quantlib-dev — Discussion of QuantLib development

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

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

Hi Simon,
yes, I know there are many papers (e.g. one can find lots of references and a comprehensive treatment in Glasserman's book on MC methods). What I meant was how and where to implement such a thing within the QuantLib framework. Is there any canonical place within the QuantLib code to start from?

Rgds Frank

-------- Original-Nachricht --------
> Datum: Tue, 27 Nov 2007 13:40:33 +0000
> Von: "Simon Ibbotson" <s.i...@gm...>
> An: "Frank Hövermann" <fho...@gm...>
> CC: qua...@li...
> Betreff: Re: [Quantlib-dev] Partial greeks calculation for MonteCarloed basket options

> Hi Frank,
> 
> Depends on the payoff. If you have to use Monte-Carlo, then the best way
> to
> calculate Greeks is via pathwise or likelihood methods. There are plenty
> of
> papers out there on this.
> 
> If the payoff is suitable, try using a single lognormal process and
> moment-matching. This works extremely well for simple basket options.
> 
> Simon
> 
> 
> On 11/27/07, "Frank Hövermann" <fho...@gm...> 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.
> >
> > Regards Frank
> > --
> > Der GMX SmartSurfer hilft bis zu 70% Ihrer Onlinekosten zu sparen!
> > Ideal für Modem und ISDN: http://www.gmx.net/de/go/smartsurfer
> >
> >
> -------------------------------------------------------------------------
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> >

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

[Simon I. <s.i...@gm...>]

Hi Frank,

Depends on the payoff. If you have to use Monte-Carlo, then the best way to
calculate Greeks is via pathwise or likelihood methods. There are plenty of
papers out there on this.

If the payoff is suitable, try using a single lognormal process and
moment-matching. This works extremely well for simple basket options.

Simon


On 11/27/07, "Frank H=F6vermann" <fho...@gm...> 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.
>
> Regards Frank
> --
> Der GMX SmartSurfer hilft bis zu 70% Ihrer Onlinekosten zu sparen!
> Ideal f=FCr Modem und ISDN: http://www.gmx.net/de/go/smartsurfer
>
> -------------------------------------------------------------------------
> 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] 0.9.0 release branch

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

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 

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

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

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.

Regards Frank
-- 
Der GMX SmartSurfer hilft bis zu 70% Ihrer Onlinekosten zu sparen! 
Ideal für Modem und ISDN: http://www.gmx.net/de/go/smartsurfer

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [13536] trunk/QuantLib/ql/processes

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

On Mon, 2007-11-26 at 15:28 +0100, Ferdinando Ametrano wrote:
> what is the bug which has been fixed?

Wasn't it obvious from the diff?  :)

When passed the array of the variables of all underlying processes, the
joint process was failing to distribute them properly. All underlying
processes were passed the same variables.

Luigi


-- 

Better to remain silent and be thought a fool than to speak out and 
remove all doubt. 
-- Abraham Lincoln 

[Quantlib-dev] [ quantlib-Bugs-979504 ] G2 gives wrong result.

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Bugs item #979504, was opened at 2004-06-25 08:23
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Category: None
Group: None
>Status: Closed
>Resolution: Fixed
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Luigi Ballabio (lballabio)
Summary: G2 gives wrong result.

Initial Comment:
I was trying to use the newest CVS version of the G2++
model and I realized that the ATM and OTM values of the
bermudan swaption example look much lower than for the
HW and BK models.

Actually, in my opinion for a 2 factor model the
results should be more accurate than for 1 factor. So I
guess there might be still a little bug?

 

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

Comment By: Lars Schouw (schouwla)
Date: 2005-12-29 01:37

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Works not please but this bug to resolved.

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[Quantlib-dev] [ quantlib-Bugs-1662397 ] Error in BermudanSwaption Example?

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Bugs item #1662397, was opened at 2007-02-17 17:21
Message generated for change (Comment added) made by lballabio
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Category: None
Group: None
>Status: Closed
>Resolution: Invalid
Priority: 5
Private: No
Submitted By: Bert (tbms1)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Error in BermudanSwaption Example?

