quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] CDS example

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

On Wed, 2008-05-14 at 00:24 +0200, ja...@fr... wrote:
> True, in this case one instrument should be enough for *any* interpolation since
> we should have an extra point for todays date but no instrument associated with
> it.

True. Since we have an additional point for today's date (and since this
also holds for all other bootstrapped curves) I changed the check in
IterativeBootstrap so that it requires a number of instruments equal to
the number of required points minus one. The cases that used to work
should be unaffected (since they passed the stricter condition already)
and indeed, the existing test cases still pass.

Thanks for the report.

Luigi


-- 

Westheimer's Discovery: 
A couple of months in the laboratory can frequently save a 
couple of hours in the library. 

[Quantlib-dev] [ quantlib-Bugs-1963642 ] Possible redundancy with stubDate_ in MakeSchedule

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

Bugs item #1963642, was opened at 2008-05-14 00:59
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=1963642&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: Possible redundancy with stubDate_ in MakeSchedule

Initial Comment:
The member variable stubDate_ of MakeSchedule is set to default Date in the constructor, and none of the MakeSchedule methods modify it. Yet in the initial part of MakeSchedule operator::Schedule(), there is code that resets firstDate, nextToLastDate etc if stubDate_ is not equal to the default date. Given that stubDate_ is fixed at default Date, this code is never used. Is it possible that either a method "withStubDate" is required, or that stubDate_ needs to be reset in "withFirstDate" and "withNextToLastDate" methods?

ohk...@gm...

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You can respond by visiting: 
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Re: [Quantlib-dev] CDS example

[<ja...@fr...>]

Hi Luca, I am aware of the problem. It is the class IterativeBootstrap that
performs the test. Maybe it should delegate it. I made a temporary change on the
code and I could calibrate to one instrument (but I did not want to break all
the bootstrappers so I could not keep it :-)

True, in this case one instrument should be enough for *any* interpolation since
we should have an extra point for todays date but no instrument associated with
it. The value of the probability at that point depends on the value associated
to the one at the date of the intrument, on the probability model and on the
interpolator. (Plays the role of DF(t=0)=1 if you want).

As you say in the backwardflat case is more evident but independently of the
interpolator the region from t=0 to the first point should always be covered (we
might want to price an instruments with monthly payments) even when calling the
interpolator with the extrapoltaion "off".

The test (in "IterativeBootstrap<Curve>::setup"):
        Size n = ts_->instruments_.size();
        QL_REQUIRE(n >= Interpolator::requiredPoints, (...)

makes the comparison with the number of instruments and not with the number of
points in the bootstrapped curve (not necessarily the same number) We might fix
it asking the term structure and not counting the instruments; "setup" is called
right at the end of the calibrated term structure constructor and we have a ptr
to it. I havent done this myself since it affects all bootstrappers and need to
test a lot after it.

To be honest I havent finish going through the last commit of the code, I am
still modifying my client code to test the bootstrapping.

Regards, sorry for the long reply.

PP

Quoting Luca Billi <luc...@gm...>:

> Hi all,
>
> I'm looking at the CDS example in the repository and I see that the
> bootstraping scheme
> doesn't work if I use only one calibrating instrument.
> The exception thrown says it needs at least 2 instruments.
>
> Is this the expected behavior?
>
> The error is caused by the BackwardFlat interpolation class requiring 2
> points.
> Technically, for flat interpolation one point might be enough.
>
> Thanks,
>
> Luca
>
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Re: [Quantlib-dev] New Calendars

[MJC1 <mic...@td...>]

It should be the calendar indicating all non-settlement days.

I'll check with Bloomberg to see if their is an error on their end.

Luigi Ballabio wrote:
> 
> On Tue, 2008-05-13 at 10:24 +1000, Lecuyer, Fabrice wrote:
>> I just looked at Bloomberg and they do see those dates only as non
>> settlement dates. However, I still doubt a french bond can settle on
>> the 14 of July (Bastille day) for example. Even Belgium has it's
>> national day as a non-settlement day.
> 
> Ok, I just had a more careful look at the submitted France calendar.
> It looks to me it's just the TARGET calendar. Am I wrong?
> 
> Luigi
> 
> 
> -- 
> 
> Never mistake motion for action. 
> -- Ernest Hemingway 
> 
> 
> 
> -------------------------------------------------------------------------
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> Defy all challenges. Microsoft(R) Visual Studio 2008. 
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[Quantlib-dev] CDS example

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

Hi all,

I'm looking at the CDS example in the repository and I see that the
bootstraping scheme
doesn't work if I use only one calibrating instrument.
The exception thrown says it needs at least 2 instruments.

