quantlib-dev — Discussion of QuantLib development

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

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

On Wed, 2008-02-06 at 05:07 -0800, na...@us... wrote:
> Revision: 14284
>           http://quantlib.svn.sourceforge.net/quantlib/?rev=14284&view=rev
> Author:   nando
> Date:     2008-02-06 05:07:00 -0800 (Wed, 06 Feb 2008)
> 
> Log Message:
> -----------
> increased error messages' information
> 
> @@ -97,7 +97,7 @@
>          // 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");
>  
>          // setup instruments
>          for (Size i=0; i<n; ++i) {

Shouldn't the above be io::ordinal(i+1)? (So that the first instrument
is reported as "1st" and not as "0th"...)

Luigi


-- 

The surest way to make a monkey of a man is to quote him. 
-- Robert Benchley 

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [14287] trunk/QuantLib

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

On Wed, Feb 6, 2008 at 3:09 PM, Luigi Ballabio <lui...@gm...> wrote:
>  > -                } else if (i == 1) {
>  > +                } else if (i==1) {

>         the old format seemed more readable to me. Just saying...

I have no preference but being consistent in the whole file, which was
what I fixed

ciao -- Nando

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [14287] trunk/QuantLib

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

On Wed, 2008-02-06 at 05:42 -0800, na...@us... wrote:
> Revision: 14287
>           http://quantlib.svn.sourceforge.net/quantlib/?rev=14287&view=rev
> Author:   nando
> Date:     2008-02-06 05:42:05 -0800 (Wed, 06 Feb 2008)
> 
> Log Message:
> -----------
> formatting

> @@ -124,11 +124,11 @@
>              for (Size i=1; i<n+1; ++i) {
> -                if (iteration == 0)   {
> +                if (iteration==0) {
>                      // extend interpolation a point at a time
> @@ -149,10 +149,10 @@
>                      guess = 0.99 * ts_->data_[i];
> -                } else if (i == 1) {
> +                } else if (i==1) {
>                      guess = Traits::initialGuess();

Hi,
	the old format seemed more readable to me. Just saying...

Luigi


-- 

Steinbach's Guideline for Systems Programming: 
Never test for an error condition you don't know how to handle. 

Re: [Quantlib-dev] QuantLib-dev Digest, Vol 21, Issue 1

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

Hello,

> For the reason of having all the parameter names starting with a capital
> letter probably Eric might give us some insight.

The requirement was introduced to enforce consistency with the Excel
Function Wizard which uppercases the first letter of every parameter name
whether you like it or not.

Regards,
Eric

Re: [Quantlib-dev] QuantLib-dev Digest, Vol 21, Issue 1

[Nicola J. <nic...@gm...>]

In your stock.xml do you have something like this?
<Parameter name='quote'>
In this case change it to
<Parameter name='Quote'>
that's what the error message is telling you.
For the reason of having all the parameter names starting with a capital letter
probably Eric might give us some insight.



