quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] Candidate 0.9.0 tarballs

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

On Mon, 2007-12-17 at 11:19 -0600, Dirk Eddelbuettel wrote:
> On 17 December 2007 at 17:48, Luigi Ballabio wrote:
> | 	candidate tarballs for the 0.9.0 release are available from
> | <http://quantlib.org/prerelease/>. If you have a few spare cycles,
> | please test them out---if no showstoppers are reported, they will be
> | released in time for Christmas.
> 
> What types of issues are you expecting?  

None, I hope...

Luigi


-- 

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

Re: [Quantlib-dev] Candidate 0.9.0 tarballs

[Dirk E. <ed...@de...>]

On 17 December 2007 at 17:48, Luigi Ballabio wrote:
| 
| Hi all,
| 	candidate tarballs for the 0.9.0 release are available from
| <http://quantlib.org/prerelease/>. If you have a few spare cycles,
| please test them out---if no showstoppers are reported, they will be
| released in time for Christmas.

What types of issues are you expecting?  

I put two of the candidates (Nov 27 and Dec 12) into Debian, and they passed 
on almost all arches, see the bottom of this page
	http://buildd.debian.org/build.php?pkg=quantlib
The small arm architecture 'timed out' during the final link for the Dec 12
try, it passed  for Nov 27.  I suspect this to be a simple issue of lacking
horsepower.

Dirk

-- 
Three out of two people have difficulties with fractions.

[Quantlib-dev] Candidate 0.9.0 tarballs

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

Hi all,
	candidate tarballs for the 0.9.0 release are available from
<http://quantlib.org/prerelease/>. If you have a few spare cycles,
please test them out---if no showstoppers are reported, they will be
released in time for Christmas.

Thanks,
	Luigi


-- 

Don't say "yes" until I finish talking. 
-- Darryl F. Zanuck 

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

[Dominick S. <djs...@ea...>]

Ferdinando Ametrano wrote:
> \ql/utilities/tracing.hpp(66) : error C2990: 'QuantLib::Singleton' :
> non-class template has already been declared as a class template
> .\ql/patterns/singleton.hpp(53) : see declaration of 'QuantLib::Singleton'
>
> I don't know how to solve this error, but if someone has a patch we
> might easily add VC9 support
>
> ciao -- Nando
>
>   
I commented out the friend part like this:
        class Tracing : public Singleton<Tracing> {
//            friend class Singleton<Tracing>;
        private:
            Tracing();

This permitted compilation under VC90 w/Windows Vista, and some of the 
test programs seem
to run fine. Can somebody comment on why the friend declaration is 
needed here? Doesn't
this permit an interface to access the internals of the logic that it is 
supposed to encapsulate/hide
via the "curiously recurring pattern"?

An unrelated question: how is QuantLib-0.9.0.tar.gz made from the SVN 
repository? I
am seeing different behavior if I use the preliminary tarball vs 
download from the 090 SVN branch.

Thanks,
Dominick

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [13779] branches/R000900-branch/ObjectHandler/gensrc/ metadata/Functions/ohutils.xml

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

Hi Nando,

> Revision: 13779
>           http://quantlib.svn.sourceforge.net/quantlib/?rev=13779&view=rev
> Author:   nando
> Date:     2007-12-11 12:01:44 -0800 (Tue, 11 Dec 2007)
>
> Log Message:
> -----------
> extended up to 14 input arguments (is it OK Eric?)

Yes.  The absolute maximum is 30.  If there are more than 20 parameters
then the descriptions of parameters 21+ are omitted from the Function
Wizard, this is because the call to register the function requires itself
10 parameters, leaving only 20 slots for the descriptions.

Regards,
Eric

[Quantlib-dev] Tentative 0.9.0 tarballs

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

Hi all,
	we're getting there. Tentative tarballs for the 0.9.0 release are
available from <http://quantlib.org/prerelease/>. if you have a few
spare cycles, please try them out and report any problems.

Thanks,
	Luigi


-- 

Don't say "yes" until I finish talking. 
-- Darryl F. Zanuck 

[Quantlib-dev] [0.9.0] & optionlet stripping documentation?

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

Hi,

I've tried 0.9.0 and it passes the test suite on my setup.
    Mac/Intel 10.4.11
    gcc --version gives: i686-apple-darwin8-gcc-4.0.1 (GCC) 4.0.1 (Apple Computer, Inc. build 5367)).

