quantlib-dev — Discussion of QuantLib development

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

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

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. 

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

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

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. We're
just pointing out that tracing.cpp is the only VC9 offending file and
while I don't know how to patch it, it might be easy enough to be
worth the effort

ciao -- Nando

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

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

On Tue, 2007-12-04 at 22:15 +0100, Georgy Jikia wrote:
> Exactly, boost can be compiled easily and after very minimal tweaks
> one can get rid of the "unsupported compiler" messages.

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.
We can add VC9 support to the trunk, fix the compilation issue, test it
thoroughly, and include it in next release.

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 

[Quantlib-dev] Bovespa Calendar Fix

[Piter D. <pit...@ca...>]

Luigi,

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)

because 2004 is just for Rio de Janeiro. In São Paulo (where Bovespa is) the
holiday was created this year.

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.

I let you when it is ready to put, at least, in trunk.

Regards,

Piter Dias
pit...@ca...

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

[Georgy J. <geo...@gm...>]

>
> Didn't you have to fix this piece of code of
boost/config/compiler/visualc.hpp ?
>
> // last known and checked version is 1400 (VC8):
> #if (_MSC_VER > 1400)
> #  if defined(BOOST_ASSERT_CONFIG)
> #     error "Unknown compiler version - please run the configure tests an=
d

> report the results"
> #  else
> #     pragma message("Unknown compiler version - please run the configure
> tests and report the results")
> #  endif
> #endif
>
> There is another thing I had to change but I don=B4t remember now.
>


 if somebody is interested, here is the "patch" for boost.1.34.1 and VS
2008.
 Georgy

 *msvc.jam *

 {
# Even if version is not explicitly specified, try to detect the version
# from the path.
+ if [ MATCH "(Microsoft Visual Studio 9.0)" : $(command) ]
+ {
+ version =3D 9.0 ;
+ }
+else if [ MATCH "(Microsoft Visual Studio 8)" : $(command) ]
-if [ MATCH "(Microsoft Visual Studio 8)" : $(command) ]
{
version =3D 8.0 ;
.ProgramFiles =3D [ path.make [ common.get-program-files-dir ] ] ;
-.known-versions =3D 8.0 8.0express 7.1 7.1toolkit 7.0 6.0 ;
+.known-versions =3D 9.0 9.0express 8.0 8.0express 7.1 7.1toolkit 7.0 6.0 ;
# Version aliases
.version-alias-6 =3D 6.0 ;
.version-alias-6.5 =3D 6.0 ;
.version-alias-7 =3D 7.0 ;
.version-alias-8 =3D 8.0 ;
+.version-alias-9 =3D 9.0 ;
# Name of the registry key that contains Visual C++ installation path
# (relative to "HKEY_LOCAL_MACHINE\SOFTWARE\\Microsoft"
.version-7.1-reg =3D "VisualStudio\\7.1\\Setup\\VC" ;
.version-8.0-reg =3D "VisualStudio\\8.0\\Setup\\VC" ;
.version-8.0express-reg =3D "VCExpress\\8.0\\Setup\\VC" ;
+.version-9.0-reg =3D "VisualStudio\\9.0\\Setup\\VC" ;
+.version-9.0express-reg =3D "VCExpress\\9.0\\Setup\\VC" ;
# Visual C++ Toolkit 2003 do not store its installation path in the
registry.
# The environment variable 'VCToolkitInstallDir' and the default
installation

*auto_link.hpp*

// vc71:
# define BOOST_LIB_TOOLSET "vc71"
-#elif defined(BOOST_MSVC) && (BOOST_MSVC >=3D 1400)
+#elif defined(BOOST_MSVC) && (BOOST_MSVC =3D=3D 1400)
// vc80:
# define BOOST_LIB_TOOLSET "vc80"
+#elif defined(BOOST_MSVC) && (BOOST_MSVC >=3D 1500)
+
+ // vc90:
+# define BOOST_LIB_TOOLSET "vc90"
+
#elif defined(__BORLANDC__)

 *visualc.hpp*

#error "Compiler not supported or configured - please reconfigure"
#endif
//
-// last known and checked version is 1400 (VC8):
-#if (_MSC_VER > 1400)
+// last known and checked version is 1500 (VC9):
+#if (_MSC_VER > 1500)
# if defined(BOOST_ASSERT_CONFIG)
# error "Unknown compiler version - please run the configure tests and
report the results"
# else

 *named_slot_map.hpp*

|| slot_ =3D=3D other.slot_));
}
-#if BOOST_WORKAROUND(_MSC_VER, <=3D 1400)
+#if BOOST_WORKAROUND(_MSC_VER, <=3D 1500)
void decrement();
void advance(difference_type);
#endif

 *named_slot_map.cpp*

typedef slot_container_type::const_iterator const_group_iterator;
-#if BOOST_WORKAROUND(_MSC_VER, <=3D 1400)
+#if BOOST_WORKAROUND(_MSC_VER, <=3D 1500)
void named_slot_map_iterator::decrement() { assert(false); }
void named_slot_map_iterator::advance(difference_type) { assert(false); }
#endif

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

[Georgy J. <geo...@gm...>]

Exactly, boost can be compiled easily and after very minimal tweaks
one can get rid of the "unsupported compiler" messages.

May be there is some flag to suppress the tracing, if patching is difficult?