Is this the expected behavior?

The error is caused by the BackwardFlat interpolation class requiring 2 points.
Technically, for flat interpolation one point might be enough.

Thanks,

Luca

Re: [Quantlib-dev] quantlib-Bugs-1857551 PiecewiseYieldCurve

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

On Wed, 2008-01-02 at 10:24 +0000, Roland Lichters wrote:
> I have also attached a small patch for ratehelpers.cpp to fix another
> problem that just appeared on 21/12 (a small discrepancy in the BMA
> consistency check). 

Applied, thanks.

Luigi


-- 

Skinner's Constant (or Flannagan's Finagling Factor): 
That quantity which, when multiplied by, divided by, added to, 
or subtracted from the answer you got, gives you the answer you 
should have gotten. 

Re: [Quantlib-dev] New Calendars

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

On Tue, 2008-05-13 at 10:24 +1000, Lecuyer, Fabrice wrote:
> I just looked at Bloomberg and they do see those dates only as non
> settlement dates. However, I still doubt a french bond can settle on
> the 14 of July (Bastille day) for example. Even Belgium has it's
> national day as a non-settlement day.

Ok, I just had a more careful look at the submitted France calendar.
It looks to me it's just the TARGET calendar. Am I wrong?

Luigi


-- 

Never mistake motion for action. 
-- Ernest Hemingway 

Re: [Quantlib-dev] New Calendars

[Lecuyer, F. <Fab...@cb...>]

Hi all,

I just looked at Bloomberg and they do see those dates only as non settlement dates. However, I still doubt a french bond can settle on the 14 of July (Bastille day) for example. Even Belgium has it's national day as a non-settlement day.

I've never worked in France for a financial institution, but maybe somebody working in France can enlighten me?

Fabrice

-----Original Message-----
From: qua...@li... [mailto:qua...@li...] On Behalf Of Craig, Michael
Sent: Tuesday, 13 May 2008 2:01 AM
To: 'lui...@gm...'
Cc: qua...@li...
Subject: Re: [Quantlib-dev] New Calendars

No - Bloomberg provided those holidays as well but indicated that they were in fact settlement days. The classes which I uploaded provide the dates for which securities do not settle on.

Reason being - we are processing French Bonds and need non-settlement days to properly calc accruals, yield, etcetera... The other holidays Fabrice mentioned are provided in Bloomberg however they are listed as regular settlement days.


-----Original Message-----
From: Luigi Ballabio [mailto:lui...@gm...]
Sent: Monday, May 12, 2008 11:57 AM
To: Craig, Michael
Cc: qua...@li...
Subject: RE: [Quantlib-dev] New Calendars

On Mon, 2008-05-12 at 11:49 -0400, Craig, Michael wrote:
> The information was sourced from Bloomberg (CDR Command). Would you 
> like me to resend the header files or can you add this in?

You mean Bloomberg gave you the errors on the French calendar that Fabrice Lecuyer reported? Makes me wonder how accurate their information is. Before Fabrice's post, I would have taken it at face value.

Is there anyone on the list from Belgium, Greece, or Malaysia? May you check the holidays and see if they are correct?

Thanks,
        Luigi

--

Matz's Law:
A conclusion is the place where you got tired of thinking.


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Re: [Quantlib-dev] New Calendars

[Craig, M. <Mic...@td...>]

No - Bloomberg provided those holidays as well but indicated that they were in fact settlement days. The classes which I uploaded provide the dates for which securities do not settle on.

Reason being - we are processing French Bonds and need non-settlement days to properly calc accruals, yield, etcetera... The other holidays Fabrice mentioned are provided in Bloomberg however they are listed as regular settlement days.


-----Original Message-----
From: Luigi Ballabio [mailto:lui...@gm...]
Sent: Monday, May 12, 2008 11:57 AM
To: Craig, Michael
Cc: qua...@li...
Subject: RE: [Quantlib-dev] New Calendars

On Mon, 2008-05-12 at 11:49 -0400, Craig, Michael wrote:
> The information was sourced from Bloomberg (CDR Command). Would you
> like me to resend the header files or can you add this in?