Is there some documentation on the new stripping implementation?  All pointers very welcome.

Best,

Chris Kenyon

[Quantlib-dev] Freezing the release branch

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

Hi all,
	I'm about to try and go for the final stretch. Please do not commit on
the QuantLib and QuantLib-SWIG modules of the 0.9.0 release branch
unless you checked with me first. I'll be posting tentative tarballs
shortly.

Thanks,
	Luigi


-- 

Discontent is the first necessity of progress. 
-- Thomas A. Edison 

[Quantlib-dev] Help on Multi Asset Options

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

Hi,

I'm writing here after attempts on the other mailing list which seems a bit dead.
I hope it is a better place for my problem.

I have to confess that I am a new user of QuantLib and I would like to write a "generic" MC engine
to price "generic" product depending on many fixings of many assets.

I've found in QuantLib something that is almost what I want, and it is the "mcbasketengine".
It lack only the ability to price path dependent options. But I don't think it is complicated to add it.

My issue is on the instrument side.
I would like to reuse as much as possible what is already there, but I am not able to use of the
classes inheriting from "Option" and "Payoff".

I should inherit from "Instrument", but this is the very base class and I would end up rewriting
something similar to "Option" and "Payoff".

The problem with "Option" and "Payoff" is that the don't seem to handle the case of Multi Assets.

1)Basically Payoff has this method

virtual Real Payoff::operator()(Real price) const = 0;

That does not adapt easily to the MultiAsset case.

BasketPayoff sligthly improves things with

        virtual Real operator()(const Array &a) const {
            return (*basePayoff_)(accumulate(a));
        }

but it still relies on the concept of Basket = sum of components.

2) MultiAssetOption has the following methods

        Real delta() const;
        Real gamma() const;
        Real vega() const;
        Real dividendRho() const;

which in my opinion should return Arrays or Matrices

Am I approaching the problem from the wrong point of view?

Let me know what if the best place to address similar questions.

Andrea

Re: [Quantlib-dev] [Quantlib-users] QuantLinAddin 0_9_0

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

Hello,

Thanks for helping with the prerelease testing of QLA/QLXL.

This problem should have been fixed a few days ago, please do an svn
update and try again and send another email if the problem persists.