Georgy

On Dec 4, 2007 7:30 PM, Ferdinando Ametrano <na...@am...> wrote:
> On Dec 4, 2007 11:00 AM, Luigi Ballabio <lui...@gm...> wrote:
> > I don't think we'll add VC9 support to this release---it
> > wouldn't be testable anyway until Boost supports it too.
>
> Boost might be not a real issue: the binaries for VC9 are not
> downloadable, but if you use the new bjam 3.1.16
> (http://sourceforge.net/project/showfiles.php?group_id=7586&package_id=72941)
> it compile all boost 1.34.1 libraries despite endless reports about
> "unsupported compiler".
> I compiled them using the Visual Studio 2008 command line prompt and
> the command:
> bjam --toolset=msvc-9.0 install
> as I did for all previous MSVC compilers
>
> (BTW: downloading and installing Visual Studio 2008 Offline
> Installation is a surprisingly pleasant experience: no glitch, SDK
> included, etc.)
>
> So I went ahead and I've just committed project/solution files for
> VC9, and few tweaks to the autolink.hpp files and everything does
> compile but tracing.cpp as reported by Georgy:
>
> \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
>

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

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

On Dec 4, 2007, at 7:30 PM, Ferdinando Ametrano wrote:

> On Dec 4, 2007 11:00 AM, Luigi Ballabio <lui...@gm...>  
> wrote:
>> I don't think we'll add VC9 support to this release---it
>> wouldn't be testable anyway until Boost supports it too.
>
> Boost might be not a real issue: the binaries for VC9 are not
> downloadable, but if you use the new bjam 3.1.16
> (http://sourceforge.net/project/showfiles.php? 
> group_id=7586&package_id=72941)
> it compile all boost 1.34.1 libraries despite endless reports about
> "unsupported compiler".
>
> So I went ahead and I've just committed project/solution files for
> VC9, and few tweaks to the autolink.hpp files and everything does
> compile but tracing.cpp as reported by Georgy:

I'm all in favor of adding support for VC9 (I've installed it too) but  
might we do it on the trunk instead?  The purpose of the release branch  
should be to consolidate things, not to add new stuff at the last  
minute.  I appreciate the enthusiasm and the effort (and I hate to rain  
on one's parade, especially since I'm doing it for the second time in a  
week already) but we drew a line when we created the branch.

Luigi

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

[Piter D. <pit...@ma...>]

Nando,

> I compiled them using the Visual Studio 2008 command line prompt and
> the command:
> bjam --toolset=msvc-9.0 install
> as I did for all previous MSVC compilers

Didn't you have to fix this piece of code of boost/config/compiler/visualc.hpp ?

// last known and checked version is 1400 (VC8):
#if (_MSC_VER > 1400)
#  if defined(BOOST_ASSERT_CONFIG)
#     error "Unknown compiler version - please run the configure tests and
report the results"
#  else
#     pragma message("Unknown compiler version - please run the configure
tests and report the results")
#  endif
#endif

There is another thing I had to change but I don´t remember now.

Regards,

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

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

On Dec 4, 2007 11:00 AM, Luigi Ballabio <lui...@gm...> wrote:
> I don't think we'll add VC9 support to this release---it
> wouldn't be testable anyway until Boost supports it too.

Boost might be not a real issue: the binaries for VC9 are not
downloadable, but if you use the new bjam 3.1.16
(http://sourceforge.net/project/showfiles.php?group_id=7586&package_id=72941)
it compile all boost 1.34.1 libraries despite endless reports about
"unsupported compiler".
I compiled them using the Visual Studio 2008 command line prompt and
the command:
bjam --toolset=msvc-9.0 install
as I did for all previous MSVC compilers

(BTW: downloading and installing Visual Studio 2008 Offline
Installation is a surprisingly pleasant experience: no glitch, SDK
included, etc.)

So I went ahead and I've just committed project/solution files for
VC9, and few tweaks to the autolink.hpp files and everything does
compile but tracing.cpp as reported by Georgy:

\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

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

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

On Tue, 2007-12-04 at 01:47 +0100, Georgy Jikia wrote:
> when trying to compile 0.9.0 with VC++ 2008 Express I am getting the
> following error message:
> 
> .\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'
> 
> does it mean vc9.0 requires some extra configuration options wrt. vc80?

Possibly. But I don't think we'll add VC9 support to this release---it
wouldn't be testable anyway until Boost supports it too.

Luigi


-- 

I have made this letter longer than usual, only because I have not had 
the time to make it shorter. 
-- B. Pascal 

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

[Georgy J. <geo...@gm...>]

Hi Luigi,

when trying to compile 0.9.0 with VC++ 2008 Express I am getting the
following error message:

.\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'

does it mean vc9.0 requires some extra configuration options wrt. vc80?

