quantlib-dev — Discussion of QuantLib development

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

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

Hi Luigi,

It seems that this problem can be fixed by inserting "LDLIBS = -lQuantLib"
in the Makefile (maybe need to alter the "configure" script).
Alternatively, do "export LDLIBS=-lQuantLib" at shell before "make
examples".

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

Max

On Jan 24, 2008 12:42 AM, Luigi Ballabio <lui...@gm...> wrote:

> On Sat, 2008-01-12 at 08:52 -0800, adam99 wrote:
> > I am finally able to compile it, but without the makefile. I use the
> command
> >
> > g++ -g -O2 -Wall -I/usr/include/boost-1_33_1 -L/lib BermudanSwaption.cpp-o
> > BermudanSwaption -lQuantlib
> >
> > I dont know what the problem with the makefile is.
>
> Puzzling. Maybe it's picking up another libQuantLib.so?
>
> Luigi
>
>
> --
>
> The purpose of abstraction is not to be vague, but to create a new
> semantic level in which one can be absolutely precise.
> -- W.E. Dijkstra
>
>
>
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>

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

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

Bugs item #1878623, was opened at 2008-01-23 17:53
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=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: Nobody/Anonymous (nobody)
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.

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

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

[Quantlib-dev] QuantLibXL / ObjectHandler 0.9.0 Released

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

QuantLibXL, QuantLibAddin, ObjectHandler, and gensrc version
0.9.0 have been released and are available for download:
http://sourceforge.net/project/showfiles.php?group_id=12740

QuantLibAddin
http://www.quantlibaddin.org

QuantLibAddin exports the QuantLib interface to a variety
of end user platforms including OpenOffice.Org Calc.

QuantLibXL
http://www.quantlibxl.org

QuantLibXL is the implementation of QuantLibAddin for
Microsoft Excel.  The QuantLibXL project includes a binary
release comprising a compiled Addin, documentation, and
related workbooks.

ObjectHandler
http://www.objecthandler.org

ObjectHandler implements a repository where objects can be
stored, shared, updated, interrogated, and destroyed.  This
facilitates object orientation in procedural environments
such as spreadsheets.

gensrc
http://www.gensrc.org

gensrc is a python application which takes function metadata
and autogenerates addin source code for various platforms
including Excel, Calc, and C++.

        The QuantLib group

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [14172] branches/R000900-branch/QuantLibXL/NEWS.txt

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

oops I forgot about this. While removing the revision specific news is
ok, the aggregated news would have been the actual news for this
release. I might take a look at this tomorrow

