quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] callable bonds

[tibbar <tib...@gm...>]

If you could send the code that would be fantastic - I can do some testing to
verify the results.

I think ideally as you say, the convertible class should also provide this
functionality, as it is only showing part of the option value.

Thanks



Allen Kuo wrote:
> 
> Tibbar: the QL convertible bond doesn't consider stochastic interest
> rates, just stochastic stock prices. I think the volatility you
> entered below is for the latter, not the former. So I don't think it
> will reduce to a callable bond (where the optionality is a function of
> interest rate volatility). Nice project would be to integrate this
> feature into the convertible bond class- best way, I suppose, is to go
> back to the 2-D Black Scholes. Bloomberg also has a 2-D model. I don't
> think the TF or Ayache models naturally extend to stochastic interest
> rates. Was working on the generic 2-D PDE solver, but I got
> sidetracked with work.
> 
> Callable bonds should come out in the next release- I can send you the
> pre-release code if you want.
> 
> Luigi: Can I get this email address added to
> qua...@li... ?
> 
> GZH
> 
> 
> 
> 
> 
> On 3/8/08, tibbar <tib...@gm...> wrote:
>>
>> Here's where I've got to.
>>
>> I started with the convertible bond example and:
>>
>> - set conversion ratio to 0.0000001
>> - removed dividends
>> - removed the puttable bit
>> - set my callable terms
>>
>> But, it seems the market value of the callable bond is unaffected by the
>> choice of strike prices... (I tried high and low values).
>>
>> My program is below, I also have some specific questions on syntax:
>>
>> - what is the 1.20 for in:
>> SoftCallability(Callability::Price(
>>                                                   callPrices[i],
>>
>> Callability::Price::Clean),
>>                                           schedule.date(callLength[i]),
>>                                           1.20)));
>>
>> - why do I get time to maturity as 4.00822 in the output, when i set it
>> to
>> 4?  If I set it to 3, then the output says 3 exactly...
>>
>> - what is the 1 for in the coupon definition: std::vector<Real>
>> coupons(1,
>> 0.065)?  Is this frequency of coupons per annum?
>>
>> I'll be grateful for any feedback.
>>
>> //// CODE SNIPPET/////
>>        boost::timer timer;
>>        std::cout << std::endl;
>>
>>                Option::Type type(Option::Call);
>>        Real underlying = 36.0;
>>        Real spreadRate = 0.;//0.005;
>>
>>        Spread dividendYield = 0.; //0.02;
>>        Rate riskFreeRate = 0.05;
>>        Volatility volatility = 0.10;
>>
>>        Integer settlementDays = 0;
>>        Integer length = 4;
>>        Real redemption = 100.0;
>>        Real conversionRatio = 0.0000001; //redemption/underlying; // at
>> the
>> money
>>
>>        // set up dates/schedules
>>        Calendar calendar = TARGET();
>>        Date today = calendar.adjust(Date::todaysDate());
>>
>>        Settings::instance().evaluationDate() = today;
>>        Date settlementDate = calendar.advance(today, settlementDays,
>> Days);
>>        Date exerciseDate = calendar.advance(settlementDate, length,
>> Years);
>>        Date issueDate = calendar.advance(exerciseDate, -length, Years);
>>
>>        BusinessDayConvention convention = ModifiedFollowing;
>>
>>        Frequency frequency = Annual;
>>
>>        Schedule schedule(issueDate, exerciseDate,
>>                          Period(frequency), calendar,
>>                          convention, convention,
>>                          DateGeneration::Backward, false);
>>
>>        DividendSchedule dividends;
>>        CallabilitySchedule callability;
>>
>>        std::vector<Real> coupons(1, 0.065);
>>
>>        DayCounter bondDayCount =Actual365Fixed(); // Thirty360();
>>
>>        Integer callLength[] = { 1, 2, 3 };  // Call dates, years 2, 4.
>>    //    Integer putLength[] = { 3 }; // Put dates year 3
>>
>>                // these need to be less than npv of redemption and future
>> coupons at 5%
>> to bite!
>>        Real callPrices[] = { 140.0, 190.0, 102.0 };
>>    //    Real putPrices[]= { 105.0 };
>>
>>        // Load call schedules
>>        for (Size i=0; i<LENGTH(callLength); i++) {
>>            callability.push_back(
>>                   boost::shared_ptr<Callability>(
>>                       new SoftCallability(Callability::Price(
>>                                                   callPrices[i],
>>
>> Callability::Price::Clean),
>>                                           schedule.date(callLength[i]),
>>                                           1.20)));
>>        }
>>
>>  /*       for (Size j=0; j<LENGTH(putLength); j++) {
>>            callability.push_back(
>>                   boost::shared_ptr<Callability>(
>>                           new Callability(Callability::Price(
>>                                                   putPrices[j],
>>
>> Callability::Price::Clean),
>>                                           Callability::Put,
>>                                           schedule.date(putLength[j]))));
>>        }
>> */
>>
>>        DayCounter dayCounter = Actual365Fixed();
>>        Time maturity = dayCounter.yearFraction(settlementDate,
>>                                                exerciseDate);
>>
>>        std::cout << "option type = "  << type << std::endl;
>>        std::cout << "Time to maturity = "        << maturity
>>                  << std::endl;
>>        std::cout << "Underlying price = "        << underlying
>>                  << std::endl;
>>        std::cout << "Risk-free interest rate = " <<
>> io::rate(riskFreeRate)
>>                  << std::endl;
>>        std::cout << "Dividend yield = " << io::rate(dividendYield)
>>                  << std::endl;
>>        std::cout << "Volatility = " << io::volatility(volatility)
>>                  << std::endl;
>>        std::cout << std::endl;
>>
>>        std::string method;
>>        std::cout << std::endl ;
>>
>>        // write column headings
>>        Size widths[] = { 35, 14, 14 };
>>        Size totalWidth = widths[0] + widths[1] + widths[2];
>>        std::string rule(totalWidth, '-'), dblrule(totalWidth, '=');
>>
>>        std::cout << dblrule << std::endl;
>>        std::cout << "Tsiveriotis-Fernandes method" << std::endl;
>>        std::cout << dblrule << std::endl;
>>        std::cout << std::setw(widths[0]) << std::left << "Tree type"
>>                  << std::setw(widths[1]) << std::left << "European"
>>                  << std::setw(widths[1]) << std::left << "American"
>>                  << std::endl;
>>        std::cout << rule << std::endl;
>>
>>        boost::shared_ptr<Exercise> exercise(
>>                                          new
>> EuropeanExercise(exerciseDate));
>>        boost::shared_ptr<Exercise> amExercise(
>>                                          new
>> AmericanExercise(settlementDate,
>>
>> exerciseDate));
>>
>>        Handle underlyingH(
>>            boost::shared_ptr(new SimpleQuote(underlying)));
>>
>>        Handle<YieldTermStructure> flatTermStructure(
>>            boost::shared_ptr<YieldTermStructure>(
>>                new FlatForward(settlementDate, riskFreeRate,
>> dayCounter)));
>>
>>        Handle<YieldTermStructure> flatDividendTS(
>>            boost::shared_ptr<YieldTermStructure>(
>>                new FlatForward(settlementDate, dividendYield,
>> dayCounter)));
>>
>>        Handle<BlackVolTermStructure> flatVolTS(
>>            boost::shared_ptr<BlackVolTermStructure>(
>>                new BlackConstantVol(settlementDate, calendar,
>>                                     volatility, dayCounter)));
>>
>>
>>        boost::shared_ptr<BlackScholesMertonProcess> stochasticProcess(
>>                              new BlackScholesMertonProcess(underlyingH,
>>                                                           
>> flatDividendTS,
>>
>> flatTermStructure,
>>                                                            flatVolTS));
>>
>>        Size timeSteps = 801;
>>
>>        Handle creditSpread(
>>                       boost::shared_ptr(new SimpleQuote(spreadRate)));
>>
>>        boost::shared_ptr rate(new SimpleQuote(riskFreeRate));
>>
>>        Handle<YieldTermStructure> discountCurve(
>>                boost::shared_ptr<YieldTermStructure>(
>>                    new FlatForward(today, Handle(rate), dayCounter)));
>>
>>        boost::shared_ptr<PricingEngine> engine(
>>                  new
>> BinomialConvertibleEngine<JarrowRudd>(stochasticProcess,
>>                                                            timeSteps));
>>
>>                ConvertibleFixedCouponBond europeanBond(
>>                            exercise, conversionRatio, dividends,
>> callability,
>>                            creditSpread, issueDate, settlementDays,
>>                            coupons, bondDayCount, schedule, redemption);
>>        europeanBond.setPricingEngine(engine);
>>
>>        ConvertibleFixedCouponBond americanBond(
>>                          amExercise, conversionRatio, dividends,
>> callability,
>>                          creditSpread, issueDate, settlementDays,
>>                          coupons, bondDayCount, schedule, redemption);
>>        americanBond.setPricingEngine(engine);
>>
>>        method = "Jarrow-Rudd";
>>        europeanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
>>                  new
>> BinomialConvertibleEngine<JarrowRudd>(stochasticProcess,
>>                                                            timeSteps)));
>>        americanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
>>                  new
>> BinomialConvertibleEngine<JarrowRudd>(stochasticProcess,
>>                                                            timeSteps)));
>>        std::cout << std::setw(widths[0]) << std::left << method
>>                  << std::fixed
>>                  << std::setw(widths[1]) << std::left <<
>> europeanBond.NPV()
>>                  << std::setw(widths[2]) << std::left <<
>> americanBond.NPV()
>>                  << std::endl;
>>
>>
>>
>>
>> tibbar wrote:
>> >
>> > Could anyone give me some ideas of how to price callable bonds in
>> > quantlib?
>> >
>> > Bond features are:
>> >
>> > - initial deferred period where the bond is not callable
>> > - seperate strike price for exercise in each remaining year of the
>> bond's
>> > life.
>> >
>> > I've seen some discussions that the convertible bond class should be
>> used,
>> > but as a newbee I'm a little intimidated by the quantlib terminology.
>> >
>> > What I'd really need to know is what changes to make to the standard
>> > convertible sample code:
>> >
>> > http://quantlib.org/reference/_convertible_bonds_8cpp-example.html
>> >
>> > Many thanks.
>> >
>>
>> --
>> View this message in context:
>> http://www.nabble.com/callable-bonds-tp15903645p15910210.html
>> Sent from the quantlib-dev mailing list archive at Nabble.com.
>>
>>
>> -------------------------------------------------------------------------
>> This SF.net email is sponsored by: Microsoft
>> Defy all challenges. Microsoft(R) Visual Studio 2008.
>> http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
> 
> -------------------------------------------------------------------------
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> Defy all challenges. Microsoft(R) Visual Studio 2008.
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> _______________________________________________
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> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> 
> 