You mean Bloomberg gave you the errors on the French calendar that Fabrice Lecuyer reported? Makes me wonder how accurate their information is. Before Fabrice's post, I would have taken it at face value.

Is there anyone on the list from Belgium, Greece, or Malaysia? May you check the holidays and see if they are correct?

Thanks,
        Luigi

--

Matz's Law:
A conclusion is the place where you got tired of thinking.


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Re: [Quantlib-dev] New Calendars

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

On Mon, 2008-05-12 at 11:49 -0400, Craig, Michael wrote:
> The information was sourced from Bloomberg (CDR Command). Would you
> like me to resend the header files or can you add this in?

You mean Bloomberg gave you the errors on the French calendar that
Fabrice Lecuyer reported? Makes me wonder how accurate their information
is. Before Fabrice's post, I would have taken it at face value.

Is there anyone on the list from Belgium, Greece, or Malaysia? May you
check the holidays and see if they are correct?

Thanks,
	Luigi

-- 

Matz's Law: 
A conclusion is the place where you got tired of thinking. 

Re: [Quantlib-dev] New Calendars

[Craig, M. <Mic...@td...>]

Hi Luigi,

The information was sourced from Bloomberg (CDR Command). Would you like me to resend the header files or can you add this in?

Cheers,

Mike

-----Original Message-----
From: Luigi Ballabio [mailto:lui...@gm...]
Sent: Monday, May 12, 2008 11:47 AM
To: Craig, Michael
Cc: qua...@li...
Subject: Re: [Quantlib-dev] New Calendars

On Fri, 2008-05-09 at 13:31 -0700, MJC1 wrote:
> I've created 4 additional calendars currently not included in version 0.9.
> The formats were taken from existing calendars.
>
> Could these be added to the calendar library?

Sure. Just one thing: may you provide a reference to the source of the information you used (a URL or something) to be included in each header file?

Thanks,
        Luigi


--

A debugged program is one for which you have not yet found the conditions that make it fail.
-- Jerry Ogdin


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Re: [Quantlib-dev] New Calendars

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

On Fri, 2008-05-09 at 13:31 -0700, MJC1 wrote:
> I've created 4 additional calendars currently not included in version 0.9.
> The formats were taken from existing calendars.
> 
> Could these be added to the calendar library?

Sure. Just one thing: may you provide a reference to the source of the
information you used (a URL or something) to be included in each header
file?

Thanks,
	Luigi


-- 

A debugged program is one for which you have not yet found the 
conditions that make it fail. 
-- Jerry Ogdin 

Re: [Quantlib-dev] New Calendars

[op <ole...@ya...>]

I think in the case of France it may be preferable to support a workday calendar - definitely makes your software more efficient to check for workdays than for holidays...Zzzzzh

this messags was sent from a mobile device

On May 11, 2008, at 9:10 PM, "Lecuyer, Fabrice" <Fab...@cb...> wrote:

Hi Mike,

I just had a look at the french calendar you implemented, and I don't think it is correct. 
There is no such thing as Good Friday or Boxing day in France (They actually exists, but only in Alsace-Lorraine). Furthermore, when a holiday falls on a week end, it doesn't get moved to a Monday or a Tuesday.
Finally it misses a few holidays, such as Armistice day, All saints day (which you have for the belgium calendar), or Bastille day. Here is a complete list:

Public Holidays

1 January    New Year's Day (Jour de l'an)
1 May    Labor Day (Fête du premier mai)
8 May    WWII Victory Day (Fête de la Victoire 1945; Fête du huitième mai)
14 July    Bastille Day (Fête nationale)
15 August    Assumption of the Blessed Virgin Mary (Assomption)
1 November    All Saints Day (La Toussaint)
11 November    Armistice Day (Jour d'armistice)
25 December    Christmas Day (Noël)
26 December    2nd Day of Christmas (in Alsace and Lorraine only)

Moveable Feasts
Religion: Christian (Western)
Feast    2007    2008    2009    2010     2011    2012
Good Friday*       6 April    21 March     10 April    2 April    22 April    6 April
Easter (Pâques)       8 April    23 March    12 April    4 April    24 April     8 April
Easter Monday       9 April    24 March    13 April    5 April    25 April     9 April
Ascension (l'Ascencion)       17 May    1 May    21 May    13 May    2 June    17 May
Pentecost (la Pentecôte)       27 May     11 May    31 May    23 May    12 June    27 May
Whit Monday       28 May    12 May    1 June    24 May    13 June    28 May

*In Alsace and Lorraine only.