Best regards,
Georgy

Re: [Quantlib-dev] Preliminary 0.9.0 tarballs - SwapRateHelper::ImpliedQuote

[Toyin A. <toy...@ho...>]

Interesting...
=20
Do these spreads have an official name or are these spreads also named basi=
s swaps?
=20
Toy out...
=20
> Date: Mon, 3 Dec 2007 12:51:35 +0100> From: na...@am...> To: luigi=
.bal...@gm...> CC: toy...@ho...; qua...@li...=
orge.net> Subject: Re: [Quantlib-dev] Preliminary 0.9.0 tarballs - SwapRate=
Helper::ImpliedQuote> > On Dec 3, 2007 11:21 AM, Luigi Ballabio <luigi.ball=
ab...@gm...> wrote:> >> > On Mon, 2007-12-03 at 11:09 +0100, Ferdinando =
Ametrano wrote:> > > yes it it. The previous SwapRateHelper was able to dea=
l with a fixed> > > rate versus flat floating rate swap, the new one is abl=
e to deal with> > > fixed rate vs floating rate + spread> >> > Are these ac=
tually quoted? Just curious...> > they are increasingly available as altern=
ative to quote standard and> non-standard basis swaps.> A lot of pages are =
popping up with these swaps, and the trend is> strong as these quotes are o=
ften used to bootstrap different> forecasting yield curves in software syst=
ems which are not ready to> deal with basis swaps> > ciao -- Nando> > -----=
--------------------------------------------------------------------> SF.Ne=
t email is sponsored by: The Future of Linux Business White Paper> from Nov=
ell. From the desktop to the data center, Linux is going> mainstream. Let i=
t simplify your IT future.> http://altfarm.mediaplex.com/ad/ck/8857-50307-1=
8918-4> _______________________________________________> QuantLib-dev maili=
ng list> Qua...@li...> https://lists.sourceforge.net/=
lists/listinfo/quantlib-dev
_________________________________________________________________
Celeb spotting =96 Play CelebMashup and win cool prizes
https://www.celebmashup.com=

Re: [Quantlib-dev] Preliminary 0.9.0 tarballs - SwapRateHelper::ImpliedQuote

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

On Dec 3, 2007 11:21 AM, Luigi Ballabio <lui...@gm...> wrote:
>
> On Mon, 2007-12-03 at 11:09 +0100, Ferdinando Ametrano wrote:
> > yes it it. The previous SwapRateHelper was able to deal with a fixed
> > rate versus flat floating rate swap, the new one is able to deal with
> > fixed rate vs floating rate + spread
>
> Are these actually quoted? Just curious...

they are increasingly available as alternative to quote standard and
non-standard basis swaps.
A lot of pages are popping up with these swaps, and the trend is
strong as these quotes are often used to bootstrap different
forecasting yield curves in software systems which are not ready to
deal with basis swaps

ciao -- Nando

Re: [Quantlib-dev] Preliminary 0.9.0 tarballs - IborLeg class

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

On Mon, 2007-12-03 at 06:11 +0000, Toyin Akin wrote:
> Within the IborLeg class, the Leg() method creates and returns a Leg
> (cashflow array).
>  
> However it only checks whether the internal caps/floors arrays are
> empty before applying a default couponPricer object to the leg. The
> method also needs to check the inArrears_ flag otherwise a mispricing
> can occur as the default couponPricer object is not correct in the
> inArrears case.

You're right. I've fixed it.

Thanks,
	Luigi


-- 

Perfection is reached, not when there is no longer anything to add, but 
when there is no longer anything to take away. 
-- Antoine de Saint-Exupery 

Re: [Quantlib-dev] Preliminary 0.9.0 tarballs

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

On Mon, 2007-12-03 at 16:14 +0100, Klaus Spanderen wrote:
> Luigi, I have relaxed the error bounds for some of the tests to avoid 
> bothersome error logs. Should we put this into 0.9 (?).

I did. Thanks.

Luigi


-- 

Testing can never demonstrate the absence of errors in software, only 
their presence. 
-- W.E. Dijkstra 

Re: [Quantlib-dev] Preliminary 0.9.0 tarballs - SwapRateHelper::ImpliedQuote

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

On Mon, 2007-12-03 at 11:09 +0100, Ferdinando Ametrano wrote:
> yes it it. The previous SwapRateHelper was able to deal with a fixed
> rate versus flat floating rate swap, the new one is able to deal with
> fixed rate vs floating rate + spread

Are these actually quoted? Just curious...

Luigi


-- 

There is no likelihood man can ever tap the power of the atom. 
-- Robert Millikan, Nobel Prize in Physics, 1923 

Re: [Quantlib-dev] Preliminary 0.9.0 tarballs - SwapRateHelper::ImpliedQuote

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

Hi Toyin

>  I'm slightly confused as to how the spread is treated/used within this
> function. [...]
>  But looking at it, it's more like a spread that is added onto every
> floating rate fixing within the underlying swap.
yes it it. The previous SwapRateHelper was able to deal with a fixed
rate versus flat floating rate swap, the new one is able to deal with
fixed rate vs floating rate + spread

>  Also there is a comment of "weak implementation" stated within this
> method...
I kinda dislike the actual implementation, with the spread algebra
hardcoded in the SwaprateHelper, but since the spread is a Quote it
can dynamically change and could not be set in the swap at
construction time.
I couldn't come up with a cleaner implementation: probably having Rate
VanillaSwap::fairRate(Spread s = 0.0) would help

> This spread looks more like a basis swap spread.
>  Am I correct in assuming this?
yes and no.
No: if you take my previous explanation at face value basis swaps are
not involved at all.
Yes: you can use it to transform a fixed rate vs 6M flat swap into an
equivalent fixed rate vs 3M plus spread swap. And the spread would be
the 3M/6M basis