Thanks,
Eric

> Hi,
>
> trying to compile the new version of QuantLibAddin
> Here the error i get for the Release CRTDLL
>  Linking...
>    Creating library .\buildStatic\vc80\Release
> CRTDLL/QuantLibAddinStatic-vc80-mt-0_9_0.lib and object
> .\buildStatic\vc80\Release CRTDLL/QuantLibAddinStatic-vc80-mt-0_9_0.exp
> register_all.obj : error LNK2019: unresolved external symbol "void __cdecl
> registerTimeseries(struct xloper const &)"
> (?registerTimeseries@@YAXABUxloper@@@Z) referenced in function "void
> __cdecl
> registerQlFunctions(struct xloper const &)"
> (?registerQlFunctions@@YAXABUxloper@@@Z)
> register_all.obj : error LNK2019: unresolved external symbol "void __cdecl
> registerHandles(struct xloper const &)"
> (?registerHandles@@YAXABUxloper@@@Z)
> referenced in function "void __cdecl registerQlFunctions(struct xloper
> const
> &)" (?registerQlFunctions@@YAXABUxloper@@@Z)
> register_all.obj : error LNK2019: unresolved external symbol "void __cdecl
> unregisterTimeseries(struct xloper const &)"
> (?unregisterTimeseries@@YAXABUxloper@@@Z) referenced in function "void
> __cdecl unregisterQlFunctions(struct xloper const &)"
> (?unregisterQlFunctions@@YAXABUxloper@@@Z)
> register_all.obj : error LNK2019: unresolved external symbol "void __cdecl
> unregisterHandles(struct xloper const &)"
> (?unregisterHandles@@YAXABUxloper@@@Z) referenced in function "void
> __cdecl
> unregisterQlFunctions(struct xloper const &)"
> (?unregisterQlFunctions@@YAXABUxloper@@@Z)
> serializationfactory.obj : error LNK2019: unresolved external symbol "void
> __cdecl QuantLibXL::register_timeseries(class boost::archive::xml_iarchive
> &)"
> (?register_timeseries@QuantLibXL@@YAXAAVxml_iarchive@archive@boost@@@Z)
> referenced in function "void __cdecl
> QuantLibXL::tpl_register_classes<class
> boost::archive::xml_iarchive>(class boost::archive::xml_iarchive &)"
> (??$tpl_register_classes@Vxml_iarchive@archive@boost@@@QuantLibXL@@YAXAAVxml_iarchive@archive@boost@@@Z)
> serializationfactory.obj : error LNK2019: unresolved external symbol "void
> __cdecl QuantLibXL::register_timeseries(class boost::archive::xml_oarchive
> &)"
> (?register_timeseries@QuantLibXL@@YAXAAVxml_oarchive@archive@boost@@@Z)
> referenced in function "void __cdecl
> QuantLibXL::tpl_register_classes<class
> boost::archive::xml_oarchive>(class boost::archive::xml_oarchive &)"
> (??$tpl_register_classes@Vxml_oarchive@archive@boost@@@QuantLibXL@@YAXAAVxml_oarchive@archive@boost@@@Z)
> ..\xll\QuantLibXL-vc80-mt-0_9_0.xll : fatal error LNK1120: 6 unresolved
> externals
>
> any Help
> :rules:
> I tried to set
> No (/Zc:wchar_t-) but has no effects.
>
> same think for the release version
>
> Build started: Project: QuantLibXLStatic, Configuration: Release Win32
> ------
> Linking...
>    Creating library
> .\buildStatic\vc80\Release/QuantLibAddinStatic-vc80-mt-s-0_9_0.lib and
> object .\buildStatic\vc80\Release/QuantLibAddinStatic-vc80-mt-s-0_9_0.exp
> register_all.obj : error LNK2019: unresolved external symbol "void __cdecl
> registerTimeseries(struct xloper const &)"
> (?registerTimeseries@@YAXABUxloper@@@Z) referenced in function "void
> __cdecl
> registerQlFunctions(struct xloper const &)"
> (?registerQlFunctions@@YAXABUxloper@@@Z)
> register_all.obj : error LNK2019: unresolved external symbol "void __cdecl
> registerHandles(struct xloper const &)"
> (?registerHandles@@YAXABUxloper@@@Z)
> referenced in function "void __cdecl registerQlFunctions(struct xloper
> const
> &)" (?registerQlFunctions@@YAXABUxloper@@@Z)
> register_all.obj : error LNK2019: unresolved external symbol "void __cdecl
> unregisterTimeseries(struct xloper const &)"
> (?unregisterTimeseries@@YAXABUxloper@@@Z) referenced in function "void
> __cdecl unregisterQlFunctions(struct xloper const &)"
> (?unregisterQlFunctions@@YAXABUxloper@@@Z)
> register_all.obj : error LNK2019: unresolved external symbol "void __cdecl
> unregisterHandles(struct xloper const &)"
> (?unregisterHandles@@YAXABUxloper@@@Z) referenced in function "void
> __cdecl
> unregisterQlFunctions(struct xloper const &)"
> (?unregisterQlFunctions@@YAXABUxloper@@@Z)
> serializationfactory.obj : error LNK2019: unresolved external symbol "void
> __cdecl QuantLibXL::register_timeseries(class boost::archive::xml_iarchive
> &)"
> (?register_timeseries@QuantLibXL@@YAXAAVxml_iarchive@archive@boost@@@Z)
> referenced in function "void __cdecl
> QuantLibXL::tpl_register_classes<class
> boost::archive::xml_iarchive>(class boost::archive::xml_iarchive &)"
> (??$tpl_register_classes@Vxml_iarchive@archive@boost@@@QuantLibXL@@YAXAAVxml_iarchive@archive@boost@@@Z)
> serializationfactory.obj : error LNK2019: unresolved external symbol "void
> __cdecl QuantLibXL::register_timeseries(class boost::archive::xml_oarchive
> &)"
> (?register_timeseries@QuantLibXL@@YAXAAVxml_oarchive@archive@boost@@@Z)
> referenced in function "void __cdecl
> QuantLibXL::tpl_register_classes<class
> boost::archive::xml_oarchive>(class boost::archive::xml_oarchive &)"
> (??$tpl_register_classes@Vxml_oarchive@archive@boost@@@QuantLibXL@@YAXAAVxml_oarchive@archive@boost@@@Z)
> ..\xll\QuantLibXL-vc80-mt-s-0_9_0.xll : fatal error LNK1120: 6 unresolved
> externals
>
>
>
> --
> View this message in context:
> http://www.nabble.com/QuantLinAddin-0_9_0-tf4963063.html#a14215818
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
>
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Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [13734] branches/R000900-branch/QuantLibAddin

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

what are you doing? two kids on the arrival!!!

