOBRIEF           =' at line 22, file .quantlib.doxy
Warning: ignoring unsupported tag `OPTIMIZE_FOR_FORTRAN   =' at line 34, file .quantlib.doxy
Warning: ignoring unsupported tag `OPTIMIZE_OUTPUT_VHDL   =' at line 35, file .quantlib.doxy
Warning: ignoring unsupported tag `CPP_CLI_SUPPORT        =' at line 37, file .quantlib.doxy
Warning: ignoring unsupported tag `SIP_SUPPORT            =' at line 38, file .quantlib.doxy
Warning: ignoring unsupported tag `IDL_PROPERTY_SUPPORT   =' at line 39, file .quantlib.doxy
Warning: ignoring unsupported tag `TYPEDEF_HIDES_STRUCT   =' at line 42, file .quantlib.doxy
Warning: ignoring unsupported tag `EXTRACT_ANON_NSPACES   =' at line 51, file .quantlib.doxy
Warning: ignoring unsupported tag `SORT_GROUP_NAMES       =' at line 63, file .quantlib.doxy
Warning: ignoring unsupported tag `SHOW_FILES             =' at line 73, file .quantlib.doxy
Warning: ignoring unsupported tag `SHOW_NAMESPACES        =' at line 74, file .quantlib.doxy
Warning: ignoring unsupported tag `INPUT_ENCODING         =' at line 91, file .quantlib.doxy
Warning: ignoring unsupported tag `EXCLUDE_SYMBOLS        =' at line 104, file .quantlib.doxy
Warning: ignoring unsupported tag `GENERATE_DOCSET        =' at line 141, file .quantlib.doxy
Warning: ignoring unsupported tag `DOCSET_FEEDNAME        =' at line 142, file .quantlib.doxy
Warning: ignoring unsupported tag `DOCSET_BUNDLE_ID       =' at line 143, file .quantlib.doxy
Warning: ignoring unsupported tag `HTML_DYNAMIC_SECTIONS  =' at line 144, file .quantlib.doxy
Warning: ignoring unsupported tag `CHM_INDEX_ENCODING     =' at line 148, file .quantlib.doxy
Warning: ignoring unsupported tag `FORMULA_FONTSIZE       =' at line 155, file .quantlib.doxy
Warning: ignoring unsupported tag `MSCGEN_PATH            =' at line 230, file .quantlib.doxy
Warning: ignoring unsupported tag `DOT_FONTNAME           =' at line 233, file .quantlib.doxy
Warning: ignoring unsupported tag `DOT_FONTPATH           =' at line 234, file .quantlib.doxy
Warning: ignoring unsupported tag `DOT_GRAPH_MAX_NODES    =' at line 249, file .quantlib.doxy
/Users/ckenyon/C++Libraries/QuantLib-0.9.5/ql/termstructures/volatility/optionlet/optionletstripper1.hpp:23: Warning: file optionletstripper.hpp already documented. Skipping documentation. 
/Users/ckenyon/C++Libraries/QuantLib-0.9.5/ql/termstructures/volatility/optionlet/strippedoptionlet.hpp:21: Warning: file optionletstripper.hpp already documented. Skipping documentation. 
This is pdfeTeX, Version 3.141592-1.30.4-2.2 (Web2C 7.5.5)

Best regards,
Chris

[Quantlib-dev] Exception in Bond::cleanPriceFromZSpread(...)

[Luca B. <luc...@gm...>]

Hi all,
the following code throws an exception when
bond.cleanPriceFromZSpread(...) is called.
The issue comes from the fact that, in this example, there's no
settlement adjustment, so the function
ZeroSpreadedTermStructure::zeroYieldImpl(Time t) needs to be evaluated
for t=0.

I got around this issue by adding the seemingly harmless

if(t==0.) return 1.;

at line 86 of file ql/termstructures/yield/zeroyieldstructure.hpp

Anyone has a better idea?

Luca


#include <ql/quantlib.hpp>
using namespace QuantLib;

int main(int, char* [])
{
  try {
    Calendar calendar = TARGET();
    Date todaysDate(30, Jun, 2008);
    Settings::instance().evaluationDate() = todaysDate;

    Schedule schedule = MakeSchedule(todaysDate, todaysDate + 10*Years,

Period(Annual), calendar, Unadjusted);
    std::vector<double> coupons(1, 0.07);

    FixedRateBond bond(0, 10000., schedule, coupons, Actual360(),
ModifiedFollowing);

    Handle<YieldTermStructure> tsCurve(boost::shared_ptr<FlatForward>(
                      new FlatForward(todaysDate, 0.05, Actual360(),
Compounded)));

    boost::shared_ptr<DiscountingBondEngine> engine(new
DiscountingBondEngine(tsCurve));
    bond.setPricingEngine(engine);

    bond.cleanPriceFromZSpread(0.0200, Actual360(), Compounded,
Annual);    // <- this throws
  }

  catch (std::exception& e) {
      std::cout << e.what() << std::endl;
  }
  return 1;
}

