quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] Preliminary 0.9.0 tarballs

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

On Thu, 2007-11-29 at 06:42 -0800, mattknox_ca wrote:
> Looking in config.log, I see the following line:
> 
> configure:20002: g++ -o conftest.exe -g -O2 -Wall  -I/local/include 
> -L/local/lib conftest.cpp  -lboost_unit_test_framework-gcc34 >&5
> 
> But when building boost with mingw, it names the libraries like this:
> 
> boost_unit_test_framework-mgw34-1_34_1.a
> boost_unit_test_framework-mgw34-mt-1_34_1.a
> etc...

Oh, right. You'll have to make a copy and rename it.

Luigi


-- 

I am extraordinarily patient, provided I get my own way in the end. 
-- Margaret Thatcher 

Re: [Quantlib-dev] Preliminary 0.9.0 tarballs

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

>> That would be:
>>
>> export CPPFLAGS="-I/local/include"
>> export LDFLAGS="-L/local/lib"

ahh, that makes sense. Unfortunately, it still can't find the  unit test
framework. But I think I know why...

Looking in config.log, I see the following line:

configure:20002: g++ -o conftest.exe -g -O2 -Wall  -I/local/include 
-L/local/lib conftest.cpp  -lboost_unit_test_framework-gcc34 >&5

But when building boost with mingw, it names the libraries like this:

boost_unit_test_framework-mgw34-1_34_1.a
boost_unit_test_framework-mgw34-mt-1_34_1.a
etc...

notice the "-mgw" instead of "-gcc"


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Re: [Quantlib-dev] Question regarding ForwardEngine

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

OK, that was may fault, sorry about that. I didn't tell you that not only IR yield, divyield and vol were assumed to be flat but, in addition, divyield was zero. In that case it seems to be quite obvious that a spot and a forward start option have the same price.

Rgds
Frank

-------- Original-Nachricht --------
> Datum: Thu, 29 Nov 2007 10:46:16 +0100
> Von: "Frank Hövermann" <fho...@gm...>
> An: qua...@li...
> Betreff: [Quantlib-dev] Question regarding ForwardEngine

> Hi there!
> If I set up a pricing for a spot and an identically equipped forward
> starting plain vanilla option with flat IR yield curve, divyield and vol, the
> price difference is marginal even if I push up rates or extend the time until
> the forward starting option gets spot starting. Looking at the code, I
> can't find a proper discounting of the option's spot price on the date on
> which it gets struck to present time.
> 
> In the same spirit, instead of the spot the forward value of the
> underlying should be taken as the strike's reference of a forward starting option.
> 
> Do you agree?
> 
> Regards
> Frank
> -- 
> Psssst! Schon vom neuen GMX MultiMessenger gehört?
> Der kann`s mit allen: http://www.gmx.net/de/go/multimessenger
> 
> -------------------------------------------------------------------------
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Re: [Quantlib-dev] Preliminary 0.9.0 tarballs

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

Hi,
I do not remember the exact details because I have installed boost 
(1.33.1) a while ago.
However, yes I am pretty sure I did it manually.

Marco Marchioro


On Thursday, 2007-11-29 , at 12:14 , Georgy Jikia wrote:

> Hello Marco,
>
> 0.9.0 also compiled and installed fine with cygwin for me. The cygwin
> boost distribution does not include unit-test framework however. How
> did you run the tests? Did you also have to compile boost libraries?
>
> Georgy
>
> On 11/29/07, Marco Marchioro <mar...@st...> wrote:
>> Hi all,
>> I have successfully compiled the 0.9.0 tarball on cygwin under gcc.
>> All the tests are ok(other than the one that does not compile under
>> gcc 3.4.4)
>>
>> Marco
>>
>> +-------------------------------------------------------+
>> | Marco Marchioro, Ph. D., Head of Quantitative Finance |
>> |                    www.statpro.com                    |
>> +-------------------------------------------------------+
>>
>>
>> On Tuesday, 2007-11-27 , at 16:06 , Luigi Ballabio wrote:
>>
>>>
>>> Hi all,
>>> 	preliminary tarballs for the 0.9.0 release are available at
>>> <http://quantlib.org/prerelease/>. If you have some spare cycles on
>>> your
>>> box, please try them out and let me know if there are any problems.
>>> (I'm
>>> especially interested in how they fare in the Cygwin and/or MinGW
>>> shells, as I can't check those platforms myself.)
>>>
>>> Thanks,
>>> 	Luigi
>>>
>>>
>>> --
>>>
>>> Newton's Law of Gravitation:
>>> What goes up must come down. But don't expect it to come down
>>> where you can find it. Murphy's Law applies to Newton's.
>>>
>>>
>>>
>>> -------------------------------------------------------------------- 
>>> --
>>> ---
>>> This SF.net email is sponsored by: Microsoft
>>> Defy all challenges. Microsoft(R) Visual Studio 2005.
>>> http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/
>>> _______________________________________________
>>> QuantLib-dev mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
>>
>
>
> BlackSpider MailControl : To report this as spam, forward the email  
> to sp...@bl...

Re: [Quantlib-dev] Preliminary 0.9.0 tarballs

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

Hello Marco,

0.9.0 also compiled and installed fine with cygwin for me. The cygwin
boost distribution does not include unit-test framework however. How
did you run the tests? Did you also have to compile boost libraries?

Georgy

On 11/29/07, Marco Marchioro <mar...@st...> wrote:
> Hi all,
> I have successfully compiled the 0.9.0 tarball on cygwin under gcc.
> All the tests are ok(other than the one that does not compile under
> gcc 3.4.4)
>
> Marco
>
> +-------------------------------------------------------+
> | Marco Marchioro, Ph. D., Head of Quantitative Finance |
> |                    www.statpro.com                    |
> +-------------------------------------------------------+
>
>
> On Tuesday, 2007-11-27 , at 16:06 , Luigi Ballabio wrote:
>
> >
> > Hi all,
> > 	preliminary tarballs for the 0.9.0 release are available at
> > <http://quantlib.org/prerelease/>. If you have some spare cycles on
> > your
> > box, please try them out and let me know if there are any problems.
> > (I'm
> > especially interested in how they fare in the Cygwin and/or MinGW
> > shells, as I can't check those platforms myself.)
> >
> > Thanks,
> > 	Luigi
> >
> >
> > --
> >
> > Newton's Law of Gravitation:
> > What goes up must come down. But don't expect it to come down
> > where you can find it. Murphy's Law applies to Newton's.
> >
> >
> >
> > ----------------------------------------------------------------------
> > ---
> > This SF.net email is sponsored by: Microsoft
> > Defy all challenges. Microsoft(R) Visual Studio 2005.
> > 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] Question regarding ForwardEngine

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

Hi there!
If I set up a pricing for a spot and an identically equipped forward starting plain vanilla option with flat IR yield curve, divyield and vol, the price difference is marginal even if I push up rates or extend the time until the forward starting option gets spot starting. Looking at the code, I can't find a proper discounting of the option's spot price on the date on which it gets struck to present time.

In the same spirit, instead of the spot the forward value of the underlying should be taken as the strike's reference of a forward starting option.

Do you agree?

Regards
Frank
-- 
Psssst! Schon vom neuen GMX MultiMessenger gehört?
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[Quantlib-dev] Preliminary 0.9.0 tarballs

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

Guys,

I have successfully compiled the Release configuration of 0.9.0 tarball on
Visual C++ 2005 Express.
All the tests are ok.

Regards,

Piter Dias
pit...@ca...

