quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] Feller Constraint for Heston calibration

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

Hi,

the Feller constraint is already in QuantLib .. well hidden as an inner class 
of the class HestonModel and called HestonModel::VolatilityConstraint (okay, 
the name wasn't that clever;-)

IMO the constraint is more of "academic interest". I wouldn't use in real 
life.

 Klaus

On Friday 22 February 2008 12:41:41 Luigi Ballabio wrote:
> On Feb 18, 2008, at 9:24 PM, Klaus Spanderen wrote:
> > often the Feller condition is not satisfied in real problems
> > (especially for
> > equity and fx). In general this doesn't matter. And even if the
> > condition is
> > fulfilled a plain vanilla Euler scheme will produce negative variance.
>
> So Klaus, if I understand correctly, you advise against putting the
> constraint in?
>
> Luigi
>
>
> -------------------------------------------------------------------------
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-- 
Klaus Spanderen
Ludwig Erhard Str. 12
48734 Reken (Germany)
EMail: kl...@NO... (remove NOSPAM from the address)

Re: [Quantlib-dev] LevenbergMarquardt

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

On Feb 14, 2008, at 7:16 PM, BIANCHETTI,MARCO wrote:
> I have found (cited here:
> http://papers.ssrn.com/sol3/papers.cfm?abstract_id=872708) this
> reference for an up-to-date c version of the Levenberg Marquardt
> optimzeation algorithm: http://www.ics.forth.gr/~lourakis/levmar/

Marco,
	thanks for the link. Unfortunately, we can't include it in the library 
(it's licensed under the GPL) but if anyone wants to use it, he can 
probably adapt it to work as a replacement of the one we have.

Luigi

Re: [Quantlib-dev] 0.9.0 release branch

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

On Feb 20, 2008, at 5:15 PM, Marco Marchioro wrote:
> I was able to compile QuantLib 0.9.0 on Leopard, OS X 10.5.2, GCC 
> 4.0.1,
> after installing XCode 3.0.
> However, all tests pass but one:
>
> --------------
> Testing swaption volatility matrix...
> swaptionvolatilitymatrix.cpp(128): fatal error in
> "SwaptionVolatilityMatrixTest::testSwaptionVolMatrixCoherence":
> recovery of 0th swap tenor failed for floating reference date,
> floating market data:
> expected swap tenor  = 1Y
>    actual swap tenor  = 1Y
> expected swap length = 1
>    actual swap length = 1.00274
> -------------
>
> Anybody knows why this happens?

Marco,
	it's a bug that, due to Murphy's law, surfaced shortly after release. 
It was some mismatch in date/time calculation. Unfortunately, the 
resulting lengths matched in December. It was fixed on the trunk 
sometime last month.

Luigi

Re: [Quantlib-dev] Feller Constraint for Heston calibration

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

On Feb 18, 2008, at 9:24 PM, Klaus Spanderen wrote:
> often the Feller condition is not satisfied in real problems 
> (especially for
> equity and fx). In general this doesn't matter. And even if the 
> condition is
> fulfilled a plain vanilla Euler scheme will produce negative variance.

So Klaus, if I understand correctly, you advise against putting the 
constraint in?

Luigi

Re: [Quantlib-dev] 0.9.0 release branch

[Marco M. <mar...@st...>]

Hi,
I was able to compile QuantLib 0.9.0 on Leopard, OS X 10.5.2, GCC 4.0.1,
after installing XCode 3.0.
However, all tests pass but one:

--------------
Testing swaption volatility cube (sabr interpolation)...
Testing spreaded swaption volatility cube...
Testing volatility cube observability...
Testing swaption volatility matrix...
swaptionvolatilitymatrix.cpp(128): fatal error in  
"SwaptionVolatilityMatrixTest::testSwaptionVolMatrixCoherence":
recovery of 0th swap tenor failed for floating reference date,  
floating market data:
expected swap tenor  = 1Y
   actual swap tenor  = 1Y
expected swap length = 1
   actual swap length = 1.00274
Testing swaption volatility matrix observability...
Testing term structure against evaluation date change...
-------------

Anybody knows why this happens?