In years when Ascension Day concurs with Victory Day, we mark only the former, thus ignoring the latter.

Metal workers have the holiday of St. Eloi, July 24 (Festival of St. Eloi - French Basque).

Note that when a holiday happens to fall on a Tuesday or Thursday, many French workers may take the Monday or, respectively, Friday, off as well. This is not official and does not apply to institutions such as banks or government, but is sufficiently commonplace to cause difficulties doing business on occasion...

Vive La France,
Fabrice


-----Original Message-----
From: qua...@li... [mailto:qua...@li...] On Behalf Of MJC1
Sent: Saturday, 10 May 2008 6:31 AM
To: qua...@li...
Subject: [Quantlib-dev] New Calendars


Hi,

I've created 4 additional calendars currently not included in version 0.9.
The formats were taken from existing calendars.

Could these be added to the calendar library?

Thanks,

Mike Craig

http://www.nabble.com/file/p17155910/greece.cpp greece.cpp http://www.nabble.com/file/p17155910/france.cpp france.cpp http://www.nabble.com/file/p17155910/belgium.cpp belgium.cpp http://www.nabble.com/file/p17155910/malaysia.cpp malaysia.cpp http://www.nabble.com/file/p17155910/malaysia.hpp malaysia.hpp http://www.nabble.com/file/p17155910/greece.hpp greece.hpp http://www.nabble.com/file/p17155910/belgium.hpp belgium.hpp http://www.nabble.com/file/p17155910/france.hpp france.hpp
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Re: [Quantlib-dev] New Calendars

[MJC1 <mic...@td...>]

Hi Fabrice,

Thanks for looking into the calendar for me. I was relying on the Bloomberg
settlement calendar. Many of the holidays you listed are there, however
Bloomberg does not denote them as non-settlement days. We need this calendar
to calculate accruals for French Bonds, so its days that the market is
closed that we are after.

I suppose writing this in the documentation would have been useful =).

Any thoughts?

Fabrice_CBA wrote:
> 
> Hi Mike,
> 
> I just had a look at the french calendar you implemented, and I don't
> think it is correct. 
> There is no such thing as Good Friday or Boxing day in France (They
> actually exists, but only in Alsace-Lorraine). Furthermore, when a holiday
> falls on a week end, it doesn't get moved to a Monday or a Tuesday.
> Finally it misses a few holidays, such as Armistice day, All saints day
> (which you have for the belgium calendar), or Bastille day. Here is a
> complete list:
> 
> Public Holidays
> 
> 1 January 	New Year's Day (Jour de l'an)
> 1 May 	Labor Day (Fête du premier mai)
> 8 May 	WWII Victory Day (Fête de la Victoire 1945; Fête du huitième mai)
> 14 July 	Bastille Day (Fête nationale)
> 15 August 	Assumption of the Blessed Virgin Mary (Assomption)
> 1 November 	All Saints Day (La Toussaint)
> 11 November 	Armistice Day (Jour d'armistice)
> 25 December 	Christmas Day (Noël)
> 26 December 	2nd Day of Christmas (in Alsace and Lorraine only)
> 
> Moveable Feasts
> Religion: Christian (Western)
> Feast 	2007 	2008 	2009 	2010 	2011 	2012
> Good Friday*   	6 April 	21 March 	10 April 	2 April 	22 April 	6 April
> Easter (Pâques)   	8 April 	23 March 	12 April 	4 April 	24 April 	8 April
> Easter Monday   	9 April 	24 March 	13 April 	5 April 	25 April 	9 April
> Ascension (l'Ascencion)   	17 May 	1 May 	21 May 	13 May 	2 June 	17 May
> Pentecost (la Pentecôte)   	27 May 	11 May 	31 May 	23 May 	12 June 	27
> May
> Whit Monday   	28 May 	12 May 	1 June 	24 May 	13 June 	28 May
> 
> *In Alsace and Lorraine only.
> 
> In years when Ascension Day concurs with Victory Day, we mark only the
> former, thus ignoring the latter.
> 
> Metal workers have the holiday of St. Eloi, July 24 (Festival of St. Eloi
> - French Basque).
> 
> Note that when a holiday happens to fall on a Tuesday or Thursday, many
> French workers may take the Monday or, respectively, Friday, off as well.
> This is not official and does not apply to institutions such as banks or
> government, but is sufficiently commonplace to cause difficulties doing
> business on occasion...
> 
> Vive La France,
> Fabrice
> 
> 
> -----Original Message-----
> From: qua...@li...
> [mailto:qua...@li...] On Behalf Of MJC1
> Sent: Saturday, 10 May 2008 6:31 AM
> To: qua...@li...
> Subject: [Quantlib-dev] New Calendars
> 
> 
> Hi,
> 
> I've created 4 additional calendars currently not included in version 0.9.
> The formats were taken from existing calendars.
> 
> Could these be added to the calendar library?
> 
> Thanks,
> 
> Mike Craig
> 
> http://www.nabble.com/file/p17155910/greece.cpp greece.cpp
> http://www.nabble.com/file/p17155910/france.cpp france.cpp
> http://www.nabble.com/file/p17155910/belgium.cpp belgium.cpp
> http://www.nabble.com/file/p17155910/malaysia.cpp malaysia.cpp
> http://www.nabble.com/file/p17155910/malaysia.hpp malaysia.hpp
> http://www.nabble.com/file/p17155910/greece.hpp greece.hpp
> http://www.nabble.com/file/p17155910/belgium.hpp belgium.hpp
> http://www.nabble.com/file/p17155910/france.hpp france.hpp
> --
> View this message in context:
> http://www.nabble.com/New-Calendars-tp17155910p17155910.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
> 
> 
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> specifically indicated, this email does not constitute formal advice or
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> subsidiaries. 
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Re: [Quantlib-dev] seasonality for inflation term structures