;-)


On Dec 7, 2007 1:16 PM,  <eri...@us...> wrote:
> Revision: 13734
>           http://quantlib.svn.sourceforge.net/quantlib/?rev=13734&view=rev
> Author:   ericehlers
> Date:     2007-12-07 04:16:24 -0800 (Fri, 07 Dec 2007)
>
> Log Message:
> -----------
> C++ addin catching up
>
> Modified Paths:
> --------------
>     branches/R000900-branch/QuantLibAddin/Clients/Cpp/qlademo.cpp
>     branches/R000900-branch/QuantLibAddin/gensrc/metadata/Rules/cpp.xml
>
> Modified: branches/R000900-branch/QuantLibAddin/Clients/Cpp/qlademo.cpp
> ===================================================================
> --- branches/R000900-branch/QuantLibAddin/Clients/Cpp/qlademo.cpp       2007-12-07 09:48:48 UTC (rev 13733)
> +++ branches/R000900-branch/QuantLibAddin/Clients/Cpp/qlademo.cpp       2007-12-07 12:16:24 UTC (rev 13734)
> @@ -22,6 +22,7 @@
>  #include <oh/auto_link.hpp>
>  #endif
>
> +#define OH_NULL ObjectHandler::Variant()
>
>  using namespace QuantLibAddinCpp;
>
> @@ -31,16 +32,17 @@
>
>          initializeAddin();
>
> -        ohSetLogFile("qlademo.log", 4L, ObjectHandler::Variant());
> -        ohSetConsole(1, 4L, ObjectHandler::Variant());
> -        ohLogMessage("Begin example program.", 4L, ObjectHandler::Variant());
> -        ohLogMessage(qlAddinVersion(ObjectHandler::Variant()), 4L, ObjectHandler::Variant());
> -        ohLogMessage(ohVersion(ObjectHandler::Variant()), 4L, ObjectHandler::Variant());
> +        ohSetLogFile("qlademo.log", 4L, OH_NULL);
> +        ohSetConsole(1, 4L, OH_NULL);
> +        LOG_MESSAGE("Begin example program.");
> +        LOG_MESSAGE("QuantLibAddin version = " << qlAddinVersion(OH_NULL));
> +        LOG_MESSAGE("ObjectHandler version = " << ohVersion(OH_NULL));
>
>          std::string daycountConvention = "Actual/365 (Fixed)";
>          std::string payoffType = "Vanilla";
>          std::string optionType = "Put";
>          std::string engineType = "AE";      // Analytic European
> +        std::string calendar = "TARGET";      // Analytic European
>          std::string xmlFileName = "option_demo.xml";
>          double dividendYield = 0.00;
>          double riskFreeRate = 0.06;
> @@ -51,15 +53,16 @@
>          long settlementDate = 35932;        // 17 May 1998
>          long exerciseDate = 36297;          // 17 May 1999
>
> -        qlSettingsSetEvaluationDate(evaluationDate, ObjectHandler::Variant());
> +        qlSettingsSetEvaluationDate(evaluationDate, OH_NULL);
>
>          std::string idBlackConstantVol = qlBlackConstantVol(
> -            "my_blackconstantvol",
> +            std::string("my_blackconstantvol"),
>              settlementDate,
> +            calendar,
>              volatility,
>              daycountConvention,
> -            ObjectHandler::Variant(),
> -            ObjectHandler::Variant(),
> +            OH_NULL,
> +            OH_NULL,
>              false);
>
>          std::string idGeneralizedBlackScholesProcess = qlGeneralizedBlackScholesProcess(
> @@ -70,8 +73,8 @@
>              settlementDate,
>              riskFreeRate,
>              dividendYield,
> -            ObjectHandler::Variant(),
> -            ObjectHandler::Variant(),
> +            OH_NULL,
> +            OH_NULL,
>              false);
>
>          std::string idStrikedTypePayoff = qlStrikedTypePayoff(
> @@ -80,40 +83,39 @@
>              optionType,
>              strike,
>              strike,
> -            ObjectHandler::Variant(),
> -            ObjectHandler::Variant(),
> +            OH_NULL,
> +            OH_NULL,
>              false);
>
>          std::string idExercise = qlEuropeanExercise(
>              "my_exercise",
>              exerciseDate,
> -            ObjectHandler::Variant(),