ciao -- nando

On Jan 23, 2008 7:48 PM,  <eri...@us...> wrote:
> Revision: 14172
>           http://quantlib.svn.sourceforge.net/quantlib/?rev=14172&view=rev
> Author:   ericehlers
> Date:     2008-01-23 10:48:18 -0800 (Wed, 23 Jan 2008)
>
> Log Message:
> -----------
> for public release, remove from NEWS.txt site specific text that references specific svn revisions.
>
> Modified Paths:
> --------------
>     branches/R000900-branch/QuantLibXL/NEWS.txt
>
> Modified: branches/R000900-branch/QuantLibXL/NEWS.txt
> ===================================================================
> --- branches/R000900-branch/QuantLibXL/NEWS.txt 2008-01-23 18:45:00 UTC (rev 14171)
> +++ branches/R000900-branch/QuantLibXL/NEWS.txt 2008-01-23 18:48:18 UTC (rev 14172)
> @@ -1,601 +1,3 @@
>  For a rundown of changes per QuantLibXL release please visit
>  http://www.quantlibxl.org/history.html
>
> -new or updated in this release:
> -
> -**************************
> -    R000900
> -**************************
> -
> -LAUNCHER
> -- updated to distribute other xlls
> -- effective usage of XLS/XML switch
> -
> -FUNCTIONS
> -- added new inspector functions for SwapRateHelper
> -- introduced ForwardSwapQuote
> -- introduce Euribor1M, Euribor3M, Euribor6M, and Euribor1Y yield curves
> -  extended up to 60 years. The suggested discounting yield curve EURYC is
> -  assumed to be equal to Euribor6M
> -- exported Interestrate class and interface
> -- removed default delimiters in ohSplit (they were not region-setting neutral)
> -
> -QuantLibXL menu:
> -- "Update Indexes Time Series" among QLXL menu actions to retrieve YTD fixings
> -  from Reuters & update .xml files
> -- "Load Indexes Time Series" modified to load serialized time series objects
> -  only
> -- "Update Indexes Time Series" to retrieve YTD fixings and serialize them
> -
> -Workbooks:
> -- added Workbooks\MarketData\ManualFeed\TurnOfTheYear.xls for estimating turn
> -  of the year effect
> -- added Workbooks\InterestRateDerivatives\EURSwapABxE_Pricer.xls for real time
> -  pricing of all swaps (maturity from 1Y to 60Y including 15M, 18M, 21M,
> -  floating leg 1M, 3M, 6M, 1Y)
> -- reviewed and cleaned up all pricer wbks in InterestRateDerivatives folder
> -- added Workbooks\MarketData\ManualFeed\SynthDepoQuotesFeed.xls for estimating
> -  synthetic depos needed by the new yield curves
> -- Workbooks/Tests/CapFloorTermVol6MTest.xls extended to test
> -  EUR6MCapFloorAtmVol
> -
> -Cap volatilities:
> -- new optionletStripper including ATM cap term vols
> -
> -Swaption Volatilities:
> -- sabr vol surfaces based on abcd interpolated atm swaption volatilities
> -- new Workbooks/MarketMetaData/SwaptionVolsSabrVolSurface.xls
> -- new Workbooks/Tests/SwaptionSabrVolSurfacesChecks.xls
> -
> -Bonds:
> -- added and serialized new digital euribor bonds:
> -  IT0003730626, IT0003747364, IT0003766372, XS0194140785, XS0195731681,
> -  XS0003730626. These bonds were checked against prospectus
> -- added digital cms bond: XS0228052402
> -- added 2 new cms bonds: XS0318729950 and XS0211163943. The latter was
> -  validated, the former wasn't validated because prospectus is missing.
> -- properly handled Bond equivalent for all Reverse Floater bond's.
> -
> -**************************
> -    REV12939
> -**************************
> -Launcher:
> -- Add support for loading third party addins (identified by their network URL)
> -  in addition to the existing functionality for loading core addins delivered
> -  by the Launcher
> -- "Load Reuters/Bloomberg" moved from Environments tab to Feeds tab
> -- "Use Reuters/Bloomberg" added to Environments tab
> -- Add support for Initialization Data Source = Excel/XML
> -- Loading CabotoXL.xla addin which allows:
> -  a.bootstrapping Mx curve
> -  b.loading single IRS CMS and CAP/FLOOR CMS books (VOLTRAD_CMS_10Y_CF.xls,
> -  VOLTRAD_CMS_10Y_IRS.xls, VOLTRAD_CMS_30Y_IRS.xls, VOLTRAD_CMS_5Y_IRS.xls,
> -  CF-CMS-10Y-MxBook.xls)
> -
> -New Functions:
> -- qlVanillaSwapSwapRateHelper' as a spread inspector to SwapRateHelper
> -- ohGroupSize returns the number of object IDs contained in a Group object
> -- ohObjectLoad returns a list of IDs of objects loaded
> -- qlOptionletStripperSwitchStrike: returns the switch strike used in the
> -  optionlet stripper
> -- qlAtmCurve: returning the ID of the atm volatility curve in SabrVolSurface
> -- qlTimeSeries: exported TimeSeries to Excel, Dates and values
> -- qlTimeSeriesFirstDate: returns the first date for which a historical datum
> -  exists
> -- qlTimeSeriesLastDate: returns the last date for which a historical datum
> -  exists
> -- qlTimeSeriesSize: returns the first date for which a historical datum exists
> -- qlTimeSeriesEmpty: returns whether the series contains any data
> -- qlTimeSeriesDates: returns the dates for which historical data exist
> -- qlTimeSeriesValues: returns the historical data
> -- qlTimeSeriesValue: returns the data corresponding to the given dates
> -- qlVolatilitySpreads: Returns the volatilities spread at a given date
> -- qlVolatilitySpreads2: Returns the volatilities spread for a given period in a
> -  sabr vol surface
> -- qlSabrVolSurface: exported SabrVolSurface constructor
> -
> -Bonds:
> -- added explicit maturity date to Bond constructor
> -- handled correctly bond equivalent adjustment for reverse floater bonds in
> -  BondObjects_EUR.xls
> -- added two new cms bonds XS0318729950 and XS0211163943 (the latter was
> -  validated) as requested by the trader
> -- properly handled reference rate adjusted to a bond equivalent rate for the
> -  following reverse floater bonds:
> -  XS0080841579, XS0080973489, XS0081431610, XS0082293506, XS0081387531,
> -  XS0081980129, XS0082716589, XS0082731463, XS0082435065, XS0082725739,
> -  XS0082486050, XS0082785808, XS0082847178, XS0082979088
> -- serialization: added new workbook Data/XML/080_Bond/FloatingRateBond_EUR.xml,
> -  CMSRateBond_EUR.xml, FixedRateBond_EUR.xml, ZeroCpnBond_EUR.xml
> -- digital bonds:
> -     Digital_IT0001278404_EUR.xls
> -     Digital_IT0001278404_EUR.xml
> -     IT0001278404. validated and checked against prospectus
> -- added digital bond to MainChecks.xls
> -- added bond: IT0001278404 to BondMonitor_EUR.xls
> -- Digital bonds: please note that fixing in arrears digital bonds have not been validated yet
> -     and qlBondCurrentCoupon() is not available
> -
> -Bug fixing:
> -- fixed bug: corrected wrong 3E6E spread in AB3EBASIS SwapRateHelpers
> -- fixed bug: cash flow generation: in ref dates calculation the business day
> -  convention to use is the one used for the schedule calculation
> -
> -Serialization:
> -- Relinkable handles, indexes, pricing engines (bond, cms, ibor), yield curve
> -  boostrapping objects.
> -
> -Yield Curve:
> -- introduced EURYC3M and EURYC6M forecasting curves. The discounting curve
> -  EURYC is assumed to be equal to EURYC6M
> -- added curve/index monitors: Workbooks/Tests/IndexFixingsMonitor.xls,
> -  YieldCurveMonitor3M.xls, YieldCurveMonitor6M.xls
> -- extended bootstrapping to FRA, swap with spread (in order to deal with basis
> -  swap)
> -- changed default contributor for deposits (KLIEM is now used)
> -- added selected RateHelpers group
> -
> -**************************
> -    REV12288
> -**************************
> -
> -Launcher:
> -Startup action added to set the evaluation date: user can change the evaluation
> -date and the whole system is built consistently with the user\x92s choice
> -
> -QuantLibXL menu:
> -Menu actions:
> -- \x93Calibrate All Single Index Cms Market\x94: new routine for 5 single index
> -  calibrations with 1 mean rev (the 10Y one)
> -- \x93Calibrate Single Index Cms Market with 10Y Mean Reversion\x94: new routine for
> -  a single index calibration using the mean reversion of the 10Y index
> -- \x93Open live feed action\x94: live feed workbooks are now opened and hidden
> -- Bond Engines are created at start-up and are set to bonds in \x93Load Bonds\x94
> -  action
> -- Indexes are instantiated at start-up
> -Cell menu:
> -- added "LIN ACTACT ISMA" (QuantLib::ActualActual::ISMA) string to DayCounter
> -  conventions
> -
> -Bonds:
> -- A new function: qlGenericBond() was created and added. This function is a consturctor of a
> -generic bond objects which accepts in input the bond leg
> -- changed signatures for: qlFixedRateBond(),qlCmsRateBond(), qlZeroCouponBond(), and qlFloatingRateBond.
> -They don't accept yield curve as an input parameter anymore. The yield curve must be set to the bond object
> -using qlInstrumentSetPricingEngine.
> -
> -Various:
> -- yield curve parameter has been removed from bond constructors
> -- created Workbooks/PricingEngines folder and created new workbooks
> -  (CmsCouponPricers.xls and IborCouponPricer.xls for instantiating CMS/Ibor
> -  Pricers. Pricers are named: CmsCouponPricer10Y, CmsCouponPricer5Y,
> -  CmsCouponPricer2Y, CmsCouponPricer20Y, CmsCouponPricer30Y, IborCouponPricer.
> -  Action \x93Load bonds\x94 has been modified in order to set this named pricers to
> -  bonds
> -- added in IT0001278404.xls, IT0003730626.xls and XS0194140785.xls netting leg
> -  and bonds' dirty prices
> -- added new digital bonds IT0003747364.xls and IT0003766372.xls decomposed as
> -  digital ibor legs.
> -- added bond's dirty theo price in: Workbooks/Bonds/XS0194140785.xls,
> -  XS0195731681.xls, XS0228052402.xls
> -
> -BondObjects_EUR.xls:
> -- removed yield curve from constructors
> -- added cms coupon bond (IT0003650998) paying once at maturity and fixing in
> -  arrears
> -- added, validated, and checked against prospectus a new capped floater bond:
> -  XS0250578134
> -- added check against prospectus but not validated new bond (Tec10)
> -  IT0004011638
> -- added, checked against prospectus and validated new cms bond: IT001346748
> -
> -SetPricers2Bonds.xls:
> -- added new sheet so as to set the Bond Engine to all Bonds instatiated in
> -  BondObjects_EUR.xls
> -
> -???Added LegMethods spreadsheet
> -Modified : /trunk/QuantLibAddin/gensrc/metadata/Functions/leg.xml
> -
> -New functions:
> -- qlBondEngine: constructor of the bond engine which takes as input a
> -  discounting yield term structure
> -- qlPeriodEquivalent: function to return the period equivalent to the input
> -  (e.g it returns 1Y3M for 1Y6M-3M, 0M for 1Y-12M, 3W5D for 3W+5D, 2W2D for
> -  3W-5D, etc)
> -- caps stripping: added new class 'qlCapTermVolatilityVector' and method
> -  'qlCapTermVolatilityVectorInterpVol' to construct a cap term volatility
> -  vector and interpolate along option tenors using cubic spline interpolator.
> -  No smile is taken into account.
> -- qlSABRInterpolationWeights returns the weights of the SABR fit for the given
> -  SABRInterpolation object
> -- qlSimpleCashFlowVector to construct a cash flow vector given a set of amounts
> -  and a set of dates which may have different size
> -
> -Removed functions:
> --The following functions were removed: qlBondDayCounter(), qlBondPaymentBDC(), and qlBondFrequency().
> -
> -Covered Warrants:
> -Operations on financial markets with regard to covered warrants on interest
> -rates derivatives are about to kick off. Static data of the instruments are
> -collected and managed in Workbooks/CoveredWarrants/CoveredWarrants.xls where
> -isins and feedcodes have been updated to get ready for contribution to ORC. In
> -the same workbooks real-time theoretical prices are calculated and
> -automatically imported to ORC.
> -
> -Indexes:
> -- Indexes are no longer enumerated objects, we're now relying on user-created
> -  Indexes (see workbooks in folder Workbooks/Indexes)
> -- Historic fixings are loaded by means of qlIndexAddFixings performing size
> -  checks and preventing non intentional fixing overwriting
> -
> -Others:
> -- YieldCurveBootstrapping.xls: 6M deposit is now included in the curve
> -  bootstrapping
> -- Swaption volatility smile: modified calculation of interpolated spreads.
> -  Spreads on ATM volatilities in sparse cube are now taken into account. A
> -  small error is introduced in the calculation of ATM volatilities in dense
> -  cube, negligible in case of good fit
> -- The discount curve parameter has been removed from the Swaption constructor
> -  and has been moved to the BlackSwaptionEngine constructor
> -- qlSabrInterpolatedSmileSection has been modified to filter dynamically market
> -  quotes as they become available
> -- qlSabrSmileSection is now dependent (observer) of the evaluation date so that
> -  when the EvaluationDate changes the SabrSmileSection class is recomputed
> -  accordingly
> -
> -Workbooks:
> -- MarketData/ReutersFeed/MMIndicesAddLastFixing.xls: displays before and after
> -  fixing forecasts (compared with observed fixing)
> -- MainChecks.xls: added Real-Time monitoring
> -- Bonds/Z-Spread.xls: added bond engine
> -- Tests/BondvsSwap.xls: added cash-flow analysis comparison
> -- Tests/BondvsSwap.xls: compares dirty theoretical price of a fixed rate bond
> -  to fixed swap leg market value with valuation date equal to bond settlement
> -  date
> - New Workbooks:
> -- MarketData\BloombergFeed\InterestRateQuotesFeed.xls
> -- MMIndicesAddLastFixing.xls
> -- SwaptionATMVolsQuotesFeed.xls
> -
> -
> -**************************
> -    REV11940
> -**************************
> -
> -QuantLibXL MENU:
> -- Refresh Snapshots: the action is performed also on Time Series workbooks if open
> -- Switch Data to Live/Static: the action is performed on Time Series workbooks if open
> -- Close Live Feeds: the action is performed on Time Series workbooks if open
> -- right-click cell menu: added enumerations (EndCriteria::Type, CmsMarketCalibration::CalibrationType, IborCouponPricer, Payoff, PricingEngine, PiecewiseYieldCurve(Traits, Interpolation))
> -
> -BONDS:
> -- added check against prospectus but not validated new bond (Tec10) IT0004011638
> -- corrected static data for XS0091610153
> -- added and checked against prospectus new floater: XS0233447936
> -- Workbooks/Tests/BondvsSwap.xls: added new to test bond prices vs swap leg price
> -- Workbooks/Bonds/XS0228052402.xls: changed cms coupon pricer in order to get updated mean reversion quote
> -- added 2 new digital bonds decomposed in digital simple ibor/cms coupon IT0001278404 and IT0003730626:
> -  Workbooks/Bonds/IT0001278404.xls and Workbooks/Bonds/IT0003730626.xls
> -- modified XS0194140785.xls, XS0195731681.xls and XS0228052402.xls so to include a rough calculation of bond dirty theorical price
> -- Workbooks/Bonds/XS0228052402.xls: decomposed bond XS0228052402 using both multiphase and multilegswap.
> -
> -NEW FUNCTIONS:
> -- 'qlFraRateHelper' construction a FRA rate helper to be used in the yield curve bootstrapping
> -- 'qlFixedCouponBondHelper'
> -- 'qlLegIrr' returns the Internal rate of return for the given Leg object
> -- 'qlLegDuration' returns the Cash-flow duration for the given Leg object
> -- 'qlLegConvexity\x92 returns the Cash-flow convexity for the given Leg object
> -- 'qlInterestRate' constructs an object of class interest rate
> -- qlVanillaSwapFromSwapIndex\x92 creates a vanilla swap object from a given swap index
> -- \x91qlMakeSwaption\x92 to construct easily a swaption object given swapIndex, strike,  option tenor, pricing engine
> -
> -SENSITIVITY ANALYSIS:
> -- Workbooks/MarketMetaData/YieldCurveMx.xls: added tick value to Mx quote ids to be used for greeks calculation
> -- single deal sensitivity analysis book: Workbooks/InterestRateDerivatives/SensitivityAnalysis.xls
> -
> -VARIOUS:
> -- CMS: added Workbooks/Tests/CmsWithDigitalLeg.xls
> -- CapStrippers3M.xls: added Relinkable Handle EUR3MCapletVol. Links are EUR3MCapletVol1 or EUR6MCapletVol1
> -- added Workbooks/MarketMetaData/YieldCurveBootstrappingMxSettings.xls: construct EURYC3 where depo3w is excluded, swap35Y and non main cycle futures are excluded, and depos before first futures expiry date are included
> -
> -FIXED BUGS:
> -
> -- euriborfix and eurliborfix indexes: modified fixed leg business convention from Unadjusted to Modified Following
> -- in the calculation of swap length in swaption atm volatility matrix and swaption volatility cube
> -
> -
> -**************************
> -    REV11705
> -**************************
> -
> -Total number of functions: 714 (new in this release: 69)
> -
> -Launcher:
> -- Start up action added \x93Open Main Checks"
> -- Loading of the Sensitivity Analysis add-in
> -- Disable Reuters/Bloomberg if the configured paths are invalid
> -- Allow the path to Excel to be configured
> -- Implement function to launch an empty Excel session
> -- In addition to saving preferences to registry at shutdown, also save them after launch
> -- Change Bloomberg default from Blp.xla to BlpMain.xla
> -- Add new tab "About" listing user/domain/hard disk serial number
> -
> -
> -QuantLibXL menu:
> -- added menu action "Historical Forward Rates Analysis": which opens & triggers TimeSeriesFixings_Euribor.xls & TimeSeriesFixings_EuriborSwapFixA.xls and opens HistoricalForwardRatesAnalysis.xls
> -- \x93Open Live Feed Workbooks\x94: live feeds are opened and then closed if Reuters is not available
> -- added new action \x93Calibrate CTSMM to Caplets\x94
> -
> -
> -Renamed functions:
> -- qlVersion replaced by qlxlVersion
> -
> -
> -New functions:
> -- ohBoostVersion()
> -- ohVersion()
> -- qlVersion()
> -- qlAddinVersion()
> -- qlxlVersion()
> -
> -
> -Fixed Bugs:
> -- Fix problem of ohRetrieveError() not being recalculated reliably
> -- sabr interpolation: rounding error fixed around the ATM level
> -
> -
> -Various:
> -- added new EUR yield curve (EURYC3) in  Workbooks/MarketMetaData/YieldCurveBootstrappingMxSettings.xls. The curve is built according to Murex settings (depo3w excluded,  non main cycle futures excluded,  DeposBeforeFirstFuturesExpiryDate, swap35Y excluded) and live quotes retrieved from Reuters
> -- RelinkableHandle are now created at start-up by Workbooks/MarketMetaData/Handles.xls. ControlPanel.xls only relinks handles to concrete instances
> -- info moved from ControlPanel.xls to MainCheck.xls
> -- work in progress for spline bootstrapping: use Linear interpolation in the first iteration
> -- included 60y swap in yield curve bootstrapping
> -- a vector of fixing days can be passed to any coupon vector or leg constructors
> -- add an enumeration for Business252 day counter
> -
> -
> -Bonds:
> -- wrong maturity dates (XS0082486050, IT0003749923) in BondObjects_EUR.xls
> -- wrong fixed coupon (XS0080282907) in BondObjects_EUR.xls
> -- added new cms bonds fixing in arrears (IT0003650998) in BondObjects_EUR.xls
> -- Workbooks/Bonds/Z-Spread.xls: added new workbook for bonds price calculation given Z-spread
> -- BondMonitor_EUR.xls: added static data for digital cms and digital eur[l]ibor bonds
> -- added Workbooks/Tests/CmsWithDigitalLeg.xls, Workbooks/Tests/DigitalLegReplicationType.xls, Workbooks/Tests/SwapWithDigitalLeg.xls pricing/test workbooks for digital coupon
> -
> -
> -Market Models:
> -- functions to construct and use Accounting Engines objects
> -'qlAccountingEngine'
> -'qlAccountingEngineMultiplePathValues'
> -- functions to construct and use Brownian Generators objects:
> -'qlMTBrownianGeneratorFactory'
> -- functions to construct and use ctsmmcapletcalibration objects:
> -'qlCTSMMCapletCalibrationCalibrate'
> -'qlCTSMMCapletCalibrationFailures'
> -'qlCTSMMCapletCalibrationDeformationSize'
> -'qlCTSMMCapletCalibrationMarketCapletVols'
> -'qlCTSMMCapletCalibrationModelCapletVols'
> -'qlCTSMMCapletCalibrationCapletRmsError'
> -'qlCTSMMCapletCalibrationCapletMaxError'
> -'qlCTSMMCapletCalibrationMarketSwaptionVols'
> -'qlCTSMMCapletCalibrationSwaptionRmsError'
> -'qlCTSMMCapletCalibrationSwaptionMaxError'
> -'qlCTSMMCapletCalibrationSwapPseudoRoot'
> -'qlCTSMMCapletCalibrationTimeDependentCalibratedSwaptionVols'
> -'qlCTSMMCapletCalibrationTimeDependentUnCalibratedSwaptionVols'
> -'qlCTSMMCapletOriginalCalibration'
> -'qlCTSMMCapletAlphaFormCalibrationAlpha'
> -'qlCTSMMCapletMaxHomogeneityCalibration'
> -
> -- new functions qlRateVolDifferences (to compute the differences between all implied forwards volatilities) and qlRateInstVolDifferences (to compute the differences between volatilities at each evolution step)
> -
> -- coterminal swap market model caplet calibration:  show result of alpha fitting in workbooks
> -Workbooks/MarketModels/CTSMM1YCapletCalibration.xls
> -Workbooks/MarketModels/CTSMM6MCapletCalibration.xls
> -Workbooks/MarketModels/CTSMM6MSimultaneousIterative.xls
> -- Workbooks\MarketMetaData: added LMM_abcd.xls and SMM_displacementAndAbcd.xls
> -- MarketModels/CorrelationMatrices.xls: includes historical correlations, Long-term, Beta time homogeneous correlations and Long-term, Beta, Gamma time homogeneous time dependent correlations
> -- new function qlTimeHomogeneousTimeDependentForwardCorrelation
> -- new function qlExponentialCorrelationsTimeDependent
> -
> -- Workbooks/MarketModels/SMM_displacementAndAcbd.xls: abcd calibration on displaced volatilities of all market swap indexes
> -
> -Sensitivity Analysis:
> -- introduced concept of tick value, i.e. the shift to be used in the
> -  sensitivity analysis. Default values are given in all workbooks where quote
> -  ids are created (see for example MarketData\Quotes\InterestRateQuotes.xls)
> -- function qlSimpleQuoteSetTickValue is provided to set the tick value of the
> -  given SimpleQuote object
> -- added Workbooks/Interest Rate Derivatives/SensitivityAnalysis.xls to run sensitivity analysis on a single deal.  Greeks can be calculated shifting yield curve, ATM vols, spread vols.
> -
> -
> -
> -**************************
> -    REV11190
> -**************************
> -
> -Launcher:
> -- new action \x93Calibrate CMS Market\x94 to open relevant workbook. Please note that
> -  calibration must be triggered by the user
> -- enhanced to preload Reuters/Bloomberg *.xla if requested by the user
> -- displays the ClickOnce Publish Version number in the bottom right corner of
> -  the Launcher dialog
> -- made button backgrounds transparent
> -
> -Renamed functions:
> -- qlSetBondPricer as qlSetBondCouponPricer
> -- qlLegSetPricer as qlLegSetCouponPricer
> -- qlLegLastCouponRate as qlLegPreviousCouponRate
> -- qlBondLastCoupon as qlBondPreviousCoupon
> -
> -New functions:
> -- qlSmileSectionAtmLevel returns the current value of the SmileSection
> -  underlying default parameter of volatility and variance methods is ATM level
> -- qlSimpleQuoteReset to reset the given SimpleQuote object to the uninitialized
> -  state
> -- qlBondCurrentCoupon Returns the current coupon for the given bond. The
> -  default bond settlement is used if no date is given
> -- qlBondPreviousCoupon Returns the previous period's coupon paid for the given
> -  bond. The default bond settlement is used if no date is given
> -- qlLegPreviousCouponRate returns the previous coupon rate (if any) for the
> -  given Leg object
> -- qlLegCurrentCouponRate returns the current coupon rate (if any) for the given
> -  Leg object
> -- Schedule related functions:
> -  - qlScheduleSize() returns the number of dates in the given Schedule object
> -  - qlSchedulePreviousDate(refDate) returns the highest date in the given
> -    Schedule object preceding the input reference date
> -  - qlScheduleNextDate(refDate) returns the lowest date in the given Schedule
> -    object following the input reference date
> -  - qlScheduleDates() returns the dates for the given Schedule object
> -  - qlScheduleIsRegular(i) returns TRUE if the selected period in the given
> -    Schedule object is regular
> -  - qlScheduleEmpty() returns TRUE if the given Schedule object is empty
> -  - qlScheduleCalendar() returns the Calendar used to calculate the given
> -    Schedule object
> -  - qlScheduleStartDate() returns the start date of the given Schedule object
> -  - qlScheduleEndDate() returns the end date of the given Schedule object
> -  - qlScheduleTenor() returns the tenor used to calculate the given Schedule
> -    object
> -  - qlScheduleBDC() returns the business day convention used to calculate the
> -    given Schedule object
> -  - qlScheduleTerminationDateBDC() returns the business day convention used to
> -    calculate the termination date of the given Schedule object
> -  - qlScheduleBackward() returns TRUE if backward calculation has been used to
> -    calculate the given Schedule object
> -  - qlScheduleEndOfMonth() returns TRUE if end-of-month convention has been
> -    used to calculate the given Schedule object
> -  These functions and usage of Schedule class are shown in
> -  Workbooks\DateCalendarsDayCounters\ScheduleGenerator.xls
> -
> -Fixed Bugs:
> -- excessive memory usage leading to "bad allocation" message
> -- IborCoupon implied fixing when payment daycount convention is
> -  not equal to the Index daycount convention
> -- Mx Yield Curve: added sheet where dedicated instances
> -  of euribor indices are created and used in the swap rate helpers'
> -  construction
> -- Nested LevenbergMarquardt optimizations
> -
> -Digital Coupon:
> -  Related functions are qlDigitalIborLeg and qlDigitalCmsLeg to price swaps
> -  with a leg with embedded option of type digital cash-or-nothing or
> -  asset-or-nothing, the option being either a call or a put, with a short or a
> -  long position. The digital option may account for ATM inclusion or exclusion
> -  in the payoff through a specific input parameter. Pricing is based on a
> -  replication strategy, which can be a central, sub, or super replication. The
> -  gap in the replication is 1 bp by default. Related workbooks are:
> -- Workbooks/Tests/DigitalLegReplicationType.xls
> -- Workbooks/ Tests /SwapWithDigitalLeg.xls
> -
> -Bonds:
> -- corrected static data for: DE0001345759  and IT0001327524
> -- Z-SpreadTest.xls added in Tests folder to check the correctness of
> -  qlCleanPriceFromZSpread and qlDirtyPriceFromZSpread functions for fixed rate,
> -  floating rate, cms rate and zero coupon bonds
> -- qlBondPreviousCoupon: new method added to return the previous coupon paid for
> -  the given bond. The default bond settlement is used if no date is given
> -- asset swap: correctly handles the creation of a new bond type, the cms rate
> -  bond in addition to fixed rate and floating rate coupon bonds
> -- AssetSwapPricesTest.xls: added test cases for fixed, floater, and cms bonds
> -  maturing on a day which isn't a business day according to the bond's calendar
> -  (IT0003543847, XS0228052402 and IT0006527060)
> -- MainChecks.xls: contains checks for a fixed coupon bond, a floating rate
> -  coupon bond, and cms coupon bond
> --added the following new workbooks, where digital bond are decomposed in simple digital
> - ibor and/or cms legs: IT0001278404.xls, IT0003730626.xls, XS0194140785.xls, XS0195731681.xls, XS0228052402.xls
> -
> -Calibrations:
> -- Workbooks\CmsCalibrations\MultiIndexSingleMeanRevCalibration.xls and
> -  Workbooks\MarketMetaData\SwaptionVols1.xls: added the choice between Simplex
> -  and Levenberg-Marquardt optimizers, set up reasonable parameters values, and
> -  extensive tests.
> -- qlSwaptionVolCube1 and qlSABRInterpolation: extended signature so that
> -  qlSwaptionVolCube1 can accept the optimizer in input
> -
> -Volatilities:
> -- qlSpreadedSwaptionVolatilityStructure and qlSpreadedCapletVolatilityStructure
> -  to add a scalar to volatility matrix and cube. Accordingly provided this
> -  functionality in RangeAccrualFloaters.xls, Swaption.xls, Swap.xls,
> -  MultiLegSwap.xls, MakeCMS.xls, MakeCapFloor.xls, CMS.xls, CapFloor.xls,
> -  AssetSwap.xls
> -
> -Market Models:
> -- qlComputeHistoricalCorrelationsZeroYieldLinear returns historical
> -  correlations between forward rates using a ZeroYield
> -- Historical Correlations.xls added in Tests folder for historical forward rate
> -  correlation estimation
> -
> -Sensitivity Analysis:
> -- introduced concept of tick value, i.e. the shift to be used in the
> -  sensitivity analysis. Default values are given in all workbooks where quote
> -  ids are created (see for example MarketData\Quotes\InterestRateQuotes.xls)
> -- function qlSimpleQuoteSetTickValue is provided to set the tick value of the
> -  given SimpleQuote object
> -
> -
> -**************************
> -    REV10747
> -**************************
> -
> -NEW FUNCTIONS:
> -- qlBondCleanPriceFromZSpread and qlBondDirtyPriceFromZspread:
> -  they return clean and dirty price for a given bond object whe inputing a zero
> -  coupon spread.
> -- qlCurrentCoupon as a new method of bond class qlBondCurrentCoupon esposed to
> -  excel and used in BondMonitor_EUR.xls and BondFunctions.xls
> -
> -BUG FIXES:
> -- fixed bug in sabr interpolation when rho parameter is fixed
> -- fixed bug in asset swap floating leg default schedule
> -- fixed bug in IborCoupon implied fixing when payment daycount convention is
> -  different from the Index's daycount convention
> -- prevented the addition of fixings at any date later than the evaluation date
> -
> -INDEX FIXING:
> -special management of index fixing when on a business day a quote is not
> -provided (e.g. if number of contributing bank is low). To this aim it has been
> -added a new sheet "AddSpecialFixings" to load manually the missing fixing from
> -non official sources (e.g. on 28 Mat 2007 for EuriborSwapFixA)
> -
> -CALIBRATIONS:
> -MultiIndexSingleMeanRevCalibration.xls:
> -- changed parameters for Simplex optimizer to reasonable starting values
> -  (Lambda = 0.1 and RootEpsilon = 1e-2).
> -
> -BONDS:
> -- checked against prospectus and validated the following new bonds:
> -  DE0001345759, IT0001203253, IT0001203253, IT0001203295, IT0001203295,
> -  IT0001205589, IT0001205589, IT0001264792, IT0001271649, IT0001272498,
> -  IT0001272498, IT0001296133, IT0001303350, IT0001307286, IT0001327524,
> -  IT0003493258, IT0003644769, IT0006521139, XS0082483388, XS0082483388,
> -  XS0098379810, XS0235012951, XS0283497005
> -- fix-to-reverse bond: IT0001235404
> -- naked zero-coupon part of equity kinked bond: IT0003324115
> -- capped/floored coupon bonds:
> -  IT0001214284, IT0006525742, IT0003825988, IT0003657381
> -- cms bond: TEC10 XS0091349489
> -
> -- Added, checked against prospectus but not validated because treated as non
> -  callable maturing at the first call date (according to the market) the
> -  following:
> -  XS0080650806
> -  XS0081247446
> -  XS0083246032
> -  XS0083714823
> -  XS0083662923
> -  XS0084680106 (for this bond prospectus is missing)
> -
> -- Added the following zero coupon bonds callable but quoted as plain with
> -  maturity at the first call dates
> -  XS0080650806
> -  XS0081247446
> -  XS0083246032
> -  XS0083714823
> -  XS0083662923
> -  XS0084680106
> -
> -BondMonitor_EUR.xls:
> -- all market data triggers have been taken into account
> -
> -
>
>
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Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [14166] trunk/QuantLib