Of curse SwapRateHelper is a bootstrapping ancillary class, so it can
be used to bootstrap yield curve, not for pricing (basis) swaps.
The rest of your post concern how to price a basis swap: I won't go
into details as your mileage might vary, but would appreciate if
anyone could share its expertise on the subject

ciao -- Nando

[Quantlib-dev] Preliminary 0.9.0 tarballs - SwapRateHelper::ImpliedQuote

[Toyin A. <toy...@ho...>]

Hi all,
=20
I'm slightly confused as to how the spread is treated/used within this func=
tion.
=20
I first thought it was a swap spread, thus this spread would be simply adde=
d onto the inputted swap rate and the stripper would do it's stuff.
=20
But looking at it, it's more like a spread that is added onto every floatin=
g rate fixing within the underlying swap. This spread looks more like a bas=
is swap spread.
=20
Am I correct in assuming this?
=20
If this is the case how does one price a basis swap from the construction o=
f two floating legs back to back via this spreaded curve? I'm not really co=
ncerned about the actual QuantLib classes involved, just where does one pas=
s in the yieldcurve handles.
=20
To be a little clearer, we would now have two yieldcurves, (one without bas=
is spreads and one with) and two different yieldcurve inputs for each float=
ing leg.
=20
Leg1 will have a discounting curve (probably embedded in a discounting engi=
ne) and a fixing curve (embedded in the index).
=20
The same is true for leg2
=20
Thus if one wanted to recreate the basis swap value entered into the yieldc=
urve stripper (lets say the 10Y point), what are the input yieldcurve combi=
nations  (discounting/refixing) and (spreaded/non spreaded) for each leg?
=20
Also there is a comment of "weak implementation" stated within this method.=
..
=20
Thanks in advance,
Toy out...
=20
=20
_________________________________________________________________
The next generation of MSN Hotmail has arrived - Windows Live Hotmail
http://www.newhotmail.co.uk=

[Quantlib-dev] Preliminary 0.9.0 tarballs - IborLeg class

[Toyin A. <toy...@ho...>]

Hi Luigi,
=20
Within the IborLeg class, the Leg() method creates and returns a Leg (cashf=
low array).
=20
However it only checks whether the internal caps/floors arrays are empty be=
fore applying a default couponPricer object to the leg. The method also nee=
ds to check the inArrears_ flag otherwise a mispricing can occur as the def=
ault couponPricer object is not correct in the inArrears case.
=20
Toy out...
_________________________________________________________________
Celeb spotting =96 Play CelebMashup and win cool prizes
https://www.celebmashup.com=

Re: [Quantlib-dev] Preliminary 0.9.0 tarballs

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

Hi Gary, Luigi,

the dependency of the test case on today's date is introduced by the day 
counter Act360. In addition I used only 500 antithetic samplings to keep the 
runtime short... seems that it was too short for a valid error calculation;-) 
Everything is okay using e.g. gcc 4.0.1 and a 4 (or even 100) times larger 
statistics.

The dependency on the gcc compiler version is more subtle. I get the same 
error messages using 500 samples and 4.0.1 whereas gcc 4.2.1 gives no error 
at all. The root of the difference is the routine 

rankReducedSqrt(Matrix& m, ...)

which is needed to calculate the Monte-Carlo paths. The solution is not 
unique, e.g. the sign of the result might differ. Both results for gcc 4.0.1 
and 4.2.1 are numerically correct but differ with respect to the sign. 
Therefore one gets different MC paths and by accident 4.0.1 is failing today 
to fulfill the error bounds when using only 500 paths.

Luigi, I have relaxed the error bounds for some of the tests to avoid 
bothersome error logs. Should we put this into 0.9 (?).



 

On Saturday 01 December 2007 21:58:12 Luigi Ballabio wrote:
> On Dec 1, 2007, at 8:58 PM, Gary Kennedy wrote:
> > I am also seeing some test fails relating HybridHestonHullWhiteProcess.
> > I'm using Suse10.0 with boost 1.33.1, gcc 4.0.2
>
> Gary,
> 	did you run them today (Saturday?)  If so, it might have to do with
> today being a holiday. I'll look into this in the next days.
>
> Thanks,
> 	Luigi
>
>
>
> -------------------------------------------------------------------------
> SF.Net email is sponsored by: The Future of Linux Business White Paper
> from Novell.  From the desktop to the data center, Linux is going
> mainstream.  Let it simplify your IT future.
> http://altfarm.mediaplex.com/ad/ck/8857-50307-18918-4
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev



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

Re: [Quantlib-dev] Preliminary 0.9.0 tarballs

[Gary K. <gar...@gm...>]

yes, built and run today
gary

On 01/12/2007, Luigi Ballabio <lui...@gm...> wrote:
>
>
> On Dec 1, 2007, at 8:58 PM, Gary Kennedy wrote:
> > I am also seeing some test fails relating HybridHestonHullWhiteProcess.
> > I'm using Suse10.0 with boost 1.33.1, gcc 4.0.2
>
> Gary,
>         did you run them today (Saturday?)  If so, it might have to do
> with
> today being a holiday. I'll look into this in the next days.
>
> Thanks,
>         Luigi
>
>
>

Re: [Quantlib-dev] Preliminary 0.9.0 tarballs

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

On Dec 1, 2007, at 8:58 PM, Gary Kennedy wrote:
> I am also seeing some test fails relating HybridHestonHullWhiteProcess.
> I'm using Suse10.0 with boost 1.33.1, gcc 4.0.2

Gary,
	did you run them today (Saturday?)  If so, it might have to do with 
today being a holiday. I'll look into this in the next days.