On 06/02/2008, qua...@li...
<qua...@li...> wrote:
> Send QuantLib-dev mailing list submissions to
>         qua...@li...
>
> To subscribe or unsubscribe via the World Wide Web, visit
>         https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> or, via email, send a message with subject or body 'help' to
>         qua...@li...
>
> You can reach the person managing the list at
>         qua...@li...
>
> When replying, please edit your Subject line so it is more specific
> than "Re: Contents of QuantLib-dev digest..."
>
>
> Today's Topics:
>
>    1. Re: [QuantLib-svn] SF.net SVN: quantlib: [14226]
>       trunk/QuantLib (Ferdinando Ametrano)
>    2. Re: [QuantLib-svn] SF.net SVN: quantlib:  [14226]
>       trunk/QuantLib (Luigi Ballabio)
>    3. Re: [QuantLib-svn] SF.net SVN: quantlib: [14226]
>       trunk/QuantLib (Ferdinando Ametrano)
>    4. Re: [QuantLib-svn] SF.net SVN: quantlib:  [14226]
>       trunk/QuantLib (Luigi Ballabio)
>    5. Re: [QuantLib-svn] SF.net SVN: quantlib: [14226]
>       trunk/QuantLib (Ferdinando Ametrano)
>    6. Re: [QuantLib-svn] SF.net SVN: quantlib:  [14226]
>       trunk/QuantLib (Luigi Ballabio)
>    7. what are the most computation intensive algorithms        in
>       Quantlib (G E Naganna)
>    8. Re: Preliminary 0.9.0 tarballs - VC++ 2008 Express (Dave Compton)
>    9. Problem in extending QuantLibXL functionality (Max)
>
>
> ----------------------------------------------------------------------
>
> Message: 1
> Date: Thu, 31 Jan 2008 11:30:19 +0100
> From: "Ferdinando Ametrano" <na...@am...>
> Subject: Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:
>         [14226] trunk/QuantLib
> To: lui...@gm...
> Cc: qua...@li...
> Message-ID:
>         <864...@ma...>
> Content-Type: text/plain; charset=ISO-8859-1
>
> On Thu, Jan 31, 2008 at 10:57 AM, Luigi Ballabio
> <lui...@gm...> wrote:
> >  makeschedule.hpp would
> >  include schedule.hpp, so other files that include makeschedule.hpp would
> >  bring in schedule.hpp anyway [...] so you don't save any inclusion
> >  by removing it from schedule.hpp.  QED.  The same applies to other
> >  MakeFoo classes.
>
> yes, this was clear to me. Hope you have little doubts about it ;-)
>
> My point is that any change to makefoo.hpp would not trigger
> recompilation of files depending on foo.hpp
> And it should be obvious that many more files/classes depends on
> foo.hpp (main class) declarations than on the makefoo.hpp  (utility)
> declarations.
>
> ciao -- Nando
>
>
>
> ------------------------------
>
> Message: 2
> Date: Thu, 31 Jan 2008 11:51:13 +0100
> From: Luigi Ballabio <lui...@gm...>
> Subject: Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:
>         [14226] trunk/QuantLib
> To: Ferdinando Ametrano <na...@am...>
> Cc: qua...@li...
> Message-ID: <1201776673.27840.6.camel@ITSUP001>
> Content-Type: text/plain
>
> On Thu, 2008-01-31 at 11:30 +0100, Ferdinando Ametrano wrote:
> > My point is that any change to makefoo.hpp would not trigger
> > recompilation of files depending on foo.hpp
>
> Yes, but how many times are we going to change the interfaces again?
>
> Luigi
>
>
> --
>
> The most exciting phrase to hear in science, the one that heralds new
> discoveries, is not "Eureka!" but "That's funny..."
> -- Isaac Asimov
>
>
>
>
>
> ------------------------------
>
> Message: 3
> Date: Thu, 31 Jan 2008 11:59:48 +0100
> From: "Ferdinando Ametrano" <na...@am...>
> Subject: Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:
>         [14226] trunk/QuantLib
> To: lui...@gm...
> Cc: qua...@li...
> Message-ID:
>         <864...@ma...>
> Content-Type: text/plain; charset=ISO-8859-1
>
> On Thu, Jan 31, 2008 at 11:51 AM, Luigi Ballabio
> <lui...@gm...> wrote:
> >  Yes, but how many times are we going to change the interfaces again?
> enough to care about, in my opinion. Of course your mileage might vary...
>
> ciao -- Nando
>
>
>
> ------------------------------
>
> Message: 4
> Date: Thu, 31 Jan 2008 13:25:14 +0100
> From: Luigi Ballabio <lui...@gm...>
> Subject: Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:
>         [14226] trunk/QuantLib
> To: Ferdinando Ametrano <na...@am...>
> Cc: qua...@li...
> Message-ID: <1201782314.27840.22.camel@ITSUP001>
> Content-Type: text/plain
>
> On Thu, 2008-01-31 at 11:59 +0100, Ferdinando Ametrano wrote:
> > On Thu, Jan 31, 2008 at 11:51 AM, Luigi Ballabio
> > <lui...@gm...> wrote:
> > >  Yes, but how many times are we going to change the interfaces again?
> > enough to care about, in my opinion. Of course your mileage might vary...
>
> Aren't we supposed to release a stable 1.0 this year? "Stable" as in
> "client code should keep working with later releases without changes"?
> Ok, we can postpone joining the headers until we're close to freeze.
> But after that, I would value more grouping related classes to make
> their relationship clear, or making immediately clear to a user looking
> at schedule.hpp that a MakeSchedule class is available. After all, the