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Re: [Quantlib-dev] callable bonds

[tibbar <tib...@gm...>]

If you could send the code that would be fantastic - I can do some testing to
verify the results.

I think ideally as you say, the convertible class should also provide this
functionality, as it is only showing part of the option value.

Thanks



Allen Kuo wrote:
> 
> Tibbar: the QL convertible bond doesn't consider stochastic interest
> rates, just stochastic stock prices. I think the volatility you
> entered below is for the latter, not the former. So I don't think it
> will reduce to a callable bond (where the optionality is a function of
> interest rate volatility). Nice project would be to integrate this
> feature into the convertible bond class- best way, I suppose, is to go
> back to the 2-D Black Scholes. Bloomberg also has a 2-D model. I don't
> think the TF or Ayache models naturally extend to stochastic interest
> rates. Was working on the generic 2-D PDE solver, but I got
> sidetracked with work.
> 
> Callable bonds should come out in the next release- I can send you the
> pre-release code if you want.
> 
> Luigi: Can I get this email address added to
> qua...@li... ?
> 
> GZH
> 
> 
> 
> 
> 
> On 3/8/08, tibbar <tib...@gm...> wrote:
>>
>> Here's where I've got to.
>>
>> I started with the convertible bond example and:
>>
>> - set conversion ratio to 0.0000001
>> - removed dividends
>> - removed the puttable bit
>> - set my callable terms
>>
>> But, it seems the market value of the callable bond is unaffected by the
>> choice of strike prices... (I tried high and low values).
>>
>> My program is below, I also have some specific questions on syntax:
>>
>> - what is the 1.20 for in:
>> SoftCallability(Callability::Price(
>>                                                   callPrices[i],
>>
>> Callability::Price::Clean),
>>                                           schedule.date(callLength[i]),
>>                                           1.20)));
>>
>> - why do I get time to maturity as 4.00822 in the output, when i set it
>> to
>> 4?  If I set it to 3, then the output says 3 exactly...
>>
>> - what is the 1 for in the coupon definition: std::vector<Real>
>> coupons(1,
>> 0.065)?  Is this frequency of coupons per annum?
>>
>> I'll be grateful for any feedback.
>>
>> //// CODE SNIPPET/////
>>        boost::timer timer;
>>        std::cout << std::endl;
>>
>>                Option::Type type(Option::Call);
>>        Real underlying = 36.0;
>>        Real spreadRate = 0.;//0.005;
>>
>>        Spread dividendYield = 0.; //0.02;
>>        Rate riskFreeRate = 0.05;
>>        Volatility volatility = 0.10;
>>
>>        Integer settlementDays = 0;
>>        Integer length = 4;
>>        Real redemption = 100.0;
>>        Real conversionRatio = 0.0000001; //redemption/underlying; // at
>> the
>> money
>>
>>        // set up dates/schedules
>>        Calendar calendar = TARGET();
>>        Date today = calendar.adjust(Date::todaysDate());
>>
>>        Settings::instance().evaluationDate() = today;
>>        Date settlementDate = calendar.advance(today, settlementDays,
>> Days);
>>        Date exerciseDate = calendar.advance(settlementDate, length,
>> Years);
>>        Date issueDate = calendar.advance(exerciseDate, -length, Years);
>>
>>        BusinessDayConvention convention = ModifiedFollowing;
>>
>>        Frequency frequency = Annual;
>>
>>        Schedule schedule(issueDate, exerciseDate,
>>                          Period(frequency), calendar,
>>                          convention, convention,
>>                          DateGeneration::Backward, false);
>>
>>        DividendSchedule dividends;
>>        CallabilitySchedule callability;
>>
>>        std::vector<Real> coupons(1, 0.065);
>>
>>        DayCounter bondDayCount =Actual365Fixed(); // Thirty360();
>>
>>        Integer callLength[] = { 1, 2, 3 };  // Call dates, years 2, 4.
>>    //    Integer putLength[] = { 3 }; // Put dates year 3
>>
>>                // these need to be less than npv of redemption and future
>> coupons at 5%
>> to bite!
>>        Real callPrices[] = { 140.0, 190.0, 102.0 };
>>    //    Real putPrices[]= { 105.0 };
>>
>>        // Load call schedules
>>        for (Size i=0; i<LENGTH(callLength); i++) {
>>            callability.push_back(
>>                   boost::shared_ptr<Callability>(
>>                       new SoftCallability(Callability::Price(
>>                                                   callPrices[i],
>>
>> Callability::Price::Clean),
>>                                           schedule.date(callLength[i]),
>>                                           1.20)));
>>        }
>>
>>  /*       for (Size j=0; j<LENGTH(putLength); j++) {
>>            callability.push_back(
>>                   boost::shared_ptr<Callability>(
>>                           new Callability(Callability::Price(
>>                                                   putPrices[j],
>>
>> Callability::Price::Clean),
>>                                           Callability::Put,
>>                                           schedule.date(putLength[j]))));
>>        }
>> */
>>
>>        DayCounter dayCounter = Actual365Fixed();
>>        Time maturity = dayCounter.yearFraction(settlementDate,
>>                                                exerciseDate);
>>
>>        std::cout << "option type = "  << type << std::endl;
>>        std::cout << "Time to maturity = "        << maturity
>>                  << std::endl;
>>        std::cout << "Underlying price = "        << underlying
>>                  << std::endl;
>>        std::cout << "Risk-free interest rate = " <<
>> io::rate(riskFreeRate)
>>                  << std::endl;