Re: [Quantlib-dev] how to compile a program that uses quantlib

[mariav <mar...@ya...>]

Thank you, Luigi. That part worked after I followed your instructions. I have
new errors now, but I work on my own for some time before posting a question
to the forum. Thanks!


mariav wrote:
> 
> I wrote an extremely simple c++ program, but I cannot compile it. The
> program is the following:
> 
> #include <ql/quantlib.hpp>
> #include <iostream>
> 
> using namespace QuantLib;
> 
> int main()
> {
>  std::cout << "Hello world!" << std::endl;
> return 0;
> }
> 
> if I compile using 
> g++ filename.cpp -o filename 
> 
> I get the error messages: 
>   error: ql/quantlib.hpp: No such file or directory
>  'Quantlib' is not a namespace-name
>   expected namespace-name before ';' token
> 
> By doing an investigation on this forum (and on the internet) I read that
> I should compile using
> 
> g++ filename.cpp -o filename -l/path/to/includefiles -L/path/to/libfiles
> -lql
> 
> However, I have no idea what is the path to include and the path to the
> library files. That is, I understand that in the above line I have to
> replace /path/to/includefile to the path that applies to my installation
> (the same for /path/to/libfiles). However, how can I find that? I have no
> idea of what to type there. 
> 
> In other forum response I found I only need to use 
> g++ filename.cpp -o filename -lQuantLib
> 
> That does not work. I get the same errors that I obtain if I do not add
> the -lQuantLib
> 
> My installation of Quantlib was done in the following way: I created a
> subdirectory called Quantlib in my 
> home directory and extracted the files QuantLib-0.9.0 to there. I went to
> the QuantLib-0.9.0 directory (home/maria/Quantlib/QuantLib-0.9.0/ ) and
> typed
> 
> ./configure --with-boost-include=/home/maria/Boost/boost_1_35_0
> --with-boost-lib=/home/maria/Boost/boost_1_35_0/libs
> 
> make
> 
> So, what should I type in order to compile my simple program?  THANKS!
>   
> 
> 

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[Quantlib-dev] QuantLibXL function in Excel, limit in number of arguments?

[willshaw <wil...@gm...>]

Hi,

It seems that the function exposed to Excel by QuantLibXL has a limit in
number of arguments, 15. If I have more than 15 arguments in function,
although I can compile xll successfully, when I click the function in Excel,
nothing happens. But if I reduced the arguments to less than 15 without
doing anything else, it works.

Any idea?

Thanks.
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Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [15221] trunk/QuantLib-SWIG/Python/Makefile.am

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

On Sat, 2008-07-12 at 12:56 -0700, dr...@us... wrote:
> Log Message:
> -----------
> pull in quantlib-config from install directory even if it is not part
> of the path
> 
>  all-local: .build-stamp
>  
>  .build-stamp: QuantLib/quantlib_wrap.cpp QuantLib/QuantLib.py
> -	CXXFLAGS="$(CXXFLAGS)" $(PYTHON) setup.py build
> +	PATH="${bindir}:${PATH}" CXXFLAGS="$(CXXFLAGS)" $(PYTHON) setup.py build
>  	touch .build-stamp

Joe,
	I'm not sure about this---you're changing the PATH without telling the
user. At the very least, I'd put ${bindir} _after_ the original path.
But I think that if the user installed quantlib-config in some
non-standard place, it should be up to him to add it to the path when
running configure.

Luigi


-- 

The box said "Use Windows 95 or better," so I got a Macintosh. 

Re: [Quantlib-dev] how to compile a program that uses quantlib

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

On Sat, 2008-07-12 at 20:41 -0700, mariav wrote:
> I wrote an extremely simple c++ program, but I cannot compile it. 
> 
> if I compile using 
> g++ filename.cpp -o filename 
> 
> I get the error messages: 
>   error: ql/quantlib.hpp: No such file or directory
>  'Quantlib' is not a namespace-name
>   expected namespace-name before ';' token

> My installation of Quantlib was done in the following way: I created a
> subdirectory called Quantlib in my 
> home directory and extracted the files QuantLib-0.9.0 to there. I went to
> the QuantLib-0.9.0 directory (home/maria/Quantlib/QuantLib-0.9.0/ ) and
> typed
> 
> ./configure --with-boost-include=/home/maria/Boost/boost_1_35_0
> --with-boost-lib=/home/maria/Boost/boost_1_35_0/libs
> 
> make

Hi Maria,
	as for most Linux programs, you also have to run 'make install' after
'make'. If you have administrator privileges on your computer, you can
run 'make install' with your current configuration (or 'sudo make
install' if you need to get the required privileges.) After that, 

g++ filename.cpp -o filename -lQuantLib

should work. Otherwise, you can install in your user space: run first

./configure --with-boost-include=/home/maria/Boost/boost_1_35_0
--prefix=/home/maria/

(on one line, of course) and then 'make install'. The installation will
create a few directories (include, lib, bin...) in your home directory;
if you want them somewhere else, just provide a different prefix to
configure. After this, you can use

g++ filename.cpp -o filename -l/home/maria/include -L/home/maria/lib
-lQuantLib

(of course, replace /home/maria with the correct prefix if you chose a
different one.)