Re: [Quantlib-dev] Preliminary 0.9.0 tarballs

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

Hi all,
I have successfully compiled the 0.9.0 tarball on cygwin under gcc.
All the tests are ok(other than the one that does not compile under  
gcc 3.4.4)

Marco

+-------------------------------------------------------+
| Marco Marchioro, Ph. D., Head of Quantitative Finance |
|                    www.statpro.com                    |
+-------------------------------------------------------+


On Tuesday, 2007-11-27 , at 16:06 , Luigi Ballabio wrote:

>
> Hi all,
> 	preliminary tarballs for the 0.9.0 release are available at
> <http://quantlib.org/prerelease/>. If you have some spare cycles on  
> your
> box, please try them out and let me know if there are any problems.  
> (I'm
> especially interested in how they fare in the Cygwin and/or MinGW
> shells, as I can't check those platforms myself.)
>
> Thanks,
> 	Luigi
>
>
> -- 
>
> Newton's Law of Gravitation:
> What goes up must come down. But don't expect it to come down
> where you can find it. Murphy's Law applies to Newton's.
>
>
>
> ---------------------------------------------------------------------- 
> ---
> This SF.net email is sponsored by: Microsoft
> Defy all challenges. Microsoft(R) Visual Studio 2005.
> http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] Preliminary 0.9.0 tarballs

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

On Wed, 2007-11-28 at 18:40 -0600, Dirk Eddelbuettel wrote:
> Sticking with an old pattern :-), I once more attach a new manual page for
> the new FittedBondCurve binary.  Could someone look it over please, and
> integrate it into man/ and its Makefile.am etc ?   

Done, thanks.

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] Preliminary 0.9.0 tarballs

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

On Wed, 2007-11-28 at 11:34 -0800, mattknox_ca wrote:
> So to try and get it to detect the unit test framework, I copied the
> compiled boost_unit_test_framework files into C:\msys\1.0\local\lib and then
> instead typed: export CPPFLAGS="-I/local/include -L/local/lib" , hoping that
> the configure script would detect the unit test framework then. But
> unfortunately it still does not. Perhaps what I am doing is completely
> naive, I'm not really sure.

That would be:

export CPPFLAGS="-I/local/include"
export LDFLAGS="-L/local/lib"

since the latter is needed by the linker, not the compiler.

However, there's a couple of switches in configure you can use instead
of environment variables---try running

./configure --with-boost-include=/local/include --with-boost-lib=/local/lib

instead. It has a few advantages over environment variables.

Luigi


-- 

Hanlon's Razor: 
Never attribute to malice that which is adequately explained 
by stupidity. 

Re: [Quantlib-dev] Preliminary 0.9.0 tarballs

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

On 28 November 2007 at 18:40, Dirk Eddelbuettel wrote:
| 
| The 0.9.0 builds fine on Debian, and I just uploaded it to Debian
| 'unstable'. Build logs, incl full regression tests, will soon appear at the
| bottom of
| 	http://buildd.debian.org/build.php?pkg=quantlib

Small correction -- I forgot that the build implies a so-called 'new' package
libquantlib-0.9.0 which means that the ftpmasters need to hand-approve this
first.  Then the builds will roll in.

Dirk

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

Re: [Quantlib-dev] Preliminary 0.9.0 tarballs

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

The 0.9.0 builds fine on Debian, and I just uploaded it to Debian
'unstable'. Build logs, incl full regression tests, will soon appear at the
bottom of
	http://buildd.debian.org/build.php?pkg=quantlib

Sticking with an old pattern :-), I once more attach a new manual page for
the new FittedBondCurve binary.  Could someone look it over please, and
integrate it into man/ and its Makefile.am etc ?   

Thanks, Dirk

Re: [Quantlib-dev] Preliminary 0.9.0 tarballs

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

>> Please run ./configure again and check the output. Does it find the
>> Boost unit-test framework?

No, it does not. I've tried a few things to get msys to detect it (I built
the boost unit test framework when I installed and configured boost and that
seemed to worked), but no luck. To build QuantLib with msys, I do the
following:

 * copy the boost include files into C:\msys\1.0\local\include   (these get
detected properly when building QuantLib)
 * in msys, type: export CPPFLAGS="-I/local/include"
 * in msys, type "configure"
 * in msys, type "make"
 * in msys, type "make install"

that all works fine (aside from the small problem with the "install" step
mentioned earlier)

So to try and get it to detect the unit test framework, I copied the
compiled boost_unit_test_framework files into C:\msys\1.0\local\lib and then
instead typed: export CPPFLAGS="-I/local/include -L/local/lib" , hoping that
the configure script would detect the unit test framework then. But
unfortunately it still does not. Perhaps what I am doing is completely
naive, I'm not really sure.