> -            ObjectHandler::Variant(),
> +            OH_NULL,
> +            OH_NULL,
>              false);
>
>          std::string idPricingEngine = qlPricingEngine(
>              "my_engine",
>              engineType,
> -            ObjectHandler::Variant(),
> -            ObjectHandler::Variant(),
> +            idGeneralizedBlackScholesProcess,
> +            OH_NULL,
> +            OH_NULL,
>              false);
>
>          std::string idVanillaOption = qlVanillaOption(
>              "my_option",
> -            idGeneralizedBlackScholesProcess,
>              idStrikedTypePayoff,
>              idExercise,
> -            idPricingEngine,
> -            ObjectHandler::Variant(),
> -            ObjectHandler::Variant(),
> +            OH_NULL,
> +            OH_NULL,
>              false);
>
> -        std::ostringstream s;
> -        s << "option NPV() = " << qlInstrumentNPV(idVanillaOption,ObjectHandler::Variant());
> -        ohLogMessage(s.str(), 4L, ObjectHandler::Variant());
> +        qlInstrumentSetPricingEngine(idVanillaOption, idPricingEngine, OH_NULL);
>
> -        ohLogObject(idVanillaOption, ObjectHandler::Variant());
> +        LOG_MESSAGE("option PV = " << qlInstrumentNPV(idVanillaOption, OH_NULL));
>
> +        ohLogObject(idVanillaOption, OH_NULL);
> +
>          std::vector<std::string> idList;
>          idList.push_back(idBlackConstantVol);
>          idList.push_back(idGeneralizedBlackScholesProcess);
> @@ -121,18 +123,16 @@
>          idList.push_back(idExercise);
>          idList.push_back(idPricingEngine);
>          idList.push_back(idVanillaOption);
> -        ohObjectSave(idList, xmlFileName, ObjectHandler::Variant(), ObjectHandler::Variant());
> +        ohObjectSave(idList, xmlFileName, true, OH_NULL);
>
> -        ohLogMessage("End example program.", 4L, ObjectHandler::Variant());
> +        LOG_MESSAGE("End example program.");
>
>          return 0;
>      } catch (const std::exception &e) {
> -        std::ostringstream s;
> -        s << "Error: " << e.what();
> -        ohLogMessage(s.str(), 1L, ObjectHandler::Variant());
> +        LOG_ERROR("Error: " << e.what());
>          return 1;
>      } catch (...) {
> -        ohLogMessage("unknown error", 1L, ObjectHandler::Variant());
> +        LOG_ERROR("Unknown error");
>          return 1;
>      }
>
>
> Modified: branches/R000900-branch/QuantLibAddin/gensrc/metadata/Rules/cpp.xml
> ===================================================================
> --- branches/R000900-branch/QuantLibAddin/gensrc/metadata/Rules/cpp.xml 2007-12-07 09:48:48 UTC (rev 13733)
> +++ branches/R000900-branch/QuantLibAddin/gensrc/metadata/Rules/cpp.xml 2007-12-07 12:16:24 UTC (rev 13734)
> @@ -175,7 +175,10 @@
>      <RuleGroup name='voCall' checkParameterIgnore='true' checkSkipFirst='true' indent='4' delimiter=',&#10;'>
>        <Wrap>&#10;%s</Wrap>
>        <Rules>
> -        <Rule tensorRank='scalar' superType='enumeration' default='true'>%(indent)s%(name)sCpp</Rule>
> +        <!--<Rule tensorRank='scalar' superType='enumeration' default='true'>%(indent)s%(name)sCpp</Rule>-->
> +        <Rule tensorRank='scalar' type='QuantLib::Natural' default='true'>%(indent)s%(name)s</Rule>
> +        <Rule tensorRank='scalar' type='QuantLib::Date' default='true'>%(indent)s%(name)s</Rule>
> +        <Rule tensorRank='scalar' default='true'>%(indent)s%(name)sCpp</Rule>
>          <Rule>%(indent)s%(name)s</Rule>
>        </Rules>
>      </RuleGroup>
>
>
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[Quantlib-dev] sobol further thoughts

[Mark j. <mar...@gm...>]

OK I am not so sure that Kuo's numbers should agree up to dim 40 with
Sobol Levitan.