Luigi


-- 

Any software problem can be solved by adding another layer of
indirection. 
-- Steven M. Bellovin 

[Quantlib-dev] Forward rates interpolation

[Alexey <al...@li...>]

Hi 

I am new in QuantLib and probably questions like this have been already discussed. If so, point me to the right answer please.

I’d like to elaborate "test-suite/marketmodel.cpp" and adapt it for my needs.

First of all I need a way to interpolate the real market forward rates (the ones received from Bloomberg, for example) and to get rates that would correspond my payment dates.

I.e. I need to create something similar to todaysForwards from the test using forward rates from the market.

There are several possibilities to do that in QuantLib.
But what is the common way for it?
Do I need to use YieldTermStructure or some of its subclasses?
What subclass is better suit such needs?

Thanks a lot,
Alexey

[Quantlib-dev] how to compile a program that uses quantlib

[mariav <mar...@ya...>]

I wrote an extremely simple c++ program, but I cannot compile it. The program
is the following:

#include <ql/quantlib.hpp>
#include <iostream>

using namespace QuantLib;

int main()
{
 std::cout << "Hello world!" << std::endl;
return 0;
}

if I compile using 
g++ filename.cpp -o filename 

I get the error messages: 
  error: ql/quantlib.hpp: No such file or directory
 'Quantlib' is not a namespace-name
  expected namespace-name before ';' token

By doing an investigation on this forum (and on the internet) I read that I
should compile using

g++ filename.cpp -o filename -l/path/to/includefiles -L/path/to/libfiles
-lql

However, I have no idea what is the path to include and the path to the
library files. That is, I understand that in the above line I have to
replace /path/to/includefile to the path that applies to my installation
(the same for /path/to/libfiles). However, how can I find that? I have no
idea of what to type there. 

In other forum response I found I only need to use 
g++ filename.cpp -o filename -lQuantLib

That does not work. I get the same errors that I obtain if I do not add the
-lQuantLib

My installation of Quantlib was done in the following way: I created a
subdirectory called Quantlib in my 
home directory and extracted the files QuantLib-0.9.0 to there. I went to
the QuantLib-0.9.0 directory (home/maria/Quantlib/QuantLib-0.9.0/ ) and
typed

./configure --with-boost-include=/home/maria/Boost/boost_1_35_0
--with-boost-lib=/home/maria/Boost/boost_1_35_0/libs

make

So, what should I type in order to compile my simple program?  THANKS!
  

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[Quantlib-dev] Folder hierarchy

[Neil F. <ne...@qu...>]

Hi,
 
There are a number of different folders in the ql tree. Is there any
high level documentation on which directories are allowed to have
dependencies on which other directories, and which types of classes
should be in which directories? Presumably math and utilities are at the
bottom, and experimental is at the top. Shall I try to put some notes
together?
 
Cheers,
Neil

Re: [Quantlib-dev] cubic spline with overshooting minimization

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

On Fri, 2008-07-11 at 09:44 -0400, Sylvain Bertrand wrote:
> For those who don't remember, those are cubic splines that minimize
> the integral of the first (or second) derivatives.
> As they're widely used, I was wondering if that would be a feature
> that you would like to see in QuantLib?

Yes, it would be nice.

Luigi 


-- 

Within C++, there is a much smaller and cleaner language struggling to
get out. 
-- Bjarne Stroustrup 

[Quantlib-dev] cubic spline with overshooting minimization

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

Hi everyone,

For those who don't remember, those are cubic splines that minimize the
integral of the first (or second) derivatives.
As they're widely used, I was wondering if that would be a feature that you
would like to see in QuantLib?

Regards,
Sylvain

Re: [Quantlib-dev] processes calibration

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

Hi Klaus,

My question is actually not "how to calibrate" (I know how to do that) as
"would it be beneficial to have a calibrate() method inside the processes"?
Maybe with an interface class "Processes"?

As an interested practitionner, I would be willing to contribute so I'm
trying to find areas for improvement.

Please let me know if this makes sense.