Marco


-- 
Marco Marchioro, Ph. D, Quantitative Finance Group, www.statpro.com





On Wednesday, 2007-11-28 , at 15:10 , Marco Marchioro wrote:

> Hi Luigi,
> the new branch compiles and passes the tests on OS X, Tiger(10.4.11),
> as compiled on my MacBook Pro.
> I would be interested to know if anybody manage to compile it on  
> Leopard.
>
> Marco
>
> +-------------------------------------------------------+
> | Marco Marchioro, Ph. D., Head of Quantitative Finance |
> |                    www.statpro.com                    |
> +-------------------------------------------------------+
>
> On Tuesday, 2007-11-27 , at 13:50 , Luigi Ballabio wrote:
>
>>
>> Hi all,
>> 	I've just created a release branch for QuantLib 0.9.0. You can  
>> check it
>> out from the Subversion repository at
>> <https://quantlib.svn.sourceforge.net/svnroot/quantlib/branches/R000900-branch 
>> >.
>>
>> As usual, bug fixes should be committed on the branch; new  
>> developments
>> should go on the trunk.
>>
>> Later,
>> 	Luigi
>>
>>
>> -- 
>>
>> Poets have been mysteriously silent on the subject of cheese.
>> -- Gilbert K. Chesterton
>>
>>
>> -------------------------------------------------------------------------
>> This SF.net email is sponsored by: Microsoft
>> Defy all challenges. Microsoft(R) Visual Studio 2005.
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>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
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Re: [Quantlib-dev] problem with QlXL wizard

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

Hello, please let me know if it is planned to fix the problem with QLXL wizard...
Many thanks.
Marco

> -----Original Message-----
> From: qua...@li... 
> [mailto:qua...@li...] On Behalf 
> Of BIANCHETTI,MARCO
> Sent: martedì 12 febbraio 2008 14.14
> To: qua...@li...
> Subject: [Quantlib-dev] problem with QlXL wizard
> 
> I've downloaded and installed QuantLibXL-bin-0.9.0.exe, but when I try
> to use QLXL wizard -> build object I get an error message like this:
> "Runtime error 5: invalid routine call or argument".
> I remember myself testing this piece in december... something 
> must have
> happened around the turn of the year... :-)
> ciao
> Marco
> 

[Quantlib-dev] Variance Gamma models

[Adrian O' N. <ao...@ao...>]

Hi,
I was wondering if anyone had done any work in integrating Variance Gamma
models (such as CGMY) in to QuantLib yet, or if it was on the roadmap?  If
not, I understand I'd have to solve numerically using FFT - I know there was
a FFT engine going in to QL, but I wasn't sure if that was complete yet?

Regards,
Adrian

Re: [Quantlib-dev] Feller Constraint for Heston calibration

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

Hi

often the Feller condition is not satisfied in real problems (especially for 
equity and fx). In general this doesn't matter. And even if the condition is 
fulfilled a plain vanilla Euler scheme will produce negative variance. 

cheers
 Klaus

On Monday 18 February 2008 14:29:08 Yomi wrote:
> Hi,
>
> I have discussed with Klaus Spedersen some issues for Heston related to the
> Feller condition. In summary, the volatility process could reach negative
> level if this condition is not verified.
> To avoid this I have implemented a small constraint class that checks this
> condition.
>
> http://www.nabble.com/file/p15545372/Heston_Calibration_constraint.hpp
> Heston_Calibration_constraint.hpp
>
> You can use this file to include it into QL if you wish.
>
> Cheers



-- 
Klaus Spanderen
Ludwig Erhard Str. 12
48734 Reken (Germany)
EMail: kl...@NO... (remove NOSPAM from the address)

[Quantlib-dev] Feller Constraint for Heston calibration

[Yomi <gui...@gm...>]

Hi,

I have discussed with Klaus Spedersen some issues for Heston related to the
Feller condition. In summary, the volatility process could reach negative
level if this condition is not verified.
To avoid this I have implemented a small constraint class that checks this
condition.

http://www.nabble.com/file/p15545372/Heston_Calibration_constraint.hpp
Heston_Calibration_constraint.hpp 

You can use this file to include it into QL if you wish.

Cheers
-- 
View this message in context: http://www.nabble.com/Feller-Constraint-for-Heston-calibration-tp15545372p15545372.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

[Quantlib-dev] problems with localVolImpl

[Paulius J. <pau...@gm...>]

Dear all,

When getting a local volatility from implied volatility via
localVolImpl() (for example using a Monte Carlo simulation),
from time to time one is given a negative local volatility (which generates
an exception - as expected).
The problem often arises  from small numerical inaccuracies which get
augmented when numerically calculating the second derivative.