>>        std::cout << "Dividend yield = " << io::rate(dividendYield)
>>                  << std::endl;
>>        std::cout << "Volatility = " << io::volatility(volatility)
>>                  << std::endl;
>>        std::cout << std::endl;
>>
>>        std::string method;
>>        std::cout << std::endl ;
>>
>>        // write column headings
>>        Size widths[] = { 35, 14, 14 };
>>        Size totalWidth = widths[0] + widths[1] + widths[2];
>>        std::string rule(totalWidth, '-'), dblrule(totalWidth, '=');
>>
>>        std::cout << dblrule << std::endl;
>>        std::cout << "Tsiveriotis-Fernandes method" << std::endl;
>>        std::cout << dblrule << std::endl;
>>        std::cout << std::setw(widths[0]) << std::left << "Tree type"
>>                  << std::setw(widths[1]) << std::left << "European"
>>                  << std::setw(widths[1]) << std::left << "American"
>>                  << std::endl;
>>        std::cout << rule << std::endl;
>>
>>        boost::shared_ptr<Exercise> exercise(
>>                                          new
>> EuropeanExercise(exerciseDate));
>>        boost::shared_ptr<Exercise> amExercise(
>>                                          new
>> AmericanExercise(settlementDate,
>>
>> exerciseDate));
>>
>>        Handle underlyingH(
>>            boost::shared_ptr(new SimpleQuote(underlying)));
>>
>>        Handle<YieldTermStructure> flatTermStructure(
>>            boost::shared_ptr<YieldTermStructure>(
>>                new FlatForward(settlementDate, riskFreeRate,
>> dayCounter)));
>>
>>        Handle<YieldTermStructure> flatDividendTS(
>>            boost::shared_ptr<YieldTermStructure>(
>>                new FlatForward(settlementDate, dividendYield,
>> dayCounter)));
>>
>>        Handle<BlackVolTermStructure> flatVolTS(
>>            boost::shared_ptr<BlackVolTermStructure>(
>>                new BlackConstantVol(settlementDate, calendar,
>>                                     volatility, dayCounter)));
>>
>>
>>        boost::shared_ptr<BlackScholesMertonProcess> stochasticProcess(
>>                              new BlackScholesMertonProcess(underlyingH,
>>                                                           
>> flatDividendTS,
>>
>> flatTermStructure,
>>                                                            flatVolTS));
>>
>>        Size timeSteps = 801;
>>
>>        Handle creditSpread(
>>                       boost::shared_ptr(new SimpleQuote(spreadRate)));
>>
>>        boost::shared_ptr rate(new SimpleQuote(riskFreeRate));
>>
>>        Handle<YieldTermStructure> discountCurve(
>>                boost::shared_ptr<YieldTermStructure>(
>>                    new FlatForward(today, Handle(rate), dayCounter)));
>>
>>        boost::shared_ptr<PricingEngine> engine(
>>                  new
>> BinomialConvertibleEngine<JarrowRudd>(stochasticProcess,
>>                                                            timeSteps));
>>
>>                ConvertibleFixedCouponBond europeanBond(
>>                            exercise, conversionRatio, dividends,
>> callability,
>>                            creditSpread, issueDate, settlementDays,
>>                            coupons, bondDayCount, schedule, redemption);
>>        europeanBond.setPricingEngine(engine);
>>
>>        ConvertibleFixedCouponBond americanBond(
>>                          amExercise, conversionRatio, dividends,
>> callability,
>>                          creditSpread, issueDate, settlementDays,
>>                          coupons, bondDayCount, schedule, redemption);
>>        americanBond.setPricingEngine(engine);
>>
>>        method = "Jarrow-Rudd";
>>        europeanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
>>                  new
>> BinomialConvertibleEngine<JarrowRudd>(stochasticProcess,
>>                                                            timeSteps)));
>>        americanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
>>                  new
>> BinomialConvertibleEngine<JarrowRudd>(stochasticProcess,
>>                                                            timeSteps)));
>>        std::cout << std::setw(widths[0]) << std::left << method
>>                  << std::fixed
>>                  << std::setw(widths[1]) << std::left <<
>> europeanBond.NPV()
>>                  << std::setw(widths[2]) << std::left <<
>> americanBond.NPV()
>>                  << std::endl;
>>
>>
>>
>>
>> tibbar wrote:
>> >
>> > Could anyone give me some ideas of how to price callable bonds in
>> > quantlib?
>> >
>> > Bond features are:
>> >
>> > - initial deferred period where the bond is not callable
>> > - seperate strike price for exercise in each remaining year of the
>> bond's
>> > life.
>> >
>> > I've seen some discussions that the convertible bond class should be
>> used,
>> > but as a newbee I'm a little intimidated by the quantlib terminology.
>> >
>> > What I'd really need to know is what changes to make to the standard
>> > convertible sample code:
>> >
>> > http://quantlib.org/reference/_convertible_bonds_8cpp-example.html
>> >
>> > Many thanks.
>> >
>>
>> --
>> View this message in context:
>> http://www.nabble.com/callable-bonds-tp15903645p15910210.html
>> Sent from the quantlib-dev mailing list archive at Nabble.com.
>>
>>
>> -------------------------------------------------------------------------
>> This SF.net email is sponsored by: Microsoft
>> Defy all challenges. Microsoft(R) Visual Studio 2008.
>> http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
> 
> -------------------------------------------------------------------------
> This SF.net email is sponsored by: Microsoft
> Defy all challenges. Microsoft(R) Visual Studio 2008.
> http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> 
> 