Thanks,
	Luigi

Re: [Quantlib-dev] Preliminary 0.9.0 tarballs

[Gary K. <gar...@gm...>]

I am also seeing some test fails relating HybridHestonHullWhiteProcess.
I'm using Suse10.0 with boost 1.33.1, gcc 4.0.2

Gary

gary@linux:~/ccwork/QuantLib-0.9.0/test-suite> gcc --version
gcc (GCC) 4.0.2 20050901 (prerelease) (SUSE Linux)



Testing European option pricing for a BSM process with one factor Hull-White
Model...
Testing Comparing European option pricing for a BSM process with one factor
Hull-White Model...
Testing Monte-Carlo Zero Bond Pricing...
hybridhestonhullwhiteprocess.cpp(366): error in
"HybridHestonHullWhiteProcessTest::testZeroBondPricing": Failed to reproduce
expected zero bond prices
   t:          13.8667
   calculated: 0.304786
   error:      0.0158731
   expected:   0.357429
hybridhestonhullwhiteprocess.cpp(366): error in
"HybridHestonHullWhiteProcessTest::testZeroBondPricing": Failed to reproduce
expected zero bond prices
   t:          13.9528
   calculated: 0.30925
   error:      0.0164681
   expected:   0.359895
hybridhestonhullwhiteprocess.cpp(366): error in
"HybridHestonHullWhiteProcessTest::testZeroBondPricing": Failed to reproduce
expected zero bond prices
   t:          14.0361
   calculated: 0.313884
   error:      0.0168382
   expected:   0.366483
hybridhestonhullwhiteprocess.cpp(366): error in
"HybridHestonHullWhiteProcessTest::testZeroBondPricing": Failed to reproduce
expected zero bond prices
   t:          14.1222
   calculated: 0.323935
   error:      0.0170272
   expected:   0.376798
hybridhestonhullwhiteprocess.cpp(366): error in
"HybridHestonHullWhiteProcessTest::testZeroBondPricing": Failed to reproduce
expected zero bond prices
   t:          14.2056
   calculated: 0.336136
   error:      0.0173186
   expected:   0.39062
Testing Monte-Carlo Vanilla Option Pricing...
Testing Monte-Carlo Heston Option Pricing...
Testing analytic Heston Hull White Option Pricing...
Testing the pricing of a callable equity product...
Testing Joint Calibration of an Heston Equity Processincl. Stochastic
Interest Rates via a Hull-White Model...
hybridhestonhullwhiteprocess.cpp(1414): error in
"HybridHestonHullWhiteProcessTest::testPseudoJointCalibration": Failed to
calibrate Heston Hull-White Model
Quality index: 5.83705
Testing observability of instruments...
Testing segment integration...


On 29/11/2007, Luigi Ballabio <lui...@gm...> wrote:
>
> On Thu, 2007-11-29 at 08:27 -0800, mattknox_ca wrote:
> > I was able to run the test suite finally, but there were some test
> failures.
>
> Hmm. Those saying "this version of gcc does not support the Boost uBlas
> library" are expected. We'll have to look at the Heston one.
>
> Thanks,
>         Luigi
>
>
> --
>
> So little done, so much to do.
> -- Cecil Rhodes
>
>
>
> -------------------------------------------------------------------------
> SF.Net email is sponsored by: The Future of Linux Business White Paper
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>

Re: [Quantlib-dev] Preliminary 0.9.0 tarballs

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

On Thu, 2007-11-29 at 08:27 -0800, mattknox_ca wrote:
> I was able to run the test suite finally, but there were some test failures.

Hmm. Those saying "this version of gcc does not support the Boost uBlas
library" are expected. We'll have to look at the Heston one.

Thanks,
	Luigi


-- 

So little done, so much to do. 
-- Cecil Rhodes 

Re: [Quantlib-dev] Preliminary 0.9.0 tarballs

[mattknox_ca <Mat...@td...>]

I was able to run the test suite finally, but there were some test failures=
.
See the details below...

I'm using MinGW with gcc version 3.4.5 (the latest released version of the
MinGW tool set)