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

> >          Volatility impliedVolatility(
> >                                Real price,
> >                                const Handle<YieldTermStructure>& discountCurve,
> > +                              Volatility guess,
> >                                Real accuracy = 1.0e-4,
> > -                              Size maxEvaluations = 100,
> > +                              Natural maxEvaluations = 100,
> >                                Volatility minVol = 1.0e-7,
> >                                Volatility maxVol = 4.0) const;
>
> Same concern here. The accuracy seems to me more likely to be specified
> than the guess. Moreover, the guess should have a default value, too.

I disagree here. In the previous implementation the guess was
hardcoded in the cpp file to be 10%. Providing a reasonable guess does
speed up computation significantly, and it seems to me uncontroversial
that a user might provide a reasonable guess, while usually he should
not specify accuracy: if he does, it's the accuracy default value
which is probably wrong... but that's for another possible future
change: moving from absolute accuracy to nominal-relative accuracy in
implied vol for swaption and cap/floor

As usual, despite being this uncontroversial for me I'm willing to
follow your suggestions if you're strong about them :-)

I'm agnostic about providing a default value for the guess, just
taught that with no default value there would be more chances of end
user noticing that he's now able to provide a guess

ciao -- Nando

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

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

On Jan 23, 2008 6:05 PM, Luigi Ballabio <lui...@gm...> wrote:
> > --- trunk/QuantLib/ql/pricingengines/blackformula.hpp 2008-01-23 16:25:24 UTC (rev 14166)
> > +++ trunk/QuantLib/ql/pricingengines/blackformula.hpp 2008-01-23 16:40:46 UTC (rev 14167)
> > @@ -93,9 +93,10 @@
> >                                     Real forward,
> >                                     Real blackPrice,
> >                                     Real discount = 1.0,
> > +                                   Real displacement = 0.0,
> >                                     Real guess = Null<Real>(),
> >                                     Real accuracy = 1.0e-6,
> > -                                   Real displacement = 0.0);
> > +                                   Natural maxIterations = 100);
>
>         consistency might be less important than usability in this case. Is the
> displacement parameter more likely to be specified than the guess or the
> accuracy? If not, it should stay where it was before. Also, it bothers
> me that, if you move a default parameter like you did, old code will
> keep compiling without as much as a warning but will behave
> differently---the guess will be used as a displacement. It's gonna be a
> hard one to debug for the poor users that don't read the SVN messages

I was aware of the issue, that's why I broke up my last commit in
multiple self-consistent chunks and added a warning in this one.
My personal opinion is that at least before 1.0 we should favor
consistency otherwise we'll never catch up on this side, and
documenting this change in next release might be enough.

What about considering alternatives? E.g. removing default parameters
from discount and displacement would partially force the user to look
at the function again...
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.

Anyway I'm willing to move back displacement between accuracy and
maxIterations... just confirm your preference and I'll do it

ciao -- Nando

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [14166] trunk/QuantLib

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

On Wed, 2008-01-23 at 08:25 -0800, na...@us... wrote:
> Revision: 14166
>           http://quantlib.svn.sourceforge.net/quantlib/?rev=14166&view=rev
> Author:   nando
> Date:     2008-01-23 08:25:24 -0800 (Wed, 23 Jan 2008)
> 
> Log Message:
> -----------
> - added explicit guess parameter in implied volatility calculation

> @@ -93,8 +84,9 @@
>          Volatility impliedVolatility(
>                                Real price,
>                                const Handle<YieldTermStructure>& discountCurve,
> +                              Volatility guess,
>                                Real accuracy = 1.0e-4,
> -                              Size maxEvaluations = 100,
> +                              Natural maxEvaluations = 100,
>                                Volatility minVol = 1.0e-7,
>                                Volatility maxVol = 4.0) const;

Same concern here. The accuracy seems to me more likely to be specified
than the guess. Moreover, the guess should have a default value, too.

Luigi


-- 

Don't let school get in the way of your education. 
-- Mark Twain 

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

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

On Wed, 2008-01-23 at 08:40 -0800, na...@us... wrote:
> Revision: 14167
>           http://quantlib.svn.sourceforge.net/quantlib/?rev=14167&view=rev
> Author:   nando
> Date:     2008-01-23 08:40:46 -0800 (Wed, 23 Jan 2008)
> 
> Log Message:
> -----------
> ... (warning: also moved displacement parameter in the same place as other functions)
> 
> Modified: trunk/QuantLib/ql/pricingengines/blackformula.hpp
> ===================================================================
> --- trunk/QuantLib/ql/pricingengines/blackformula.hpp	2008-01-23 16:25:24 UTC (rev 14166)
> +++ trunk/QuantLib/ql/pricingengines/blackformula.hpp	2008-01-23 16:40:46 UTC (rev 14167)
> @@ -93,9 +93,10 @@
>                                     Real forward,
>                                     Real blackPrice,
>                                     Real discount = 1.0,
> +                                   Real displacement = 0.0,
>                                     Real guess = Null<Real>(),
>                                     Real accuracy = 1.0e-6,
> -                                   Real displacement = 0.0);
> +                                   Natural maxIterations = 100);
>  

Nando,
	consistency might be less important than usability in this case. Is the
displacement parameter more likely to be specified than the guess or the
accuracy? If not, it should stay where it was before. Also, it bothers
me that, if you move a default parameter like you did, old code will
keep compiling without as much as a warning but will behave
differently---the guess will be used as a displacement. It's gonna be a
hard one to debug for the poor users that don't read the SVN messages
(i.e., most of them...)

Luigi


-- 

Never mistake motion for action. 
-- Ernest Hemingway 

Re: [Quantlib-dev] Swig C# looking for slightly different .lib file, how to configure

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

On Thu, 2008-01-10 at 03:33 -0800, EdStone wrote:
> Upon compiling the QuantLib 0.9 solution in VS2005, get I
> QuantLib-vc80-mt-gd-0_9_0.lib.
> When compiling solution for Swig C#, compiler is looking for
> QuantLib-vc80-mt-sgd-0_9_0.lib (additional s in front of -gd).  What is the
> difference and how to configure?

Hi Edward,
	apologies for the delay. The generated libraries have different names
depending on the configuration (Release, Debug etc.)  I think the one
you have compiled is "Debug CRTDLL". For C#, you're using the "Debug"
configuration instead, hence the mismatch. To fix it, you'll have to
select the same configuration in both projects.

This said, I suggest you use "Release" or "Release CRTDLL" unless you
actually want to debug the library. Either one runs much faster than the
debug versions.

Luigi


-- 

Cogito ergo I'm right and you're wrong. 
-- Blair Houghton 

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

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

On Sat, 2008-01-12 at 08:52 -0800, adam99 wrote:
> I am finally able to compile it, but without the makefile. I use the command
> 
> g++ -g -O2 -Wall -I/usr/include/boost-1_33_1 -L/lib BermudanSwaption.cpp -o
> BermudanSwaption -lQuantlib 
> 
> I dont know what the problem with the makefile is.

Puzzling. Maybe it's picking up another libQuantLib.so?

Luigi


-- 

The purpose of abstraction is not to be vague, but to create a new 
semantic level in which one can be absolutely precise. 
-- W.E. Dijkstra 

Re: [Quantlib-dev] QL 0.8.1 compilation Linux trouble

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

On Mon, 2008-01-21 at 03:09 -0800, moloko wrote:
> What should I do to add a XXX.cpp / XXX.hpp file to the QL project in the
> dir
> QuantLib-0.8.1/ql/pricingengines ?
> I guess I should update Makefile.am but what else ? Makefile.in ?

Bonjour Pierre,
	Makefile.am should be enough---Makefile.in and Makefile should be
regenerated automatically next time you run make. However, you'll
probably need automake and autoconf (and maybe libtool) installed on
your machine. If it doesn't work, try running ./autogen.sh
and ./configure again and see whether you get any errors.

Later,
	Luigi


-- 

I hate quotations. 
-- Ralph Waldo Emerson 

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [14151] branches/R000900-branch

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

I'm puzzled.. this fixes the rendering problem?
wow!

On Jan 22, 2008 11:49 AM,  <eri...@us...> wrote:
> Revision: 14151
>           http://quantlib.svn.sourceforge.net/quantlib/?rev=14151&view=rev
> Author:   ericehlers
> Date:     2008-01-22 02:48:59 -0800 (Tue, 22 Jan 2008)
>
> Log Message:
> -----------
> Fix a rendering problem in IE
>
> Modified Paths:
> --------------
>     branches/R000900-branch/ObjectHandler/Docs/pages/design.docs
>     branches/R000900-branch/QuantLibAddin/Docs/pages/design.docs
>
> Modified: branches/R000900-branch/ObjectHandler/Docs/pages/design.docs
> ===================================================================
> --- branches/R000900-branch/ObjectHandler/Docs/pages/design.docs        2008-01-21 16:51:18 UTC (rev 14150)
> +++ branches/R000900-branch/ObjectHandler/Docs/pages/design.docs        2008-01-22 10:48:59 UTC (rev 14151)
> @@ -181,8 +181,10 @@
>  \code
>  #include "objecthandler.hpp"
>
> -void ObjectHandler::storeObject(const Handle &handle, const obj_ptr &object) {
> -   objectList_[handle] = object;
> +void ObjectHandler::storeObject(
> +        const Handle &handle,
> +        const obj_ptr &object) {
> +    objectList_[handle] = object;
>  }
>
>  obj_ptr ObjectHandler::retrieveObject(const Handle &handle) {
>
> Modified: branches/R000900-branch/QuantLibAddin/Docs/pages/design.docs
> ===================================================================
> --- branches/R000900-branch/QuantLibAddin/Docs/pages/design.docs        2008-01-21 16:51:18 UTC (rev 14150)
> +++ branches/R000900-branch/QuantLibAddin/Docs/pages/design.docs        2008-01-22 10:48:59 UTC (rev 14151)
> @@ -135,7 +135,8 @@
>              return boost::static_pointer_cast<void>(blackScholesProcess_);
>          }
>      private:
> -        boost::shared_ptr<QuantLib::BlackScholesProcess> blackScholesProcess_;
> +        boost::shared_ptr<QuantLib::BlackScholesProcess>
> +            blackScholesProcess_;
>      };
>  }
>  \endcode
> @@ -160,19 +161,22 @@
>
>          boost::shared_ptr<BlackVolTermStructure> blackVolTermStructure =
>              OH_GET_OBJECT(BlackVolTermStructure, handleBlackVol);
> -        boost::shared_ptr<QuantLib::BlackVolTermStructure> blackVolTermStructureP =
> -            OH_GET_REFERENCE(QuantLib::BlackVolTermStructure, blackVolTermStructure);
> +        boost::shared_ptr<QuantLib::BlackVolTermStructure>
> +            blackVolTermStructureP = OH_GET_REFERENCE(
> +                QuantLib::BlackVolTermStructure,
> +                blackVolTermStructure);
>          QuantLib::Handle<QuantLib::BlackVolTermStructure>
>              blackVolTermStructureH(blackVolTermStructureP);
>
>          // construct new BlackScholesProcess object
>
> -        blackScholesProcess_ = boost::shared_ptr<QuantLib::BlackScholesProcess> (
> -            new QuantLib::BlackScholesProcess(
> -                underlyingH,
> -                flatDividendTS,
> -                flatTermStructure,
> -                blackVolTermStructureH));
> +        blackScholesProcess_ =
> +            boost::shared_ptr<QuantLib::BlackScholesProcess>(
> +                new QuantLib::BlackScholesProcess(
> +                    underlyingH,
> +                    flatDividendTS,
> +                    flatTermStructure,
> +                    blackVolTermStructureH));
>      }
>
>  }
> @@ -222,8 +226,10 @@
>
>          boost::shared_ptr<BlackScholesProcess> blackScholesProcess =
>              OH_GET_OBJECT(BlackScholesProcess, handleBlackScholes);
> -        const boost::shared_ptr<QuantLib::BlackScholesProcess> blackScholesProcessQL =
> -            OH_GET_REFERENCE(QuantLib::BlackScholesProcess, blackScholesProcess);
> +        const boost::shared_ptr<QuantLib::BlackScholesProcess>
> +            blackScholesProcessQL = OH_GET_REFERENCE(
> +                QuantLib::BlackScholesProcess,
> +                blackScholesProcess);
>
>          // format inputs to QuantLib::VanillaOption constructor
>          ...
> @@ -247,7 +253,8 @@
>              const std::string &engineID,
>              const long &timeSteps) {
>          boost::shared_ptr<QuantLib::PricingEngine> pricingEngine =
> -            Create<boost::shared_ptr<QuantLib::PricingEngine> >()(engineID, timeSteps);
> +            Create<boost::shared_ptr<QuantLib::PricingEngine> >()(
> +                engineID, timeSteps);
>          mInstrument->setPricingEngine(pricingEngine);
>          updateProperty(IDX_NPV, mInstrument->NPV());
>          updateProperty(IDX_ENGINE, engineID);
> @@ -436,7 +443,8 @@
>  interface, e.g.:</p>
>  \verbatim
>  <Constructor name='qlVanillaOption'>
> -<description>construct and return a handle to a Vanilla Option object</description>
> +<description>construct and return a handle to
> +a Vanilla Option object</description>
>  <libraryFunction>VanillaOption</libraryFunction>
>  <functionCategory>QuantLib</functionCategory>
>  <Parameters>
> @@ -479,7 +487,8 @@
>  in the metadata, causing for example the following source code to be
>  autogenerated:
>  \code
> -returnValue = objectPointer->getObject.func1(param1, param2).func2(param3, param4);
> +returnValue = objectPointer->getObject.func1(
> +    param1, param2).func2(param3, param4);
>  \endcode
>
>  */
>
>
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>

Re: [Quantlib-dev] QuantLibXL / ObjectHandler 0.9.0 Prerelease Files

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

Hi Max,

Many thanks for your feedback.

> Hi Eric,
>
> I just installed QuantLibXL-bin-0.9.0.exe. The "Option.xls" works fine.
> However, the other spreadsheet "options.xls" doesn't work.

Oops the installer was supposed to deliver only a short list of selected
files, by mistake I have specified *.xls and picked up many
obsolete/broken workbooks such as options.xls.  This will be fixed in the
release, thanks for pointing that out.

The best example workbooks to look at are YieldCurveBootstrapping.xls and
InterestRateDerivatives.xls.

Regards,
Eric

Re: [Quantlib-dev] QuantLibXL / ObjectHandler 0.9.0 Prerelease Files

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

Hi Eric,

I just installed QuantLibXL-bin-0.9.0.exe. The "Option.xls" works fine.
However, the other spreadsheet "options.xls" doesn't work.