Regards,
Sylvain

On 7/10/08, Klaus Spanderen <kl...@sp...> wrote:
>
> Hi
>
> you need the help of some more classes to calibrate e.g. a Heston process.
> Good examples IMO are the testDAXCalibration test case in
> test-suite/hestonprocess.cpp and test-suite/gjrgarchmodel.cpp or the
> calibration examples for short rate model in examples/BermudanSwaption.cpp.
>
> regards
> Klaus
>
> On Thursday 10 July 2008 20:06:48 Sylvain Bertrand wrote:
> > I couldn't find the calibration part in SVN Head's "hestonprocess.cpp".
> >
> > Is it commited yet or did I just look too quickly at the code?
> >
> > Regards,
> > Sylvain
> >
> > On 7/10/08, Yee Man Chan <ym...@ya...> wrote:
> > > During my email exchange with Klaus Spanderen, he told me he extended
> the
> > > Heston process calibration code to work with other processes. He said
> the
> > > new code works with my GJR-GARCH process. I have never tested it myself
> > > however.
> > >
> > > Yee Man
> > > --- On Thu, 7/10/08, Sylvain Bertrand <syl...@gm...>
> > >
> > > wrote:
> > > > From: Sylvain Bertrand <syl...@gm...>
> > > > Subject: [Quantlib-dev] processes calibration
> > > > To: qua...@li...
> > > > Date: Thursday, July 10, 2008, 10:26 AM
> > > > Hi everyone,
> > > >
> > > > I was wondering if there was currently a task in progress
> > > > to implement
> > > > calibration for the processes?
> > > >
> > > > Or is it something that is voluntarily left to the quantlib
> > > > user?
> > > >
> > > > Thanks
> > >
> > >
> Sylvain------------------------------------------------------------------
> > >-------
> > >
> > > > Sponsored by: SourceForge.net Community Choice Awards: VOTE
> > > > NOW!
> > > > Studies have shown that voting for your favorite open
> > > > source project,
> > > > along with a healthy diet, reduces your potential for
> > > > chronic lameness
> > > > and boredom. Vote Now at
> > >
> > >
> http://www.sourceforge.net/community/cca08_______________________________
> > >________________
> > >
> > > > QuantLib-dev mailing list
> > > > Qua...@li...
> > > > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>
>
> -------------------------------------------------------------------------
> Sponsored by: SourceForge.net Community Choice Awards: VOTE NOW!
> Studies have shown that voting for your favorite open source project,
> along with a healthy diet, reduces your potential for chronic lameness
> and boredom. Vote Now at http://www.sourceforge.net/community/cca08
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

[Quantlib-dev] Tentative tarballs for 0.9.5

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

Hi all,
	preliminary tarballs for the 0.9.5 release are available at
<http://quantlib.org/prerelease/> (kind of slow, use scp from
<shell.sf.net://home/groups/q/qu/quantlib/htdocs/prerelease/> if you
have access.) They're not the final ones, but if you have a few spare
cycle please test them and report any problems.

Thanks,
	Luigi


-- 

Just remember what ol' Jack Burton does when the earth quakes, the 
poison arrows fall from the sky, and the pillars of Heaven shake. Yeah, 
Jack Burton just looks that big old storm right in the eye and says, 
"Give me your best shot. I can take it." 
-- Jack Burton, "Big trouble in Little China" 

Re: [Quantlib-dev] processes calibration

[Klaus S. <kl...@sp...>]

Hi

you need the help of some more classes to calibrate e.g. a Heston process. 
Good examples IMO are the testDAXCalibration test case in 
test-suite/hestonprocess.cpp and test-suite/gjrgarchmodel.cpp or the 
calibration examples for short rate model in examples/BermudanSwaption.cpp.

regards 
 Klaus

On Thursday 10 July 2008 20:06:48 Sylvain Bertrand wrote:
> I couldn't find the calibration part in SVN Head's "hestonprocess.cpp".
>
> Is it commited yet or did I just look too quickly at the code?
>
> Regards,
> Sylvain
>
> On 7/10/08, Yee Man Chan <ym...@ya...> wrote:
> > During my email exchange with Klaus Spanderen, he told me he extended the
> > Heston process calibration code to work with other processes. He said the
> > new code works with my GJR-GARCH process. I have never tested it myself
> > however.
> >
> > Yee Man
> > --- On Thu, 7/10/08, Sylvain Bertrand <syl...@gm...>
> >
> > wrote:
> > > From: Sylvain Bertrand <syl...@gm...>
> > > Subject: [Quantlib-dev] processes calibration
> > > To: qua...@li...
> > > Date: Thursday, July 10, 2008, 10:26 AM
> > > Hi everyone,
> > >
> > > I was wondering if there was currently a task in progress
> > > to implement
> > > calibration for the processes?
> > >
> > > Or is it something that is voluntarily left to the quantlib
> > > user?
> > >
> > > Thanks
> >
> > Sylvain------------------------------------------------------------------
> >-------
> >
> > > Sponsored by: SourceForge.net Community Choice Awards: VOTE
> > > NOW!
> > > Studies have shown that voting for your favorite open
> > > source project,
> > > along with a healthy diet, reduces your potential for
> > > chronic lameness
> > > and boredom. Vote Now at
> >
> > http://www.sourceforge.net/community/cca08_______________________________
> >________________
> >
> > > QuantLib-dev mailing list
> > > Qua...@li...
> > > https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] processes calibration

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

I think there is now a new class called EquityModelHelper according to Klaus' email. I think it has something to do with calibration but I never tried it.