- Matt
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Re: [Quantlib-dev] Preliminary 0.9.0 tarballs

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

On Wed, 2007-11-28 at 08:21 -0800, mattknox_ca wrote:
> >> Just run 'make check'.
> 
> don't see any errors when doing this... but I'm not sure if it actually did
> anything.

Please run ./configure again and check the output. Does it find the
Boost unit-test framework?

Luigi


-- 

Better to have an approximate answer to the right question than a 
precise answer to the wrong question. 
-- John Tukey as quoted by John Chambers 

Re: [Quantlib-dev] Preliminary 0.9.0 tarballs

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

>> Just run 'make check'.

don't see any errors when doing this... but I'm not sure if it actually did
anything. Here is the output I get...

Making check in config
make[1]: Entering directory `/home/QuantLib-0.9.0/config'
make[1]: Nothing to be done for `check'.
make[1]: Leaving directory `/home/QuantLib-0.9.0/config'
Making check in ql
make[1]: Entering directory `/home/QuantLib-0.9.0/ql'
Making check in cashflows
make[2]: Entering directory `/home/QuantLib-0.9.0/ql/cashflows'
make[2]: Nothing to be done for `check'.
make[2]: Leaving directory `/home/QuantLib-0.9.0/ql/cashflows'
Making check in currencies
make[2]: Entering directory `/home/QuantLib-0.9.0/ql/currencies'
make[2]: Nothing to be done for `check'.
make[2]: Leaving directory `/home/QuantLib-0.9.0/ql/currencies'
Making check in experimental
make[2]: Entering directory `/home/QuantLib-0.9.0/ql/experimental'
make[2]: Nothing to be done for `check'.
make[2]: Leaving directory `/home/QuantLib-0.9.0/ql/experimental'
Making check in indexes
make[2]: Entering directory `/home/QuantLib-0.9.0/ql/indexes'
Making check in ibor
make[3]: Entering directory `/home/QuantLib-0.9.0/ql/indexes/ibor'
make[3]: Nothing to be done for `check'.
make[3]: Leaving directory `/home/QuantLib-0.9.0/ql/indexes/ibor'
Making check in inflation
make[3]: Entering directory `/home/QuantLib-0.9.0/ql/indexes/inflation'
make[3]: Nothing to be done for `check'.
make[3]: Leaving directory `/home/QuantLib-0.9.0/ql/indexes/inflation'
Making check in swap
make[3]: Entering directory `/home/QuantLib-0.9.0/ql/indexes/swap'
make[3]: Nothing to be done for `check'.
make[3]: Leaving directory `/home/QuantLib-0.9.0/ql/indexes/swap'
make[3]: Entering directory `/home/QuantLib-0.9.0/ql/indexes'
make[3]: Nothing to be done for `check-am'.
make[3]: Leaving directory `/home/QuantLib-0.9.0/ql/indexes'
make[2]: Leaving directory `/home/QuantLib-0.9.0/ql/indexes'
Making check in instruments
make[2]: Entering directory `/home/QuantLib-0.9.0/ql/instruments'
Making check in bonds
make[3]: Entering directory `/home/QuantLib-0.9.0/ql/instruments/bonds'
make[3]: Nothing to be done for `check'.
make[3]: Leaving directory `/home/QuantLib-0.9.0/ql/instruments/bonds'
make[3]: Entering directory `/home/QuantLib-0.9.0/ql/instruments'
make[3]: Nothing to be done for `check-am'.
make[3]: Leaving directory `/home/QuantLib-0.9.0/ql/instruments'
make[2]: Leaving directory `/home/QuantLib-0.9.0/ql/instruments'
Making check in legacy
make[2]: Entering directory `/home/QuantLib-0.9.0/ql/legacy'
Making check in libormarketmodels
make[3]: Entering directory
`/home/QuantLib-0.9.0/ql/legacy/libormarketmodels'

and so on...