The following errors are found in the log file:

ERROR - [options.xls]data!$G$49 - qlSwapRateHelper - ObjectHandler error:
attempt to retrieve object with unknown ID 'euribor6m'
ERROR - [options.xls]data!$G$48 - qlSwapRateHelper - ObjectHandler error:
attempt to retrieve object with unknown ID 'euribor6m'
ERROR - [options.xls]data!$G$47 - qlSwapRateHelper - ObjectHandler error:
attempt to retrieve object with unknown ID 'euribor6m'
......

Any idea? Thanks!

Best regards,
Max

On Jan 17, 2008 2:42 AM, Eric Ehlers <eri...@na...> wrote:

> Hi All,
>
> The prerelease files for version 0.9.0 of QuantLibAddin, QuantLibXL,
> ObjectHandler and gensrc are available at this link:
>
> http://quantlib.org/prerelease/oh-qla.html
>
> I'd be grateful to anyone who could spare some time to test the files and
> let me know how it goes.
>
> Kind 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/
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

[Quantlib-dev] QL 0.8.1 compilation Linux trouble

[moloko <pie...@fr...>]

Hi,

What should I do to add a XXX.cpp / XXX.hpp file to the QL project in the
dir
QuantLib-0.8.1/ql/pricingengines ?
I guess I should update Makefile.am but what else ? Makefile.in ?

Even if I update Makefile.am and Makefile.in, my new pricing engine do not
seems to be in the library.

Is there a clean way to do this

Thanks for your response

Pierre

-- 
View this message in context: http://www.nabble.com/QL-0.8.1-compilation-Linux-trouble-tp14995336p14995336.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

[Quantlib-dev] [ quantlib-Bugs-1857551 ] quantlib 0.9.0 PiecewiseYieldCurveTest problem

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

Bugs item #1857551, was opened at 2007-12-24 06:12
Message generated for change (Comment added) made by nobody
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1857551&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: quantlib 0.9.0 PiecewiseYieldCurveTest problem

Initial Comment:
Error	1	fatal error in "PiecewiseYieldCurveTest::testLogLinearDiscountConsistency": std::exception: negative time (-0.00277778) given	unknown location	
Error	2	fatal error in "PiecewiseYieldCurveTest::testLinearDiscountConsistency": std::exception: negative time (-0.00277778) given	unknown location	
Error	3	fatal error in "PiecewiseYieldCurveTest::testLogLinearZeroConsistency": std::exception: negative time (-0.00277778) given	unknown location	
Error	4	fatal error in "PiecewiseYieldCurveTest::testLinearZeroConsistency": std::exception: negative time (-0.00277778) given	unknown location	
Error	5	fatal error in "PiecewiseYieldCurveTest::testSplineZeroConsistency": std::exception: negative time (-0.00277778) given	unknown location	
Error	6	fatal error in "PiecewiseYieldCurveTest::testLinearForwardConsistency": std::exception: negative time (-0.00277778) given	unknown location	
Error	7	fatal error in "PiecewiseYieldCurveTest::testFlatForwardConsistency": std::exception: negative time (-0.00277778) given	unknown location	


Got this when I tried to compile quantlib 0.9.0 on Visual Studio 2005. 

- John Maiden

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

Comment By: Nobody/Anonymous (nobody)
Date: 2008-01-18 13:58

Message:
Logged In: NO 

-0.002778 year is one day. So in your calander the settlement date is one
day later than one swap rate date earlst date. please see post
http://sourceforge.net/mailarchive/forum.php?thread_name=389329.86356.qm%40web31410.mail.mud.yahoo.com&forum_name=quantlib-users

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

Comment By: Nobody/Anonymous (nobody)
Date: 2007-12-24 06:14

Message:
Logged In: NO 

Forgot to add that this compiled with Debug CRTDLL without problems, but
this popped up for Release CRTDLL.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1857551&group_id=12740

Re: [Quantlib-dev] QuantLibXL / ObjectHandler 0.9.0 Prerelease Files

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

On Wed, 2008-01-16 at 18:42 +0000, Eric Ehlers wrote:
> The prerelease files for version 0.9.0 of QuantLibAddin, QuantLibXL,
> ObjectHandler and gensrc are available at this link:

Hi Eric,
        if it doesn't break anything, you might want to apply this patch
to ObjectHandler. It fixes a strange problem with the C++ addin. At
least with VC++7 (I didn't check other compilers) if you pass a string
literal to a function expecting a Variant, it calls the Variant(const
bool&) constructor. Why it should think that conversion better than the
std::string one is beyond me...

Luigi


Index: ObjectHandler/oh/variant.hpp
===================================================================
--- ObjectHandler/oh/variant.hpp        (revision 14101)
+++ ObjectHandler/oh/variant.hpp        (working copy)
@@ -55,6 +55,7 @@
         Variant(const long &l) : variant_(l) {}
         Variant(const double &d) : variant_(d) {}
         Variant(const bool &b) : variant_(b) {}
+        Variant(const char *s) : variant_(std::string(s)) {}
                Variant(const std::string &s) : variant_(s) {}
 
         //! \name Inspectors




-- 

Greenspun's Tenth Rule of Programming: 
Any sufficiently complicated C or Fortran program contains an 
ad-hoc, informally-specified bug-ridden slow implementation of 
half of Common Lisp. 

[Quantlib-dev] [Fwd: [QuantLib-svn] SF.net SVN: quantlib: [14131] trunk]

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

Hi All,

For the merge below I overlooked the merge that preceded it, so the two
overlap partially.  Here are the last three merges:

revision 13943 - merge r13924:13942
revision 14101 - merge r13943:14099 [NB this should have been 13942:14099]
revision 14131 - merge r13942:14126

Exceedingly careless of me, however I have reviewed it and believe that no
harm was done as duplicate changes were simply ignored the second time
around.  In the worst case if problems are detected we can revert my
merge.

Regards,
Eric

---------------------------- Original Message ----------------------------
Subject: [QuantLib-svn] SF.net SVN: quantlib: [14131] trunk
From:    eri...@us...
Date:    Thu, January 17, 2008 5:53 pm
To:      qua...@li...
--------------------------------------------------------------------------

Revision: 14131
          http://quantlib.svn.sourceforge.net/quantlib/?rev=14131&view=rev
Author:   ericehlers
Date:     2008-01-17 09:53:28 -0800 (Thu, 17 Jan 2008)

Log Message:
-----------
Merged revisions 13942:14126 from R000900-branch to trunk

Modified Paths:
--------------
    trunk/ObjectHandler/Docs/oh_header.html
    trunk/ObjectHandler/Docs/oh_headeronline.html
    trunk/ObjectHandler/ObjectHandler.nsi
    trunk/ObjectHandler/dev_tools/oh-qla.html
    trunk/QuantLibAddin/Docs/pages/build.tutorial.docs
    trunk/QuantLibAddin/Docs/pages/calc.docs
    trunk/QuantLibAddin/Docs/pages/serialization.docs
    trunk/QuantLibAddin/Docs/qla_header.html
    trunk/QuantLibAddin/Docs/qla_header.subdir.html
    trunk/QuantLibAddin/Docs/qla_headeronline.html
    trunk/QuantLibAddin/Docs/qla_headeronline.subdir.html
    trunk/QuantLibAddin/gensrc/metadata/Functions/capfloor.xml
    trunk/QuantLibAddin/gensrc/metadata/Functions/pricingengines.xml
    trunk/QuantLibAddin/gensrc/metadata/Functions/ratehelpers.xml
    trunk/QuantLibAddin/gensrc/metadata/Functions/swaption.xml
    trunk/QuantLibAddin/gensrc/metadata/Functions/termstructures.xml
    trunk/QuantLibAddin/qlo/ValueObjects/Makefile.am
    trunk/QuantLibAddin/qlo/ratehelpers.hpp
    trunk/QuantLibAddin/qlo/smilesection.cpp
    trunk/QuantLibAddin/qlo/smilesection.hpp
    trunk/QuantLibXL/Docs/pages/installation.docs
    trunk/QuantLibXL/Docs/qlxl_header.html
    trunk/QuantLibXL/Docs/qlxl_header.subdir.html
    trunk/QuantLibXL/Docs/qlxl_headeronline.html
    trunk/QuantLibXL/Docs/qlxl_headeronline.subdir.html
    trunk/QuantLibXL/QuantLibXL-bin.nsi
    trunk/QuantLibXL/QuantLibXL-src.nsi
    trunk/QuantLibXL/Workbooks/StandaloneExamples/README.txt
    trunk/QuantLibXL/Workbooks/StandaloneExamples/Swap.xls
    trunk/QuantLibXL/Workbooks/StandaloneExamples/YC_SwapDemo.xls
    trunk/QuantLibXL/Workbooks/StandaloneExamples/serialize_swap.xla
    trunk/QuantLibXL/qlxl/QuantLibXLStatic_vc8.vcproj
    trunk/gensrc/Docs/Makefile.am
    trunk/gensrc/Docs/gs_header.html
    trunk/gensrc/Docs/gs_headeronline.html
    trunk/log4cxx/msvc/static/Makefile.am

Added Paths:
-----------
    trunk/QuantLibXL/Workbooks/StandaloneExamples/InterestRateDerivatives.xls
    trunk/QuantLibXL/Workbooks/StandaloneExamples/YieldCurveBootstrapping.xls

Modified: trunk/ObjectHandler/Docs/oh_header.html
===================================================================
--- trunk/ObjectHandler/Docs/oh_header.html	2008-01-17 17:39:01 UTC (rev
14130)
+++ trunk/ObjectHandler/Docs/oh_header.html	2008-01-17 17:53:28 UTC (rev
14131)
@@ -38,7 +38,7 @@
 <li class="navbar-item"><a class="navbar-link"
href="files.html">Files</a></li>
 <li class="navbar-item"><a class="navbar-link"
href="examples.html">Examples</a></li>
 </ul>
-<div id="ntlogo"><a class="imglink" href="http://www.nazcatech.be"><img
src="images/nazcatech.jpg" width="88" height="98" border="0"/></a></div>
+<!--div id="ntlogo"><a class="imglink"
href="http://www.nazcatech.be"><img src="images/nazcatech.jpg" width="88"
height="98" border="0"/></a></div-->
 <div id="sflogo"><a class="imglink" href="http://sourceforge.net"><img
src="images/sflogo.php" width="88" height="31" border="0"
alt="SourceForge.net Logo"/></a></div>
 <div><img class="block" src="images/menu_bottom.jpg"/></div>
 </div>

Modified: trunk/ObjectHandler/Docs/oh_headeronline.html
===================================================================
--- trunk/ObjectHandler/Docs/oh_headeronline.html	2008-01-17 17:39:01 UTC
(rev 14130)
+++ trunk/ObjectHandler/Docs/oh_headeronline.html	2008-01-17 17:53:28 UTC
(rev 14131)
@@ -38,7 +38,7 @@
 <li class="navbar-item"><a class="navbar-link"
href="files.html">Files</a></li>
 <li class="navbar-item"><a class="navbar-link"
href="examples.html">Examples</a></li>
 </ul>
-<div id="ntlogo"><a class="imglink" href="http://www.nazcatech.be"><img
src="images/nazcatech.jpg" width="88" height="98" border="0"/></a></div>
+<!--div id="ntlogo"><a class="imglink"
href="http://www.nazcatech.be"><img src="images/nazcatech.jpg" width="88"
height="98" border="0"/></a></div-->
 <div id="sflogo"><a class="imglink"
href="http://sflogo.sourceforge.net/sflogo.php?group_id=12470&amp;type=1"><img
src="images/sflogo.php" width="88" height="31" border="0"
alt="SourceForge.net Logo"/></a></div>
 <div><img class="block" src="images/menu_bottom.jpg"/></div>
 </div>

Modified: trunk/ObjectHandler/ObjectHandler.nsi
===================================================================
--- trunk/ObjectHandler/ObjectHandler.nsi	2008-01-17 17:39:01 UTC (rev 14130)
+++ trunk/ObjectHandler/ObjectHandler.nsi	2008-01-17 17:53:28 UTC (rev 14131)
@@ -64,6 +64,9 @@
     File "Docs\ql.css"
     File "Docs\tabs.css"

+    SetOutPath "$INSTDIR\dev_tools"
+    File "dev_tools\preprocess_doxyfile.py"
+
     SetOutPath "$INSTDIR\Docs\images"
     File "Docs\images\*.ico"
     File "Docs\images\*.jpg"

Modified: trunk/ObjectHandler/dev_tools/oh-qla.html
===================================================================
--- trunk/ObjectHandler/dev_tools/oh-qla.html	2008-01-17 17:39:01 UTC (rev
14130)
+++ trunk/ObjectHandler/dev_tools/oh-qla.html	2008-01-17 17:53:28 UTC (rev
14131)
@@ -1,25 +1,25 @@
 <h3>ObjectHandler</h3>
 <table>
-<tr><td><a
href="ObjectHandler-0.8.0.exe">ObjectHandler-0.8.0.exe</a></td></tr>
-<tr><td><a
href="ObjectHandler-docs-0.8.0.chm">ObjectHandler-docs-0.8.0.chm</a></td></tr>
-<tr><td><a
href="ObjectHandler-0.8.0.tar.gz">ObjectHandler-0.8.0.tar.gz</a></td></tr>
-<tr><td><a
href="ObjectHandler-docs-0.8.0-html.tar.gz">ObjectHandler-docs-0.8.0-html.tar.gz</a></td></tr>
-<tr><td><a href="QuantLibXL-0.8.0.exe">QuantLibXL-0.8.0.exe</a></td></tr>
-<tr><td><a
href="QuantLibXL-docs-0.8.0.chm">QuantLibXL-docs-0.8.0.chm</a></td></tr>
-<tr><td><a
href="QuantLibXL-0.8.0.tar.gz">QuantLibXL-0.8.0.tar.gz</a></td></tr>
-<tr><td><a
href="QuantLibXL-docs-0.8.0-html.tar.gz">QuantLibXL-docs-0.8.0-html.tar.gz</a></td></tr>
+<tr><td><a
href="ObjectHandler-0.9.0.exe">ObjectHandler-0.9.0.exe</a></td></tr>
+<tr><td><a
href="ObjectHandler-docs-0.9.0.chm">ObjectHandler-docs-0.9.0.chm</a></td></tr>
+<tr><td><a
href="ObjectHandler-0.9.0.tar.gz">ObjectHandler-0.9.0.tar.gz</a></td></tr>
+<tr><td><a
href="ObjectHandler-docs-0.9.0-html.tar.gz">ObjectHandler-docs-0.9.0-html.tar.gz</a></td></tr>
+<tr><td><a href="gensrc-0.9.0.exe">gensrc-0.9.0.exe</a></td></tr>
+<tr><td><a href="gensrc-docs-0.9.0.chm">gensrc-docs-0.9.0.chm</a></td></tr>
+<tr><td><a href="gensrc-0.9.0.tar.gz">gensrc-0.9.0.tar.gz</a></td></tr>
+<tr><td><a
href="gensrc-docs-0.9.0-html.tar.gz">gensrc-docs-0.9.0-html.tar.gz</a></td></tr>
 <tr><td><a href="log4cxx-0.9.7e.exe">log4cxx-0.9.7e.exe</a></td></tr>
 <tr><td><a href="log4cxx-0.9.7e.tar.gz">log4cxx-0.9.7e.tar.gz</a></td></tr>
 </table>
 <h3>QuantLibAddin</h3>
 <table>
-<tr><td><a
href="QuantLibXL-bin-0.8.0.exe">QuantLibXL-bin-0.8.0.exe</a></td></tr>
-<tr><td><a
href="QuantLibXL-src-0.8.0.exe">QuantLibXL-src-0.8.0.exe</a></td></tr>
-<tr><td><a
href="QuantLibXL-docs-0.8.0.chm">QuantLibXL-docs-0.8.0.chm</a></td></tr>
-<tr><td><a
href="QuantLibAddin-0.8.0.exe">QuantLibAddin-0.8.0.exe</a></td></tr>
-<tr><td><a
href="QuantLibAddin-docs-0.8.0.chm">QuantLibAddin-docs-0.8.0.chm</a></td></tr>
-<tr><td><a
href="QuantLibAddin-0.8.0.tar.gz">QuantLibAddin-0.8.0.tar.gz</a></td></tr>
-<tr><td><a
href="QuantLibAddin-docs-0.8.0-html.tar.gz">QuantLibAddin-docs-0.8.0-html.tar.gz</a></td></tr>
+<tr><td><a
href="QuantLibXL-bin-0.9.0.exe">QuantLibXL-bin-0.9.0.exe</a></td></tr>
+<tr><td><a
href="QuantLibXL-src-0.9.0.exe">QuantLibXL-src-0.9.0.exe</a></td></tr>
+<tr><td><a
href="QuantLibXL-docs-0.9.0.chm">QuantLibXL-docs-0.9.0.chm</a></td></tr>
+<tr><td><a
href="QuantLibAddin-0.9.0.exe">QuantLibAddin-0.9.0.exe</a></td></tr>
+<tr><td><a
href="QuantLibAddin-docs-0.9.0.chm">QuantLibAddin-docs-0.9.0.chm</a></td></tr>
+<tr><td><a
href="QuantLibAddin-0.9.0.tar.gz">QuantLibAddin-0.9.0.tar.gz</a></td></tr>
+<tr><td><a
href="QuantLibAddin-docs-0.9.0-html.tar.gz">QuantLibAddin-docs-0.9.0-html.tar.gz</a></td></tr>
 </table>

 <p>Sourceforge offers a very slow connection for downloading these files
by HTTP.  If you have a SourceForge account you can get the files much
faster via scp.  On a posix system you should be able to do</p>

Modified: trunk/QuantLibAddin/Docs/pages/build.tutorial.docs
===================================================================
--- trunk/QuantLibAddin/Docs/pages/build.tutorial.docs	2008-01-17 17:39:01
UTC (rev 14130)
+++ trunk/QuantLibAddin/Docs/pages/build.tutorial.docs	2008-01-17 17:53:28
UTC (rev 14131)
@@ -1,6 +1,6 @@

 /*
- Copyright (C) 2006, 2007 Eric Ehlers
+ Copyright (C) 2006, 2007, 2008 Eric Ehlers

  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -188,8 +188,8 @@
 \section sec_build_quantlibxl 8. Build QuantLibXL

 Open the VC8 solution <tt>QuantLibXL\\QuantLibAllStatic_vc8.sln</tt>. 
Choose
-configuration <tt>Release</tt>, project <tt>QuantLibXL</tt>, and do
-<tt>Build/Build QuantLibXL</tt>.
+configuration <tt>Release</tt>, project <tt>QuantLibXLStatic</tt>, and do
+<tt>Build/Build QuantLibXLStatic</tt>.