=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D
Testing QuantLib 0.9.0
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D
Running 317 test cases...
Testing Barone-Adesi and Whaley approximation for American options...
Testing Bjerksund and Stensland approximation for American options...
Testing Ju approximation for American options...
Testing finite-difference engine for American options...
Testing finite-differences American option greeks...
Testing finite-differences shout option greeks...
Testing array construction...
Testing analytic continuous geometric average-price Asians...
Testing analytic continuous geometric average-price Asian greeks...
Testing analytic discrete geometric average-price Asians...
Testing Monte Carlo discrete geometric average-price Asians...
Testing Monte Carlo discrete arithmetic average-price Asians...
Testing discrete-averaging geometric Asian greeks...
Testing bond implied value against asset-swap fair price with spread=3D0...
Testing relationship between market asset swap and par asset swap...
Testing clean and dirty price with Zspread=3D0 return bond's theo prices...
Testing generic bond implied value against assetswap fair price with
spread=3D0...
Testing market asset swap vs par asset swap with generic bond...
Testing clean and dirty price with Zspread=3D0 return generic bond's theo
prices...
Testing theo clean and dirty prices for specialized bond are equal to theo
clean and dirty prices for equivalent generic bond...
Testing assetswap prices and spreads for specialized bond are equal to theo
clean, dirty prices and asw spreads for equivalent generic bond...
Testing barrier options against Haug's values...
Testing barrier options against Babsiri's values...
Testing barrier options against Beaglehole's values...
Testing two-asset European basket options...
Testing three-asset basket options against Barraquand's values...
Testing three-asset American basket options against Tavella's values...
Testing basket American options against 1-D case...
Testing antithetic engine using odd sample number...
Testing analytic Bates engine against Black formula...
Testing analytic Bates engine against Merton-76 engine...
Testing Bates model calibration using DAX volatility data...
Testing Bermudan swaption against cached values...
Testing consistency of bond price/yield calculation...
Testing theoretical bond price/yield calculation...
Testing bond price/yield calculation against cached values...
Testing zero-coupon bond prices against cached values...
Testing fixed-coupon bond prices against cached values...
Testing floating-rate bond prices against cached values...
Testing Brazilian public bond prices against cached values...
Testing Brownian-bridge variates...
Testing Brownian-bridge path generation...
Testing Brazil holiday list...
Testing Milan Stock Exchange holiday list...
Testing UK settlement holiday list...
Testing London Stock Exchange holiday list...
Testing London Metals Exchange holiday list...
Testing Frankfurt Stock Exchange holiday list...
Testing Xetra holiday list...
Testing Eurex holiday list...
Testing TARGET holiday list...
Testing US settlement holiday list...
Testing US government bond market holiday list...
Testing New York Stock Exchange holiday list...
Testing calendar modification...
Testing joint calendars...
Testing end-of-month calculation...
Testing calculation of business days between dates...
Testing cap/floor dependency on strike...
Testing consistency between cap, floor and collar...
Testing cap/floor parity...
Testing cap/floor vega...
Testing ATM rate...
Testing implied term volatility for cap and floor...
Testing Black cap/floor price against cached values...
Testing degenerate collared coupon...
Testing collared coupon against its decomposition...
Testing Cliquet option values...
Testing Cliquet option greeks...
Testing performance option greeks...
Testing fair-rate calculation for constant-maturity coupons...
Testing put-call parity for constant-maturity coupons...
Testing constant-maturity swaps...
Testing out-of-the-money convertible bonds against vanilla bonds...
Testing zero-coupon convertible bonds against vanilla option...
Testing covariance and correlation calculations...
Testing positive semi-definiteness salvaging algorithms...
Testing matrix rank reduction salvaging algorithms...
Testing constant-maturity-swap-market-model curve state...
Testing dates...
Testing IMM dates...
Testing ISO dates...
Testing actual/actual day counters...
Testing simple day counter...
Testing 1/1 day counter...
Testing business/252 day counter...
Testing European asset-or-nothing digital coupon ...
Testing European deep in-the-money asset-or-nothing digital coupon ...
Testing European deep out-the-money asset-or-nothing digital coupon ...
Testing European cash-or-nothing digital coupon ...
Testing European deep in-the-money cash-or-nothing digital coupon ...
Testing European deep out-the-money cash-or-nothing digital coupon ...
Testing call/put parity for European digital coupon ...
Testing replication type for European digital coupon ...
Testing European cash-or-nothing digital option...
Testing European asset-or-nothing digital option...
Testing European gap digital option...
Testing American cash-(at-hit)-or-nothing digital option...
Testing American cash-(at-hit)-or-nothing digital option greeks...
Testing American asset-(at-hit)-or-nothing digital option...
Testing American cash-(at-expiry)-or-nothing digital option...
Testing American asset-(at-expiry)-or-nothing digital option...
Testing Monte Carlo cash-(at-hit)-or-nothing American engine...
Testing normal distributions...
Testing bivariate cumulative normal distribution...
Testing Poisson distribution...
Testing cumulative Poisson distribution...
Testing inverse cumulative Poisson distribution...
Testing dividend European option values with no dividends...
Testing dividend European option values with no dividends...
Testing dividend European option greeks...
Testing finite-difference dividend European option values...
Testing finite-differences dividend European option greeks...
Testing finite-differences dividend American option greeks...