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

On Fri, 2008-05-02 at 00:57 -0700, Chris Kenyon wrote:
> This implies:
> 1) Instead of vector<Real> we use a vector<Handle<Quote> > for
> seasonality factors.

Or we use either.

Luigi


-- 

The economy depends about as much on economists as the weather does on 
weather forecasters. 
-- Jean-Paul Kauffmann 

[Quantlib-dev] [ quantlib-Bugs-1947215 ] MS VS 2k3 complie error

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

Bugs item #1947215, was opened at 2008-04-20 16:26
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1947215&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: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: MS VS 2k3 complie error

Initial Comment:
When I try to complie the quantlib C++ source file, the following message came into error log like
Below is the one of the error log. What should I do?
I am a dummy in C++. Help!



:\Program Files\Microsoft Visual Studio .NET 2003\Vc7\include\vector(1112) : error C2065: '_Myoff' : undeclared identifier
        c:\Program Files\Microsoft Visual Studio .NET 2003\Vc7\include\vector(1102) : while compiling class-template member function 'std::vector<_Ty,_Ax>::const_iterator &std::vector<_Ty,_Ax>::const_iterator::operator +=(std::vector<_Ty,_Ax>::const_iterator::difference_type)'
        with
        [
            _Ty=bool,
            _Ax=std::allocator<bool>
        ]
        c:\Program Files\Microsoft Visual Studio .NET 2003\Vc7\include\vector(1455) : see reference to class template instantiation 'std::vector<_Ty,_Ax>::const_iterator' being compiled
        with
        [
            _Ty=bool,
            _Ax=std::allocator<bool>
        ]
        c:\Program Files\Microsoft Visual Studio .NET 2003\Vc7\include\vector(1454) : while compiling class-template member function 'std::vector<_Ty,_Ax>::const_reference std::vector<_Ty,_Ax>::operator [](std::vector<_Ty,_Ax>::size_type) const'
        with
        [
            _Ty=bool,
            _Ax=std::allocator<bool>
        ]
        c:\documents and settings\copolayuki\바탕 화면\quantlib\quantlib\ql\termstructures\volatility\swaption\swaptionvolcube1.hpp(148) : see reference to class template instantiation 'std::vector<_Ty,_Ax>' being compiled
        with
        [
            _Ty=bool,
            _Ax=std::allocator<bool>
        ]

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2008-05-12 11:00

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

Yes, it's a compiler problem. You can either patch the <vector> header as
described in the previous comment, or enable Microsoft extensions in the
project.