But even when I use the same polynomials and init numbers with her
code and ours, I get disagreement in the fourth dimension. I haven't
managed to figure out what's going on.

Mark


-- 
LIbor market model training courses in London and Sydney www.markjoshi.com

Assoc Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com

[Quantlib-dev] sobol issues

[Mark j. <mar...@gm...>]

Dear All,

I've been benchmarking the quantlib implementation against Frances Kuo's one.
This is downloadable from

http://web.maths.unsw.edu.au/~fkuo/sobol/

A number of points arise
1) I forgot to add the zeros at the end if the init lists for the new
numbers , this means a crash.
Obviously this is easy to fix. This is probably wrong in both the
release candidate and the current development version. Maybe for the
release, just revert back to pre my improvements...

2) Even with my recent fix to the polynomial ordering, Frances's
numbers disagree with the SobolLevitan and SobolLevitanLemieux despite
the fact that all 3 ought to be the same up to dimension 40. They seem
ok in dims 1 2 3 but dim 4 disagrees.

I'm still tracking down the cause of the disagreement.

Frances is a leading expert on low discrepancy numbers so we can
assume she is correct.

Mark


-- 
LIbor market model training courses in London and Sydney www.markjoshi.com

Assoc Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [13720] branches/R000900-branch/QuantLib

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

On Thu, 2007-12-06 at 18:08 +0100, Ferdinando Ametrano wrote:
> 1>Compiling...
> 1>averagebmacoupon.cpp
> 1>.\ql\cashflows\averagebmacoupon.cpp(119) : warning C4146: unary
> minus operator applied to unsigned type, result still unsigned

Fixed, thanks.

Luigi


-- 

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

[Quantlib-dev] New 0.9.0 tarballs

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

Hi all,
	new preliminary tarballs for the 0.9.0 release are available at
<http://quantlib.org/prerelease/>. They should fix most of the issues
reported with the previous tarballs. Please give them a try if you have
a few spare cycles.

Thanks,
	Luigi


-- 

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

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [13720] branches/R000900-branch/QuantLib

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

On Dec 6, 2007 4:16 PM,  <lba...@us...> wrote:
> Revision: 13720
>           http://quantlib.svn.sourceforge.net/quantlib/?rev=13720&view=rev
> Author:   lballabio
> Date:     2007-12-06 07:16:46 -0800 (Thu, 06 Dec 2007)
>
> Log Message:
> -----------
> Fixed average BMA coupon fixing; test added (thanks to Roland Lichters)

mmm... VC8 complain about it:
1>Compiling...
1>averagebmacoupon.cpp
1>.\ql\cashflows\averagebmacoupon.cpp(119) : warning C4146: unary
minus operator applied to unsigned type, result still unsigned

ciao -- Nando

[Quantlib-dev] Quantlib SWIG interface files

[vema <ma...@tr...>]

Hi,

I have installed  QuantLib-SWIG-0.8.0  on my machine and have been
experimenting around with it quite lately particulary with the bindings in
Python. I have observed that the interface files (*.i) do not expose all the
attributes and methods. I had done some googling and noticed in one of the
forums that "python setup.py wrap" would do that for me. Unfortunately what
it probably does is generate an update set of wrapper functions but the
interface files dont change much.

I was wondering if there was a way in which these interface files could be
automatically (re-)generated from the header files (*.hpp) so that we can
now have access to the methods and attributes of some of the classes.


Mahesh
-- 
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Re: [Quantlib-dev] Bovespa Calendar Fix

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

Piter,
	it's fixed now. Thanks for the heads-up.

Luigi



-- 

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

Re: [Quantlib-dev] Bovespa Calendar Fix

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

On Tue, 2007-12-04 at 22:57 -0200, Piter Dias wrote:
> I was checking the new Bovespa calendar and realized that the following piece
> of code
> 
>             // Black Consciousness Day
>             || (d == 20 && m == November && y >= 2004)
> 
> should be changed to
> 
>             // Black Consciousness Day
>             || (d == 20 && m == November && y >= 2007)

Ok, I'll fix it.