 <img src="images/build_qlxl.jpg">


Modified: trunk/QuantLibAddin/Docs/pages/calc.docs
===================================================================
--- trunk/QuantLibAddin/Docs/pages/calc.docs	2008-01-17 17:39:01 UTC (rev
14130)
+++ trunk/QuantLibAddin/Docs/pages/calc.docs	2008-01-17 17:53:28 UTC (rev
14131)
@@ -139,7 +139,7 @@

 ... where [version] is the version number of gcc required by Calc on your
platform.

-\b NB If you intend to debug %QuantLibAddin with the gdb command line
debugger, then you should also use the compile flag \c -gdwarf-2 as
described in document \ref troubleshooting.
+\b NB If you intend to debug %QuantLibAddin with the gdb command line
debugger, then you should also use the compile flag \c -gdwarf-2 as
explained in this FAQ item: \ref faq_item_debuglinux

 \subsection calc_libs Shared Libraries


Modified: trunk/QuantLibAddin/Docs/pages/serialization.docs
===================================================================
--- trunk/QuantLibAddin/Docs/pages/serialization.docs	2008-01-17 17:39:01
UTC (rev 14130)
+++ trunk/QuantLibAddin/Docs/pages/serialization.docs	2008-01-17 17:53:28
UTC (rev 14131)
@@ -63,12 +63,11 @@

 \subsubsection serialization_win_excel_build 1.1.1 Build

-Open <tt>QuantLibXL\\QuantLibAllDynamic_vc8.sln</tt>, select configuration
-<tt>Release CRTDLL</tt> and build project <tt>QuantLibXLDynamic</tt>.  The
-output files are
+Open <tt>QuantLibXL\\QuantLibAllStatic_vc8.sln</tt>, select configuration
+<tt>Release CRTDLL</tt> and build project <tt>QuantLibXLStatic</tt>.  The
+output file is

-\li <tt>ObjectHandler\xll\ObjectHandler-xll-vc80-mt-0_9_0.xll</tt>
-\li <tt>QuantLibXL\xll\QuantLibXLDynamic-vc80-mt-0_9_0.xll</tt>
+\li <tt>QuantLibXL\xll\QuantLibXL-vc80-mt-0_9_0.xll</tt>

 \subsubsection serialization_win_excel_export 1.1.2 Export

@@ -77,8 +76,7 @@
 <tt>QuantLibXL\\Workbooks\\StandaloneExamples\\serialize_swap.xla</tt>. 
The addin
 contains some startup code which should automatically load the following:
 \verbatim
-ObjectHandler\xll\ObjectHandler-xll-vc80-mt-0_9_0.xll
-QuantLibXL\xll\QuantLibXLDynamic-vc80-mt-0_9_0.xll
+QuantLibXL\xll\QuantLibXL-vc80-mt-0_9_0.xll
 QuantLibXL\Workbooks\StandaloneExamples\MarketData.xls
 QuantLibXL\Workbooks\StandaloneExamples\VanillaSwap.xls
 \endverbatim
@@ -98,8 +96,7 @@
 <tt>QuantLibXL\\Workbooks\\StandaloneExamples\\serialize_swap.xla</tt>. 
The addin
 contains some startup code which should automatically load the following:
 \verbatim
-ObjectHandler\xll\ObjectHandler-xll-vc80-mt-0_9_0.xll
-QuantLibXL\xll\QuantLibXLDynamic-vc80-mt-0_9_0.xll
+QuantLibXL\xll\QuantLibXL-vc80-mt-0_9_0.xll
 QuantLibXL\Workbooks\StandaloneExamples\MarketData.xls
 QuantLibXL\Workbooks\StandaloneExamples\VanillaSwap.xls
 \endverbatim

Modified: trunk/QuantLibAddin/Docs/qla_header.html
===================================================================
--- trunk/QuantLibAddin/Docs/qla_header.html	2008-01-17 17:39:01 UTC (rev
14130)
+++ trunk/QuantLibAddin/Docs/qla_header.html	2008-01-17 17:53:28 UTC (rev
14131)
@@ -42,7 +42,7 @@
 <li class="navbar-item"><a class="navbar-link"
href="calc.html">Calc</a></li>
 <li class="navbar-item"><a class="navbar-link"
href="tutorials.html">Tutorials</a></li>
 </ul>
-<div id="ntlogo"><a class="imglink" href="http://www.nazcatech.be"><img
src="images/nazcatech.jpg" width="88" height="98" border="0"/></a></div>
+<!--div id="ntlogo"><a class="imglink"
href="http://www.nazcatech.be"><img src="images/nazcatech.jpg" width="88"
height="98" border="0"/></a></div-->
 <div id="sflogo"><a class="imglink" href="http://sourceforge.net"><img
src="images/sflogo.php" width="88" height="31" border="0"
alt="SourceForge.net Logo"/></a></div>
 <div><img class="block" src="images/menu_bottom.jpg"/></div>
 </div>

Modified: trunk/QuantLibAddin/Docs/qla_header.subdir.html
===================================================================
--- trunk/QuantLibAddin/Docs/qla_header.subdir.html	2008-01-17 17:39:01
UTC (rev 14130)
+++ trunk/QuantLibAddin/Docs/qla_header.subdir.html	2008-01-17 17:53:28
UTC (rev 14131)
@@ -42,7 +42,7 @@
 <li class="navbar-item"><a class="navbar-link"
href="../calc.html">Calc</a></li>
 <li class="navbar-item"><a class="navbar-link"
href="../tutorials.html">Tutorials</a></li>
 </ul>
-<div id="ntlogo"><a class="imglink" href="http://www.nazcatech.be"><img
src="images/nazcatech.jpg" width="88" height="98" border="0"/></a></div>
+<!--div id="ntlogo"><a class="imglink"
href="http://www.nazcatech.be"><img src="images/nazcatech.jpg" width="88"
height="98" border="0"/></a></div-->
 <div id="sflogo"><a class="imglink" href="http://sourceforge.net"><img
src="images/sflogo.php" width="88" height="31" border="0"
alt="SourceForge.net Logo"/></a></div>
 <div><img class="block" src="images/menu_bottom.jpg"/></div>
 </div>

Modified: trunk/QuantLibAddin/Docs/qla_headeronline.html
===================================================================
--- trunk/QuantLibAddin/Docs/qla_headeronline.html	2008-01-17 17:39:01 UTC
(rev 14130)
+++ trunk/QuantLibAddin/Docs/qla_headeronline.html	2008-01-17 17:53:28 UTC
(rev 14131)
@@ -42,7 +42,7 @@
 <li class="navbar-item"><a class="navbar-link"
href="calc.html">Calc</a></li>
 <li class="navbar-item"><a class="navbar-link"
href="tutorials.html">Tutorials</a></li>
 </ul>
-<div id="ntlogo"><a class="imglink" href="http://www.nazcatech.be"><img
src="images/nazcatech.jpg" width="88" height="98" border="0"/></a></div>
+<!--div id="ntlogo"><a class="imglink"
href="http://www.nazcatech.be"><img src="images/nazcatech.jpg" width="88"
height="98" border="0"/></a></div-->
 <div id="sflogo"><a class="imglink"
href="http://sflogo.sourceforge.net/sflogo.php?group_id=12470&amp;type=1"><img
src="images/sflogo.php" width="88" height="31" border="0"
alt="SourceForge.net Logo"/></a></div>
 <div><img class="block" src="images/menu_bottom.jpg"/></div>
 </div>

Modified: trunk/QuantLibAddin/Docs/qla_headeronline.subdir.html
===================================================================
--- trunk/QuantLibAddin/Docs/qla_headeronline.subdir.html	2008-01-17
17:39:01 UTC (rev 14130)
+++ trunk/QuantLibAddin/Docs/qla_headeronline.subdir.html	2008-01-17
17:53:28 UTC (rev 14131)
@@ -42,7 +42,7 @@
 <li class="navbar-item"><a class="navbar-link"
href="../calc.html">Calc</a></li>
 <li class="navbar-item"><a class="navbar-link"
href="../tutorials.html">Tutorials</a></li>
 </ul>
-<div id="ntlogo"><a class="imglink" href="http://www.nazcatech.be"><img
src="images/nazcatech.jpg" width="88" height="98" border="0"/></a></div>
+<!--div id="ntlogo"><a class="imglink"
href="http://www.nazcatech.be"><img src="images/nazcatech.jpg" width="88"
height="98" border="0"/></a></div-->
 <div id="sflogo"><a class="imglink"
href="http://sflogo.sourceforge.net/sflogo.php?group_id=12470&amp;type=1"><img
src="images/sflogo.php" width="88" height="31" border="0"
alt="SourceForge.net Logo"/></a></div>
 <div><img class="block" src="images/menu_bottom.jpg"/></div>
 </div>

Modified: trunk/QuantLibAddin/gensrc/metadata/Functions/capfloor.xml
===================================================================
--- trunk/QuantLibAddin/gensrc/metadata/Functions/capfloor.xml	2008-01-17
17:39:01 UTC (rev 14130)
+++ trunk/QuantLibAddin/gensrc/metadata/Functions/capfloor.xml	2008-01-17
17:53:28 UTC (rev 14131)
@@ -148,15 +148,15 @@
             <tensorRank>scalar</tensorRank>
             <description>discounting YieldTermStructure object
ID</description>
           </Parameter>
-          <Parameter name='Accuracy' default='1e-4'>
+          <Parameter name='Accuracy' default='1.0e-6'>
             <type>QuantLib::Real</type>
             <tensorRank>scalar</tensorRank>
-            <description>Solver accuracy</description>
+            <description>solver accuracy. If missing default =
1e-6</description>
           </Parameter>
           <Parameter name='MaxIter' default='100'>
             <type>QuantLib::Size</type>
             <tensorRank>scalar</tensorRank>
-            <description>Solver max number of iterations</description>
+            <description>solver max iterations. If missing default =
100</description>
           </Parameter>
         </Parameters>
       </ParameterList>
@@ -258,3 +258,4 @@

   </Functions>
 </Category>
+

Modified: trunk/QuantLibAddin/gensrc/metadata/Functions/pricingengines.xml
===================================================================
---
trunk/QuantLibAddin/gensrc/metadata/Functions/pricingengines.xml	2008-01-17
17:39:01 UTC (rev 14130)
+++
trunk/QuantLibAddin/gensrc/metadata/Functions/pricingengines.xml	2008-01-17
17:53:28 UTC (rev 14131)
@@ -218,8 +218,13 @@
           <Parameter name='Accuracy' default='1.0e-6'>
             <type>QuantLib::Real</type>
             <tensorRank>scalar</tensorRank>
-            <description>standard deviation accuracy</description>
+            <description>solver accuracy. If missing default =
1e-6</description>
           </Parameter>
+          <!--<Parameter name='MaxIter' default='100'>
+            <type>QuantLib::Size</type>
+            <tensorRank>scalar</tensorRank>
+            <description>solver max iterations. If missing default =
100</description>
+          </Parameter>-->
           <Parameter name='Displacement' default='0.0'>
             <type>QuantLib::Real</type>
             <tensorRank>scalar</tensorRank>

Modified: trunk/QuantLibAddin/gensrc/metadata/Functions/ratehelpers.xml
===================================================================
---
trunk/QuantLibAddin/gensrc/metadata/Functions/ratehelpers.xml	2008-01-17
17:39:01 UTC (rev 14130)
+++
trunk/QuantLibAddin/gensrc/metadata/Functions/ratehelpers.xml	2008-01-17
17:53:28 UTC (rev 14131)
@@ -131,7 +131,7 @@
             <tensorRank>scalar</tensorRank>
             <description>holiday calendar (e.g. TARGET)</description>
           </Parameter>
-          <Parameter name='Convention' exampleValue='ModifiedFollowing'>
+          <Parameter name='Convention' exampleValue='Modified Following'>
             <type>QuantLib::BusinessDayConvention</type>
             <tensorRank>scalar</tensorRank>
             <description>business day convention (e.g. Modified
Following)</description>
@@ -515,7 +515,7 @@
             <tensorRank>scalar</tensorRank>
             <description>IMM date (or code)</description>
           </Parameter>
-          <Parameter name='Months' default='3'>
+          <Parameter name='Months' exampleValue='3'>
             <type>long</type>
             <tensorRank>scalar</tensorRank>
             <description>future contract length in months</description>
@@ -525,7 +525,7 @@
             <tensorRank>scalar</tensorRank>
             <description>holiday calendar (e.g. TARGET)</description>
           </Parameter>
-          <Parameter name='Convention' exampleValue='ModifiedFollowing'>
+          <Parameter name='Convention' exampleValue='Modified Following'>
             <type>QuantLib::BusinessDayConvention</type>
             <tensorRank>scalar</tensorRank>
             <description>business day convention (e.g. Modified
Following)</description>
@@ -597,3 +597,4 @@

   </Functions>
 </Category>
+

Modified: trunk/QuantLibAddin/gensrc/metadata/Functions/swaption.xml
===================================================================
--- trunk/QuantLibAddin/gensrc/metadata/Functions/swaption.xml	2008-01-17
17:39:01 UTC (rev 14130)
+++ trunk/QuantLibAddin/gensrc/metadata/Functions/swaption.xml	2008-01-17
17:53:28 UTC (rev 14131)
@@ -59,8 +59,8 @@
     </Constructor>

     <!--
-	  This function is commented out for the 0.3.14 release because
-	  it breaks QuantLibXLDynamic.
+    This function is commented out for the 0.3.14 release because
+    it breaks QuantLibXLDynamic.
     <Member name='qlSwaptionUnderlyingSwap' type='QuantLibAddin::Swaption'>
       <description>returns the underlying swap for the given Swaption
object</description>
       <libraryFunction>underlyingSwap</libraryFunction>
@@ -166,15 +166,15 @@
             <tensorRank>scalar</tensorRank>
             <description>discounting YieldTermStructure object
ID</description>
           </Parameter>
-          <Parameter name='Accuracy' default='1e-4'>
+          <Parameter name='Accuracy' default='1.0e-6'>
             <type>QuantLib::Real</type>
             <tensorRank>scalar</tensorRank>
-            <description>Solver accuracy</description>
+            <description>solver accuracy. If missing default =
1e-6</description>
           </Parameter>
           <Parameter name='MaxIter' default='100'>
             <type>QuantLib::Size</type>
             <tensorRank>scalar</tensorRank>
-            <description>Solver max number of iterations</description>
+            <description>solver max iterations. If missing default =
100</description>
           </Parameter>
         </Parameters>
       </ParameterList>
@@ -203,3 +203,4 @@