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Re: [Quantlib-dev] callable bonds

[Zhonghua G. <zho...@gm...>]

Tibbar: the QL convertible bond doesn't consider stochastic interest
rates, just stochastic stock prices. I think the volatility you
entered below is for the latter, not the former. So I don't think it
will reduce to a callable bond (where the optionality is a function of
interest rate volatility). Nice project would be to integrate this
feature into the convertible bond class- best way, I suppose, is to go
back to the 2-D Black Scholes. Bloomberg also has a 2-D model. I don't
think the TF or Ayache models naturally extend to stochastic interest
rates. Was working on the generic 2-D PDE solver, but I got
sidetracked with work.

Callable bonds should come out in the next release- I can send you the
pre-release code if you want.

Luigi: Can I get this email address added to
qua...@li... ?

GZH





On 3/8/08, tibbar <tib...@gm...> wrote:
>
> Here's where I've got to.
>
> I started with the convertible bond example and:
>
> - set conversion ratio to 0.0000001
> - removed dividends
> - removed the puttable bit
> - set my callable terms
>
> But, it seems the market value of the callable bond is unaffected by the
> choice of strike prices... (I tried high and low values).
>
> My program is below, I also have some specific questions on syntax:
>
> - what is the 1.20 for in:
> SoftCallability(Callability::Price(
>                                                   callPrices[i],
>
> Callability::Price::Clean),
>                                           schedule.date(callLength[i]),
>                                           1.20)));
>
> - why do I get time to maturity as 4.00822 in the output, when i set it to
> 4?  If I set it to 3, then the output says 3 exactly...
>
> - what is the 1 for in the coupon definition: std::vector<Real> coupons(1,
> 0.065)?  Is this frequency of coupons per annum?
>
> I'll be grateful for any feedback.
>
> //// CODE SNIPPET/////
>        boost::timer timer;
>        std::cout << std::endl;
>
>                Option::Type type(Option::Call);
>        Real underlying = 36.0;
>        Real spreadRate = 0.;//0.005;
>
>        Spread dividendYield = 0.; //0.02;
>        Rate riskFreeRate = 0.05;
>        Volatility volatility = 0.10;
>
>        Integer settlementDays = 0;
>        Integer length = 4;
>        Real redemption = 100.0;
>        Real conversionRatio = 0.0000001; //redemption/underlying; // at the
> money
>
>        // set up dates/schedules
>        Calendar calendar = TARGET();
>        Date today = calendar.adjust(Date::todaysDate());
>
>        Settings::instance().evaluationDate() = today;
>        Date settlementDate = calendar.advance(today, settlementDays, Days);
>        Date exerciseDate = calendar.advance(settlementDate, length, Years);
>        Date issueDate = calendar.advance(exerciseDate, -length, Years);
>
>        BusinessDayConvention convention = ModifiedFollowing;
>
>        Frequency frequency = Annual;
>
>        Schedule schedule(issueDate, exerciseDate,
>                          Period(frequency), calendar,
>                          convention, convention,
>                          DateGeneration::Backward, false);
>
>        DividendSchedule dividends;
>        CallabilitySchedule callability;
>
>        std::vector<Real> coupons(1, 0.065);
>
>        DayCounter bondDayCount =Actual365Fixed(); // Thirty360();
>
>        Integer callLength[] = { 1, 2, 3 };  // Call dates, years 2, 4.
>    //    Integer putLength[] = { 3 }; // Put dates year 3
>
>                // these need to be less than npv of redemption and future coupons at 5%
> to bite!
>        Real callPrices[] = { 140.0, 190.0, 102.0 };
>    //    Real putPrices[]= { 105.0 };
>
>        // Load call schedules
>        for (Size i=0; i<LENGTH(callLength); i++) {
>            callability.push_back(
>                   boost::shared_ptr<Callability>(
>                       new SoftCallability(Callability::Price(
>                                                   callPrices[i],
>
> Callability::Price::Clean),
>                                           schedule.date(callLength[i]),
>                                           1.20)));
>        }
>
>  /*       for (Size j=0; j<LENGTH(putLength); j++) {
>            callability.push_back(
>                   boost::shared_ptr<Callability>(
>                           new Callability(Callability::Price(
>                                                   putPrices[j],
>
> Callability::Price::Clean),
>                                           Callability::Put,
>                                           schedule.date(putLength[j]))));
>        }
> */
>
>        DayCounter dayCounter = Actual365Fixed();
>        Time maturity = dayCounter.yearFraction(settlementDate,
>                                                exerciseDate);
>
>        std::cout << "option type = "  << type << std::endl;
>        std::cout << "Time to maturity = "        << maturity
>                  << std::endl;
>        std::cout << "Underlying price = "        << underlying
>                  << std::endl;
>        std::cout << "Risk-free interest rate = " << io::rate(riskFreeRate)
>                  << std::endl;
>        std::cout << "Dividend yield = " << io::rate(dividendYield)
>                  << std::endl;
>        std::cout << "Volatility = " << io::volatility(volatility)
>                  << std::endl;
>        std::cout << std::endl;
>
>        std::string method;
>        std::cout << std::endl ;
>
>        // write column headings
>        Size widths[] = { 35, 14, 14 };
>        Size totalWidth = widths[0] + widths[1] + widths[2];
>        std::string rule(totalWidth, '-'), dblrule(totalWidth, '=');
>
>        std::cout << dblrule << std::endl;
>        std::cout << "Tsiveriotis-Fernandes method" << std::endl;
>        std::cout << dblrule << std::endl;
>        std::cout << std::setw(widths[0]) << std::left << "Tree type"
>                  << std::setw(widths[1]) << std::left << "European"
>                  << std::setw(widths[1]) << std::left << "American"
>                  << std::endl;
>        std::cout << rule << std::endl;
>
>        boost::shared_ptr<Exercise> exercise(
>                                          new
> EuropeanExercise(exerciseDate));
>        boost::shared_ptr<Exercise> amExercise(
>                                          new
> AmericanExercise(settlementDate,
>
> exerciseDate));
>
>        Handle underlyingH(
>            boost::shared_ptr(new SimpleQuote(underlying)));
>
>        Handle<YieldTermStructure> flatTermStructure(
>            boost::shared_ptr<YieldTermStructure>(
>                new FlatForward(settlementDate, riskFreeRate, dayCounter)));
>
>        Handle<YieldTermStructure> flatDividendTS(
>            boost::shared_ptr<YieldTermStructure>(
>                new FlatForward(settlementDate, dividendYield,
> dayCounter)));
>
>        Handle<BlackVolTermStructure> flatVolTS(
>            boost::shared_ptr<BlackVolTermStructure>(
>                new BlackConstantVol(settlementDate, calendar,
>                                     volatility, dayCounter)));
>
>
>        boost::shared_ptr<BlackScholesMertonProcess> stochasticProcess(
>                              new BlackScholesMertonProcess(underlyingH,
>                                                            flatDividendTS,
>
> flatTermStructure,
>                                                            flatVolTS));
>
>        Size timeSteps = 801;
>
>        Handle creditSpread(
>                       boost::shared_ptr(new SimpleQuote(spreadRate)));
>
>        boost::shared_ptr rate(new SimpleQuote(riskFreeRate));
>
>        Handle<YieldTermStructure> discountCurve(
>                boost::shared_ptr<YieldTermStructure>(
>                    new FlatForward(today, Handle(rate), dayCounter)));
>
>        boost::shared_ptr<PricingEngine> engine(
>                  new
> BinomialConvertibleEngine<JarrowRudd>(stochasticProcess,
>                                                            timeSteps));
>
>                ConvertibleFixedCouponBond europeanBond(
>                            exercise, conversionRatio, dividends,
> callability,
>                            creditSpread, issueDate, settlementDays,
>                            coupons, bondDayCount, schedule, redemption);
>        europeanBond.setPricingEngine(engine);
>
>        ConvertibleFixedCouponBond americanBond(
>                          amExercise, conversionRatio, dividends,
> callability,
>                          creditSpread, issueDate, settlementDays,
>                          coupons, bondDayCount, schedule, redemption);
>        americanBond.setPricingEngine(engine);
>
>        method = "Jarrow-Rudd";
>        europeanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
>                  new
> BinomialConvertibleEngine<JarrowRudd>(stochasticProcess,
>                                                            timeSteps)));
>        americanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
>                  new
> BinomialConvertibleEngine<JarrowRudd>(stochasticProcess,
>                                                            timeSteps)));
>        std::cout << std::setw(widths[0]) << std::left << method
>                  << std::fixed
>                  << std::setw(widths[1]) << std::left << europeanBond.NPV()
>                  << std::setw(widths[2]) << std::left << americanBond.NPV()
>                  << std::endl;
>
>
>
>
> tibbar wrote:
> >
> > Could anyone give me some ideas of how to price callable bonds in
> > quantlib?
> >
> > Bond features are:
> >
> > - initial deferred period where the bond is not callable
> > - seperate strike price for exercise in each remaining year of the bond's
> > life.
> >
> > I've seen some discussions that the convertible bond class should be used,
> > but as a newbee I'm a little intimidated by the quantlib terminology.
> >
> > What I'd really need to know is what changes to make to the standard
> > convertible sample code:
> >
> > http://quantlib.org/reference/_convertible_bonds_8cpp-example.html
> >
> > Many thanks.
> >
>
> --
> View this message in context: http://www.nabble.com/callable-bonds-tp15903645p15910210.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
>
> -------------------------------------------------------------------------
> This SF.net email is sponsored by: Microsoft
> Defy all challenges. Microsoft(R) Visual Studio 2008.
> http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/
> _______________________________________________
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> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Re: [Quantlib-dev] callable bonds

[tibbar <tib...@gm...>]

Here's where I've got to.

I started with the convertible bond example and:

- set conversion ratio to 0.0000001
- removed dividends
- removed the puttable bit
- set my callable terms

But, it seems the market value of the callable bond is unaffected by the
choice of strike prices... (I tried high and low values).

My program is below, I also have some specific questions on syntax:

- what is the 1.20 for in:
SoftCallability(Callability::Price(
                                                   callPrices[i],
                                                  
Callability::Price::Clean),
                                           schedule.date(callLength[i]),
                                           1.20)));

- why do I get time to maturity as 4.00822 in the output, when i set it to
4?  If I set it to 3, then the output says 3 exactly...

- what is the 1 for in the coupon definition: std::vector<Real> coupons(1,
0.065)?  Is this frequency of coupons per annum?

I'll be grateful for any feedback.