> recompilation problem affects only a handful of users---you, me, and a
> few others that work on the repository; most users just build the
> released library once.
>
> Luigi
>
>
> --
>
> A programming language is low-level when its programs require attention
> to the irrelevant.
> -- Alan Perlis
>
>
>
>
>
> ------------------------------
>
> Message: 5
> Date: Thu, 31 Jan 2008 16:14:11 +0100
> From: "Ferdinando Ametrano" <na...@am...>
> Subject: Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:
>         [14226] trunk/QuantLib
> To: lui...@gm...
> Cc: qua...@li...
> Message-ID:
>         <864...@ma...>
> Content-Type: text/plain; charset=ISO-8859-1
>
> On Thu, Jan 31, 2008 at 1:25 PM, Luigi Ballabio
> <lui...@gm...> wrote:
> >  Aren't we supposed to release a stable 1.0 this year? "Stable" as in
> >  "client code should keep working with later releases without changes"?
> Yes we are. Anyway I miss the relationship between the stability the
> library should guarantee from 1.0 onward and the way we organize our
> header files.
>
> >  I would value more grouping related classes to make
> >  their relationship clear, or making immediately clear to a user looking
> >  at schedule.hpp that a MakeSchedule class is available.
> I hoped that documentation would have been in charge of that, while
> header file organization would have served the developer community. I
> might be wrong, but this was your argument when I tried to use folder
> structure to surrogate some lack of documentation
>
> >  After all, the
> >  recompilation problem affects only a handful of users---you, me, and a
> >  few others that work on the repository; most users just build the
> >  released library once.
> After all, I must confess I'm concerned much more about my needs than
> "most (other) users" needs. Don't get me misunderstood, I am committed
> to free software and open source 100% as I've always been from the
> start of the QuantLib project. it's just that I spend my coding hours
> for my employer and my personal interests, not to serve generic end
> users.
> Trust me: those end users are longing for documentation, and don't
> mind about header organization.
>
> Last but not least, I would love if somebody else would join this
> thread and contribute his opinion. Otherwise my proposal would be to
> continue just between you and I in front of a beer ;-)
>
> ciao -- Nando
>
>
>
> ------------------------------
>
> Message: 6
> Date: Thu, 31 Jan 2008 16:46:51 +0100
> From: Luigi Ballabio <lui...@gm...>
> Subject: Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:
>         [14226] trunk/QuantLib
> To: Ferdinando Ametrano <na...@am...>
> Cc: qua...@li...
> Message-ID: <1201794411.27840.39.camel@ITSUP001>
> Content-Type: text/plain
>
> On Thu, 2008-01-31 at 16:14 +0100, Ferdinando Ametrano wrote:
> > On Thu, Jan 31, 2008 at 1:25 PM, Luigi Ballabio
> > >  I would value more grouping related classes to make
> > >  their relationship clear, or making immediately clear to a user looking
> > >  at schedule.hpp that a MakeSchedule class is available.
> > I hoped that documentation would have been in charge of that, while
> > header file organization would have served the developer community. I
> > might be wrong, but this was your argument when I tried to use folder
> > structure to surrogate some lack of documentation
>
> What? You mean I'm not supposed to turn my own arguments top-down for
> the sake of whatever side I'm currently taking? :)
>
> Well, it seems like you caught me. I've no other choice than to
> gentlemanly acknowledge defeat. You win.
>
> Later,
>         Luigi
>
>
> --
>
> The shortest way to do many things is to do only one thing at once.
> -- Samuel Smiles
>
>
>
>
>
> ------------------------------
>
> Message: 7
> Date: Sun, 3 Feb 2008 11:27:40 +0530
> From: "G E Naganna" <nag...@gm...>
> Subject: [Quantlib-dev] what are the most computation intensive
>         algorithms      in Quantlib
> To: qua...@li...
> Message-ID:
>         <a59...@ma...>
> Content-Type: text/plain; charset="iso-8859-1"
>
> Hello Everybody,
>
> I am new to Financial domain.
>
> what are the most computation intensive algorithms in Quantlib?
>
> I want to accelerate algorithms which takes lot of time.
>
> what is best book to understand finance mathematics?
>
> --
> G.E.Naganna
> -------------- next part --------------
> An HTML attachment was scrubbed...
>
> ------------------------------
>
> Message: 8
> Date: Mon, 4 Feb 2008 04:14:51 +0000 (UTC)
> From: Dave Compton <to....@gm...>
> Subject: Re: [Quantlib-dev] Preliminary 0.9.0 tarballs - VC++ 2008
>         Express
> To: qua...@li...
> Message-ID: <loo...@po...>
> Content-Type: text/plain; charset=us-ascii
>
> Dominick Samperi <djsamperi <at> earthlink.net> writes:
>
> > I commented out the friend part like this:
> >         class Tracing : public Singleton<Tracing> {
> > //            friend class Singleton<Tracing>;
> >         private:
> >             Tracing();
> >
>
> 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:
> $ bzr diff tracing.hpp
> === modified file 'QuantLib-0.9.0/ql/utilities/tracing.hpp'
> --- QuantLib-0.9.0/ql/utilities/tracing.hpp     2008-02-03 22:41:13 +0000
> +++ QuantLib-0.9.0/ql/utilities/tracing.hpp     2008-02-03 23:55:29 +0000
> @@ -62,8 +62,8 @@
>
>      namespace detail {
>
> -        class Tracing : public Singleton<Tracing> {
> -            friend class Singleton<Tracing>;
> +               class Tracing : public QuantLib::Singleton<Tracing> {
> +                       friend class QuantLib::Singleton<Tracing>;
>          private:
>              Tracing();
>          public:
>
>
> I think this preserves the exact meaning of the original code.
>
> - Dave
>
>
>
>
>
> ------------------------------
>
> Message: 9
> Date: Wed, 6 Feb 2008 14:41:16 +0800
> From: Max <ma...@gm...>
> Subject: [Quantlib-dev] Problem in extending QuantLibXL functionality
> To: "QuantLib users" <qua...@li...>,
>         qua...@li...
> Message-ID:
>         <4b8...@ma...>
> Content-Type: text/plain; charset=ISO-8859-1
>
> Hi,
>
> I am trying to follow the online tuturial to add a new function to QuantLibXL:
> http://quantlib.sourceforge.net/quantlibaddin/extend_tutorial.html
>
> I have created the following files:
> QuantLibAddin\qlo\stock.hpp (added to project QuantLibObjects)
> QuantLibAddin\qlo\stock.cpp (added to project QuantLibObjects)
> QuantLibAddin\gensrc\metadata\Functions\stock.xml (added to project qlgensrc)
>
> And edit the file QuantLibAddin\gensrc\config\categories.xml by adding
> this line:
>     <categoryName>stock</categoryName>
> (without this step, rebuilding project qlgensrc is fine but no new
> files are generated)
>
> However when I rebuild project qlgensrc, the following error occurs:
> ------------------------------------------------------------------------------------------------------------------------------
> Performing Makefile project actions
> Microsoft (R) Program Maintenance Utility Version 8.00.50727.762
> Copyright (C) Microsoft Corporation.  All rights reserved.
>  if not exist build\vc mkdir build\vc
>  ..\..\gensrc\gensrc.py -a
> >
> > gensrc has encountered a fatal error.
> >
> > >>>>>>>>>> BEGIN STACK TRACE >>>>>>>>>>
>   File "d:\build_ql_0_9_0\gensrc\gensrc.py", line 102, in
>     addinList = addinlist.AddinList(addinIds)
>   File "d:\build_ql_0_9_0\gensrc\gensrc\Addins\addinlist.py", line
> 127, in __init__
>     self.categoryList_ = categorylist.CategoryList()
>   File "d:\build_ql_0_9_0\gensrc\gensrc\Categories\categorylist.py",
> line 72, in __init__
>     self.loadCategories(self.addinCategoryNames_,
> environment.config().addinFunctions())
>   File "d:\build_ql_0_9_0\gensrc\gensrc\Categories\categorylist.py",
> line 57, in loadCategories
>     cat = utilities.serializeObject(category.Category, catDir + categoryName)
>   File "d:\build_ql_0_9_0\gensrc\gensrc\Utilities\utilities.py", line
> 30, in serializeObject
>     objectInstance.serialize(serializer)
>   File "d:\build_ql_0_9_0\gensrc\gensrc\Categories\category.py", line
> 100, in serialize
>     serializer.serializeObjectDict(self, function.Function)
>   File "d:\build_ql_0_9_0\gensrc\gensrc\Serialization\xmlreader.py",
> line 161, in serializeObjectDict
>     objectInstance.serialize(self)
>   File "d:\build_ql_0_9_0\gensrc\gensrc\Functions\constructor.py",
> line 70, in serialize
>     super(Constructor, self).serialize(serializer)
>   File "d:\build_ql_0_9_0\gensrc\gensrc\Functions\function.py", line
> 128, in serialize
>     serializer.serializeObject(self, parameterlist.ParameterList)
>   File "d:\build_ql_0_9_0\gensrc\gensrc\Serialization\xmlreader.py",
> line 119, in serializeObject
>     objectInstance.serialize(self)
>   File "d:\build_ql_0_9_0\gensrc\gensrc\Parameters\parameterlist.py",
> line 89, in serialize
>     serializer.serializeObjectList(self, parameter.Parameter)
>   File "d:\build_ql_0_9_0\gensrc\gensrc\Serialization\xmlreader.py",
> line 134, in serializeObjectList
>     objectInstance.postSerialize()
>   File "d:\build_ql_0_9_0\gensrc\gensrc\Parameters\parameter.py", line
> 143, in postSerialize
>     raise exceptions.ParameterNameCapitalizationException(self.name_)
> > <<<<<<<<<<  END STACK TRACE  <<<<<<<<<<
> >
> > gensrc error:
> >
> > The string "quote" is not a valid parameter name -
> > All parameter names must begin with an uppercase letter.
> >
> NMAKE : fatal error U1077: '..\..\gensrc\gensrc.py' : return code '0x1'
> Stop.
> Project : error PRJ0019: A tool returned an error code from
> "Performing Makefile project actions"
> ------------------------------------------------------------------------------------------------------------------------------
>
> Any help? Thanks in advance!
>
> Cheers,
> Max
>
>
>
> ------------------------------
>
> -------------------------------------------------------------------------
> 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
>
>
> End of QuantLib-dev Digest, Vol 21, Issue 1
> *******************************************
>