is that what it is supposed to do? or is there something I don't have setup
completely? If it isn't obvious  yet, I don't really know a whole lot about
make files and test suites :)

- Matt
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Re: [Quantlib-dev] Preliminary 0.9.0 tarballs

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

On Wed, 2007-11-28 at 07:55 -0800, mattknox_ca wrote:
> >> I'm especially interested in how they fare in the Cygwin and/or MinGW
> >> shells, as I can't check those platforms myself.
> 
> On my vista machine here at home with MinGW and msys, it seems to compile
> ok... although I get this error at the end when I do "make install"

I'll look into it, thanks.

> Also,
> are their any instructions anywhere on how to run the test suite?

Just run 'make check'.

Later,
	Luigi


-- 

Brady's First Law of Problem Solving: 
When confronted by a difficult problem, you can solve it more 
easily by reducing it to the question, "How would the Lone 
Ranger have handled this?" 

Re: [Quantlib-dev] Preliminary 0.9.0 tarballs

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

>> I'm especially interested in how they fare in the Cygwin and/or MinGW
>> shells, as I can't check those platforms myself.

On my vista machine here at home with MinGW and msys, it seems to compile
ok... although I get this error at the end when I do "make install"

....
make  install-exec-hook
make[4]: Entering directory `/home/QuantLib-0.9.0/ql'
mv /usr/local/lib/libQuantLib.a /usr/local/lib/libQuantLib-0.9.0.a
cp -p libQuantLib-0.9.0.a /usr/local/lib/libQuantLib.a
cp: cannot stat `libQuantLib-0.9.0.a': No such file or directory
make[4]: *** [install-exec-hook] Error 1
make[4]: Leaving directory `/home/QuantLib-0.9.0/ql'
make[3]: *** [install-exec-am] Error 2
make[3]: Leaving directory `/home/QuantLib-0.9.0/ql'
make[2]: *** [install-am] Error 2
make[2]: Leaving directory `/home/QuantLib-0.9.0/ql'
make[1]: *** [install-recursive] Error 1
make[1]: Leaving directory `/home/QuantLib-0.9.0/ql'
make: *** [install-recursive] Error 1
....

I assume I can just manually rename libQuantLib-0.9.0.a to libQuantLib.a and
then things will be ok... but not sure why this error is happening. Also,
are their any instructions anywhere on how to run the test suite? or could
someone provide me with some instructions on doing that? Thanks,

- Matt
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[Quantlib-dev] [ quantlib-Bugs-545734 ] impliedVolatility when exdivdate==today

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

Bugs item #545734, was opened at 2002-04-18 19:17
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=545734&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: Closed
>Resolution: Out of Date
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Luigi Ballabio (lballabio)
Summary: impliedVolatility when exdivdate==today

Initial Comment:
FdDividendAmericanOption::impliedVolatility fails, 
printing "out of memory", if the first exdividend date 
is zero, i.e. today.

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2007-11-28 16:31

Message:
Logged In: YES 
user_id=75450
Originator: NO

The FdDividendAmericanOption class is no longer provided.
The bug cannot be reproduced with the current DividendVanillaOption and
FDAmericanDividendEngine classes.

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

Comment By: Nobody/Anonymous (nobody)
Date: 2002-04-18 19:23

Message:
Logged In: NO 

This is a program that shows the failure. I tried to add it 
as attachment, but that didn't work.