//// CODE SNIPPET/////
        boost::timer timer;
        std::cout << std::endl;

		Option::Type type(Option::Call);
        Real underlying = 36.0;
        Real spreadRate = 0.;//0.005;

        Spread dividendYield = 0.; //0.02;
        Rate riskFreeRate = 0.05;
        Volatility volatility = 0.10;

        Integer settlementDays = 0;
        Integer length = 4;
        Real redemption = 100.0;
        Real conversionRatio = 0.0000001; //redemption/underlying; // at the
money

        // set up dates/schedules
        Calendar calendar = TARGET();
        Date today = calendar.adjust(Date::todaysDate());

        Settings::instance().evaluationDate() = today;
        Date settlementDate = calendar.advance(today, settlementDays, Days);
        Date exerciseDate = calendar.advance(settlementDate, length, Years);
        Date issueDate = calendar.advance(exerciseDate, -length, Years);

        BusinessDayConvention convention = ModifiedFollowing;

        Frequency frequency = Annual;

        Schedule schedule(issueDate, exerciseDate,
                          Period(frequency), calendar,
                          convention, convention,
                          DateGeneration::Backward, false);

        DividendSchedule dividends;
        CallabilitySchedule callability;

        std::vector<Real> coupons(1, 0.065);

        DayCounter bondDayCount =Actual365Fixed(); // Thirty360();

        Integer callLength[] = { 1, 2, 3 };  // Call dates, years 2, 4.
    //    Integer putLength[] = { 3 }; // Put dates year 3

		// these need to be less than npv of redemption and future coupons at 5%
to bite!
        Real callPrices[] = { 140.0, 190.0, 102.0 };
    //    Real putPrices[]= { 105.0 };

        // Load call schedules
        for (Size i=0; i<LENGTH(callLength); i++) {
            callability.push_back(
                   boost::shared_ptr<Callability>(
                       new SoftCallability(Callability::Price(
                                                   callPrices[i],
                                                  
Callability::Price::Clean),
                                           schedule.date(callLength[i]),
                                           1.20)));
        }

 /*       for (Size j=0; j<LENGTH(putLength); j++) {
            callability.push_back(
                   boost::shared_ptr<Callability>(
                           new Callability(Callability::Price(
                                                   putPrices[j],
                                                  
Callability::Price::Clean),
                                           Callability::Put,
                                           schedule.date(putLength[j]))));
        }
*/

        DayCounter dayCounter = Actual365Fixed();
        Time maturity = dayCounter.yearFraction(settlementDate,
                                                exerciseDate);

        std::cout << "option type = "  << type << std::endl;
        std::cout << "Time to maturity = "        << maturity
                  << std::endl;
        std::cout << "Underlying price = "        << underlying
                  << std::endl;
        std::cout << "Risk-free interest rate = " << io::rate(riskFreeRate)
                  << std::endl;
        std::cout << "Dividend yield = " << io::rate(dividendYield)
                  << std::endl;
        std::cout << "Volatility = " << io::volatility(volatility)
                  << std::endl;
        std::cout << std::endl;

        std::string method;
        std::cout << std::endl ;

        // write column headings
        Size widths[] = { 35, 14, 14 };
        Size totalWidth = widths[0] + widths[1] + widths[2];
        std::string rule(totalWidth, '-'), dblrule(totalWidth, '=');

        std::cout << dblrule << std::endl;
        std::cout << "Tsiveriotis-Fernandes method" << std::endl;
        std::cout << dblrule << std::endl;
        std::cout << std::setw(widths[0]) << std::left << "Tree type"
                  << std::setw(widths[1]) << std::left << "European"
                  << std::setw(widths[1]) << std::left << "American"
                  << std::endl;
        std::cout << rule << std::endl;

        boost::shared_ptr<Exercise> exercise(
                                          new
EuropeanExercise(exerciseDate));
        boost::shared_ptr<Exercise> amExercise(
                                          new
AmericanExercise(settlementDate,
                                                              
exerciseDate));

        Handle underlyingH(
            boost::shared_ptr(new SimpleQuote(underlying)));

        Handle<YieldTermStructure> flatTermStructure(
            boost::shared_ptr<YieldTermStructure>(
                new FlatForward(settlementDate, riskFreeRate, dayCounter)));

        Handle<YieldTermStructure> flatDividendTS(
            boost::shared_ptr<YieldTermStructure>(
                new FlatForward(settlementDate, dividendYield,
dayCounter)));

        Handle<BlackVolTermStructure> flatVolTS(
            boost::shared_ptr<BlackVolTermStructure>(
                new BlackConstantVol(settlementDate, calendar,
                                     volatility, dayCounter)));


        boost::shared_ptr<BlackScholesMertonProcess> stochasticProcess(
                              new BlackScholesMertonProcess(underlyingH,
                                                            flatDividendTS,
                                                           
flatTermStructure,
                                                            flatVolTS));

        Size timeSteps = 801;

        Handle creditSpread(
                       boost::shared_ptr(new SimpleQuote(spreadRate)));

        boost::shared_ptr rate(new SimpleQuote(riskFreeRate));

        Handle<YieldTermStructure> discountCurve(
                boost::shared_ptr<YieldTermStructure>(
                    new FlatForward(today, Handle(rate), dayCounter)));

        boost::shared_ptr<PricingEngine> engine(
                  new
BinomialConvertibleEngine<JarrowRudd>(stochasticProcess,
                                                            timeSteps));

		ConvertibleFixedCouponBond europeanBond(
                            exercise, conversionRatio, dividends,
callability,
                            creditSpread, issueDate, settlementDays,
                            coupons, bondDayCount, schedule, redemption);
        europeanBond.setPricingEngine(engine);

        ConvertibleFixedCouponBond americanBond(
                          amExercise, conversionRatio, dividends,
callability,
                          creditSpread, issueDate, settlementDays,
                          coupons, bondDayCount, schedule, redemption);
        americanBond.setPricingEngine(engine);

        method = "Jarrow-Rudd";
        europeanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
                  new
BinomialConvertibleEngine<JarrowRudd>(stochasticProcess,
                                                            timeSteps)));
        americanBond.setPricingEngine(boost::shared_ptr<PricingEngine>(
                  new
BinomialConvertibleEngine<JarrowRudd>(stochasticProcess,
                                                            timeSteps)));
        std::cout << std::setw(widths[0]) << std::left << method
                  << std::fixed
                  << std::setw(widths[1]) << std::left << europeanBond.NPV()
                  << std::setw(widths[2]) << std::left << americanBond.NPV()
                  << std::endl;

 


tibbar wrote:
> 
> Could anyone give me some ideas of how to price callable bonds in
> quantlib?
> 
> Bond features are:
> 
> - initial deferred period where the bond is not callable
> - seperate strike price for exercise in each remaining year of the bond's
> life.
> 
> I've seen some discussions that the convertible bond class should be used,
> but as a newbee I'm a little intimidated by the quantlib terminology.
> 
> What I'd really need to know is what changes to make to the standard
> convertible sample code:
> 
> http://quantlib.org/reference/_convertible_bonds_8cpp-example.html
> 
> Many thanks.
> 

-- 
View this message in context: http://www.nabble.com/callable-bonds-tp15903645p15910210.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

[Quantlib-dev] [ quantlib-Bugs-1909433 ] blackcapfloorengine.cpp

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

Bugs item #1909433, was opened at 2008-03-07 11:27
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1909433&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: Ferdinando Ametrano (nando)
Summary: blackcapfloorengine.cpp 

Initial Comment:
Hi,

in blackcapfloorengine.cpp when the type is Collar the optionletsPrice is not updated correctly (at all in fact).  Since the collar is long a cap and short a floor the optionletsPrice should have the floor subtracted as the value does.  I.e. a line needs adding after 131 as:

optionletsPrice.back() -= temp;

Best regards,

Chris Kenyon
chr...@ya...

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

Comment By: Luigi Ballabio (lballabio)
Date: 2008-03-07 21:44

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

The bug is now fixed in CVS.
Thank you for the report.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1909433&group_id=12740

[Quantlib-dev] callable bonds

[tibbar <tib...@gm...>]

Could anyone give me some ideas of how to price callable bonds in quantlib?

Bond features are:

- initial deferred period where the bond is not callable
- seperate strike price for exercise in each remaining year of the bond's
life.

I've seen some discussions that the convertible bond class should be used,
but as a newbee I'm a little intimidated by the quantlib terminology.

What I'd really need to know is what changes to make to the standard
convertible sample code:

http://quantlib.org/reference/_convertible_bonds_8cpp-example.html

Many thanks.
-- 
View this message in context: http://www.nabble.com/callable-bonds-tp15903645p15903645.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

Re: [Quantlib-dev] Build QuantLibXLStatic failed at revision 14548

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

Hello,

Please do an svn update and try again.