Has anyone  already encountered and resolved the problem?
If not, I'd like to contribute a fix to the library. This would mean
changing the interface s.t. the
LocalVolTermStructure::localVolImpl method returns a discretized vol - not
an instantaneous vol.
This would be consistent with the library structure - as it is the Euler
discretization method which
calls the local vol method.

Does anyone have any other suggestions?

Sincerely,
Paulius

Re: [Quantlib-dev] Road to 1.0

[Max <ma...@gm...>]

Hi Luigi and the rest,

Thanks a lot for showing us such a clear picture about future 1.0 release!

I just have one addition:
- modify the interfaces of finite difference pricing engines (like
FDEuropeanEngine class) so that users can specifiy different solver
(Explicit, Implicit or Crank-Nicolson) and different asset price
range. Currently the solver is fixed to Crank-Nicolson.

Does this change make sense to you? and any advice?

Cheers,
Max

On Feb 16, 2008 12:07 AM, Luigi Ballabio <lui...@gm...> wrote:
>
> 4) list of breaking changes:
> The ones that I would make are:
>
> - engine refactoring for a few instruments (asset swap, variance swap,
> inflation swaps...)  The idea is to put market data in the engine, as we
> did for swaps and bonds.
>
> - decrease the number of template parameters in IterativeBootstrap, from
> <Curve,Traits,Interpolator> to just <Curve>. The other parameters can be
> retrieved from the curve as typedefs. It increases a bit the
> readability, and shouldn't break much code (I doubt that many people
> wrote their own curve based on it yet.)
>
> - clearer instantiation of a few Monte Carlo engines, by replacing
> withTolerance() with both withRelativeTolerance() and
> withAbsoluteTolerance(). The ambiguity has bitten us already in the
> past.
>
> - finally, if I can make a request (most likely, I won't be doing this
> one myself): would it be possible to have a look at the SwaptionVolCube1
> and SwaptionVolCube2 classes and see whether they can be merged? At
> least, they should be given names that describe their differences.

[Quantlib-dev] Road to 1.0

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

Hi all,
	I guess we should start making plans if we want to get release 1.0 out
this year. Here's what I'm thinking: please follow up if you have any
comments or additions.

Thanks,
	Luigi

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

1) scope of the release:

What we have now, plus the contributions I had in the past few months.
They include credit and commodity frameworks, which are the most
important pieces we're missing. I'll add them to the repository during
the next weeks.


2) goals:

- Coverage (which is pretty much ok, see point (1) above.)

- Documentation. Not quite enough right now. At the very minimum, we
should add more examples to showcase other parts of the library (bond
calculations spring to mind, for instance.)

- Stability (which has been a sore point for the last few releases.)
The idea is that client code written against 1.0 should keep compiling
against any future 1.x.y release. This means that once 1.0 is out, the
interfaces cannot be changed (note that since we're providing a library,
the interfaces include the protected methods and data members,) files
cannot be renamed or moved, and code cannot be moved from one header
file to another. Of course, new files, classes, methods and/or data
members can still be added.  Three notes: a) one way to ensure stability
is to freeze the test-suite and example code. We can add new examples
and test cases, but the existing ones should not be changed. This will
give us a decent code base (about 50k lines) against which backward
compatibility can be checked. b) we should determine what interfaces
still need to be changed (as in "agree on a list and stick to it", more
on this in point (4) below) and make the changes before 1.0.  c) This
does not apply to stuff in the ql/experimental folder, which is fair
game until it's moved out (at which point, it freezes.)


3) schedule:
shortly before 1.0, I'd put out a 0.9.9 release---kind of a beta, if you
like. We might call it 1.0b1, too, but I suspect that more people will
try it out if there's no "beta" label attached. Release 1.0 would come
out about a month after, when we've seen that there's no obvious
problems in 0.9.9. The release branch for 1.0 might actually be made
from the 0.9.9 branch, to ensure that new stuff on the trunk doesn't
break anything. The 0.9.9 interfaces should be almost frozen---changes
from 0.9.9 to 1.0 should have a compelling reason.

Depending on how fast we're working, 0.9.9 might be the next release.
But it seems more probable that we'll have a 0.9.5 in April or May, the
0.9.9 in the summer, and the 1.0 shortly after.