Initial Comment:
Hi,
I suppose there could be an error in BermudanSwaption.cpp of the examples (see around lines 175)

        for (i=0; i<numRows; i++) {
            Size j = numCols - i -1; // 1x5, 2x4, 3x3, 4x2, 5x1
//This causes j to have the values: 4,3,2,1,0
//I guess this is not what is supposed to happen when the period is set to 4,3,2,1,0 4 lines below

            Size k = i*numCols + j;
            boost::shared_ptr<Quote> vol(new SimpleQuote(swaptionVols[k]));
            swaptions.push_back(boost::shared_ptr<CalibrationHelper>(new
                SwaptionHelper(swaptionMaturities[i],
                               Period(swapLenghts[j], Years),
                               Handle<Quote>(vol),
                               indexSixMonths,
                               indexSixMonths->tenor(),
                               indexSixMonths->dayCounter(),
                               indexSixMonths->dayCounter(),
                               rhTermStructure)));
            swaptions.back()->addTimesTo(times);
        }



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

>Comment By: Luigi Ballabio (lballabio)
Date: 2007-11-26 15:31

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No, this is correct. j is used to index into swapLenghts (defined earlier
in the file) so that for j = { 4,3,2,1,0 } the periods are { 5Y, 4Y, 3Y,
2Y, 1Y }. These combine with the maturities to yield the diagonal of the
swaption matrix.

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Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [13536] trunk/QuantLib/ql/processes

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

On Nov 26, 2007 1:46 PM, <lba...@us...> wrote:
> Revision: 13536
>          http://quantlib.svn.sourceforge.net/quantlib/?rev=13536&view=rev
> Author:   lballabio
> Date:     2007-11-26 04:46:20 -0800 (Mon, 26 Nov 2007)
>
> Log Message:
> -----------
> Bug fix
>
> Modified Paths:
> --------------
>    trunk/QuantLib/ql/processes/hybridhestonhullwhiteprocess.cpp
>    trunk/QuantLib/ql/processes/hybridhestonhullwhiteprocess.hpp
>    trunk/QuantLib/ql/processes/jointstochasticprocess.cpp
>    trunk/QuantLib/ql/processes/jointstochasticprocess.hpp

what is the bug which has been fixed?

thx in advance

ciao -- Nando

[Quantlib-dev] [ quantlib-Bugs-1610233 ] Bug in HullWhiteProcess.cpp

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Bugs item #1610233, was opened at 2006-12-06 16:59
Message generated for change (Comment added) made by lballabio
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Category: None
Group: None
>Status: Closed
>Resolution: Fixed
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Bug in HullWhiteProcess.cpp

Initial Comment:
The calculation in HullWhiteProcess.cpp of alpha seems wrong to me?

Shouldn't the forwardRate-part in the alpha-formula be calculated from time 0 till time t, instead of calcualting the forwardRate from 0 to 0?

Sincerely,
Jeroen,
Jer...@ho...

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2007-11-26 15:24

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The problem has been fixed.
Thanks for the report.

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

Comment By: Nobody/Anonymous (nobody)
Date: 2006-12-22 11:54

Message:
Logged In: NO 

I would like to correct my previous statement:

the forwardRate-part in the alpha-formula should be calculated from time t
till time t, instead of calcualting the forwardRate from 0 to 0. We need
the instantaneous forwardRate in this case, at time t.




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Re: [Quantlib-dev] Low-discrepancy tests

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

I am mystified in that I ran the test suite before check in and it
worked... However, I agree that cached values ought to change!

Replacing the cached values sounds like the best plan. My longer term
plan is to check against Frances Kuos implementation,

best


Mark


On 23/11/2007, Luigi Ballabio <lui...@gm...> wrote:
> Mark,
>        the test cases for Sobol sequences fail after you checked in the fix
> for the polynomial ordering. Should I just replace the values cached in
> the tests with the new calculated ones?
>
> Thanks,
>        Luigi
>
>
> --
>
> Vin: It's like this fellow I knew in El Paso. One day, he just took
> all his clothes off and jumped in a mess of cactus. I asked him that
> same question, "Why?"
> Calvera: And?
> Vin: He said, "It seemed like a good idea at the time."
> -- The Magnificent Seven
>
>
>


-- 
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] Low-discrepancy tests

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

Mark,
	the test cases for Sobol sequences fail after you checked in the fix
for the polynomial ordering. Should I just replace the values cached in
the tests with the new calculated ones?