   </Functions>
 </Category>
+

Modified: trunk/QuantLibAddin/gensrc/metadata/Functions/termstructures.xml
===================================================================
---
trunk/QuantLibAddin/gensrc/metadata/Functions/termstructures.xml	2008-01-17
17:39:01 UTC (rev 14130)
+++
trunk/QuantLibAddin/gensrc/metadata/Functions/termstructures.xml	2008-01-17
17:53:28 UTC (rev 14131)
@@ -489,11 +489,11 @@
       </SupportedPlatforms>
       <ParameterList>
         <Parameters>
-          <Parameter name='YieldCurve' >
+          <Parameter name='BaseYieldCurve' >
             <type>QuantLib::YieldTermStructure</type>
             <superType>libToHandle</superType>
             <tensorRank>scalar</tensorRank>
-            <description>discounting yield term structure object
ID</description>
+            <description>Base YieldTermStructure object ID</description>
           </Parameter>
           <Parameter name='Spread' exampleValue='0.0'>
             <type>QuantLib::Quote</type>
@@ -514,11 +514,11 @@
       </SupportedPlatforms>
       <ParameterList>
         <Parameters>
-          <Parameter name='YieldCurve' >
+          <Parameter name='BaseYieldCurve' >
             <type>QuantLib::YieldTermStructure</type>
             <superType>libToHandle</superType>
             <tensorRank>scalar</tensorRank>
-            <description>discounting yield term structure object
ID</description>
+            <description>Base YieldTermStructure object ID</description>
           </Parameter>
           <Parameter name='ReferenceDate' exampleValue ='1D'>
             <type>QuantLib::Date</type>

Modified: trunk/QuantLibAddin/qlo/ValueObjects/Makefile.am
===================================================================
--- trunk/QuantLibAddin/qlo/ValueObjects/Makefile.am	2008-01-17 17:39:01
UTC (rev 14130)
+++ trunk/QuantLibAddin/qlo/ValueObjects/Makefile.am	2008-01-17 17:53:28
UTC (rev 14131)
@@ -24,6 +24,7 @@
     vo_evolutiondescription.hpp \
     vo_exercise.hpp \
     vo_forwardrateagreement.hpp \
+    vo_group.hpp \
     vo_index.hpp \
     vo_interpolation.hpp \
     vo_leg.hpp \
@@ -39,6 +40,7 @@
     vo_products.hpp \
     vo_quotes.hpp \
     vo_randomsequencegenerator.hpp \
+    vo_range.hpp \
     vo_rangeaccrual.hpp \
     vo_ratehelpers.hpp \
     vo_schedule.hpp \

Modified: trunk/QuantLibAddin/qlo/ratehelpers.hpp
===================================================================
--- trunk/QuantLibAddin/qlo/ratehelpers.hpp	2008-01-17 17:39:01 UTC (rev
14130)
+++ trunk/QuantLibAddin/qlo/ratehelpers.hpp	2008-01-17 17:53:28 UTC (rev
14131)
@@ -2,10 +2,10 @@

 /*
  Copyright (C) 2005, 2006, 2007 Eric Ehlers
+ Copyright (C) 2005 Aurelien Chanudet
+ Copyright (C) 2005 Plamen Neykov
  Copyright (C) 2006, 2007, 2008 Ferdinando Ametrano
  Copyright (C) 2007 Marco Bianchetti
- Copyright (C) 2005 Plamen Neykov
- Copyright (C) 2005 Aurelien Chanudet

  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -183,3 +183,4 @@
 }

 #endif
+

Modified: trunk/QuantLibAddin/qlo/smilesection.cpp
===================================================================
--- trunk/QuantLibAddin/qlo/smilesection.cpp	2008-01-17 17:39:01 UTC (rev
14130)
+++ trunk/QuantLibAddin/qlo/smilesection.cpp	2008-01-17 17:53:28 UTC (rev
14131)
@@ -211,3 +211,4 @@
              libraryObject_ = sabrVol->smileSection(time,true);
     }
 }
+

Modified: trunk/QuantLibAddin/qlo/smilesection.hpp
===================================================================
--- trunk/QuantLibAddin/qlo/smilesection.hpp	2008-01-17 17:39:01 UTC (rev
14130)
+++ trunk/QuantLibAddin/qlo/smilesection.hpp	2008-01-17 17:53:28 UTC (rev
14131)
@@ -147,3 +147,4 @@
 }

 #endif
+

Modified: trunk/QuantLibXL/Docs/pages/installation.docs
===================================================================
--- trunk/QuantLibXL/Docs/pages/installation.docs	2008-01-17 17:39:01 UTC
(rev 14130)
+++ trunk/QuantLibXL/Docs/pages/installation.docs	2008-01-17 17:53:28 UTC
(rev 14131)
@@ -1,6 +1,6 @@

 /*
- Copyright (C) 2006, 2007 Eric Ehlers
+ Copyright (C) 2006, 2007, 2008 Eric Ehlers

  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -30,9 +30,11 @@
 option to install the \ref framework if desired.  To use QuantLibXL:
 \li start Excel
 \li load the addin - QuantLibXL\\xll\\QuantLibXL-vc80-mt-s-0_9_0.xll
-\li load an example workbook e.g.
QuantLibXL\\Workbooks\\StandaloneExamples\\instruments.xls
+\li load an example workbook e.g.
QuantLibXL\\Workbooks\\StandaloneExamples\\Option.xls
 \li hit Ctrl-Alt-F9 to refresh the workbook
+\li For more info see the file README.txt in the folder StandaloneExamples

 Send any support queries to qua...@li....

 */
+

Modified: trunk/QuantLibXL/Docs/qlxl_header.html
===================================================================
--- trunk/QuantLibXL/Docs/qlxl_header.html	2008-01-17 17:39:01 UTC (rev
14130)
+++ trunk/QuantLibXL/Docs/qlxl_header.html	2008-01-17 17:53:28 UTC (rev
14131)
@@ -35,7 +35,7 @@
 <li class="navbar-item"><a class="navbar-link"
href="auto/enums.html">Enumerations</a></li>
 <li class="navbar-item"><a class="navbar-link"
href="framework.html">Framework</a></li>
 </ul>
-<div id="ntlogo"><a class="imglink" href="http://www.nazcatech.be"><img
src="images/nazcatech.jpg" width="88" height="98" border="0"/></a></div>
+<!--div id="ntlogo"><a class="imglink"
href="http://www.nazcatech.be"><img src="images/nazcatech.jpg" width="88"
height="98" border="0"/></a></div-->
 <div id="sflogo"><a class="imglink" href="http://sourceforge.net"><img
src="images/sflogo.php" width="88" height="31" border="0"
alt="SourceForge.net Logo"/></a></div>
 <div><img class="block" src="images/menu_bottom.jpg"/></div>
 </div>

Modified: trunk/QuantLibXL/Docs/qlxl_header.subdir.html
===================================================================
--- trunk/QuantLibXL/Docs/qlxl_header.subdir.html	2008-01-17 17:39:01 UTC
(rev 14130)
+++ trunk/QuantLibXL/Docs/qlxl_header.subdir.html	2008-01-17 17:53:28 UTC
(rev 14131)
@@ -35,7 +35,7 @@
 <li class="navbar-item"><a class="navbar-link"
href="enums.html">Enumerations</a></li>
 <li class="navbar-item"><a class="navbar-link"
href="../framework.html">Framework</a></li>
 </ul>
-<div id="ntlogo"><a class="imglink" href="http://www.nazcatech.be"><img
src="images/nazcatech.jpg" width="88" height="98" border="0"/></a></div>
+<!--div id="ntlogo"><a class="imglink"
href="http://www.nazcatech.be"><img src="images/nazcatech.jpg" width="88"
height="98" border="0"/></a></div-->
 <div id="sflogo"><a class="imglink" href="http://sourceforge.net"><img
src="images/sflogo.php" width="88" height="31" border="0"
alt="SourceForge.net Logo"/></a></div>
 <div><img class="block" src="images/menu_bottom.jpg"/></div>
 </div>

Modified: trunk/QuantLibXL/Docs/qlxl_headeronline.html
===================================================================
--- trunk/QuantLibXL/Docs/qlxl_headeronline.html	2008-01-17 17:39:01 UTC
(rev 14130)
+++ trunk/QuantLibXL/Docs/qlxl_headeronline.html	2008-01-17 17:53:28 UTC
(rev 14131)
@@ -35,7 +35,7 @@
 <li class="navbar-item"><a class="navbar-link"
href="auto/enums.html">Enumerations</a></li>
 <li class="navbar-item"><a class="navbar-link"
href="framework.html">Framework</a></li>
 </ul>
-<div id="ntlogo"><a class="imglink" href="http://www.nazcatech.be"><img
src="images/nazcatech.jpg" width="88" height="98" border="0"/></a></div>
+<!--div id="ntlogo"><a class="imglink"
href="http://www.nazcatech.be"><img src="images/nazcatech.jpg" width="88"
height="98" border="0"/></a></div-->
 <div id="sflogo"><a class="imglink"
href="http://sflogo.sourceforge.net/sflogo.php?group_id=12470&amp;type=1"><img
src="images/sflogo.php" width="88" height="31" border="0"
alt="SourceForge.net Logo"/></a></div>
 <div><img class="block" src="images/menu_bottom.jpg"/></div>
 </div>

Modified: trunk/QuantLibXL/Docs/qlxl_headeronline.subdir.html
===================================================================
--- trunk/QuantLibXL/Docs/qlxl_headeronline.subdir.html	2008-01-17
17:39:01 UTC (rev 14130)
+++ trunk/QuantLibXL/Docs/qlxl_headeronline.subdir.html	2008-01-17
17:53:28 UTC (rev 14131)
@@ -35,7 +35,7 @@
 <li class="navbar-item"><a class="navbar-link"
href="enums.html">Enumerations</a></li>
 <li class="navbar-item"><a class="navbar-link"
href="../framework.html">Framework</a></li>
 </ul>
-<div id="ntlogo"><a class="imglink" href="http://www.nazcatech.be"><img
src="images/nazcatech.jpg" width="88" height="98" border="0"/></a></div>
+<!--div id="ntlogo"><a class="imglink"
href="http://www.nazcatech.be"><img src="images/nazcatech.jpg" width="88"
height="98" border="0"/></a></div-->
 <div id="sflogo"><a class="imglink"
href="http://sflogo.sourceforge.net/sflogo.php?group_id=12470&amp;type=1"><img
src="images/sflogo.php" width="88" height="31" border="0"
alt="SourceForge.net Logo"/></a></div>
 <div><img class="block" src="images/menu_bottom.jpg"/></div>
 </div>

Modified: trunk/QuantLibXL/QuantLibXL-bin.nsi
===================================================================
--- trunk/QuantLibXL/QuantLibXL-bin.nsi	2008-01-17 17:39:01 UTC (rev 14130)
+++ trunk/QuantLibXL/QuantLibXL-bin.nsi	2008-01-17 17:53:28 UTC (rev 14131)
@@ -41,8 +41,9 @@
     File "README.txt"

     SetOutPath "$INSTDIR\xll"
-    File "xll\QuantLibXLDynamic-vc80-mt-${VER_NUMBER_UNDERSCORE}.xll"
-    File
"..\ObjectHandler\xll\ObjectHandler-xll-vc80-mt-${VER_NUMBER_UNDERSCORE}.xll"
+    #File "xll\QuantLibXLDynamic-vc80-mt-${VER_NUMBER_UNDERSCORE}.xll"
+    #File
"..\ObjectHandler\xll\ObjectHandler-xll-vc80-mt-${VER_NUMBER_UNDERSCORE}.xll"
+    File "xll\QuantLibXL-vc80-mt-s-${VER_NUMBER_UNDERSCORE}.xll"

     SetOutPath "$INSTDIR\Workbooks\DateCalendarsDayCounters"
     File "Workbooks\DateCalendarsDayCounters\*.xls"
@@ -55,11 +56,13 @@
     File "Workbooks\StandaloneExamples\MarketData.xls"
     File "Workbooks\StandaloneExamples\Option.xls"
     File "Workbooks\StandaloneExamples\Swap.xls"
-    File "Workbooks\StandaloneExamples\Swaption.xls"
+    #File "Workbooks\StandaloneExamples\Swaption.xls"
     File "Workbooks\StandaloneExamples\VanillaSwap.xls"
     File "Workbooks\StandaloneExamples\serialize_swap.xla"
     File "Workbooks\StandaloneExamples\serialize_utils.xla"
     File "Workbooks\StandaloneExamples\YC_SwapDemo.xls"
+    File "Workbooks\StandaloneExamples\InterestRateDerivatives.xls"
+    File "Workbooks\StandaloneExamples\YieldCurveBootstrapping.xls"

     SetOutPath "$INSTDIR\Workbooks\Utilities"
     File "Workbooks\Utilities\*.xls"
@@ -111,6 +114,9 @@
     SetOutPath "$INSTDIR\Workbooks"
     File /r "Workbooks\*.xls"

+    SetOutPath "$INSTDIR\Data\XLS"
+    File /r "Data\XLS\*.xls"
+
     SetOutPath "$INSTDIR\metadata"
     File /r "..\QuantLibAddin\gensrc\metadata\*.xml"


Modified: trunk/QuantLibXL/QuantLibXL-src.nsi
===================================================================
--- trunk/QuantLibXL/QuantLibXL-src.nsi	2008-01-17 17:39:01 UTC (rev 14130)
+++ trunk/QuantLibXL/QuantLibXL-src.nsi	2008-01-17 17:53:28 UTC (rev 14131)
@@ -76,11 +76,13 @@
     File "Workbooks\StandaloneExamples\MarketData.xls"
     File "Workbooks\StandaloneExamples\Option.xls"
     File "Workbooks\StandaloneExamples\Swap.xls"
-    File "Workbooks\StandaloneExamples\Swaption.xls"
+    #File "Workbooks\StandaloneExamples\Swaption.xls"
     File "Workbooks\StandaloneExamples\VanillaSwap.xls"
     File "Workbooks\StandaloneExamples\serialize_swap.xla"
     File "Workbooks\StandaloneExamples\serialize_utils.xla"
     File "Workbooks\StandaloneExamples\YC_SwapDemo.xls"
+    File "Workbooks\StandaloneExamples\InterestRateDerivatives.xls"
+    File "Workbooks\StandaloneExamples\YieldCurveBootstrapping.xls"

     SetOutPath "$INSTDIR\Workbooks\Utilities"
     File "Workbooks\Utilities\*.xls"
@@ -123,8 +125,9 @@
 Section /o Framework

     SetOutPath "$INSTDIR\xll"
-    File "xll\QuantLibXLDynamic-vc80-mt-${VER_NUMBER_UNDERSCORE}.xll"
-    File
"..\ObjectHandler\xll\ObjectHandler-xll-vc80-mt-${VER_NUMBER_UNDERSCORE}.xll"
+    #File "xll\QuantLibXLDynamic-vc80-mt-${VER_NUMBER_UNDERSCORE}.xll"
+    #File
"..\ObjectHandler\xll\ObjectHandler-xll-vc80-mt-${VER_NUMBER_UNDERSCORE}.xll"
+    File "xll\QuantLibXL-vc80-mt-s-${VER_NUMBER_UNDERSCORE}.xll"

     SetOutPath "$INSTDIR\framework"
     File "framework\QuantLibXL.xla"
@@ -132,6 +135,9 @@
     SetOutPath "$INSTDIR\Workbooks"
     File /r "Workbooks\*.xls"

+    SetOutPath "$INSTDIR\Data\XLS"
+    File /r "Data\XLS\*.xls"
+
     # ObjectBuilder crashes if it can't find the icon
     SetOutPath "$INSTDIR\Docs\images"
     File "Docs\images\favicon.bmp"

Copied:
trunk/QuantLibXL/Workbooks/StandaloneExamples/InterestRateDerivatives.xls
(from rev 14126,
branches/R000900-branch/QuantLibXL/Workbooks/StandaloneExamples/InterestRateDerivatives.xls)
===================================================================
(Binary files differ)

Modified: trunk/QuantLibXL/Workbooks/StandaloneExamples/README.txt
===================================================================
--- trunk/QuantLibXL/Workbooks/StandaloneExamples/README.txt	2008-01-17
17:39:01 UTC (rev 14130)
+++ trunk/QuantLibXL/Workbooks/StandaloneExamples/README.txt	2008-01-17
17:53:28 UTC (rev 14131)
@@ -2,10 +2,14 @@

 On first opening a book, hit Ctrl-Alt-F9 to force a full recalculation.

-The workbooks Swap.xls, Swaption.xls, and VanillaSwap.xls depend on
-MarketData.xls.
+The workbooks VanillaSwap.xls and Swap.xls depend on MarketData.xls.