[Quantlib-dev] Problem in extending QuantLibXL functionality

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

Hi,

I am trying to follow the online tuturial to add a new function to QuantLibXL:
http://quantlib.sourceforge.net/quantlibaddin/extend_tutorial.html

I have created the following files:
QuantLibAddin\qlo\stock.hpp (added to project QuantLibObjects)
QuantLibAddin\qlo\stock.cpp (added to project QuantLibObjects)
QuantLibAddin\gensrc\metadata\Functions\stock.xml (added to project qlgensrc)

And edit the file QuantLibAddin\gensrc\config\categories.xml by adding
this line:
    <categoryName>stock</categoryName>
(without this step, rebuilding project qlgensrc is fine but no new
files are generated)

However when I rebuild project qlgensrc, the following error occurs:
------------------------------------------------------------------------------------------------------------------------------
Performing Makefile project actions
Microsoft (R) Program Maintenance Utility Version 8.00.50727.762
Copyright (C) Microsoft Corporation.  All rights reserved.
 if not exist build\vc mkdir build\vc
 ..\..\gensrc\gensrc.py -a
>
> gensrc has encountered a fatal error.
>
> >>>>>>>>>> BEGIN STACK TRACE >>>>>>>>>>
  File "d:\build_ql_0_9_0\gensrc\gensrc.py", line 102, in
    addinList = addinlist.AddinList(addinIds)
  File "d:\build_ql_0_9_0\gensrc\gensrc\Addins\addinlist.py", line
127, in __init__
    self.categoryList_ = categorylist.CategoryList()
  File "d:\build_ql_0_9_0\gensrc\gensrc\Categories\categorylist.py",
line 72, in __init__
    self.loadCategories(self.addinCategoryNames_,
environment.config().addinFunctions())
  File "d:\build_ql_0_9_0\gensrc\gensrc\Categories\categorylist.py",
line 57, in loadCategories
    cat = utilities.serializeObject(category.Category, catDir + categoryName)
  File "d:\build_ql_0_9_0\gensrc\gensrc\Utilities\utilities.py", line
30, in serializeObject
    objectInstance.serialize(serializer)
  File "d:\build_ql_0_9_0\gensrc\gensrc\Categories\category.py", line
100, in serialize
    serializer.serializeObjectDict(self, function.Function)
  File "d:\build_ql_0_9_0\gensrc\gensrc\Serialization\xmlreader.py",
line 161, in serializeObjectDict
    objectInstance.serialize(self)
  File "d:\build_ql_0_9_0\gensrc\gensrc\Functions\constructor.py",
line 70, in serialize
    super(Constructor, self).serialize(serializer)
  File "d:\build_ql_0_9_0\gensrc\gensrc\Functions\function.py", line
128, in serialize
    serializer.serializeObject(self, parameterlist.ParameterList)
  File "d:\build_ql_0_9_0\gensrc\gensrc\Serialization\xmlreader.py",
line 119, in serializeObject
    objectInstance.serialize(self)
  File "d:\build_ql_0_9_0\gensrc\gensrc\Parameters\parameterlist.py",
line 89, in serialize
    serializer.serializeObjectList(self, parameter.Parameter)
  File "d:\build_ql_0_9_0\gensrc\gensrc\Serialization\xmlreader.py",
line 134, in serializeObjectList
    objectInstance.postSerialize()
  File "d:\build_ql_0_9_0\gensrc\gensrc\Parameters\parameter.py", line
143, in postSerialize
    raise exceptions.ParameterNameCapitalizationException(self.name_)
> <<<<<<<<<<  END STACK TRACE  <<<<<<<<<<
>
> gensrc error:
>
> The string "quote" is not a valid parameter name -
> All parameter names must begin with an uppercase letter.
>
NMAKE : fatal error U1077: '..\..\gensrc\gensrc.py' : return code '0x1'
Stop.
Project : error PRJ0019: A tool returned an error code from
"Performing Makefile project actions"
------------------------------------------------------------------------------------------------------------------------------

Any help? Thanks in advance!

Cheers,
Max

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

[Dave C. <to....@gm...>]

Dominick Samperi <djsamperi <at> earthlink.net> writes:

> I commented out the friend part like this:
>         class Tracing : public Singleton<Tracing> {
> //            friend class Singleton<Tracing>;
>         private:
>             Tracing();
> 

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:
$ bzr diff tracing.hpp
=== modified file 'QuantLib-0.9.0/ql/utilities/tracing.hpp'
--- QuantLib-0.9.0/ql/utilities/tracing.hpp     2008-02-03 22:41:13 +0000
+++ QuantLib-0.9.0/ql/utilities/tracing.hpp     2008-02-03 23:55:29 +0000
@@ -62,8 +62,8 @@

     namespace detail {

-        class Tracing : public Singleton<Tracing> {
-            friend class Singleton<Tracing>;
+               class Tracing : public QuantLib::Singleton<Tracing> {
+                       friend class QuantLib::Singleton<Tracing>;
         private:
             Tracing();
         public:


I think this preserves the exact meaning of the original code.

- Dave

[Quantlib-dev] what are the most computation intensive algorithms in Quantlib

[G E N. <nag...@gm...>]

Hello Everybody,

I am new to Financial domain.

what are the most computation intensive algorithms in Quantlib?

I want to accelerate algorithms which takes lot of time.

what is best book to understand finance mathematics?

-- 
G.E.Naganna

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [14226] trunk/QuantLib

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

On Thu, 2008-01-31 at 16:14 +0100, Ferdinando Ametrano wrote:
> On Thu, Jan 31, 2008 at 1:25 PM, Luigi Ballabio
> >  I would value more grouping related classes to make
> >  their relationship clear, or making immediately clear to a user looking
> >  at schedule.hpp that a MakeSchedule class is available.
> I hoped that documentation would have been in charge of that, while
> header file organization would have served the developer community. I
> might be wrong, but this was your argument when I tried to use folder
> structure to surrogate some lack of documentation

What? You mean I'm not supposed to turn my own arguments top-down for
the sake of whatever side I'm currently taking? :)

Well, it seems like you caught me. I've no other choice than to
gentlemanly acknowledge defeat. You win.