Testing degenerate finite-differences dividend European option...
Testing degenerate finite-differences dividend American option...
Testing European option values...
Testing European option greek values...
Testing analytic European option greeks...
Testing European option implied volatility...
Testing self-containment of implied volatility calculation...
Testing JR binomial European engines against analytic results...
Testing CRR binomial European engines against analytic results...
Testing EQP binomial European engines against analytic results...
Testing TGEO binomial European engines against analytic results...
Testing TIAN binomial European engines against analytic results...
Testing LR binomial European engines against analytic results...
Testing Joshi binomial European engines against analytic results...
Testing finite-difference European engines against analytic results...
Testing integral engines against analytic results...
Testing Monte Carlo European engines against analytic results...
Testing Quasi Monte Carlo European engines against analytic results...
Testing European price curves...
Testing direct exchange rates...
Testing derived exchange rates...
Testing lookup of direct exchange rates...
Testing lookup of triangulated exchange rates...
Testing lookup of derived exchange rates...
Testing factorial numbers...
Testing Gamma function...
Testing forward option values...
Testing forward option greeks...
Testing forward performance option values...
Testing forward performance option greeks...
Testing Gauss-Jacobi integration...
Testing Gauss-Laguerre integration...
Testing Gauss-Hermite integration...
Testing Gauss hyperbolic integration...
Testing tabulated Gauss-Laguerre integration...
Testing Heston model calibration using a flat volatility surface...
Testing Heston model calibration using DAX volatility data...
Testing analytic Heston engine against Black formula...
Testing analytic Heston engine against cached values...
Testing Monte Carlo Heston engine for the Kahl-J=C3=83=C2=A4ckel example
Testing Monte Carlo Heston engine against cached values...
Testing European option pricing for a BSM process with one factor Hull-Whit=
e
Model...
Testing Comparing European option pricing for a BSM process with one factor
Hull-White Model...
Testing Monte-Carlo Zero Bond Pricing...
Testing Monte-Carlo Vanilla Option Pricing...
Testing Monte-Carlo Heston Option Pricing...
hybridhestonhullwhiteprocess.cpp(556): error in
"HybridHestonHullWhiteProcessTest::testMcPureHestonPricing": Failed to
reproduce heston vanilla prices
   corr:       0.25
   strike:     100
   calculated: 12.0157
   error:      0.0953149
   expected:   11.7088
Testing analytic Heston Hull White Option Pricing...
Testing the pricing of a callable equity product...
Testing Joint Calibration of an Heston Equity Processincl. Stochastic
Interest Rates via a Hull-White Model...
Testing observability of instruments...
Testing segment integration...
Testing trapezoid integration...
Testing mid-point trapezoid integration...
Testing Simpson integration...
Testing adaptive Gauss-Kronrod integration...
Testing non-adaptive Gauss-Kronrod integration...
Testing interest-rate conversions...
Testing spline interpolation on generic values...
Testing symmetry of spline interpolation end-conditions...
Testing derivative end-conditions for spline interpolation...
Testing non-restrictive Hyman filter...
Testing spline interpolation on RPN15A data set...
Testing spline interpolation on a Gaussian data set...
Testing spline approximation on Gaussian data sets...
Testing N-dimensional cubic spline...
Testing use of interpolations as functors...
Testing backward-flat interpolation...
Testing forward-flat interpolation...
Testing Sabr interpolation...
Testing Merton 76 jump-diffusion model for European options...
Testing jump-diffusion option greeks...
Testing linear least-squares regression...
Testing analytic continuous floating-strike lookback options...
Testing analytic continuous fixed-strike lookback options...
Testing randomized lattice sequences, A up to dimension 30...
Testing randomized lattice sequences, B up to dimension 30...
Testing randomized lattice sequences, C up to dimension 30...
Testing randomized lattice sequences, D up to dimension 30...
Testing random-seed generator...
Testing 21200 primitive polynomials modulo two...
Testing Sobol sequences up to dimension 21200...
Testing Halton sequences...
Testing Faure sequences...
Testing Mersenne-twister discrepancy...
Testing plain Halton discrepancy...
Testing random-start Halton discrepancy...
Testing random-shift Halton discrepancy...
Testing random-start, random-shift Halton discrepancy...
Testing unit Sobol discrepancy...
Testing J=C3=A4ckel-Sobol discrepancy...
Testing Levitan-Sobol discrepancy...
Testing Levitan-Lemieux-Sobol discrepancy...
Testing Sobol sequence skipping...
Testing randomized low-discrepancy sequences up to dimension 21200...
Testing exact repricing of multi-step constant maturity swaps and swaptions
in a lognormal constant maturity swap market model...
Testing exact repricing of multi-step coterminal swaps and swaptions in a
lognormal coterminal swap rate market model...
Testing alpha caplet calibration in a lognormal coterminal swap market
model...
unknown location(0): fatal error in
"MarketModelSmmCapletAlphaCalibrationTest::testFunction": std::exception:
this version of gcc does not support the Boost uBlas library
hybridhestonhullwhiteprocess.cpp(556): last checkpoint
Testing GHLS caplet calibration in a lognormal coterminal swap market
model...
unknown location(0): fatal error in
"MarketModelSmmCapletCalibrationTest::testFunction": std::exception: this
version of gcc does not support the Boost uBlas library
hybridhestonhullwhiteprocess.cpp(556): last checkpoint
Testing max homogeneity caplet calibration in a lognormal coterminal swap
market model...
unknown location(0): fatal error in
"MarketModelSmmCapletHomoCalibrationTest::testFunction": std::exception:
this version of gcc does not support the Boost uBlas library
hybridhestonhullwhiteprocess.cpp(556): last checkpoint