4) list of breaking changes:
The ones that I would make are:

- engine refactoring for a few instruments (asset swap, variance swap,
inflation swaps...)  The idea is to put market data in the engine, as we
did for swaps and bonds.

- decrease the number of template parameters in IterativeBootstrap, from
<Curve,Traits,Interpolator> to just <Curve>. The other parameters can be
retrieved from the curve as typedefs. It increases a bit the
readability, and shouldn't break much code (I doubt that many people
wrote their own curve based on it yet.)

- clearer instantiation of a few Monte Carlo engines, by replacing
withTolerance() with both withRelativeTolerance() and
withAbsoluteTolerance(). The ambiguity has bitten us already in the
past.

- finally, if I can make a request (most likely, I won't be doing this
one myself): would it be possible to have a look at the SwaptionVolCube1
and SwaptionVolCube2 classes and see whether they can be merged? At
least, they should be given names that describe their differences.



-- 

No, I'm not interested in developing a powerful brain. All I'm after 
is just a mediocre brain, something like the president of American 
Telephone and Telegraph Company. 
-- Alan Turing on the possibilities of a thinking machine, 1943. 

[Quantlib-dev] Curve interpolation

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

Hi guys,

I'm a little confused about the QuantLib curve classes ForwardCurve,
DiscountCurve and ZeroCurve.

In the three class definitions we have the member variable

mutable Interpolation interpolation_;

but  in constructing a curve (using the PiecewiseYieldCurve) we use a
factory class function (interpolator_.interpolate) to allocate an
Interpolation object to the interpolation_ member variable. However, often
the object allocated is an object of a derived class e.g. CubicSpline.

Now, I know pointers and references can be polymorphic. But in this case a
derived class is being allocated to a base class instance...

I know most information required for interpolation is contained within the
Interpolation::impl_ object but I'm wondering whether:

a) my C++ knowledge is lacking and the base class instance (e.g.
ForwardCurve::interpolation_) can be polymorphic somehow. Or...

b) why a pointer to the derived Interpolation object isn't returned by the
factory class (e.g. Cubic::interpolate) - to obviate the need for a
polymorphic Interpolation::impl_ member variable?

Thanks in advance for enlightening me.

Simon

[Quantlib-dev] LevenbergMarquardt

[BIANCHETTI,MARCO <mar...@in...>]

Hello,

I have found (cited here:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=872708) this
reference for an up-to-date c version of the Levenberg Marquardt
optimzeation algorithm: http://www.ics.forth.gr/~lourakis/levmar/

ciao
Marco

[Quantlib-dev] Equipping BlackVolTermStructure with Handles

[Frank H. <fho...@gm...>]

Hi there!
Has anyone of you already had the chance to implement the arguments of, e.g., the BlackVarianceCurve to be passed on as Handles? This would have the advantage of changing the whole stochastic process and derivatives on it by a simple change of a parameter (convenient for numeric greek calc and optimization based on that). In case of a flatVol (from utilities.hpp) this is so and one could take this example as a basis for extending BlackVolTermStructure.

Best regards
Frank
-- 
GMX FreeMail: 1 GB Postfach, 5 E-Mail-Adressen, 10 Free SMS.
Alle Infos und kostenlose Anmeldung: http://www.gmx.net/de/go/freemail

[Quantlib-dev] problem with QlXL wizard

[BIANCHETTI,MARCO <mar...@in...>]

I've downloaded and installed QuantLibXL-bin-0.9.0.exe, but when I try
to use QLXL wizard -> build object I get an error message like this:
"Runtime error 5: invalid routine call or argument".
I remember myself testing this piece in december... something must have
happened around the turn of the year... :-)
ciao
Marco

---
Marco Bianchetti
Risk Management, Pricing & Financial Modelling
Banca Intesa SanPaolo, p.za P. Ferrari 10, 20121 Milano, Italy
Tel. +39.02.8793.7422, fax .7867, web www.intesasanpaolo.com

Re: [Quantlib-dev] [Quantlib-users] Problem in extending QuantLibXL functionality

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

Max,

if you own the copyright to the files you've used to extend QLXL and
want to contribute them just send them to me or Eric.