Luigi


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

Comment By: Nobody/Anonymous (nobody)
Date: 2008-04-23 07:59

Message:
Logged In: NO 

This happened to me as well when I first tried to compile with 2003. I had
to actually edit the vectorr header file and replace the reference to
_Myoff with this->_Myoff. I think this is an actual error with this header,
that might have beeen corrected in a service pack I have not yet installed
at teh time, but i am not sure.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1947215&group_id=12740

Re: [Quantlib-dev] New Calendars

[Lecuyer, F. <Fab...@cb...>]

Hi Mike,

I just had a look at the french calendar you implemented, and I don't think it is correct. 
There is no such thing as Good Friday or Boxing day in France (They actually exists, but only in Alsace-Lorraine). Furthermore, when a holiday falls on a week end, it doesn't get moved to a Monday or a Tuesday.
Finally it misses a few holidays, such as Armistice day, All saints day (which you have for the belgium calendar), or Bastille day. Here is a complete list:

Public Holidays

1 January 	New Year's Day (Jour de l'an)
1 May 	Labor Day (Fête du premier mai)
8 May 	WWII Victory Day (Fête de la Victoire 1945; Fête du huitième mai)
14 July 	Bastille Day (Fête nationale)
15 August 	Assumption of the Blessed Virgin Mary (Assomption)
1 November 	All Saints Day (La Toussaint)
11 November 	Armistice Day (Jour d'armistice)
25 December 	Christmas Day (Noël)
26 December 	2nd Day of Christmas (in Alsace and Lorraine only)

Moveable Feasts
Religion: Christian (Western)
Feast 	2007 	2008 	2009 	2010 	2011 	2012
Good Friday*   	6 April 	21 March 	10 April 	2 April 	22 April 	6 April
Easter (Pâques)   	8 April 	23 March 	12 April 	4 April 	24 April 	8 April
Easter Monday   	9 April 	24 March 	13 April 	5 April 	25 April 	9 April
Ascension (l'Ascencion)   	17 May 	1 May 	21 May 	13 May 	2 June 	17 May
Pentecost (la Pentecôte)   	27 May 	11 May 	31 May 	23 May 	12 June 	27 May
Whit Monday   	28 May 	12 May 	1 June 	24 May 	13 June 	28 May

*In Alsace and Lorraine only.

In years when Ascension Day concurs with Victory Day, we mark only the former, thus ignoring the latter.

Metal workers have the holiday of St. Eloi, July 24 (Festival of St. Eloi - French Basque).

Note that when a holiday happens to fall on a Tuesday or Thursday, many French workers may take the Monday or, respectively, Friday, off as well. This is not official and does not apply to institutions such as banks or government, but is sufficiently commonplace to cause difficulties doing business on occasion...

Vive La France,
Fabrice


-----Original Message-----
From: qua...@li... [mailto:qua...@li...] On Behalf Of MJC1
Sent: Saturday, 10 May 2008 6:31 AM
To: qua...@li...
Subject: [Quantlib-dev] New Calendars


Hi,

I've created 4 additional calendars currently not included in version 0.9.
The formats were taken from existing calendars.

Could these be added to the calendar library?

Thanks,

Mike Craig

http://www.nabble.com/file/p17155910/greece.cpp greece.cpp http://www.nabble.com/file/p17155910/france.cpp france.cpp http://www.nabble.com/file/p17155910/belgium.cpp belgium.cpp http://www.nabble.com/file/p17155910/malaysia.cpp malaysia.cpp http://www.nabble.com/file/p17155910/malaysia.hpp malaysia.hpp http://www.nabble.com/file/p17155910/greece.hpp greece.hpp http://www.nabble.com/file/p17155910/belgium.hpp belgium.hpp http://www.nabble.com/file/p17155910/france.hpp france.hpp
--
View this message in context: http://www.nabble.com/New-Calendars-tp17155910p17155910.html
Sent from the quantlib-dev mailing list archive at Nabble.com.


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**************************************************************

Re: [Quantlib-dev] [Quantlib-users] copulas library proposal

[Marek2 <mgl...@gm...>]

Hi Ferdinando


>>thanks for the contribution, I've just added it in the trunk code base.
>>I've pruned redundant inclusions, move inclusion to cpp file when
>>possible, expanded error messages to be more informative, and avoided
>>instantiating objects in the GaussianCopula::operator() method since
>>they could be instantiated once for all in the constructor.