Thanks,
	Luigi


-- 

Vin: It's like this fellow I knew in El Paso. One day, he just took 
all his clothes off and jumped in a mess of cactus. I asked him that 
same question, "Why?" 
Calvera: And? 
Vin: He said, "It seemed like a good idea at the time." 
-- The Magnificent Seven 

Re: [Quantlib-dev] SwapRateHelper does not compile...

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

On Fri, 2007-11-23 at 12:59 +0000, Toyin Akin wrote:
> The current version of SwapRateHelper within SVN does not compile when
> QL_USE_INDEXED_COUPON is defined.

Fixed, thanks.

Luigi


-- 

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

[Quantlib-dev] [ quantlib-Bugs-1592469 ] QuantLib-doc conflicts with man-pages

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

Bugs item #1592469, was opened at 2006-11-08 08:37
Message generated for change (Comment added) made by lballabio
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Category: None
Group: None
>Status: Closed
>Resolution: Wont Fix
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Luigi Ballabio (lballabio)
Summary: QuantLib-doc conflicts with man-pages

Initial Comment:
the 2 files in the package QuantLib-doc-0.3.13-4.fc6
/usr/share/man/man3/err.3.gz
/usr/share/man/man3/y0.3.gz

conflict with 2 files with the same name in the package
man-pages-2.39-5

Thank you

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2007-11-23 16:19

Message:
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This is a packaging issue. Please contact the package maintainer for your
distribution.

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[Quantlib-dev] SwapRateHelper does not compile...

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

=20
Hi,
=20
The current version of SwapRateHelper within SVN does not compile when QL_U=
SE_INDEXED_COUPON is defined.
=20
Toy out...
=20
=20
_________________________________________________________________
Get free emoticon packs and customisation from Windows Live.=20
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[Quantlib-dev] [ quantlib-Bugs-1797273 ] Compile Error using gcc 3.4.1 on Intel Solaris 10

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Bugs item #1797273, was opened at 2007-09-18 21:25
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Category: None
Group: None
>Status: Closed
>Resolution: Fixed
Priority: 5
Private: No
Submitted By: Sameer D'Costa (sameerd)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Compile Error using gcc 3.4.1 on Intel Solaris 10

Initial Comment:
The latest svn version (12714) does not compile under gcc 3.4.1 on Intel Solaris 10. The end of the error message looks like 

analyticcontinuousfloatinglookback.cpp: In member function `QuantLib::Real QuantLib::AnalyticContinuousFloatingLookbackEngine::A(QuantLib::Real) const':
analyticcontinuousfloatinglookback.cpp:113: error: expected primary-expression before numeric constant
analyticcontinuousfloatinglookback.cpp:113: error: expected `;' before numeric constant


It appears that the variable SS in ql/PricingEngines/Lookback/analyticcontinuousfixedlookback.cpp  line 113 is conflicting with something else. Attached a diff to fix the problem. 

Note:
It appears that this error was reported by someone else before but I did not see a bug report filed. http://osdir.com/ml/finance.quantlib.devel/2006-09/msg00016.html

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

Comment By: Luigi Ballabio (lballabio)
Date: 2007-11-23 11:14

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The bug is now fixed in CVS.
Thank you for the report.


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Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [13501] trunk/QuantLib

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

On Thu, 2007-11-22 at 12:01 -0800, na...@us... wrote:
> Log Message:
> -----------
> added DateGeneration::Rule enumeration to be used by Schedule class
> 
> Added Paths:
> -----------
>     trunk/QuantLib/ql/time/dategenerationrule.cpp
>     trunk/QuantLib/ql/time/dategenerationrule.hpp

Nando,
	do you mind if I keep these out of the release while they're not used?
Also, maybe they could be an inner enumeration in the Schedule class?