> There is a extra one but need to think the better way to do. The last
> business day of the year is not a Bovespa business day. That is an exchange
> rule.
> I realize that when I had a similar problem where I work.

This would probably translate to "if it's December 31st, or Friday
December 30th, or Friday December 29th". Does it sound correct?

Luigi


-- 

When I was a boy of fourteen, my father was so ignorant I could hardly 
stand to have the old man around. But when I got to be twenty-one, I 
was astonished at how much the old man had learned in seven years. 
-- Mark Twain 

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

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

On Wed, 2007-12-05 at 11:47 +0100, Ferdinando Ametrano wrote:
> On Dec 5, 2007 11:31 AM, Luigi Ballabio <lui...@gm...> wrote:
> > I'd least change back auto_link.hpp so that it still warns that
> > VC9 is unsupported.
> 
> sure, no problem about that. I've just committed it.

...and config.msvc.hpp (sorry.)

Luigi


-- 

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

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

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

On Dec 5, 2007 11:31 AM, Luigi Ballabio <lui...@gm...> wrote:
> I'd least change back auto_link.hpp so that it still warns that
> VC9 is unsupported.

sure, no problem about that. I've just committed it.

ciao -- Nando

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

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

On Wed, 2007-12-05 at 11:04 +0100, Ferdinando Ametrano wrote:
> it's ok for me, especially if "keep VC9 out of 0.9.0" would just mean
> we don't distribute the project files, without reverting the commit on
> the R000900-branch. When the new boost is released we might want to
> fix the compilation issues on the R000900-branch.

Ok, but I'd least change back auto_link.hpp so that it still warns that
VC9 is unsupported.

Luigi


-- 

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

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

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

On Dec 5, 2007 11:16 AM, Marco Marchioro <mar...@st...> wrote:
> I have to say I totally agree with Luigi.
> If people need a free compiler they can still use VC8.

thank you for the contribution ;-)

ciao -- Nando

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

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

Hi,
I have to say I totally agree with Luigi.
If people need a free compiler they can still use VC8.

Marco Marchioro


On Wednesday, 2007-12-05 , at 10:57 , Luigi Ballabio wrote:

>
> On Wed, 2007-12-05 at 09:40 +0100, Ferdinando Ametrano wrote:
>> On Dec 5, 2007 8:56 AM, Luigi Ballabio <lui...@gm...>  
>> wrote:
>>> I'm not arguing against this.  I'm just doubting the wisdow of  
>>> adding a
>>> new platform to a release that's stable and about to go out the  
>>> door.
>>
>> nobody wants to really change the code base of a stable release.
>
> Define "really change" :)
> However, easy fix or not, what we gain is:
>
> a) Coolness points in being the first to support VC9 two weeks  
> after its
> release;
> b) headaches when people see the VC9 projects, rightfully expect it to
> be supported out of the box, find out instead that they have to patch
> Boost, and come back for help on the mailing list.
>
> In my personal opinion, the P&L is negative.
>
> How about this: we keep VC9 out of 0.9.0, we wait for the next Boost
> release (this month or the next, from what I read on their mailing  
> list)
> and we release 0.9.1 in January which adds VC9 support to 0.9.0. In  
> the
> meantime, we fix the compilation issues on the trunk.
>
> Later,
> 	Luigi
>
>
> -- 
>
> Weiler's Law:
> Nothing is impossible for the man who doesn't have to
> do it himself.
>
>
>
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Re: [Quantlib-dev] Preliminary 0.9.0 tarballs - VC++ 2008 Express

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

On Dec 5, 2007 10:57 AM, Luigi Ballabio <lui...@gm...> wrote:
> How about this: we keep VC9 out of 0.9.0, we wait for the next Boost
> release (this month or the next, from what I read on their mailing list)
> and we release 0.9.1 in January which adds VC9 support to 0.9.0. In the
> meantime, we fix the compilation issues on the trunk.

it's ok for me, especially if "keep VC9 out of 0.9.0" would just mean
we don't distribute the project files, without reverting the commit on
the R000900-branch. When the new boost is released we might want to
fix the compilation issues on the R000900-branch.

> b) headaches when people see the VC9 projects, rightfully expect it to
> be supported out of the box, find out instead that they have to patch
> Boost, and come back for help on the mailing list.

I agree you have a point here

ciao -- Nando