 Be aware that in QuantLib the evaluation date is a global variable, set by
 formula qlSettingsSetEvaluationDate().  Two books requiring different
 evaluation dates cannot be open simultaneously within a single QuantLibXL
 session.  Please refer to the documentation for more information.
+
+VBA addin serialize_swap.xla contains some startup code which loads a
+demo serialization environment, as described in the following document:
+    http://www.quantlibaddin.org/serialization.html
+

Modified: trunk/QuantLibXL/Workbooks/StandaloneExamples/Swap.xls
===================================================================
(Binary files differ)

Modified: trunk/QuantLibXL/Workbooks/StandaloneExamples/YC_SwapDemo.xls
===================================================================
(Binary files differ)

Copied:
trunk/QuantLibXL/Workbooks/StandaloneExamples/YieldCurveBootstrapping.xls
(from rev 14126,
branches/R000900-branch/QuantLibXL/Workbooks/StandaloneExamples/YieldCurveBootstrapping.xls)
===================================================================
(Binary files differ)

Modified: trunk/QuantLibXL/Workbooks/StandaloneExamples/serialize_swap.xla
===================================================================
(Binary files differ)

Modified: trunk/QuantLibXL/qlxl/QuantLibXLStatic_vc8.vcproj
===================================================================
--- trunk/QuantLibXL/qlxl/QuantLibXLStatic_vc8.vcproj	2008-01-17 17:39:01
UTC (rev 14130)
+++ trunk/QuantLibXL/qlxl/QuantLibXLStatic_vc8.vcproj	2008-01-17 17:53:28
UTC (rev 14131)
@@ -748,6 +748,10 @@
 				>
 			</File>
 			<File
+				RelativePath=".\Functions\handles.cpp"
+				>
+			</File>
+			<File
 				RelativePath="Functions\index.cpp"
 				>
 			</File>
@@ -872,6 +876,10 @@
 				>
 			</File>
 			<File
+				RelativePath=".\Functions\timeseries.cpp"
+				>
+			</File>
+			<File
 				RelativePath="Functions\utilities.cpp"
 				>
 			</File>
@@ -895,50 +903,42 @@
 				RelativePath="Conversions\all.hpp"
 				>
 			</File>
-			<Filter
-				Name="ToOper"
+			<File
+				RelativePath=".\Conversions\matrixtooper.cpp"
 				>
-				<File
-					RelativePath="Conversions\matrixtooper.cpp"
-					>
-				</File>
-				<File
-					RelativePath="Conversions\matrixtooper.hpp"
-					>
-				</File>
-				<File
-					RelativePath="Conversions\scalartooper.cpp"
-					>
-				</File>
-				<File
-					RelativePath="Conversions\scalartooper.hpp"
-					>
-				</File>
-				<File
-					RelativePath="Conversions\vectortooper.hpp"
-					>
-				</File>
-			</Filter>
-			<Filter
-				Name="FromOper"
+			</File>
+			<File
+				RelativePath=".\Conversions\matrixtooper.hpp"
 				>
-				<File
-					RelativePath="Conversions\opertomatrix.cpp"
-					>
-				</File>
-				<File
-					RelativePath="Conversions\opertomatrix.hpp"
-					>
-				</File>
-				<File
-					RelativePath="Conversions\opertovector.cpp"
-					>
-				</File>
-				<File
-					RelativePath="Conversions\opertovector.hpp"
-					>
-				</File>
-			</Filter>
+			</File>
+			<File
+				RelativePath=".\Conversions\opertomatrix.cpp"
+				>
+			</File>
+			<File
+				RelativePath=".\Conversions\opertomatrix.hpp"
+				>
+			</File>
+			<File
+				RelativePath=".\Conversions\opertovector.cpp"
+				>
+			</File>
+			<File
+				RelativePath=".\Conversions\opertovector.hpp"
+				>
+			</File>
+			<File
+				RelativePath=".\Conversions\scalartooper.cpp"
+				>
+			</File>
+			<File
+				RelativePath=".\Conversions\scalartooper.hpp"
+				>
+			</File>
+			<File
+				RelativePath=".\Conversions\vectortooper.hpp"
+				>
+			</File>
 		</Filter>
 		<Filter
 			Name="Serialization"

Modified: trunk/gensrc/Docs/Makefile.am
===================================================================
--- trunk/gensrc/Docs/Makefile.am	2008-01-17 17:39:01 UTC (rev 14130)
+++ trunk/gensrc/Docs/Makefile.am	2008-01-17 17:53:28 UTC (rev 14131)
@@ -44,9 +44,9 @@
 	cp tabs.css html
 	cp ql.css html
 	mkdir -p html/images
-	cp images/*.ico html/images
-	cp images/*.jpg html/images
-	cp images/*.php html/images
+	cp -f images/*.ico html/images
+	cp -f images/*.jpg html/images
+	cp -f images/*.php html/images
 	touch .time-stamp-html

 docs-html-dist: docs-html
@@ -62,9 +62,9 @@
 	cp tabs.css html-online
 	cp ql.css html-online
 	mkdir -p html-online/images
-	cp images/*.ico html-online/images
-	cp images/*.jpg html-online/images
-	cp images/*.php html-online/images
+	cp -f images/*.ico html-online/images
+	cp -f images/*.jpg html-online/images
+	cp -f images/*.php html-online/images
 	touch .time-stamp-online

 docs-online-dist: docs-online

Modified: trunk/gensrc/Docs/gs_header.html
===================================================================
--- trunk/gensrc/Docs/gs_header.html	2008-01-17 17:39:01 UTC (rev 14130)
+++ trunk/gensrc/Docs/gs_header.html	2008-01-17 17:53:28 UTC (rev 14131)
@@ -30,7 +30,7 @@
 <li class="navbar-item"><a class="navbar-link"
href="annotated.html">Classes</a></li>
 <li class="navbar-item"><a class="navbar-link"
href="hierarchy.html">Hierarchy</a></li>
 </ul>
-<div id="ntlogo"><a class="imglink" href="http://www.nazcatech.be"><img
src="images/nazcatech.jpg" width="88" height="98" border="0"/></a></div>
+<!--div id="ntlogo"><a class="imglink"
href="http://www.nazcatech.be"><img src="images/nazcatech.jpg" width="88"
height="98" border="0"/></a></div-->
 <div id="sflogo"><a class="imglink" href="http://sourceforge.net"><img
src="images/sflogo.php" width="88" height="31" border="0"
alt="SourceForge.net Logo"/></a></div>
 <div><img class="block" src="images/menu_bottom.jpg"/></div>
 </div>

Modified: trunk/gensrc/Docs/gs_headeronline.html
===================================================================
--- trunk/gensrc/Docs/gs_headeronline.html	2008-01-17 17:39:01 UTC (rev
14130)
+++ trunk/gensrc/Docs/gs_headeronline.html	2008-01-17 17:53:28 UTC (rev
14131)
@@ -30,7 +30,7 @@
 <li class="navbar-item"><a class="navbar-link"
href="annotated.html">Classes</a></li>
 <li class="navbar-item"><a class="navbar-link"
href="hierarchy.html">Hierarchy</a></li>
 </ul>
-<div id="ntlogo"><a class="imglink" href="http://www.nazcatech.be"><img
src="images/nazcatech.jpg" width="88" height="98" border="0"/></a></div>
+<!--div id="ntlogo"><a class="imglink"
href="http://www.nazcatech.be"><img src="images/nazcatech.jpg" width="88"
height="98" border="0"/></a></div-->
 <div id="sflogo"><a class="imglink"
href="http://sflogo.sourceforge.net/sflogo.php?group_id=12470&amp;type=1"><img
src="images/sflogo.php" width="88" height="31" border="0"
alt="SourceForge.net Logo"/></a></div>
 <div><img class="block" src="images/menu_bottom.jpg"/></div>
 </div>

Modified: trunk/log4cxx/msvc/static/Makefile.am
===================================================================
--- trunk/log4cxx/msvc/static/Makefile.am	2008-01-17 17:39:01 UTC (rev 14130)
+++ trunk/log4cxx/msvc/static/Makefile.am	2008-01-17 17:53:28 UTC (rev 14131)
@@ -1,2 +1,2 @@
-EXTRA_DIST = static_vc7.vcproj static_vc8.vcproj
+EXTRA_DIST = log4cxx_vc7.vcproj log4cxx_vc8.vcproj



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[Quantlib-dev] QuantLibXL / ObjectHandler 0.9.0 Prerelease Files

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

Hi All,

The prerelease files for version 0.9.0 of QuantLibAddin, QuantLibXL,
ObjectHandler and gensrc are available at this link:

http://quantlib.org/prerelease/oh-qla.html

I'd be grateful to anyone who could spare some time to test the files and
let me know how it goes.

Kind Regards,
Eric

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [14116] branches/R000900-branch/QuantLibXL

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

you need to add also the xml folder (even if almost empy)

On Jan 16, 2008 11:55 AM,  <eri...@us...> wrote:
> Revision: 14116
>           http://quantlib.svn.sourceforge.net/quantlib/?rev=14116&view=rev
> Author:   ericehlers
> Date:     2008-01-16 02:55:44 -0800 (Wed, 16 Jan 2008)
>
> Log Message:
> -----------
> Include data files in Framework installation
>
> Modified Paths:
> --------------
>     branches/R000900-branch/QuantLibXL/QuantLibXL-bin.nsi
>     branches/R000900-branch/QuantLibXL/QuantLibXL-src.nsi
>
> Modified: branches/R000900-branch/QuantLibXL/QuantLibXL-bin.nsi
> ===================================================================
> --- branches/R000900-branch/QuantLibXL/QuantLibXL-bin.nsi       2008-01-16 10:54:49 UTC (rev 14115)
> +++ branches/R000900-branch/QuantLibXL/QuantLibXL-bin.nsi       2008-01-16 10:55:44 UTC (rev 14116)
> @@ -112,6 +112,9 @@
>      SetOutPath "$INSTDIR\Workbooks"
>      File /r "Workbooks\*.xls"
>
> +    SetOutPath "$INSTDIR\Data\XLS"
> +    File /r "Data\XLS\*.xls"
> +
>      SetOutPath "$INSTDIR\metadata"
>      File /r "..\QuantLibAddin\gensrc\metadata\*.xml"
>
>
> Modified: branches/R000900-branch/QuantLibXL/QuantLibXL-src.nsi
> ===================================================================
> --- branches/R000900-branch/QuantLibXL/QuantLibXL-src.nsi       2008-01-16 10:54:49 UTC (rev 14115)
> +++ branches/R000900-branch/QuantLibXL/QuantLibXL-src.nsi       2008-01-16 10:55:44 UTC (rev 14116)
> @@ -133,6 +133,9 @@
>      SetOutPath "$INSTDIR\Workbooks"
>      File /r "Workbooks\*.xls"
>
> +    SetOutPath "$INSTDIR\Data\XLS"
> +    File /r "Data\XLS\*.xls"
> +
>      # ObjectBuilder crashes if it can't find the icon
>      SetOutPath "$INSTDIR\Docs\images"
>      File "Docs\images\favicon.bmp"
>
>
> This was sent by the SourceForge.net collaborative development platform, the world's largest Open Source development site.
>
> -------------------------------------------------------------------------
> 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-cvs
>

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

[adam99 <ada...@gm...>]

I am finally able to compile it, but without the makefile. I use the command

g++ -g -O2 -Wall -I/usr/include/boost-1_33_1 -L/lib BermudanSwaption.cpp -o
BermudanSwaption -lQuantlib 

I dont know what the problem with the makefile is.