#include <ql/quantlib.hpp>

using namespace QuantLib;
using DayCounters::Actual365;
using QuantLib::Pricers::FdDividendAmericanOption;
using QuantLib::Pricers::FdAmericanOption;


int main(int argc, char* argv[])
{
  try {
    double underlying = 100;
    double strike = 100;      // at the money
    Rate riskFreeRate = 0.0; // 5%
    double volatility = 0.20; // 20%

    Actual365 dayCounter;

    Date today(Day(12), Month(4), Year(2002));
    Date expiration(Day(13), Month(5), Year(2002));

    Time maturity = dayCounter.yearFraction(today, 
expiration);

    std::vector<Time> dividendList;
    dividendList.push_back(2.0);

    double totalDiv = 0.0;
    for (int i=0; i<dividendList.size(); ++i) {
      totalDiv += dividendList[i];
    }
	 
    Spread dividendYield = totalDiv/(underlying*maturity);
       
    Size timeSteps=100, assetSteps = 100;

    FdAmericanOption myAmericanOption(Option::Call, 
underlying, strike,
				      dividendYield, 
riskFreeRate, maturity, volatility,
				      timeSteps, 
assetSteps);

    double myAmericanOptionValue = myAmericanOption.value();

    std::cerr << "maturity=" << maturity
	      << " underlying=" << underlying
	      << " strike=" << strike
	      << " riskFreeRate=" << riskFreeRate
	      << " volatility=" << volatility
	      << " dividendYield=" << dividendYield
	      << " contDiv=" << myAmericanOptionValue
	      << std::endl;

    for (Date exdivdate=expiration; exdivdate>=today; 
exdivdate--) {
      // std::cerr << exdivdate << '\n';
      std::vector<Time> exdivtimeList;
      exdivtimeList.push_back(dayCounter.yearFraction
(today, exdivdate));

      FdDividendAmericanOption myDividendAmericanOption
(Option::Call, underlying, strike,
						
	0.0, riskFreeRate, maturity, volatility,
						
	dividendList, exdivtimeList,
						
	timeSteps, assetSteps);

      double impliedVol = 
myDividendAmericanOption.impliedVolatility
(myAmericanOptionValue);
	
      std::cout << exdivdate << ' ' << 
DoubleFormatter::toString(impliedVol, 6) << std::endl;
    }


    return 0;
  } catch (std::exception& e) {
    std::cout << e.what() << std::endl;
    return 1;
  } catch (...) {
    std::cout << "unknown error" << std::endl;
    return 1;
  }
}


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

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[Quantlib-dev] Pricing Forward Options under Heston model

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

Hi there!
The ForwardEngine template requires a GeneralizedBlackScholesProcess. Is there any template to use for forward starting options under a more general process type assumption like, e.g., Heston? Afaik, the least common node in the inheritance diagram is GenericEngine, right?

Rgds
Frank
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[Quantlib-dev] [ quantlib-Bugs-613469 ] negative vega in FdDividendAmericanOptio

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

Bugs item #613469, was opened at 2002-09-24 00:35
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=613469&group_id=12740

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including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
>Status: Closed
>Resolution: Out of Date
Priority: 5
Private: No
Submitted By: Vadim Ogranovich (vograno)
>Assigned to: Luigi Ballabio (lballabio)
Summary: negative vega in FdDividendAmericanOptio

Initial Comment:
When an american option is deeply in-the-money (close to 
being exercised) FdDividendAmericanOption sometimes 
yields negative vega, see the attached C++ program to 
reproduce the bug

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2007-11-28 15:23

Message:
Logged In: YES 
user_id=75450
Originator: NO

The FdDividendAmericanOption class is no longer in the library.

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Re: [Quantlib-dev] 0.9.0 release branch

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

Hi Luigi,
the new branch compiles and passes the tests on OS X, Tiger(10.4.11),
as compiled on my MacBook Pro.
I would be interested to know if anybody manage to compile it on  
Leopard.