Later,
	Luigi


-- 

The shortest way to do many things is to do only one thing at once. 
-- Samuel Smiles 

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [14226] trunk/QuantLib

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

On Thu, Jan 31, 2008 at 1:25 PM, Luigi Ballabio
<lui...@gm...> wrote:
>  Aren't we supposed to release a stable 1.0 this year? "Stable" as in
>  "client code should keep working with later releases without changes"?
Yes we are. Anyway I miss the relationship between the stability the
library should guarantee from 1.0 onward and the way we organize our
header files.

>  I would value more grouping related classes to make
>  their relationship clear, or making immediately clear to a user looking
>  at schedule.hpp that a MakeSchedule class is available.
I hoped that documentation would have been in charge of that, while
header file organization would have served the developer community. I
might be wrong, but this was your argument when I tried to use folder
structure to surrogate some lack of documentation

>  After all, the
>  recompilation problem affects only a handful of users---you, me, and a
>  few others that work on the repository; most users just build the
>  released library once.
After all, I must confess I'm concerned much more about my needs than
"most (other) users" needs. Don't get me misunderstood, I am committed
to free software and open source 100% as I've always been from the
start of the QuantLib project. it's just that I spend my coding hours
for my employer and my personal interests, not to serve generic end
users.
Trust me: those end users are longing for documentation, and don't
mind about header organization.

Last but not least, I would love if somebody else would join this
thread and contribute his opinion. Otherwise my proposal would be to
continue just between you and I in front of a beer ;-)

ciao -- Nando

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [14226] trunk/QuantLib

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

On Thu, 2008-01-31 at 11:59 +0100, Ferdinando Ametrano wrote:
> On Thu, Jan 31, 2008 at 11:51 AM, Luigi Ballabio
> <lui...@gm...> wrote:
> >  Yes, but how many times are we going to change the interfaces again?
> enough to care about, in my opinion. Of course your mileage might vary...

Aren't we supposed to release a stable 1.0 this year? "Stable" as in
"client code should keep working with later releases without changes"?
Ok, we can postpone joining the headers until we're close to freeze.
But after that, I would value more grouping related classes to make
their relationship clear, or making immediately clear to a user looking
at schedule.hpp that a MakeSchedule class is available. After all, the
recompilation problem affects only a handful of users---you, me, and a
few others that work on the repository; most users just build the
released library once.

Luigi


-- 

A programming language is low-level when its programs require attention 
to the irrelevant. 
-- Alan Perlis 

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [14226] trunk/QuantLib

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

On Thu, Jan 31, 2008 at 11:51 AM, Luigi Ballabio
<lui...@gm...> wrote:
>  Yes, but how many times are we going to change the interfaces again?
enough to care about, in my opinion. Of course your mileage might vary...

ciao -- Nando

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [14226] trunk/QuantLib

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

On Thu, 2008-01-31 at 11:30 +0100, Ferdinando Ametrano wrote:
> My point is that any change to makefoo.hpp would not trigger
> recompilation of files depending on foo.hpp

Yes, but how many times are we going to change the interfaces again?

Luigi


-- 

The most exciting phrase to hear in science, the one that heralds new 
discoveries, is not "Eureka!" but "That's funny..." 
-- Isaac Asimov 

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [14226] trunk/QuantLib

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

On Thu, Jan 31, 2008 at 10:57 AM, Luigi Ballabio
<lui...@gm...> wrote:
>  makeschedule.hpp would
>  include schedule.hpp, so other files that include makeschedule.hpp would
>  bring in schedule.hpp anyway [...] so you don't save any inclusion
>  by removing it from schedule.hpp.  QED.  The same applies to other
>  MakeFoo classes.

yes, this was clear to me. Hope you have little doubts about it ;-)

My point is that any change to makefoo.hpp would not trigger
recompilation of files depending on foo.hpp
And it should be obvious that many more files/classes depends on
foo.hpp (main class) declarations than on the makefoo.hpp  (utility)
declarations.

ciao -- Nando

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [14226] trunk/QuantLib

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

On Thu, 2008-01-31 at 10:28 +0100, Ferdinando Ametrano wrote:
> >  How about putting MakeSwaption together with Swaption, instead? (And the
> >  same for the other helpers, of course.)
> 
> oh boy! as it often happens, I was thinking in the exact opposite direction ;-)
> I was considering to move the MakeSchedule code out of schedule.*pp
> into its own files.

Nando,
	this won't buy you anything. On the one hand, makeschedule.hpp would
include schedule.hpp, so other files that include makeschedule.hpp would
bring in schedule.hpp anyway. On the other hand, makeschedule.hpp
wouldn't include anything more than what's already included in
schedule.hpp (because all arguments of the MakeSchedule methods are
arguments of the Schedule constructor) so you don't save any inclusion
by removing it from schedule.hpp.  QED.  The same applies to other
MakeFoo classes.


> By the way, the _whole_ library is currently being recompiled as I
> write just because I've added 2 inspectors to the Option class.