Thanks for improvements, now code looks and works better.

>>It would be nice if you would contribute a unit test which reproduces
>>known tabulated values. This way I could have checked that I didn't
>>introduce any error ;-)

Unfortunately, I don't have any source for copulas values, neither in
printed
form nor by commercal software packages, I only find free library for R.
I check code and I don't find any error. I think accuracy is as good as
accuracy
of exp and other standard functions ;)
 

>>One question: you contributed bidimensional copulas. Is there an
>>efficient standard approach how to generalize to arbitrary dimensions?

As far I know in general there is no easy way to generalize arbitrary copula
to n-dimension, but some special families like elliptical it's quite easy.
For example for gaussian copula in place of bivariate_normal place
multivariate_normal, but for the time being in quantlib there is no
multivariate
normal except bivariate of course ;) Additional problem is interface, 
for more than n-dimenisional copulas I suggest to use vector of n-variables.
It could be interesting to develop, but I think multivariate distributions
should be done first.

Best Regards
Marek
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View this message in context: http://www.nabble.com/Re%3A--Quantlib-users--copulas-library-proposal-tp17107038p17165317.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

[Quantlib-dev] New Calendars

[MJC1 <mic...@td...>]

Hi,

I've created 4 additional calendars currently not included in version 0.9.
The formats were taken from existing calendars.

Could these be added to the calendar library?

Thanks,

Mike Craig

http://www.nabble.com/file/p17155910/greece.cpp greece.cpp 
http://www.nabble.com/file/p17155910/france.cpp france.cpp 
http://www.nabble.com/file/p17155910/belgium.cpp belgium.cpp 
http://www.nabble.com/file/p17155910/malaysia.cpp malaysia.cpp 
http://www.nabble.com/file/p17155910/malaysia.hpp malaysia.hpp 
http://www.nabble.com/file/p17155910/greece.hpp greece.hpp 
http://www.nabble.com/file/p17155910/belgium.hpp belgium.hpp 
http://www.nabble.com/file/p17155910/france.hpp france.hpp 
-- 
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Sent from the quantlib-dev mailing list archive at Nabble.com.

Re: [Quantlib-dev] Contributions

[Bianchetti M. <mar...@ba...>]

What about the dog...? :-)

> -----Original Message-----
> From: qua...@li... 
> [mailto:qua...@li...] On Behalf 
> Of Luigi Ballabio
> Sent: venerdì 9 maggio 2008 09.33
> To: Tito Ingargiola
> Cc: Simon Ibbotson - Straumur; qua...@li...
> Subject: Re: [Quantlib-dev] Contributions
> 
> 
> On Thu, 2008-05-08 at 12:27 -0700, Tito Ingargiola wrote:
> > 
> > I think we may be overlooking a pretty obvious solution here:
> > 
> > 
> http://puppetmastertrading.com/images/ObviousSolutionToQuantli
bDevBottleneck.jpg

No, this turned out bad in pretty much every movie I saw...

Luigi


-- 

Grabel's Law: 
2 is not equal to 3 -- not even for large values of 2. 



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Re: [Quantlib-dev] Contributions

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

On Thu, 2008-05-08 at 12:27 -0700, Tito Ingargiola wrote:
> 
> I think we may be overlooking a pretty obvious solution here:
> 
> http://puppetmastertrading.com/images/ObviousSolutionToQuantlibDevBottleneck.jpg

No, this turned out bad in pretty much every movie I saw...

Luigi


-- 

Grabel's Law: 
2 is not equal to 3 -- not even for large values of 2. 

Re: [Quantlib-dev] Contributions

[Tito I. <tit...@ya...>]

I think we may be overlooking a pretty obvious solution here:

http://puppetmastertrading.com/images/ObviousSolutionToQuantlibDevBottleneck.jpg


Luigi Ballabio <lui...@gm...> wrote: On Thu, 2008-05-08 at 15:08 +0000, Simon Ibbotson - Straumur wrote:
> Whilst I'd love to see what many other people are working on, I'm not
> sure how this would work... a lot of contributions change the existing
> codebase - so you'd either have duplicate code in the ql/contrib folder
> or it would be purely for new classes.