ciao -- Nando

On Sun, Feb 10, 2008 at 3:44 PM, Max <ma...@gm...> wrote:
> Hi Eric,
>
>  Thank you very much for the quick help!
>
>  My mistake: I forgot the proper procedure of loading the new add-in in
>  Excel 2003. I have to deselect the old one from the add-in menu, exit
>  Excel, re-open Excel, and then load the new add-in.
>
>  Now everything works fine. I also successfully added a new function
>  "qlMCPricingEngine()" which creates a crude monte carlo pricing engine
>  object. And I am happy to contribute more QuantLibXL functions if
>  needed. Thanks!
>
>  Cheers,
>  Max
>
>
>
>  On Feb 10, 2008 9:31 PM, Eric Ehlers <eri...@na...> wrote:
>  > Hi Max,
>  >
>  > > However, after reloading the XLL "QuantLibXL-vc80-mt-s-0_9_0.xll" in
>  > > Excel, the "=qlStock("my_stock",1.23)" only returns "#NAME?". It seems
>  > > that the function "qlStock" is not recognised.
>  >
>  > Are you sure that the XLL you loaded is the one with the new function
>  > compiled in?  What result do you get from this?
>  >
>  > =qlxlVersion(TRUE)
>  >
>  > The timestamp should correspond to the creation date of the XLL.  For
>  > example for the binary release of QLXL I get
>  >
>  > QuantLibXL 0.9.0 - MS VC++ 8.0 - Multithreaded Static Runtime library -
>  > Release Configuration - Jan 23 2008 18:20:22
>  >
>  > Regards,
>  > Eric
>  >
>  >
>  >
>
>  -------------------------------------------------------------------------
>  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] [Quantlib-users] Problem in extending QuantLibXL functionality

[Max <ma...@gm...>]

Hi Eric,

Thank you very much for the quick help!

My mistake: I forgot the proper procedure of loading the new add-in in
Excel 2003. I have to deselect the old one from the add-in menu, exit
Excel, re-open Excel, and then load the new add-in.

Now everything works fine. I also successfully added a new function
"qlMCPricingEngine()" which creates a crude monte carlo pricing engine
object. And I am happy to contribute more QuantLibXL functions if
needed. Thanks!

Cheers,
Max

On Feb 10, 2008 9:31 PM, Eric Ehlers <eri...@na...> wrote:
> Hi Max,
>
> > However, after reloading the XLL "QuantLibXL-vc80-mt-s-0_9_0.xll" in
> > Excel, the "=qlStock("my_stock",1.23)" only returns "#NAME?". It seems
> > that the function "qlStock" is not recognised.
>
> Are you sure that the XLL you loaded is the one with the new function
> compiled in?  What result do you get from this?
>
> =qlxlVersion(TRUE)
>
> The timestamp should correspond to the creation date of the XLL.  For
> example for the binary release of QLXL I get
>
> QuantLibXL 0.9.0 - MS VC++ 8.0 - Multithreaded Static Runtime library -
> Release Configuration - Jan 23 2008 18:20:22
>
> Regards,
> Eric
>
>
>

Re: [Quantlib-dev] [Quantlib-users] Problem in extending QuantLibXL functionality

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

Hi Max,

> However, after reloading the XLL "QuantLibXL-vc80-mt-s-0_9_0.xll" in
> Excel, the "=qlStock("my_stock",1.23)" only returns "#NAME?". It seems
> that the function "qlStock" is not recognised.

Are you sure that the XLL you loaded is the one with the new function
compiled in?  What result do you get from this?

=qlxlVersion(TRUE)

The timestamp should correspond to the creation date of the XLL.  For
example for the binary release of QLXL I get

QuantLibXL 0.9.0 - MS VC++ 8.0 - Multithreaded Static Runtime library -
Release Configuration - Jan 23 2008 18:20:22

Regards,
Eric

Re: [Quantlib-dev] [Quantlib-users] Problem in extending QuantLibXL functionality

[Max <ma...@gm...>]

Hi Eric, Nicola,

On Feb 8, 2008 8:21 PM, Eric Ehlers <eri...@na...> wrote:
> The tutorial was out of date in places with respect to release 0.9.0.  I
> have updated the document, please try again and let us know if you have
> any further problems.

Yes, both of your solutions resolved the compilation problem. I
managed to re-build QuantLibXL successfully.

However, after reloading the XLL "QuantLibXL-vc80-mt-s-0_9_0.xll" in
Excel, the "=qlStock("my_stock",1.23)" only returns "#NAME?". It seems
that the function "qlStock" is not recognised.