Sure. But you have to weight it---how often do you expect to change the
Option class, now that you've added the missing inspectors? Ok, you'll
have to recompile the _whole_ library every four months. On the other
hand, we get a more logical structure. Seems acceptable to me...

Later,
	Luigi


-- 

Glendower: I can call spirits from the vasty deep. 
Hotspur: Why, so can I, or so can any man; 
But will they come when you do call for them? 
-- King Henry the Fourth Part I, Act III, Scene I 

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [14226] trunk/QuantLib

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

On Thu, Jan 31, 2008 at 10:13 AM, Luigi Ballabio
<lui...@gm...> wrote:
>  >     trunk/QuantLib/ql/instruments/makeswaption.cpp
>  >     trunk/QuantLib/ql/instruments/makeswaption.hpp
> [...]
>  How about putting MakeSwaption together with Swaption, instead? (And the
>  same for the other helpers, of course.)

oh boy! as it often happens, I was thinking in the exact opposite direction ;-)
I was considering to move the MakeSchedule code out of schedule.*pp
into its own files.

The rational for my preference is that we have huge nested
dependencies because of too-large too-often-included hpp files and
this triggers a lot of avoidable recompilations.
While some recompilation is now avoided thanks to the increasing usage
of forward declaration, I would favour breaking up hpp declaration
files in reasonably small units.

By the way, the _whole_ library is currently being recompiled as I
write just because I've added 2 inspectors to the Option class. This
happens just because the enum Type { Put, Call } is inside the Option
class definition instead of being outside (in its own file) and this
enumeration is of course used in a lot of places, even where the
Option class is not used at all :-(

ciao -- Nando

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [14226] trunk/QuantLib

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

On Thu, 2008-01-31 at 01:02 -0800, na...@us... wrote:
> Revision: 14226
>           http://quantlib.svn.sourceforge.net/quantlib/?rev=14226&view=rev
> Author:   nando
> Date:     2008-01-31 01:02:55 -0800 (Thu, 31 Jan 2008)
> 
> Log Message:
> -----------
> renamed files
> 
> Added Paths:
> -----------
>     trunk/QuantLib/ql/instruments/makeswaption.cpp
>     trunk/QuantLib/ql/instruments/makeswaption.hpp
> 
> Removed Paths:
> -------------
>     trunk/QuantLib/ql/instruments/makeswaptions.cpp
>     trunk/QuantLib/ql/instruments/makeswaptions.hpp

How about putting MakeSwaption together with Swaption, instead? (And the
same for the other helpers, of course.)

Luigi


-- 

Anyone who says he can see through women is missing a lot. 
-- Groucho Marx 

Re: [Quantlib-dev] installation is failing on cygwin

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

On Jan 28, 2008 10:56 PM, Luigi Ballabio <lui...@gm...> wrote:

> If you edit the Makefile and replace the line
>
> examples: BermudanSwaption
>
> with:
>
> examples: BermudanSwaption$(EXEEXT)
>
> then 'make examples' should work correctly. (Or you can edit Makefile.in
> in the same way and re-run configure.)
>

Yup, it works for "make examples" now. However, "make clean" still does not
work.
To complete the fix, we should replace the line

CLEANFILES = SwapValuation

with:

CLEANFILES = SwapValuation$(EXEEXT)

Also, I guess similar fix should be applied to "test-suite/Makefile.am"

Thanks!

Best regards,
Max

Re: [Quantlib-dev] installation is failing on cygwin

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

On Mon, 2008-01-28 at 09:51 +0800, Max wrote:
> On Jan 25, 2008 9:32 PM, Luigi Ballabio <lui...@gm...>
> wrote:
>         
>         As for the link problem, I don't think adding -lQuantLib would
>         be the
>         correct fix; adding that might cause the linker to pick up a
>         previously
>         installed library instead of the one just compiled and not yet
>         installed. May you send me the Makefile for BermudanSwaption
>         as well?
> 
> The Makefile and log file are attached.

Ok, it's the same problem as before---just with different symptoms.
The 'examples' target tries to build BermudanSwaption, but the Makefile
contains rules for BermudanSwaption.exe instead. Seeing that a
BermudanSwaption.cpp file exists, make tries some default rules---but of
course they don't include -lQuantLib.

If you edit the Makefile and replace the line

examples: BermudanSwaption

with:

examples: BermudanSwaption$(EXEEXT)

then 'make examples' should work correctly. (Or you can edit Makefile.in
in the same way and re-run configure.)

Later,
	Luigi


-- 

Flon's Law: 
There is not now, and never will be, a language in 
which it is the least bit difficult to write bad programs. 

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [14167] trunk/QuantLib

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

On Wed, 2008-01-23 at 18:41 +0100, Ferdinando Ametrano wrote:
[ ... about default parameters in Black formulas ... ]
> 
> What about considering alternatives? E.g. removing default parameters
> from discount and displacement would partially force the user to look
> at the function again...

Or possibly something like

blackFormulaImpliedStdDev(price, etc)
.withGuess(guess)
.withDisplacement(d);

What do you think?