Yee Man


PS My email exchange with Klaus
-------------------------------


----- original message --------

Subject: Re: GJR-GARCH pricing engine and QuantLib
Sent: Tue, 22 Apr 2008
From: Yee Man Chan<ym...@ya...>

>
> --- Klaus Spanderen <kl...@sp...> wrote:
>
> > Hi
> >
> > I've just looked onto the problem and have seen that
> > the HestonModelHelper
> > will also work with the GJRGARCH engine w/o any
> > change (in fact for the next
> > release I'll rename it into EquityModelHelper). The
> > only small change I made
> > was on the GJRGARCH model and I've applied the
> > Heston Dax calibration to the
> > GJR-GARCH model. Please find the new test case
> > enclosed in the attached files
> >
>
> That's great news. I think I can try it out some time.
>
> > Two question remain
> > 1.You set
> > const Real v0 = omega/(1.0-m1)
> > but I guess v0 is a free parameter of the model,
> > right (no constraint needed
> > during the calibration for v0)?
>
> Yeah this is a free parameter that is to be estimated.
> The Duan et al (2006) paper simply set v0 to the
> long-term vol which is omega/(1-m1)
>
> > 2. Are the parameter constraints
> >        arguments_[0] =
> > ConstantParameter(process->omega(),
> >                                         
> > PositiveConstraint());
> >         arguments_[1] =
> > ConstantParameter(process->alpha(),
> >                                         
> > PositiveConstraint());
> >         arguments_[2] =
> > ConstantParameter(process->beta(),
> >                                         
> > PositiveConstraint());
> >         arguments_[3] =
> > ConstantParameter(process->gamma(),
> >                                         
> > BoundaryConstraint(-1.0, 1.0));
> >         arguments_[4] =
> > ConstantParameter(process->lambda(),
> >                                         
> > BoundaryConstraint(-1.0, 1.0));
> >         arguments_[5] =
> > ConstantParameter(process->v0(),
> >                                         
> > PositiveConstraint());
> > plus the Volatility Constraint correct and all we
> > need?
> >
>
> Oops. I think the constraints are not quite right.
> They should be:
>
> omega - > 0
> alpha, beta - >= 0 and < 1
> beta+gamma >= 0 which implies gamma > -1 and < 1
> v0 - > 0
> lambda should have no constraints but my experience is
> that it seems to be between -0.1 to 0.1
>
> You can refer to the GJR (1993) paper for reference.
>
> Regards,
> Yee Man
>
> > cheers
> >  Klaus
> >
> >
> > On Saturday 19 April 2008 23:06:12 you wrote:
> > > Great! So how do I get started implementing the
> > > calibration helper? I think I need to read some
> > > documentation or paper.
> > >
> > > Yee Man
> > >
> > > --- Klaus Spanderen <kl...@sp...> wrote:
> > > > Hi Yee Man,
> > > >
> > > > thanks it's in. Makes it easier for dummies like
> > me
> > > > to use the pricing engines
> > > > properly.
> > > >
> > > > cheers
> > > >
> > > > On Friday 18 April 2008 03:22:01 you wrote:
> > > > > Hi Klaus
> > > > >
> > > > >    I added a parameter called daysPerYr_ to
> > > >
> > > > GJRGARCH
> > > >
> > > > > process. I think this solves the daily
> > constant
> > > > > problem. I also updated the relevant files and
> > > >
> > > > added
> > > >
> > > > > comments to tell people to set this new
> > variable.
> > > > >
> > > > >    Please take a look and let me know if it is
> > ok.
> > > > >
> > > > > Regards,
> > > > > Yee Man
> > > > >
> > > > > --- Klaus Spanderen <kl...@sp...>
> > wrote:
> > > > > > Hi Yee Man,
> > > > > >
> > > > > > done it's in.
> > >
> > >
> >
> http://quantlib.svn.sourceforge.net/viewvc/quantlib/trunk/QuantLib/
> > >
> > > > > > On Wednesday 16 April 2008 01:54:55 you
> > wrote:
> > > > > > > In the case that you calibrate the model
> > using
> > > >
> > > > the
> > > >
> > > > > > > time series of the underlying, I think you
> > > >
> > > > might
> > > >
> > > > > > want
> > > > > >
> > > > > > > to multiply by 251 (is'nt it 252 as
> > suggested
> > > >
> > > > by
> > > >
> > > > > > the
> > > > > >
> > > > > > > Hull book?)
> > > > > >
> > > > > > Seems that we here in Germany have more
> > holidays
> > > > > > than the rest of the world;-)
> > > > > > Yepp, you are right.
> > > > > >
> > > > > > > instead of 365 as in my code. The problem
> > > > > > > here is that the Duan et al paper I used
> > for
> > > >
> > > > test
> > > >
> > > > > > data
> > > > > >
> > > > > > > assumes 365 trading days. So I suppose
> > maybe
> > > >
> > > > it
> > > >
> > > > > > should
> > > > > >
> > > > > > > be the caller of GJR-GARCH's job to
> > annualize
> > > >
> > > > the
> > > >
> > > > > > > parameters?
> > > > > >
> > > > > > May be we should add some extra comment on
> > this
> > > >
> > > > to
> > > >
> > > > > > the GJRGarchProcess to make
> > > > > > this clear (I as a more "practitioner" would
> > > >
> > > > have
> > > >
> > > > > > expected annualized
> > > > > > parameters, e.g. "my" beta would be 365
> > times
> > > >
> > > > your
> > > >
> > > > > > beta).
> > > > > >
> > > > > > > Do you mean it is very easy to write this
> > > > > > > CalibrationHelper? If so, I think I can do
> > it.
> > > >
> > > > But
> > > >
> > > > > > the
> > > > > >
> > > > > > > problem is I don't know if I can find
> > testing
> > > > > >
> > > > > > data.
> > > > > >
> > > > > >
> > > > > > We need something like the
> > HestonModelHelper.
> > > > > >
> > > > > > Could it be that this model wasn't
> > calibrated to
> > > >
> > > > a
> > > >
> > > > > > real volatility surface at
> > > > > > all in the literatur so far? But the real
> > > >
> > > > problem is
> > > >
> > > > > > the pricing engine and
> > > > > > that you've done already. The rest is not a
> > big
> > > > > > issue. Should we do it
> > > > > > together?
> > > > > >
> > > > > > cheers
> > > > > >  Klaus
> > > > > > --
> > > > > > Klaus Spanderen
> > > > > > Ludwig Erhard Str. 12
> > > > > > 48734 Reken (Germany)
> > > > > > EMail: kl...@NO... (remove
> > NOSPAM
> > > >
> > > > from
> > > >
> > > > > > the address)
> > >
> > >
--- On Thu, 7/10/08, Sylvain Bertrand <syl...@gm...> wrote:

> From: Sylvain Bertrand <syl...@gm...>
> Subject: Re: [Quantlib-dev] processes calibration
> To: ym...@ya...
> Cc: qua...@li...
> Date: Thursday, July 10, 2008, 11:06 AM
> I couldn't find the calibration part in SVN Head's
> "hestonprocess.cpp".
> 
> Is it commited yet or did I just look too quickly at the
> code?
> 
> Regards,
> Sylvain
> 
> 
> On 7/10/08, Yee Man Chan <ym...@ya...> wrote:
> >
> >
> >
> > During my email exchange with Klaus Spanderen, he told
> me he extended the
> > Heston process calibration code to work with other
> processes. He said the
> > new code works with my GJR-GARCH process. I have never
> tested it myself
> > however.
> >
> > Yee Man
> > --- On Thu, 7/10/08, Sylvain Bertrand
> <syl...@gm...>
> > wrote:
> >
> > > From: Sylvain Bertrand
> <syl...@gm...>
> > > Subject: [Quantlib-dev] processes calibration
> > > To: qua...@li...
> > > Date: Thursday, July 10, 2008, 10:26 AM
> > > Hi everyone,
> > >
> > > I was wondering if there was currently a task in
> progress
> > > to implement
> > > calibration for the processes?
> > >
> > > Or is it something that is voluntarily left to
> the quantlib
> > > user?
> > >
> > > Thanks
> > >
> > >
> >
> Sylvain-------------------------------------------------------------------------
> > > Sponsored by: SourceForge.net Community Choice
> Awards: VOTE
> > > NOW!
> > > Studies have shown that voting for your favorite
> open
> > > source project,
> > > along with a healthy diet, reduces your potential
> for
> > > chronic lameness
> > > and boredom. Vote Now at
> > >
> >
> http://www.sourceforge.net/community/cca08_______________________________________________
> > > QuantLib-dev mailing list
> > > Qua...@li...
> > >
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> >
> >
> >
> >


      

Re: [Quantlib-dev] processes calibration

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

I couldn't find the calibration part in SVN Head's "hestonprocess.cpp".

Is it commited yet or did I just look too quickly at the code?

Regards,
Sylvain


On 7/10/08, Yee Man Chan <ym...@ya...> wrote:
>
>
>
> During my email exchange with Klaus Spanderen, he told me he extended the
> Heston process calibration code to work with other processes. He said the
> new code works with my GJR-GARCH process. I have never tested it myself
> however.
>
> Yee Man
> --- On Thu, 7/10/08, Sylvain Bertrand <syl...@gm...>
> wrote:
>
> > From: Sylvain Bertrand <syl...@gm...>
> > Subject: [Quantlib-dev] processes calibration
> > To: qua...@li...
> > Date: Thursday, July 10, 2008, 10:26 AM
> > Hi everyone,
> >
> > I was wondering if there was currently a task in progress
> > to implement
> > calibration for the processes?
> >
> > Or is it something that is voluntarily left to the quantlib
> > user?
> >
> > Thanks
> >
> >
> Sylvain-------------------------------------------------------------------------
> > Sponsored by: SourceForge.net Community Choice Awards: VOTE
> > NOW!
> > Studies have shown that voting for your favorite open
> > source project,
> > along with a healthy diet, reduces your potential for
> > chronic lameness
> > and boredom. Vote Now at
> >
> http://www.sourceforge.net/community/cca08_______________________________________________
> > QuantLib-dev mailing list
> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>
>
>

Re: [Quantlib-dev] processes calibration

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

During my email exchange with Klaus Spanderen, he told me he extended the Heston process calibration code to work with other processes. He said the new code works with my GJR-GARCH process. I have never tested it myself however.