Thanks,
Eric

On Fri, March 7, 2008 5:40 pm, \"\" wrote:
> Hi all,
> I am trying to build QuantLibXLStatic based  SVN revision 14548. I would
> really appreciate your help in resolving this problem.
> Thanks a lot in advance! My environment is WinXP VC7. The following are
> the
> error messages:
>
>
>
> ------ Build started: Project: QuantLibXLStatic, Configuration: Release
> Win32 ------
>
> Compiling...
> addin.cpp
> register\addin.cpp(102) : error C3861: 'registerOhFunctions': identifier
> not
> found, even with argument-dependent lookup
> register\addin.cpp(140) : error C3861: 'unregisterOhFunctions': identifier
> not found, even with argument-dependent lookup
>
> Build log was saved at
> "file://f:\QuantStudioSVN\QuantLibXL\qlxl\buildStatic\vc71\Release\BuildLog.htm"
> QuantLibXLStatic - 2 error(s), 0 warning(s)
> -------------------------------------------------------------------------
> This SF.net email is sponsored by: Microsoft
> Defy all challenges. Microsoft(R) Visual Studio 2008.
> http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/_______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

[Quantlib-dev] Build QuantLibXLStatic failed at revision 14548

[\\ <lao...@gm...>]

Hi all,
I am trying to build QuantLibXLStatic based  SVN revision 14548. I would
really appreciate your help in resolving this problem.
Thanks a lot in advance! My environment is WinXP VC7. The following are the
error messages:



------ Build started: Project: QuantLibXLStatic, Configuration: Release
Win32 ------

Compiling...
addin.cpp
register\addin.cpp(102) : error C3861: 'registerOhFunctions': identifier not
found, even with argument-dependent lookup
register\addin.cpp(140) : error C3861: 'unregisterOhFunctions': identifier
not found, even with argument-dependent lookup

Build log was saved at
"file://f:\QuantStudioSVN\QuantLibXL\qlxl\buildStatic\vc71\Release\BuildLog.htm"
QuantLibXLStatic - 2 error(s), 0 warning(s)

Re: [Quantlib-dev] add .asOptionlet() to MakeCapFloor ?

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

Hi Chris

> I like your second suggestion [..] I can put a patch together or would
> you like to?

go ahead! I couldn't think of something more flattering than having
someone who love my idea and also does the actual implied work. :-)

ciao -- Nando

Re: [Quantlib-dev] bug in blackcapfloorengine.cpp?

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

On Fri, Mar 7, 2008 at 11:39 AM, Chris Kenyon <chr...@ya...> wrote:
> in blackcapfloorengine.cpp when the type is Collar the optionletsPrice does
> not appear to be updated correctly. Since the collar is long a cap and
> short a floor should the optionletsPrice also have the floor subtracted as the
> value does?

yes, I agree with you. You are referring to the 0.9.0 code base: this
error has been fixed in the current trunk code which has been also
refactored: would you mind taking a look at it and see if you could
spot any new mistake that might have been introduced by the
refactoring?

I exploit your observation to ask: could we remove the Collar
enumeration and force the user to instantiate the Cap and Floor
independently? I've never liked the duplication of strikes in the
CapFloor contructor.
The reason I ask is that long time ago we tried to support Straddle
together with Call and Put, but we gave up in favor of code
readability and to avoid the kind of mistake you are pointing out
about Collar. For the same reason I would remove Collar.
The only valuable feature we would lose is the ability to calculate
implied vol for a Collar. Anyway after dealing few years with these
issues I'm inclined to think that the only real beneficial addition
would be to have an easy way to calculate implied vol for straddles,
or more generically, implied vol for a collection of cap/floor
instruments, not just collar whose usage has been null in my
experience.

ciao -- Nando

Re: [Quantlib-dev] add .asOptionlet() to MakeCapFloor ?

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

Hi Nando,

I like your second suggestion - simple and addresses an equivalent issue directly (getting the n-th caplet), avoids market convention issues, and avoids doing something awkward (forward starts).  The output should still be a capfloor, but with just one cashflow.  I can put a patch together or would you like to?

Regards,
Chris

----- Original Message ----
From: Ferdinando Ametrano <na...@am...>
To: Chris Kenyon <chr...@ya...>
Cc: qua...@li...
Sent: Friday, March 7, 2008 11:15:12 AM
Subject: Re: [Quantlib-dev] add .asOptionlet() to MakeCapFloor ?

Hi Chris,

not sure I get your point.

Couldn't you obtain the same result just using the standard constructor:
        MakeCapFloor(CapFloor::Type capFloorType,
                     const Period& capFloorTenor,
                     const boost::shared_ptr<IborIndex>& iborIndex,
                     Rate strike = Null<Rate>(),
                     const Period& forwardStart = 0*Days);
  
E.g. let's assume you want the last caplet in a 3Y cap on 6M ibor rate:

MakeCapFloor(Cap, 6*Months, my6mIborIndex, myStrike, 30*Months);

If this is not equivalent because of market conventions used in the 30M fwd start swap calculation, then I still have another point.
To obtain the sequence of distinct caplets contained in a standard cap, we could have something like CapFloor::optionlet(Size i) instead: this would allow to create just one single cap and to extract all caplets from it, avoiding multiple redundant cap creations

I look forward to your feedback

ciao -- Nando

On Fri, Mar 7, 2008 at 11:35 AM, Chris Kenyon <chr...@ya...> wrote:
> 
> Hi,
> 
> this would make life easier.  Effect: only the last cashflow is returned. 
> The extra code could be something like:
> 
> In .hpp after line 66
> 
>     //! Only get last coupon, i.e. get caplet version of cap 
>     //! or floorlet version of floor, etc.
>     MakeCapFloor& asOptionlet();
> 
> Also before closing };
> 
>     bool asOptionlet_;
> 
> In .cpp after line 38 in constructor (and before {}):
> 
>     asOptionlet_(false) 
> 
> after new line 53
> 
>     //! only leaves the last coupon
>     if (asOptionlet_ && leg.size()>1)
>         leg.erase(leg.begin(), --leg.end());
> 
> Best regards,
> Chris
> 
> 
> -------------------------------------------------------------------------
>  This SF.net email is sponsored by: Microsoft
>  Defy all challenges. Microsoft(R) Visual Studio 2008.
>  http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/
> _______________________________________________
>  QuantLib-dev mailing list
>  Qua...@li...
>  https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>  
> 

Re: [Quantlib-dev] add .asOptionlet() to MakeCapFloor ?

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

Hi Chris,

not sure I get your point.

Couldn't you obtain the same result just using the standard constructor:
       MakeCapFloor(CapFloor::Type capFloorType,
                    const Period& capFloorTenor,
                    const boost::shared_ptr<IborIndex>& iborIndex,
                    Rate strike = Null<Rate>(),
                    const Period& forwardStart = 0*Days);

E.g. let's assume you want the last caplet in a 3Y cap on 6M ibor rate:

MakeCapFloor(Cap, 6*Months, my6mIborIndex, myStrike, 30*Months);

If this is not equivalent because of market conventions used in the 30M fwd
start swap calculation, then I still have another point.
To obtain the sequence of distinct caplets contained in a standard cap, we
could have something like CapFloor::optionlet(Size i) instead: this would
allow to create just one single cap and to extract all caplets from it,
avoiding multiple redundant cap creations

I look forward to your feedback

ciao -- Nando

On Fri, Mar 7, 2008 at 11:35 AM, Chris Kenyon <chr...@ya...>
wrote:
>
> Hi,
>
> this would make life easier.  Effect: only the last cashflow is returned.
> The extra code could be something like:
>
> In .hpp after line 66
>
>     //! Only get last coupon, i.e. get caplet version of cap
>     //! or floorlet version of floor, etc.
>     MakeCapFloor& asOptionlet();
>
> Also before closing };
>
>     bool asOptionlet_;
>
> In .cpp after line 38 in constructor (and before {}):
>
>     asOptionlet_(false)
>
> after new line 53
>
>     //! only leaves the last coupon
>     if (asOptionlet_ && leg.size()>1)
>         leg.erase(leg.begin(), --leg.end());
>
> Best regards,
> Chris
>
>
> -------------------------------------------------------------------------
>  This SF.net email is sponsored by: Microsoft
>  Defy all challenges. Microsoft(R) Visual Studio 2008.
>  http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/
> _______________________________________________
>  QuantLib-dev mailing list
>  Qua...@li...
>  https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>

[Quantlib-dev] bug in blackcapfloorengine.cpp?

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

(Also in bug tracker.)

Hi,

in blackcapfloorengine.cpp when the type is Collar the optionletsPrice does
not appear to be updated correctly.  Since the collar is long a cap and
short a floor should the optionletsPrice also have the floor subtracted as the
value does?  