I dont know what the problem 


adam99 wrote:
> 
> I got QuantLib 0.9.0. I figured out the problem with boost was not having
> the correct library names
> I copied all libboostXXX-gcc-mt.a to libboostXXX-mt.a, since configuration
> file was not able to find it. Then it configure run ok...
> 
> .QuantLib-0.9.0/Examples]$ ls -l /lib/libboost*
> -r-xr-x---+ 1    Users   88556 Dec 21 06:17
> /lib/libboost_date_time-gcc-mt-1_33_1.a
> -r-xr-x---+ 1    Users   71364 Jan  5 14:31
> /lib/libboost_date_time-gcc-mt-s-1_33_1.a
> -r-xr-x---+ 1    Users   71364 Jan  3  2007
> /lib/libboost_date_time-gcc-mt-s.a
> -r-xr-x---+ 1    Users   88556 Jan  3  2007
> /lib/libboost_date_time-gcc-mt.a
> -r-xr-x---  1    None    88556 Jan 10 19:55 /lib/libboost_date_time-mt.a
> -r-xr-x---+ 1    Users  110036 Dec 21 06:17
> /lib/libboost_filesystem-gcc-mt-1_33_1.a
> -r-xr-x---+ 1    Users  118426 Jan  5 14:31
> /lib/libboost_filesystem-gcc-mt-s-1_33_1.a
> -r-xr-x---+ 1    Users  118426 Jan  3  2007
> /lib/libboost_filesystem-gcc-mt-s.a
> -r-xr-x---+ 1    Users  110036 Jan  3  2007
> /lib/libboost_filesystem-gcc-mt.a
> -r-xr-x---  1    None   110036 Jan 10 19:55 /lib/libboost_filesystem-mt.a
> -r-xr-x---+ 1    Users  101896 Dec 21 06:17
> /lib/libboost_iostreams-gcc-mt-1_33_1.a
> -r-xr-x---+ 1    Users   56026 Jan  5 14:31
> /lib/libboost_iostreams-gcc-mt-s-1_33_1.a
> -r-xr-x---+ 1    Users   56026 Jan  3  2007
> /lib/libboost_iostreams-gcc-mt-s.a
> -r-xr-x---+ 1    Users  101896 Jan  3  2007
> /lib/libboost_iostreams-gcc-mt.a
> -r-xr-x---  1    None   101896 Jan 10 20:48 /lib/libboost_iostreams-mt.a
> -r-xr-x---+ 1    Users  366432 Dec 21 06:17
> /lib/libboost_program_options-gcc-mt-1_33_1.a
> -r-xr-x---+ 1    Users  443418 Jan  5 14:31
> /lib/libboost_program_options-gcc-mt-s-1_33_1.a
> -r-xr-x---+ 1    Users  443418 Jan  3  2007
> /lib/libboost_program_options-gcc-mt-s.a
> -r-xr-x---+ 1    Users  366432 Jan  3  2007
> /lib/libboost_program_options-gcc-mt.a
> -r-xr-x---  1    None   366432 Jan 10 20:48
> /lib/libboost_program_options-mt.a
> -r-xr-x---+ 1    Users  769502 Dec 21 06:17
> /lib/libboost_python-gcc-mt-1_33_1.a
> -r-xr-x---+ 1    Users  769502 Jan  3  2007 /lib/libboost_python-gcc-mt.a
> -r-xr-x---  1    None   769502 Jan 10 20:48 /lib/libboost_python-mt.a
> -r-xr-x---+ 1    Users  649470 Dec 21 06:17
> /lib/libboost_regex-gcc-mt-1_33_1.a
> -r-xr-x---+ 1    Users 1150996 Jan  5 14:31
> /lib/libboost_regex-gcc-mt-s-1_33_1.a
> -r-xr-x---+ 1    Users 1150996 Jan  3  2007 /lib/libboost_regex-gcc-mt-s.a
> -r-xr-x---+ 1    Users  649470 Jan  3  2007 /lib/libboost_regex-gcc-mt.a
> -r-xr-x---  1    None   649470 Jan 10 20:48 /lib/libboost_regex-mt.a
> -r-xr-x---+ 1    Users 1262664 Dec 21 06:17
> /lib/libboost_serialization-gcc-mt-1_33_1.a
> -r-xr-x---+ 1    Users 1072488 Jan  5 14:31
> /lib/libboost_serialization-gcc-mt-s-1_33_1.a
> -r-xr-x---+ 1    Users 1072488 Jan  3  2007
> /lib/libboost_serialization-gcc-mt-s.a
> -r-xr-x---+ 1    Users 1262664 Jan  3  2007
> /lib/libboost_serialization-gcc-mt.a
> -r-xr-x---  1    None  1262664 Jan 10 20:48
> /lib/libboost_serialization-mt.a
> -r-xr-x---+ 1    Users  193206 Dec 21 06:17
> /lib/libboost_signals-gcc-mt-1_33_1.a
> -r-xr-x---+ 1    Users  138568 Jan  5 14:31
> /lib/libboost_signals-gcc-mt-s-1_33_1.a
> -r-xr-x---+ 1    Users  138568 Jan  3  2007
> /lib/libboost_signals-gcc-mt-s.a
> -r-xr-x---+ 1    Users  193206 Jan  3  2007 /lib/libboost_signals-gcc-mt.a
> -r-xr-x---  1    None   193206 Jan 10 20:48 /lib/libboost_signals-mt.a
> -r-xr-x---+ 1    Users  147776 Dec 21 06:17
> /lib/libboost_thread-gcc-mt-1_33_1.a
> -r-xr-x---+ 1    Users   92772 Jan  5 14:31
> /lib/libboost_thread-gcc-mt-s-1_33_1.a
> -r-xr-x---+ 1    Users   92772 Jan  3  2007
> /lib/libboost_thread-gcc-mt-s.a
> -r-xr-x---+ 1    Users  147776 Jan  3  2007 /lib/libboost_thread-gcc-mt.a
> -r-xr-x---  1    None   147776 Jan 10 20:49 /lib/libboost_thread-mt.a
> ----------+ 1    None  6771282 Jan  6 10:58
> /lib/libboost_unit_test_framework-gcc-1_33_1.a
> -rwxrwxrwx  1    None  6771282 Jan  6 11:04
> /lib/libboost_unit_test_framework-gcc-mt.a
> -rwxr-xr-x  1    None  6771282 Jan 10 19:56
> /lib/libboost_unit_test_framework-mt.a
> -r-xr-x---+ 1    Users 2915630 Dec 21 06:17
> /lib/libboost_wave-gcc-mt-1_33_1.a
> -r-xr-x---+ 1    Users 2915630 Jan  5 14:31
> /lib/libboost_wave-gcc-mt-s-1_33_1.a
> -r-xr-x---+ 1    Users 2915630 Jan  3  2007 /lib/libboost_wave-gcc-mt-s.a
> -r-xr-x---+ 1    Users 2915630 Jan  3  2007 /lib/libboost_wave-gcc-mt.a
> -r-xr-x---  1    None  2915630 Jan 10 20:49 /lib/libboost_wave-mt.a
> 
> However I am still getting lots of error messages, when I am trying to
> build examples
> 
> ..QuantLib-0.9.0/Examples]$ make examples
> make -C BermudanSwaption examples
> make[1]: Entering directory
> `/dev/QuantLib-0.9.0/Examples/BermudanSwaption'
> g++ -g -O2 -Wall -I/usr/include/boost-1_33_1 -L/lib  BermudanSwaption.cpp  
> -o BermudanSwaption
> /usr/lib/gcc/i686-pc-cygwin/3.4.4/include/c++/bits/stl_tree.h: In member
> function `typename std::_Rb_tree<_Key, _Val, _KeyOfValue, _Compare,
> _Alloc>::_Link_type std::_Rb_tree<_Key, _Val, _KeyOfValue, _Compare,
> _Alloc>::_M_copy(const std::_Rb_tree_node<_Val>*,
> std::_Rb_tree_node<_Val>*) [with _Key = std::string, _Val =
> std::pair<const std::string, boost::any>, _KeyOfValue =
> std::_Select1st<std::pair<const std::string, boost::any> >, _Compare =
> std::less<std::string>, _Alloc = std::allocator<std::pair<const
> std::string, boost::any> >]':
> /usr/lib/gcc/i686-pc-cygwin/3.4.4/include/c++/bits/stl_tree.h:1029:
> warning: '__top' might be used uninitialized in this function
> /usr/lib/gcc/i686-pc-cygwin/3.4.4/include/c++/bits/stl_tree.h:365:
> warning: '__tmp' might be used uninitialized in this function
> /usr/lib/gcc/i686-pc-cygwin/3.4.4/include/c++/bits/stl_uninitialized.h: In
> copy constructor `QuantLib::Swap::Swap(const QuantLib::Swap&)':
> /usr/lib/gcc/i686-pc-cygwin/3.4.4/include/c++/bits/stl_uninitialized.h:82:
> warning: '__cur' might be used uninitialized in this function
> /tmp/ccBtl7cx.o: In function
> `_ZN8QuantLib28MultiStepCoterminalSwaptionsD1Ev':
> /dev/QuantLib-0.9.0/Examples/BermudanSwaption/BermudanSwaption.cpp:(.text+0xa4):
> undefined reference to
> `QuantLib::LevenbergMarquardt::LevenbergMarquardt(double, double, double)'
> /dev/QuantLib-0.9.0/Examples/BermudanSwaption/BermudanSwaption.cpp:(.text+0xe9):
> undefined reference to
> `QuantLib::Constraint::Constraint(boost::shared_ptr<QuantLib::Constraint::Impl>
> const&)'
> /dev/QuantLib-0.9.0/Examples/BermudanSwaption/BermudanSwaption.cpp:(.text+0x14a):
> undefined reference to `QuantLib::EndCriteria::EndCriteria(unsigned int,
> unsigned int, double, double, double)'
> /dev/QuantLib-0.9.0/Examples/BermudanSwaption/BermudanSwaption.cpp:(.text+0x19e):
> undefined reference to
> `QuantLib::CalibratedModel::calibrate(std::vector<boost::shared_ptr<QuantLib::CalibrationHelper>,
> std::allocator<boost::shared_ptr<QuantLib::CalibrationHelper> > > const&,
> QuantLib::OptimizationMethod&, QuantLib::EndCriteria const&,
> QuantLib::Constraint const&, std::vector<double, std::allocator<double> >
> const&)'
> /dev/QuantLib-0.9.0/Examples/BermudanSwaption/BermudanSwaption.cpp:(.text+0x279):
> undefined reference to `boost::assertion_failed(char const*, char const*,
> char const*, long)'
> /dev/QuantLib-0.9.0/Examples/BermudanSwaption/BermudanSwaption.cpp:(.text+0x2df):
> undefined reference to `boost::assertion_failed(char const*, char const*,
> char const*, long)'
> /dev/QuantLib-0.9.0/Examples/BermudanSwaption/BermudanSwaption.cpp:(.text+0x330):
> undefined reference to
> `QuantLib::CalibrationHelper::impliedVolatility(double, double, unsigned
> int, double, double) const'
> 
> boost include are here
>  ls /usr/include/boost-1_33_1/boost
> algorithm                    function.hpp                  
> noncopyable.hpp            shared_array.hpp
> aligned_storage.hpp          function_equal.hpp            
> nondet_random.hpp          shared_container_iterator.hpp
> any.hpp                      function_output_iterator.hpp   none.hpp                  
> shared_ptr.hpp
> archive                      functional                     none_t.hpp                
> signal.hpp
> array.hpp                    functional.hpp                 numeric    
> ...       
> 
> quantlib and include are under /usr/lib
> .QuantLib-0.9.0/Examples]$ ls /usr/local/lib/
> libQuantLib-0.9.0.a  libQuantLib.a  libQuantLib.la
> ...QuantLib-0.9.0/Examples]$ ls /usr/local/include/
> ql
> 
> 
> 
> Luigi Ballabio wrote:
>> 
>> On Sat, 2008-01-05 at 20:01 -0800, adam99 wrote:
>>> I am trying to install quantlib on cygwin.
>> 
>> Adam,
>> 	may you try building QuantLib 0.9.0?
>> 
>> 
>>> I installed all the boost from cygwin, I dont see anywhere
>>> boost_unit_test_framework library. Does quantlib really need this (I am
>>> not
>>> sure if the problems I am having at make are related to this test
>>> warning..)
>> 
>> You'll need it if you want to build and run the test suite.
>> 
>> Luigi
>> 
>> 
>> -- 
>> 
>> These are my principles, and if you don't like them... Well, I have
>> others. 
>> -- Groucho Marx 
>> 
>> 
>> 
>> -------------------------------------------------------------------------
>> Check out the new SourceForge.net Marketplace.
>> It's the best place to buy or sell services for
>> just about anything Open Source.
>> http://ad.doubleclick.net/clk;164216239;13503038;w?http://sf.net/marketplace
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>> 
>> 
> 
> 

-- 
View this message in context: http://www.nabble.com/installation-is-failing-on-cygwin-tp14643144p14775710.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

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

[adam99 <ada...@gm...>]

I got QuantLib 0.9.0. I figured out the problem with boost was not having the
correct library names
I copied all libboostXXX-gcc-mt.a to libboostXXX-mt.a, since configuration
file was not able to find it. Then it configure run ok...

.QuantLib-0.9.0/Examples]$ ls -l /lib/libboost*
-r-xr-x---+ 1    Users   88556 Dec 21 06:17
/lib/libboost_date_time-gcc-mt-1_33_1.a
-r-xr-x---+ 1    Users   71364 Jan  5 14:31
/lib/libboost_date_time-gcc-mt-s-1_33_1.a
-r-xr-x---+ 1    Users   71364 Jan  3  2007
/lib/libboost_date_time-gcc-mt-s.a
-r-xr-x---+ 1    Users   88556 Jan  3  2007 /lib/libboost_date_time-gcc-mt.a
-r-xr-x---  1    None    88556 Jan 10 19:55 /lib/libboost_date_time-mt.a
-r-xr-x---+ 1    Users  110036 Dec 21 06:17
/lib/libboost_filesystem-gcc-mt-1_33_1.a
-r-xr-x---+ 1    Users  118426 Jan  5 14:31
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-r-xr-x---+ 1    Users  118426 Jan  3  2007
/lib/libboost_filesystem-gcc-mt-s.a
-r-xr-x---+ 1    Users  110036 Jan  3  2007
/lib/libboost_filesystem-gcc-mt.a
-r-xr-x---  1    None   110036 Jan 10 19:55 /lib/libboost_filesystem-mt.a
-r-xr-x---+ 1    Users  101896 Dec 21 06:17
/lib/libboost_iostreams-gcc-mt-1_33_1.a
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-r-xr-x---  1    None   101896 Jan 10 20:48 /lib/libboost_iostreams-mt.a
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However I am still getting lots of error messages, when I am trying to build
examples

..QuantLib-0.9.0/Examples]$ make examples
make -C BermudanSwaption examples
make[1]: Entering directory `/dev/QuantLib-0.9.0/Examples/BermudanSwaption'
g++ -g -O2 -Wall -I/usr/include/boost-1_33_1 -L/lib  BermudanSwaption.cpp  
-o BermudanSwaption
/usr/lib/gcc/i686-pc-cygwin/3.4.4/include/c++/bits/stl_tree.h: In member
function `typename std::_Rb_tree<_Key, _Val, _KeyOfValue, _Compare,
_Alloc>::_Link_type std::_Rb_tree<_Key, _Val, _KeyOfValue, _Compare,
_Alloc>::_M_copy(const std::_Rb_tree_node<_Val>*, std::_Rb_tree_node<_Val>*)
[with _Key = std::string, _Val = std::pair<const std::string, boost::any>,
_KeyOfValue = std::_Select1st<std::pair<const std::string, boost::any> >,
_Compare = std::less<std::string>, _Alloc = std::allocator<std::pair<const
std::string, boost::any> >]':
/usr/lib/gcc/i686-pc-cygwin/3.4.4/include/c++/bits/stl_tree.h:1029: warning:
'__top' might be used uninitialized in this function
/usr/lib/gcc/i686-pc-cygwin/3.4.4/include/c++/bits/stl_tree.h:365: warning:
'__tmp' might be used uninitialized in this function
/usr/lib/gcc/i686-pc-cygwin/3.4.4/include/c++/bits/stl_uninitialized.h: In
copy constructor `QuantLib::Swap::Swap(const QuantLib::Swap&)':
/usr/lib/gcc/i686-pc-cygwin/3.4.4/include/c++/bits/stl_uninitialized.h:82:
warning: '__cur' might be used uninitialized in this function
/tmp/ccBtl7cx.o: In function
`_ZN8QuantLib28MultiStepCoterminalSwaptionsD1Ev':
/dev/QuantLib-0.9.0/Examples/BermudanSwaption/BermudanSwaption.cpp:(.text+0xa4):
undefined reference to
`QuantLib::LevenbergMarquardt::LevenbergMarquardt(double, double, double)'
/dev/QuantLib-0.9.0/Examples/BermudanSwaption/BermudanSwaption.cpp:(.text+0xe9):
undefined reference to
`QuantLib::Constraint::Constraint(boost::shared_ptr<QuantLib::Constraint::Impl>
const&)'
/dev/QuantLib-0.9.0/Examples/BermudanSwaption/BermudanSwaption.cpp:(.text+0x14a):
undefined reference to `QuantLib::EndCriteria::EndCriteria(unsigned int,
unsigned int, double, double, double)'
/dev/QuantLib-0.9.0/Examples/BermudanSwaption/BermudanSwaption.cpp:(.text+0x19e):
undefined reference to
`QuantLib::CalibratedModel::calibrate(std::vector<boost::shared_ptr<QuantLib::CalibrationHelper>,
std::allocator<boost::shared_ptr<QuantLib::CalibrationHelper> > > const&,
QuantLib::OptimizationMethod&, QuantLib::EndCriteria const&,
QuantLib::Constraint const&, std::vector<double, std::allocator<double> >
const&)'
/dev/QuantLib-0.9.0/Examples/BermudanSwaption/BermudanSwaption.cpp:(.text+0x279):
undefined reference to `boost::assertion_failed(char const*, char const*,
char const*, long)'
/dev/QuantLib-0.9.0/Examples/BermudanSwaption/BermudanSwaption.cpp:(.text+0x2df):
undefined reference to `boost::assertion_failed(char const*, char const*,
char const*, long)'
/dev/QuantLib-0.9.0/Examples/BermudanSwaption/BermudanSwaption.cpp:(.text+0x330):
undefined reference to
`QuantLib::CalibrationHelper::impliedVolatility(double, double, unsigned
int, double, double) const'

boost include are here
 ls /usr/include/boost-1_33_1/boost
algorithm                    function.hpp                   noncopyable.hpp           
shared_array.hpp
aligned_storage.hpp          function_equal.hpp            
nondet_random.hpp          shared_container_iterator.hpp
any.hpp                      function_output_iterator.hpp   none.hpp                  
shared_ptr.hpp
archive                      functional                     none_t.hpp                
signal.hpp
array.hpp                    functional.hpp                 numeric     ...       

quantlib and include are under /usr/lib
.QuantLib-0.9.0/Examples]$ ls /usr/local/lib/
libQuantLib-0.9.0.a  libQuantLib.a  libQuantLib.la
...QuantLib-0.9.0/Examples]$ ls /usr/local/include/
ql



Luigi Ballabio wrote:
> 
> On Sat, 2008-01-05 at 20:01 -0800, adam99 wrote:
>> I am trying to install quantlib on cygwin.
> 
> Adam,
> 	may you try building QuantLib 0.9.0?
> 
> 
>> I installed all the boost from cygwin, I dont see anywhere
>> boost_unit_test_framework library. Does quantlib really need this (I am
>> not
>> sure if the problems I am having at make are related to this test
>> warning..)
> 
> You'll need it if you want to build and run the test suite.
> 
> Luigi
> 
> 
> -- 
> 
> These are my principles, and if you don't like them... Well, I have
> others. 
> -- Groucho Marx 
> 
> 
> 
> -------------------------------------------------------------------------
> Check out the new SourceForge.net Marketplace.
> It's the best place to buy or sell services for
> just about anything Open Source.
> http://ad.doubleclick.net/clk;164216239;13503038;w?http://sf.net/marketplace
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> 
> 

-- 
View this message in context: http://www.nabble.com/installation-is-failing-on-cygwin-tp14643144p14770348.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

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

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

On Sat, 2008-01-05 at 20:01 -0800, adam99 wrote:
> I am trying to install quantlib on cygwin.

Adam,
	may you try building QuantLib 0.9.0?


> I installed all the boost from cygwin, I dont see anywhere
> boost_unit_test_framework library. Does quantlib really need this (I am not
> sure if the problems I am having at make are related to this test warning..)

You'll need it if you want to build and run the test suite.

Luigi


-- 

These are my principles, and if you don't like them... Well, I have
others. 
-- Groucho Marx 

Re: [Quantlib-dev] How to obtain the Greeks

[Ibrahim El-F. <elf...@gm...>]

Luigi
I see, also, the errorEstimate() does not work at all, so I guess it is the
same story.
Thanks
Ibrahim

-----Original Message-----
From: Luigi Ballabio [mailto:lui...@gm...] 
Sent: Thursday, January 10, 2008 6:18 PM
To: Ibrahim El-Fayoumi
Cc: elf...@gm...; qua...@li...
Subject: Re: [Quantlib-dev] How to obtain the Greeks

On Thu, 2008-01-10 at 09:07 +0900, Ibrahim El-Fayoumi wrote:
> Hello Luigi
> I got exception, not with the analytic European option but rather the
> binomial american option
> 
> My question whether the greeks are available for all options
> calculation or not?
> I mean, delta, vega, gamma, theta, and rho... 

Oh, I see. No, not all greeks are available for all engines. Let me
check the source... yes, the binomial engine only provides delta, gamma
and theta. If you need the other greeks, you'll have to perturb the
input values and calculate them numerically.

Luigi


-- 

The young man knows the rules, but the old man knows the exceptions. 
-- O. W. Holmes 

[Quantlib-dev] Swig C# looking for slightly different .lib file, how to configure

[EdStone <Bet...@ya...>]

He guys:


Upon compiling the QuantLib 0.9 solution in VS2005, get I
QuantLib-vc80-mt-gd-0_9_0.lib.
When compiling solution for Swig C#, compiler is looking for
QuantLib-vc80-mt-sgd-0_9_0.lib (additional s in front of -gd).  What is the
difference and how to configure?


Thanks in advance.

- Edward
-- 
View this message in context: http://www.nabble.com/Swig-C--looking-for-slightly-different-.lib-file%2C-how-to-configure-tp14731168p14731168.html
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