> Besides I can grant you that if you use the old guess as displacement
> you might have no problem at compile time but you're gonna notice at
> run time, so it would an evident change.

I had no doubt about it :)  The problem is that unlike a compilation
error, just seeing wrong numbers come out makes more difficult to
pinpoint what changed and in what file.

Luigi


-- 

Zawinski's Law: 
Every program attempts to expand until it can read mail. Those 
programs which cannot so expand are replaced by ones which can. 

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [14186] trunk/QuantLib/ql/quotes

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

On Mon, 2008-01-28 at 13:16 +0100, Ferdinando Ametrano wrote:
> On Jan 28, 2008 1:13 PM, Luigi Ballabio <lui...@gm...> wrote:
> > >     trunk/QuantLib/ql/quotes/sensitivityanalysis.cpp
> > >     trunk/QuantLib/ql/quotes/sensitivityanalysis.hpp
> >
> > Hi,
> >         good work. My only question is: do they belong in ql/quotes? Sure, they
> > use quotes, but it's almost an implementation accident... Any other
> > ideas?
> 
> the other idea I had was under ql base folder... whatever is fine with me

Yes, I'd say either the base folder or ql/analysis---which should be a
name generic enough to accomodate other future code of this kind.
Your call...

Luigi


-- 

The shortest way to do many things is to do only one thing at once. 
-- Samuel Smiles 

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [14186] trunk/QuantLib/ql/quotes

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

On Mon, 2008-01-28 at 02:10 -0800, na...@us... wrote:
> Revision: 14186
>           http://quantlib.svn.sourceforge.net/quantlib/?rev=14186&view=rev
> Author:   nando
> Date:     2008-01-28 02:10:33 -0800 (Mon, 28 Jan 2008)
> 
> Log Message:
> -----------
> added sensitivity analysis functions (sorry... I forgot to add these new files)
> 
> Added Paths:
> -----------
>     trunk/QuantLib/ql/quotes/sensitivityanalysis.cpp
>     trunk/QuantLib/ql/quotes/sensitivityanalysis.hpp

Hi,
	good work. My only question is: do they belong in ql/quotes? Sure, they
use quotes, but it's almost an implementation accident... Any other
ideas?

Luigi


-- 

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

Re: [Quantlib-dev] installation is failing on cygwin

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

On Fri, 2008-01-25 at 09:48 +0800, Max wrote:

> See the command-line interaction below:
> 
> $ cd QuantLib-0.9.0/Examples/Swap
> 
> $ make examples
> make: *** No rule to make target `SwapValuation', needed by
> `examples'.  Stop.

Ok, I got this one (thanks for the Makefile.) The problem is that the
'examples' rule looks for SwapValuation, but under cygwin the generated
Makefile contains rules for building SwapValuation.exe instead. I'm
fixing it in the repository.

As for the link problem, I don't think adding -lQuantLib would be the
correct fix; adding that might cause the linker to pick up a previously
installed library instead of the one just compiled and not yet
installed. May you send me the Makefile for BermudanSwaption as well?

Thanks,
	Luigi



-- 

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

[Quantlib-dev] [ quantlib-Bugs-1878623 ] QuantLibXL-docs-0.9.0.chm broken?

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

Bugs item #1878623, was opened at 2008-01-24 02:53
Message generated for change (Comment added) made by ericehlers
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1878623&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: Eric Ehlers (ericehlers)
Summary: QuantLibXL-docs-0.9.0.chm broken?

Initial Comment:
When clicking any page/link in  	QuantLibXL-docs-0.9.0.chm, it always hangs.

Tested on Windows XP Professonal.

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

>Comment By: Eric Ehlers (ericehlers)
Date: 2008-01-25 12:10

Message:
Logged In: YES 
user_id=1143221
Originator: NO

I am looking for a fix to this problem.  For now please try the following
workaround:
1) Open the chm file
2) Click the Hide button at top left to close the left menu bar
3) Maximize the window
Hopefully you will find it is now possible to browse the chm file
normally.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1878623&group_id=12740

Re: [Quantlib-dev] installation is failing on cygwin

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

On Thu, 2008-01-24 at 17:30 +0800, Max wrote:
> It seems that this problem can be fixed by inserting "LDLIBS =
> -lQuantLib" in the Makefile (maybe need to alter the "configure"
> script).

Strange. Makefile.am in the Examples directories already specifies

BermudanSwaption_LDADD = ../../ql/libQuantLib.la

which should have the same effect.

> BTW, I spot another error: "swapvaluation.cpp" should be renamed to
> "SwapValuation.cpp". Otherwise, "make examples" will fail on unix
> platform (e.g. cygwin).

No, it works fine on unix (I'm writing this from a Linux machine
myself.) Makefile.am includes the correct dependency, namely,

SwapValuation_SOURCES = swapvaluation.cpp

and the make rules are (well, should be) generated accordingly. Can you
send me a copy of your generated Makefile for the swap example?

Later,
	Luigi

-- 

Present to inform, not to impress; if you inform, you will impress. 
-- Fred Brooks