I.e. does a line need adding after 131 as:

    optionletsPrice.back() -= temp;

Best regards,
Chris

[Quantlib-dev] add .asOptionlet() to MakeCapFloor ?

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

Hi,

this would make life easier.  Effect: only the last cashflow is returned.  The extra code could be something like:

In .hpp after line 66

    //! Only get last coupon, i.e. get caplet version of cap 
    //! or floorlet version of floor, etc.
    MakeCapFloor& asOptionlet();

Also before closing };

    bool asOptionlet_;

In .cpp after line 38 in constructor (and before {}):

    asOptionlet_(false) 

after new line 53

    //! only leaves the last coupon
    if (asOptionlet_ && leg.size()>1)
        leg.erase(leg.begin(), --leg.end());

Best regards,
Chris

[Quantlib-dev] [ quantlib-Bugs-1909433 ] blackcapfloorengine.cpp

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

Bugs item #1909433, was opened at 2008-03-07 02:27
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=1909433&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: blackcapfloorengine.cpp 

Initial Comment:
Hi,

in blackcapfloorengine.cpp when the type is Collar the optionletsPrice is not updated correctly (at all in fact).  Since the collar is long a cap and short a floor the optionletsPrice should have the floor subtracted as the value does.  I.e. a line needs adding after 131 as:

optionletsPrice.back() -= temp;

Best regards,

Chris Kenyon
chr...@ya...

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1909433&group_id=12740

Re: [Quantlib-dev] Some thoughts.

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

Hi Tasos

it might help to know in more details what kind of problems you had,
otherwise it is harder to provide feedback about your suggestions.
Anyway I anticipate my guess/suggestion. You might write your own
CADSwapHelper deriving from RateHelper or SwapHelper and and wrap in
that RateHelper your custom Swap.
The VanillaSwap is just an helper class, for fully customized swap you
should use the Swap class.

Finally: if you can contribute your modifications they could go in the
code base and you would not have to apply them to each release ;-)

ciao -- Nando

On Thu, Mar 6, 2008 at 7:10 PM, a akpitidis <a_a...@ya...> wrote:
> Hi ,
>
> I tried to add to 8.0 the CAD vanilla swaps for the curve building and i
> came across with some design issues, mainlly because i don't want to change
> existing modules of the library.  However, i want to reuse most of the core
> code.
>
> It turn out that i have no option but i need to either change existing
> modules or replicate existing code to new modules.
>
> In my mind someone who wants to extend a library shouldn't have to change
> existing files, but the library needs to provide the appropriate hooks (i.e.
> interfaces, template classes/functions  and so on).  At the same time, as we
> all know, that takes time and effort, and in the main time the DIY solution
> fits most clients :).
>
> Here are some sugestions for the future:
>
> 1. Create a template class VanillaSwapG ( G for generic), the coupontype
> should be the template parameters and they should be propagated down to the
> construction of the floating leg.
>
> 2. A typedef will define the existing VanillaSwap class.
>
> 3. Those template arguments should be propagated upwards to MakeVanillaSwap
> and SwapRateHelper.
>
> 4. Finally, i need to be able to hook my own code into the
> SwapRateHelper::initializeDates  as i need to set the custom floating leg
> tenor, which is different from the index tenor.  Then again that extra
> information needs to come from somewhere, but then i need to have my new
> SwapRateHelper class, but i don't want to copy existing code.
>
> Any thoughts?
> Who decides what changes go into repository?
> I really like the library, but i need to be able to enhance it, so it does
> what i want to do and at the same time i don't want to redo the changes
> everytime a new release comes up.
>
> Regards
> Tasos
>
>
>
>
>
>  ________________________________
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>
>

Re: [Quantlib-dev] Build failed at revision 14548.

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

Hi 

I've added a new class "BatesProcess" a few days ago. I'm developing under linux and unfortunately I don't have access to VC. Therefore the VC project file might be not up-to-date. Please add these files

ql/processes/batesprocess.hpp
ql/processes/batesprocess.cpp

to your solution. Then the svn head should work again

sorry and cheers
 Klaus

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

Subject: [Quantlib-dev] Build failed at revision 14548.
Sent: Fri, 07 Mar 2008
From: lao...@gm...

Hi all,
I am trying to build based  SVN revision 14548. I would really appreciate your help in resolving this problem.
Thanks a lot in advance! My environment is WinXP VC7. The following are the error messages:

------ Build started: Project: testsuite, Configuration: Release Win32 ------

Linking...
batesmodel.obj : error LNK2019: unresolved external symbol "public: double __thiscall QuantLib::BatesProcess::lambda(void)const " (?lambda@BatesProcess@QuantLib@@QBENXZ) referenced in function "public: static void __cdecl BatesModelTest::testAnalyticAndMcVsJumpDiffusion(void)" (?testAnalyticAndMcVsJumpDiffusion@BatesModelTest@@SAXXZ)
batesmodel.obj : error LNK2019: unresolved external symbol "public: double __thiscall QuantLib::BatesProcess::nu(void)const " (?nu@BatesProcess@QuantLib@@QBENXZ) referenced in function "public: static void __cdecl BatesModelTest::testAnalyticAndMcVsJumpDiffusion(void)" (?testAnalyticAndMcVsJumpDiffusion@BatesModelTest@@SAXXZ)
batesmodel.obj : error LNK2019: unresolved external symbol "public: double __thiscall QuantLib::BatesProcess::delta(void)const " (?delta@BatesProcess@QuantLib@@QBENXZ) referenced in function "public: static void __cdecl BatesModelTest::testAnalyticAndMcVsJumpDiffusion(void)" (?testAnalyticAndMcVsJumpDiffusion@BatesModelTest@@SAXXZ)
batesmodel.obj : error LNK2019: unresolved external symbol "public: __thiscall QuantLib::BatesProcess::BatesProcess(class QuantLib::Handle<class QuantLib::YieldTermStructure> const &,class QuantLib::Handle<class QuantLib::YieldTermStructure> const &,class QuantLib::Handle<class QuantLib::Quote> const &,double,double,double,double,double,double,double,double,enum QuantLib::HestonProcess::Discretization)" (??0BatesProcess@QuantLib@@QAE@ABV?$Handle@VYieldTermStructure@QuantLib@@@1@0ABV?$Handle@VQuote@QuantLib@@@1@NNNNNNNNW4Discretization@HestonProcess@1@@Z) referenced in function "public: static void __cdecl BatesModelTest::testAnalyticAndMcVsJumpDiffusion(void)" (?testAnalyticAndMcVsJumpDiffusion@BatesModelTest@@SAXXZ)
.bin/QuantLib-test-suite-vc71-mt-s-0_9_5.exe : fatal error LNK1120: 4 unresolved externals


--- original message end ----

[Quantlib-dev] Build failed at revision 14548.

[\\ <lao...@gm...>]

Hi all,
I am trying to build based  SVN revision 14548. I would really appreciate
your help in resolving this problem.
Thanks a lot in advance! My environment is WinXP VC7. The following are the
error messages:

------ Build started: Project: testsuite, Configuration: Release Win32
------

Linking...
batesmodel.obj : error LNK2019: unresolved external symbol "public: double
__thiscall QuantLib::BatesProcess::lambda(void)const " (?lambda@
BatesProcess@QuantLib@@QBENXZ) referenced in function "public: static void
__cdecl BatesModelTest::testAnalyticAndMcVsJumpDiffusion(void)"
(?testAnalyticAndMcVsJumpDiffusion@BatesModelTest@@SAXXZ)
batesmodel.obj : error LNK2019: unresolved external symbol "public: double
__thiscall QuantLib::BatesProcess::nu(void)const " (?nu@
BatesProcess@QuantLib@@QBENXZ) referenced in function "public: static void
__cdecl BatesModelTest::testAnalyticAndMcVsJumpDiffusion(void)"
(?testAnalyticAndMcVsJumpDiffusion@BatesModelTest@@SAXXZ)
batesmodel.obj : error LNK2019: unresolved external symbol "public: double
__thiscall QuantLib::BatesProcess::delta(void)const " (?delta@
BatesProcess@QuantLib@@QBENXZ) referenced in function "public: static void
__cdecl BatesModelTest::testAnalyticAndMcVsJumpDiffusion(void)"
(?testAnalyticAndMcVsJumpDiffusion@BatesModelTest@@SAXXZ)
batesmodel.obj : error LNK2019: unresolved external symbol "public:
__thiscall QuantLib::BatesProcess::BatesProcess(class QuantLib::Handle<class
QuantLib::YieldTermStructure> const &,class QuantLib::Handle<class
QuantLib::YieldTermStructure> const &,class QuantLib::Handle<class
QuantLib::Quote> const
&,double,double,double,double,double,double,double,double,enum
QuantLib::HestonProcess::Discretization)" (??0BatesProcess@QuantLib@@QAE@ABV
?$Handle@VYieldTermStructure@QuantLib@@@1@0ABV?$Handle@VQuote@QuantLib@@@
1@NNNNNNNNW4Discretization@HestonProcess@1@@Z) referenced in function
"public: static void __cdecl
BatesModelTest::testAnalyticAndMcVsJumpDiffusion(void)"
(?testAnalyticAndMcVsJumpDiffusion@BatesModelTest@@SAXXZ)
.\bin/QuantLib-test-suite-vc71-mt-s-0_9_5.exe : fatal error LNK1120: 4
unresolved externals