Testing max homogeneity periodic caplet calibration in a lognormal
coterminal swap market model...
unknown location(0): fatal error in
"MarketModelSmmCapletHomoCalibrationTest::testPeriodFunction":
std::exception: this version of gcc does not support the Boost uBlas librar=
y
hybridhestonhullwhiteprocess.cpp(556): last checkpoint
Testing SphereCylinder optimization...
Testing period adaption routines in LIBOR market model=20
Testing eigenvalues and eigenvectors calculation...
Testing matricial square root...
Testing singular value decomposition...
Testing inverse calculation...
unknown location(0): fatal error in "MatricesTest::testInverse":
std::exception: this version of gcc does not support the Boost uBlas librar=
y
hybridhestonhullwhiteprocess.cpp(556): last checkpoint
Testing Higham matricial square root...
Testing Monte-Carlo pricing of American options...
Testing Monte-Carlo pricing of American max options...
Testing Mersenne twister...
Testing money arithmetic without conversions...
Testing money arithmetic with conversion to base currency...
Testing money arithmetic with automated conversion...
Testing differential operators...
Testing consistency of BSM operators...
Testing optimizers...
Optimizer: Simplex
Optimizer: Levenberg Marquardt
Optimizer: Conjugate Gradient
Testing nested optimizations...
Testing 1-D path generation against cached values...
Testing n-D path generation against cached values...
Testing Period (Years/Months) algebra...
Testing Period (Weeks/Days) algebra...
Testing consistency of piecewise-log-linear discount curve...
Testing consistency of piecewise-linear discount curve...
Testing consistency of piecewise-log-linear zero-yield curve...
Testing consistency of piecewise-linear zero-yield curve...
Testing consistency of piecewise-spline zero-yield curve...
Testing consistency of piecewise-linear forward-rate curve...
Testing consistency of piecewise-flat forward-rate curve...
Testing observability of piecewise yield curve...
Testing use of today's LIBOR fixings in swap curve...
Testing quanto option values...
Testing quanto option greeks...
Testing quanto-forward option values...
Testing quanto-forward option greeks...
Testing quanto-forward-performance option values...
Testing forward-value and implied-stdev quotes...
Testing risk measures...
Testing Gaussian pseudo-random number generation...
Testing Poisson pseudo-random number generation...
Testing custom Poisson pseudo-random number generation...
Testing closest decimal rounding...
Testing upward decimal rounding...
Testing downward decimal rounding...
Testing floor decimal rounding...
Testing ceiling decimal rounding...
Testing sampled curve construction...
Testing Hull-White calibration against cached values...
Testing Hull-White swap pricing against known values...
Testing Hull-White futures convexity bias...
Testing 1-D solvers...
Testing statistics...
Testing sequence statistics...
Testing convergence statistics...
Testing surface...
Testing vanilla-swap calculation of fair fixed rate...
Testing vanilla-swap calculation of fair floating spread...
Testing vanilla-swap dependency on fixed rate...
Testing vanilla-swap dependency on floating spread...
Testing in-arrears swap calculation...
Testing vanilla-swap calculation against cached value...
Testing forward-rate coinitial-swap jacobian...
Testing forward-rate cm-swap jacobian...
Testing forward-rate coterminal-swap mappings...
unknown location(0): fatal error in
"SwapForwardMappingsTest::testForwardCoterminalMappings": std::exception:
this version of gcc does not support the Boost uBlas library
hybridhestonhullwhiteprocess.cpp(556): last checkpoint
Testing cash settled swaptions modified annuity...
Testing swaption dependency on strike...
Testing swaption dependency on spread...
Testing swaption treatment of spread...
Testing swaption value against cached value...
Testing implied volatility for swaptions...
Testing swaption vega...
Testing swaption volatility cube (atm vols)...
Testing swaption volatility cube (smile)...
Testing swaption volatility cube (sabr interpolation)...
Testing spreaded swaption volatility cube...
Testing volatility cube observability...
Testing swaption volatility matrix...
Testing swaption volatility matrix observability...
Testing term structure against evaluation date change...
Testing consistency of implied term structure...
Testing observability of implied term structure...
Testing consistency of forward-spreaded term structure...
Testing observability of forward-spreaded term structure...
Testing consistency of zero-spreaded term structure...
Testing observability of zero-spreaded term structure...
Testing time series construction...
Testing time series interval price...
Testing TQR eigenvalue decomposition...
Testing TQR zero-off-diagonal eigenvalues...
Testing TQR eigenvector decomposition...
Testing tracing...
Testing transformed grid construction...
Testing variance swap with replicating cost engine...
Testing variance swap with Monte Carlo engine...
Testing volatility model construction...
Testing consistency of compound-forward curve with supplied rates...
Testing consistency of compound-forward curve with converted rates...
Testing simple covariance models...
Testing caplet pricing...
Testing forward swap and swaption pricing...
Testing calibration of a Libor Forward Model...
Testing caplet LMM process initialisation...
Testing caplet-LMM lambda bootstrapping...
Testing caplet-LMM Monte-Carlo caplet pricing...
Testing old-style Monte Carlo single-factor pricers...
Testing old-style Monte Carlo multi-factor pricers...
=20
Tests completed in 17 m 60 s


*** 7 failures detected in test suite "Master Test Suite"
FAIL: quantlib-test-suite
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D
1 of 1 tests failed
Please report to qua...@li...
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D
make[2]: *** [check-TESTS] Error 1
make[2]: Leaving directory `/home/QuantLib-0.9.0/test-suite'
make[1]: *** [check-am] Error 2
make[1]: Leaving directory `/home/QuantLib-0.9.0/test-suite'
make: *** [check-recursive] Error 1

--=20
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