Yee Man
--- On Thu, 7/10/08, Sylvain Bertrand <syl...@gm...> wrote:

> From: Sylvain Bertrand <syl...@gm...>
> Subject: [Quantlib-dev] processes calibration
> To: qua...@li...
> Date: Thursday, July 10, 2008, 10:26 AM
> Hi everyone,
> 
> I was wondering if there was currently a task in progress
> to implement
> calibration for the processes?
> 
> Or is it something that is voluntarily left to the quantlib
> user?
> 
> Thanks
> 
> Sylvain-------------------------------------------------------------------------
> Sponsored by: SourceForge.net Community Choice Awards: VOTE
> NOW!
> Studies have shown that voting for your favorite open
> source project,
> along with a healthy diet, reduces your potential for
> chronic lameness
> and boredom. Vote Now at
> http://www.sourceforge.net/community/cca08_______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev


      

[Quantlib-dev] processes calibration

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

Hi everyone,

I was wondering if there was currently a task in progress to implement
calibration for the processes?

Or is it something that is voluntarily left to the quantlib user?

Thanks

Sylvain

Re: [Quantlib-dev] 0.9.5 release branch

[Klaus S. <kl...@sp...>]

Hi 

Nando wrote:
>I'm testing VC 7/8/9 and so far everything is ok but the following
>error in the test suite:
>Testing QR solve...

Thanks for hint, this problem is caused by a bug in qrdecomposition.cpp. The 
file attached should fix it (.. and valgrind is now fine with the test 
suite). Give me another day to double check it.

regards 
  Klaus

Re: [Quantlib-dev] CdsHelper issues

[Neil F. <ne...@qu...>]

I would make sure that the actual date in the schedule is 20 Sep 2013,
and just have a credit specific leg helper that adds the extra day,
dependent on a flag, when the day count fraction is invoked. Is this
what you mean? The libraries I have worked with don't actually change
the date in the schedule.
 
On a related point, protection on a CDS traded on a Friday is
unadjusted, and so starts on a Saturday. Is this how things currently
work in Quantlib?
 
Thanks,
Neil
 
-----Original Message-----
From: qua...@li...
[mailto:qua...@li...] On Behalf Of Simon
Ibbotson
Sent: 30 June 2008 12:52
To: lui...@gm...
Cc: qua...@li...
Subject: Re: [Quantlib-dev] CdsHelper issues
 
Oh, I see. Well, the only issue is that most coupon-bearing instruments
use the convention "first, not last" in that they accrue the first day
of a period but not the last day. 
 
CDS have the convention "first and last", meaning that they accrue the
last day of the CDS (not each period) as well as the first day. However,
they also have default cover for the last day and the first day. 
Therefore, although the official "maturity date" for the 5Y CDS may be
20th September 2013, for the purposes of calculation (accrual and
probabilities) it is one day longer. Most quant libraries (which
normally don't include the time of day for calculations) simply extend
the last CDS period by one day - to 21st September 2013 in this case.
 


 
On 6/30/08, Luigi Ballabio <lui...@gm...> wrote: 
On Sun, 2008-06-29 at 16:25 +0100, Simon Ibbotson wrote:
> Okay - I'll write a patch to cover these issues.

Thanks--"these issues" being the start and end of the cover. As for the
20th convention, I've fixed that in the repository; you can now build
the schedule with the relevant convention (or pass the convention to the
CDS helper.) You might want to check my implementation to see that it
works correctly.

Luigi


> On 6/27/08, Luigi Ballabio <lui...@gm...> wrote:
> > Simon,
> >     as for this one:
> >
> > On Fri, 2008-06-06 at 14:12 +0100, Simon Ibbotson wrote:
> >> The standard market convention for CDS is that the default cover
(and
> >> accrual) starts on the day after the valuation date - regardless of
> >> whether the start day is a holiday/weekend or not... currently the
> >> CdsHelper class counts only working days as valid.
> >
> > I'm not sure I follow. May you write a patch for this?
> >
> > Luigi
> >
> >
> > --
> >
> > Zawinski's Law:
> > Every program attempts to expand until it can read mail. Those
> > programs which cannot so expand are replaced by ones which can.
> >
> >
> >
>

--

A little inaccuracy sometimes saves tons of explanation.
-- H.H. Munro, "Saki"


 

[Quantlib-dev] inflation modeling

[Chris K. <chr...@ya...>]

Dear All,

if you're interested in this take a look at this paper (draft on SSRN):
http://www.risk.net/public/showPage.html?validate=0&page=risknet_login2_tech&url=%2Fpublic%2FshowPage.html%3Fpage%3D802943
QuantLib has received a contribution for inflation volatility modeling along these lines (not for 0.95 tho').  All comments welcome.