I guess I must have missed out some important steps...

Any hint? Thanks in advance!

Cheers,
Max

Re: [Quantlib-dev] [Quantlib-users] Problem in extending QuantLibXL functionality

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

Hi Max,

> Hi Eric, Nicola,
>
> Thanks for your quick help and explanation! Now the code generation
works after changing "quote" to "Quote" in stock.xml.
>
> But I failed to compile "QuantLibAddin/qlo/stock.cpp" and
> "QuantLibXL/qlxl/Functions/stock.cpp".

The tutorial was out of date in places with respect to release 0.9.0.  I
have updated the document, please try again and let us know if you have
any further problems.

Regards,
Eric

Re: [Quantlib-dev] Preliminary 0.9.0 tarballs - VC++ 2008 Express

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

On Mon, 2008-02-04 at 04:14 +0000, Dave Compton wrote:
> I also ran into this problem before seeing this thread.  I worked around it by
> explicitly specifying the Quantlib namespace for the Singleton<Tracing> class as
> shown in the following diff:

Thanks for the patch, Dave. I'll apply it as soon as we start providing
VC9 support.

Luigi


-- 

Hofstadter's Law: 
It always takes longer than you expect, even when you take 
Hofstadter's Law into account. 

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [14294] trunk/QuantLib/test-suite/marketmodel.cpp

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

On Wed, Feb 6, 2008 at 5:20 PM, Luigi Ballabio <lui...@gm...> wrote:
>  Ehm... is this supposed to fail at every loop? Shouldn't the error be in
>  the "if" clause?

Ooops, I reverted the change back to the original code. Sorry.
It escapes me why I committed that wrong change at all... with no
comments.. it must be the excessive confidence I get from knowing
you're watching over me :-)

ciao -- Nando

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [14294] trunk/QuantLib/test-suite/marketmodel.cpp

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

On Wed, 2008-02-06 at 07:33 -0800, na...@us... wrote:
> Revision: 14294
>           http://quantlib.svn.sourceforge.net/quantlib/?rev=14294&view=rev
> Author:   nando
> Date:     2008-02-06 07:33:10 -0800 (Wed, 06 Feb 2008)
> 
> Modified Paths:
> --------------
>     trunk/QuantLib/test-suite/marketmodel.cpp
> 
> Modified: trunk/QuantLib/test-suite/marketmodel.cpp
> ===================================================================
> @@ -1224,19 +1224,21 @@
>  
>      for (Size i=0; i < numberBigRates; ++i) {
>          if (fabs(capletErrorsInSds[i]) > capletTolerance) {
> -            BOOST_FAIL(io::ordinal(i+1) << "caplet , approx price " <<
> -                       approxCapletPrices[i] <<
> -                       ", \t simulation price " << results[i] <<
> -                       ", \t error in sds " << capletErrorsInSds[i]);
> +            BOOST_MESSAGE(io::ordinal(i+1) << "caplet , approx price " <<
> +                          approxCapletPrices[i] <<
> +                          ", \t simulation price " << results[i] <<
> +                          ", \t error in sds " << capletErrorsInSds[i]);
>          }
> +        BOOST_ERROR("test failed");

Ehm... is this supposed to fail at every loop? Shouldn't the error be in
the "if" clause?

Luigi



-- 

Never mistake motion for action. 
-- Ernest Hemingway 

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [14284] trunk/QuantLib/ql/termstructures

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

On Wed, Feb 6, 2008 at 3:18 PM, Luigi Ballabio <lui...@gm...> wrote:
>  >          // check that there is no instruments with invalid quote
>  >          for (Size i=0; i<n; ++i)
>  >              QL_REQUIRE(ts_->instruments_[i]->quoteIsValid(),
>  > -                       "instrument with invalid quote");
>  > +                       io::ordinal(i) << " instrument has an invalid quote");
>  >
>  Shouldn't the above be io::ordinal(i+1)? (So that the first instrument
>  is reported as "1st" and not as "0th"...)

You're right: I love your picky attitude :-)
In the current library io::ordinal was used in the i+1 fashion almost
nowhere... so I went ahead and fix it:
http://quantlib.svn.sourceforge.net/viewvc/quantlib?view=rev&revision=14292

ciao -- Nando