[Quantlib-dev] GJR-GARCH option pricing engine

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

Hi 

   I recently finished my implementation of
GJR-GARCH(1,1) option pricing model for European
options using QMC with Brownian Bridge. 

   I find that you guys don't have this pricing model.
Do you mind if I implement this for Quantlib? If so,
how should I proceed?

Have a great day!
Yee Man


      ____________________________________________________________________________________
Never miss a thing.  Make Yahoo your home page. 
http://www.yahoo.com/r/hs

[Quantlib-dev] Some thoughts.

[a a. <a_a...@ya...>]

Hi , 
   
  I tried to add to 8.0 the CAD vanilla swaps for the curve building and i came across with some design issues, mainlly because i don't want to change existing modules of the library.  However, i want to reuse most of the core code.
   
  It turn out that i have no option but i need to either change existing modules or replicate existing code to new modules.
   
  In my mind someone who wants to extend a library shouldn't have to change existing files, but the library needs to provide the appropriate hooks (i.e. interfaces, template classes/functions  and so on).  At the same time, as we all know, that takes time and effort, and in the main time the DIY solution fits most clients :).
   
  Here are some sugestions for the future:
   
  1. Create a template class VanillaSwapG ( G for generic), the coupontype should be the template parameters and they should be propagated down to the construction of the floating leg.
   
  2. A typedef will define the existing VanillaSwap class.
   
  3. Those template arguments should be propagated upwards to MakeVanillaSwap and SwapRateHelper.
   
  4. Finally, i need to be able to hook my own code into the 
  SwapRateHelper::initializeDates  as i need to set the custom floating leg tenor, which is different from the index tenor.  Then again that extra information needs to come from somewhere, but then i need to have my new SwapRateHelper class, but i don't want to copy existing code.
   
  Any thoughts? 
  Who decides what changes go into repository?
  I really like the library, but i need to be able to enhance it, so it does what i want to do and at the same time i don't want to redo the changes everytime a new release comes up.
   
  Regards
  Tasos
   
   
   

       
---------------------------------
Sent from Yahoo! Mail.
The World 's Favourite Email.

[Quantlib-dev] Betonmarkets.com / Quantlib

[Jean-Yves S. <jy...@re...>]

Dear Quantlib developers,

I would like to introduce our company Betonmarkets.com.  Our website
specialises in fixed-odds financial bets (aka digital options).  We
have offices in the Isle of Man, Malta, and Malaysia, and were founded
in 1999 as an affiliate of Regent Pacific Group, a Hong Kong-listed
company.  Our website is currently the largest fixed-odds financial
betting website, transacting in over 20,000 bets per day.

Currently our bet pricing is performed in-house using our own
algorithms.  We are considering the feasibility of migrating to
Quantlib, and the purpose of this email is to request feedback as
regards the feasibility of such a move.

Due to the nature of our website - i.e. the ability to price digital
options and get an instant response - our bet pricing model needs to be
fast (response time under 1 second), which rules out computationally
intensive numerical methods, unless they could be accelerated by using
approximations or assumptions such as a simplified model for the vol
surface.

Our website offers a wide range of digital options, including digital
call, put, one-touch, no-touch, range (all of these in both European and
American flavours), as well as more exotic digitals such as 'up or
down', 'expiry miss' and others.

We'd be most grateful for your thoughts on the feasibility of adopting
Quantlib, which pricing models might best suit our purposes, and what
optimisations/approximations we may think about implementing in order
to decrease computational intensity.

Kind regards
Jean-Yves Sireau

-- 
Jean-Yves Sireau
CEO, Regent Markets Group Ltd.
Genseq Ltd.

Re: [Quantlib-dev] Visual Studio warning C4819

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

On Tue, Mar 4, 2008 at 1:57 PM, Eric Ehlers <eri...@na...> wrote:
>  >> At present, non-ASCII characters (>128, aka extended ASCII)
>  >> appear in various comments and literal strings in the source code
>  >>
>  >> Some possible courses of action:
>  >> 1) Restrict ourselves to the ASCII character set
>  >> 2) Convert all source code files to Unicode format
>  >> 3) Disable C4819
>  >> 4) Do nothing and as today leave affected parties to work around the
>  >> problem by implementing one of the above as a local hack
>  >
>  > Hmm. (3) seems strangely appealing...
>  >
>  > Luigi
>
>  It turns out, (3) doesn't work


what is so hard about 2 ?

ciao -- Nando

Re: [Quantlib-dev] Visual Studio warning C4819

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

Hi All,

On Mon, February 25, 2008 4:53 pm, Luigi Ballabio wrote:
> On Sun, 2008-02-24 at 23:38 +0000, Eric Ehlers wrote:
>> At present, non-ASCII characters (>128, aka extended ASCII)
>> appear in various comments and literal strings in the source code
>>
>> Some possible courses of action:
>> 1) Restrict ourselves to the ASCII character set
>> 2) Convert all source code files to Unicode format
>> 3) Disable C4819
>> 4) Do nothing and as today leave affected parties to work around the
>> problem by implementing one of the above as a local hack
>
> Hmm. (3) seems strangely appealing...
>
> Luigi

It turns out, (3) doesn't work, at least not with "pragma warning
disable".  When you load a cpp file containing a non-ASCII character, the
compiler hits the problem character before it sees the pragma directive,
so C4819 still appears everywhere.

The only way to disable the warning is to add /wd4819 to the compiler
settings - any objection if I make that change?

Regards,
Eric

Re: [Quantlib-dev] Help on Multi Asset Options

[Andrea <mar...@go...>]

Luigi Ballabio wrote:

>> 2) the mc engine should generate a matrix of that many underlyings on 
>> those dates (removing the extra timesteps simulated only for a 
>> discretization schemes) and pass it to the product.
> 
> Yes. For this, you can use the MultiPathGenerator class. Given the 
> dates and the dynamics of the underlyings, it will generate a MultiPath 
> instance containing the underlying values. However, you shouldn't pass 
> it to the product, but rather to an instance of a class derived from 
> PathPricer (which the product will instantiate.)
> 
>> 3) the product should then return how much it pays on some final date.
> 
> True, with 'product' replaced by 'path pricer'.

Hi,

I've just seen only now this email you sent a while ago.

I am not sure what you mean.

The PathPricer receives the MultiPath, extract the values of the assets on the times requested by 
the product (the time grind having potentially more dates than the product needs) into some sort of 
matrix and passes it to the product.
The product return (for the time being) one single number, and the PathPricer takes care of 
discounting it.

I want to write only one instance of the PathPricer and many Products/Payoffs.

Is it correct?

Andrea

[Quantlib-dev] [ quantlib-Bugs-1904433 ] complie bug or misunderstood?

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

Bugs item #1904433, was opened at 2008-02-29 05:44
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1904433&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: complie bug or misunderstood?

Initial Comment:
everytime I compile the example in the quontlib, the following message I've seen. Is this misunderstood or complie bug or something different?

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

cannot find -lQuoantlib-mgw-0_9_0
Id returned 1 exit status
[Build Error] [bin/FRA-mwg.exe] Error 1

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2008-02-29 10:36

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

Did you succesfully compile the library first? (The corresponding project
is QuantLib.dev)

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1904433&group_id=12740