Best regards,
Chris Kenyon

Re: [Quantlib-dev] 0.9.5 release branch

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

On Thu, Jul 3, 2008 at 11:00 AM, Luigi Ballabio
<lui...@gm...> wrote:
> I've created the 0.9.5 release branch; you can check it out from the
> Subversion repository as
> <https://quantlib.svn.sourceforge.net/svnroot/quantlib/branches/R000905-branch>.

I'm testing VC 7/8/9 and so far everything is ok but the following
error in the test suite:
Testing QR solve...
unknown location(0): fatal error in
"QuantLib::detail::quantlib_test_case(&MatricesTest::testQRSolve)":
memory access violation occurred at address 0x01c8d000, while
attempting to  read inaccessible data
c:\projects\devenv\r000905-branch\quantlib\test-suite\utilities.hpp(76):
last checkpoint
Test is aborted

The error is obtained using VC7 with boost 1.35. No problem with VC8.

I don't have time to investigate further... any volunteer to take a look at it?

thanks

ciao -- Nando

Re: [Quantlib-dev] Re garding ql/experimental/credit/lossdistribution.hpp

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

Hi Nicolai,

many thanks for the hint. I will have a look at the procedure as soon as I
find some spare time.
Did you also reproduce the CDO examples in Hull and White's paper? Luigi
will soon commit the CDO code that uses the loss distribution bucketing
algorithm, also to appear in experimental, I assume. We agreed that it will
be released latest with version 1.0. The associated test cases compare
against the paper's result. I would be very interested in discussing these
and any improvements you have in mind.

Best,
Roland

On Mon, Jul 7, 2008 at 9:52 PM, N_Lassesen <
nic...@ca...> wrote:

>
> The function Real probabilityOfNEvents(Size n, const std::vector<Real>&
> prob)
> is numerically unstable. This document:
> http://www.cs.toronto.edu/pub/reports/na/ma-07-phd.pdf
> describes a recursive procedure (formula 2.1) which is numerically stable,
> and which gives rise to an identical loss distribution. I have been able to
> replicate the results in Hull and White (2004) using this procedure with an
> error of only a few basis points.
>
> Rgds
> Nicolai Lassesen
>
> --
> View this message in context:
> http://www.nabble.com/Regarding-ql-experimental-credit-lossdistribution.hpp-tp18325181p18325181.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
>
> -------------------------------------------------------------------------
> Sponsored by: SourceForge.net Community Choice Awards: VOTE NOW!
> Studies have shown that voting for your favorite open source project,
> along with a healthy diet, reduces your potential for chronic lameness
> and boredom. Vote Now at http://www.sourceforge.net/community/cca08
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

[Quantlib-dev] Re garding ql/experimental/credit/lossdistribution.hpp

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

The function Real probabilityOfNEvents(Size n, const std::vector<Real>& prob)
is numerically unstable. This document:
http://www.cs.toronto.edu/pub/reports/na/ma-07-phd.pdf
describes a recursive procedure (formula 2.1) which is numerically stable,
and which gives rise to an identical loss distribution. I have been able to
replicate the results in Hull and White (2004) using this procedure with an
error of only a few basis points.

Rgds
Nicolai Lassesen

-- 
View this message in context: http://www.nabble.com/Regarding-ql-experimental-credit-lossdistribution.hpp-tp18325181p18325181.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

[Quantlib-dev] [ quantlib-Feature Requests-997298 ] Add bonds

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

Feature Requests item #997298, was opened at 2004-07-25 01:30
Message generated for change (Comment added) made by nlassesen
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=997298&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: Add bonds 

Initial Comment:
please add bonds (floating and fix coupon) and callable 
bonds to quantlib.
I recently discovered quantlib on the web and i think 
that it would be more useful if it also includes the 
instrument bond. 
Where in the class model of quantlib would be the most 
natural place to add bonds? If I intend to program it 
myself, from which class would you recommend to derive 
a class bond?

lot...@on...

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

Comment By: Nicolai Lassesen (nlassesen)
Date: 2008-07-07 18:51

Message:
Logged In: YES 
user_id=2138830
Originator: NO

When we get to implementing callable bonds a useful function would be
something like ".GetYieldToWorst()", returning the yield to the worst
possible call date seen from the point of an investor.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2005-11-17 13:30

Message:
Logged In: YES 
user_id=75450

Fixed-coupon and floating-rate bonds are now implemented.
Callable bonds are waiting for a volunteer.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=997298&group_id=12740