True, it wouldn't work if contributions change the existing classes.
Those (or part of them) would have to be integrated with the main
library.
However, most contributions I received were new classes.  I was thinking
of those as going into the experimental folder.

Luigi


-- 

Newton's Law of Gravitation: 
What goes up must come down. But don't expect it to come down 
where you can find it. Murphy's Law applies to Newton's. 



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Re: [Quantlib-dev] Contributions

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

On Thu, 2008-05-08 at 15:08 +0000, Simon Ibbotson - Straumur wrote:
> Whilst I'd love to see what many other people are working on, I'm not
> sure how this would work... a lot of contributions change the existing
> codebase - so you'd either have duplicate code in the ql/contrib folder
> or it would be purely for new classes.

True, it wouldn't work if contributions change the existing classes.
Those (or part of them) would have to be integrated with the main
library.
However, most contributions I received were new classes.  I was thinking
of those as going into the experimental folder.

Luigi


-- 

Newton's Law of Gravitation: 
What goes up must come down. But don't expect it to come down 
where you can find it. Murphy's Law applies to Newton's. 

Re: [Quantlib-dev] Contributions

[Simon I. - S. <Sim...@st...>]

Hi Luigi,

Whilst I'd love to see what many other people are working on, I'm not
sure how this would work... a lot of contributions change the existing
codebase - so you'd either have duplicate code in the ql/contrib folder
or it would be purely for new classes.

If there isn't time for you to test the code - why not have a different
branch of the library which includes the contributions. Effectively two
releases: a full release and a beta version of the next.

Alternatively, you could accept all contributions which compile and
don't break the test-suite...? Admittedly, this might mean that some of
the interfaces change between releases - which can be a pain, unless the
important interfaces are in the test-suite.

Cheers,

Simon




-----Original Message-----
From: Luigi Ballabio [mailto:lui...@gm...] 
Sent: 07 May 2008 16:54
To: QuantLib developers; QuantLib users
Cc: jwm...@ya...; toy...@ho...; ri...@ma...;
all...@ya...; fho...@gm...; mar...@go...;
Simon Ibbotson - Straumur
Subject: Contributions


Hi all,
	as you've noticed by my delay in answering posts on the mailing
lists,
I'm not being able to allocate much time for QuantLib.  Which is more
the pity, since we've received quite a few contributions I'd like to
look at and include in the library.  Moreover, I'd like to put out a
release in the next couple of months.

Putting this all together---what would you say about creating a
ql/contrib folder in the library where I would add contributions just as
they are? The main points would be:

(+) contributions would go in without much effort; we'd just have to
check that they compile against the current code;
(+) they would be out earlier, thus receiving more feedback;
(-) their interfaces wouldn't be considered stable; based on feedback,
they could be reworked so that they fit preferred usage and the design
of the rest of the library.

In time, we'd look at them more carefully and move them to the regular
folder hierarchy.

And now that I think of it, we don't even need a ql/contrib folder---we
can use the existing ql/experimental instead.

What do you think?

Luigi



-- 

There are two ways of constructing a software design. One way is to 
make it so simple that there are obviously no deficiencies. And the 
other way is to make it so complicated that there are no obvious 
deficiencies. 
-- C. A. R. Hoare 

[Quantlib-dev] Contributions

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

Hi all,
	as you've noticed by my delay in answering posts on the mailing lists,
I'm not being able to allocate much time for QuantLib.  Which is more
the pity, since we've received quite a few contributions I'd like to
look at and include in the library.  Moreover, I'd like to put out a
release in the next couple of months.

Putting this all together---what would you say about creating a
ql/contrib folder in the library where I would add contributions just as
they are? The main points would be:

(+) contributions would go in without much effort; we'd just have to
check that they compile against the current code;
(+) they would be out earlier, thus receiving more feedback;
(-) their interfaces wouldn't be considered stable; based on feedback,
they could be reworked so that they fit preferred usage and the design
of the rest of the library.

In time, we'd look at them more carefully and move them to the regular
folder hierarchy.

And now that I think of it, we don't even need a ql/contrib folder---we
can use the existing ql/experimental instead.

What do you think?

Luigi



-- 

There are two ways of constructing a software design. One way is to 
make it so simple that there are obviously no deficiencies. And the 
other way is to make it so complicated that there are no obvious 
deficiencies. 
-- C. A. R. Hoare