Marco

+-------------------------------------------------------+
| Marco Marchioro, Ph. D., Head of Quantitative Finance |
|                    www.statpro.com                    |
+-------------------------------------------------------+

On Tuesday, 2007-11-27 , at 13:50 , Luigi Ballabio wrote:

>
> Hi all,
> 	I've just created a release branch for QuantLib 0.9.0. You can  
> check it
> out from the Subversion repository at
> <https://quantlib.svn.sourceforge.net/svnroot/quantlib/branches/ 
> R000900-branch>.
>
> As usual, bug fixes should be committed on the branch; new  
> developments
> should go on the trunk.
>
> Later,
> 	Luigi
>
>
> -- 
>
> Poets have been mysteriously silent on the subject of cheese.
> -- Gilbert K. Chesterton 
>
>
>
> ---------------------------------------------------------------------- 
> ---
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[Quantlib-dev] [ quantlib-Bugs-1538952 ] CRR Binomial Negative Probability Error

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

Bugs item #1538952, was opened at 2006-08-11 23:02
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1538952&group_id=12740

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including the initial issue submission, for this request,
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Category: None
Group: None
>Status: Closed
>Resolution: Out of Date
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Luigi Ballabio (lballabio)
Summary: CRR Binomial Negative Probability Error

Initial Comment:
When calculating impliedVolatility for an american 
call using the Cox-Ross-Rubinstein Binomial vanilla 
engine, I receive the following error:

"negative probability"


(this also occurs for the "tian" binomial model)

See attached source code, contains parameters and the 
code I'm using (C# via SWIG)


However, when I change to other Binomial models 
(eg: "jr" or "eqp" instead of "crr") this error does 
not occur, and the implied vol is calculated at 
approximately 37.47%

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2007-11-28 13:04

Message:
Logged In: YES 
user_id=75450
Originator: NO

Due to code changes (implied-volatility calculation now hard-codes the
engine) the above is no longer applicable in release 0.9.0.

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[Quantlib-dev] [ quantlib-Bugs-1656248 ] Error in cashflowvectors if a single cash flow exists

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

Bugs item #1656248, was opened at 2007-02-09 17:59
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1656248&group_id=12740

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including the initial issue submission, for this request,
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Category: None
Group: None
>Status: Closed
>Resolution: Invalid
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Error in cashflowvectors if a single cash flow exists

Initial Comment:
Version: 0.3.14
File: cashflowvectors.cpp

Error if a forward starting bond is created and the start date is Saturday and the maturity date is on the following Monday. SCHEDULE only create one cash flow date. Routines ends with an error on row with
Date start = schedule.date(0), end = schedule.date(1);

My Fix:
int indxend = (schedule.size() <= 1) ? 0 : 1;
Date start = schedule.date(0), end = schedule.date(indxend);

Best regards

Thomas Karlström

EMAIL: tho...@fr...

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2007-11-28 11:32

Message:
Logged In: YES 
user_id=75450
Originator: NO

The behavior is correct---If only one date is given, an error should be
launched as the code does not make assumptions (such as the assumption that
the given date is to be used twice.)
If you really want the bond to start on a Saturday, you'll probably want
to use the Unadjusted convention when you instantiate the schedule. This
will keep both dates and allow you to instantiate the bond.

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

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[Quantlib-dev] Preliminary 0.9.0 tarballs

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

Hi all,
	preliminary tarballs for the 0.9.0 release are available at
<http://quantlib.org/prerelease/>. If you have some spare cycles on your
box, please try them out and let me know if there are any problems. (I'm
especially interested in how they fare in the Cygwin and/or MinGW
shells, as I can't check those platforms myself.)

Thanks,
	Luigi


-- 

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

Re: [Quantlib-dev] Partial greeks calculation for MonteCarloed basket options

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

On Tue, 2007-11-27 at 13:40 +0100, "Frank H=C3=B6vermann" wrote:
> Hi there!
> What is the most general way to calculate (partial) greeks for a
> MultiAssetOption or a BasketOption? Does anyone ever had the chance to
> implement something like this? E.g., in the case of delta at least I
> am not able move the spot of the underlying StochasticProcess within
> the option's class. Any hints are more than welcome.

You have to move the spot from outside the class. See for instance
EuropeanOption::testGreeks() in test-suite/europeanoption.cpp; you can
look at the part where the "expected" map is filled.

This said, as Simon mentioned, you'll have to be careful of numerical
artifacts in the results if you're using Monte Carlo.

Luigi


--=20

Harrison's Postulate:=20
For every action, there is an equal and opposite criticism.=20