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 

[Quantlib-dev] [ quantlib-Bugs-1121342 ] Implementation of Monotone Spline

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Bugs item #1121342, was opened at 2005-02-12 15:37
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Category: None
Group: None
>Status: Closed
>Resolution: Works For Me
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Ferdinando Ametrano (nando)
Summary: Implementation of Monotone Spline 

Initial Comment:
My email address is ala...@gm...

The implementation of the Hyman filter for the 
monotonising of the cubic spline is wrong.  The Hyman 
constraints are corrrectly specified but are applied to the
second derivative of the function (y'') rather than to y'.  
In order to implement correctly you need to

i) solve for the y'' values at the node in the usual way
ii) compute the first derivative values y' at each node
iii) generate the appropriate lagrange cubic polynomials 
through the node points with the correct y' value at the 
ends.

The incorrect approach does not guarantee to produce 
monotone splines.  

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

Comment By: Ferdinando Ametrano (nando)
Date: 2005-02-14 11:20

Message:
Logged In: YES 
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why do you say that the contraints are "applied to the
second derivative of the function (y'') rather than to y'." ?

I wrote the code some time ago and I might be rusty, but it
looks to me that the Hyman filter is correctly applied to
the first derivative.

Beside the test suite is able to correctly reproduce Hyman
numerical examples.

Do you have a numerical examples to show a possible
monotonicity failure of the current implementation?

thank you


ciao -- Nando

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[Quantlib-dev] [ quantlib-Bugs-1618299 ] Xibor.fixing() does not work properly on some days

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Bugs item #1618299, was opened at 2006-12-18 19:31
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Category: None
Group: None
>Status: Closed
>Resolution: Invalid
Priority: 5
Private: No
Submitted By: Jay Walters (jwalters)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Xibor.fixing() does not work properly on some days

Initial Comment:
I am trying to bootstrap a PiecewiseYieldCurve with a SwapRateHelper holding a 5y swap rate.  This is a USD curve.

The Upfrontindexedcoupon class contains a coupon period from 6/20/2011 to 12/19/2011. The unadjusted start date is 6/19/2011, which is a Sunday so it has been adjusted to be 6/20/2011.  Note this does not require any change in the end/maturity date.

When the rate() method is called upon this object it calls indexFixing and it passes in the fixing date as the argument, with settlement days as 2, then the fixing date becomes 6/16/2011.  Now if we call into USDLibor to get the fixing, we notice this date is in the future so we must forecast the fixing.  The logic here computes the value date as fixing date + 2 adjusted to be a business day which is 6/20/2011 and the maturity date computed by adding a 6M tenor becomes 12/20/2011.  But the rate I really need is 6/20/2011 to 12/19/2011.

It seems to be (several classes of logic) to be depending on the relationship that adjusted start date + tenor = end date.

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2007-11-23 09:46

Message:
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That is because you're using indexed coupons. In this case, the fixing
used is the forecast Libor rate at the value date, which is (by definition
of Libor) that from the value date to value date + tenor.
If you want to forecast from the coupon start date to the coupon end date,
use ParCoupon instead.

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[Quantlib-dev] [ quantlib-Bugs-1472546 ] Mac OS X 10.4. Configure fails

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

Bugs item #1472546, was opened at 2006-04-18 21:25
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Category: None
Group: None
>Status: Closed
>Resolution: Works For Me
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Mac OS X 10.4. Configure fails

Initial Comment:
I have installed boost libs in /usr/local/include and usr/local/bin dirs,
however running ./configure gives configure: error: Boost development 
files not found and quits. 

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

Comment By: Nobody/Anonymous (nobody)
Date: 2006-10-13 16:18

Message:
Logged In: NO 

You should try ln -s the boost directory that inside /usr/local/include/
boost-1_33_1/boost to /usr/local/include/boost _ 
PowerMike

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

Comment By: jsargent (j_sargent_99)
Date: 2006-04-20 04:22

Message:
Logged In: YES 
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I experienced something similar.  When I built and installed boost (in
/Users/
myName/dev/include), it creates an enclosing folder for the version of
boost 
that was built, i.e. the header files end up in
/Users/myName/dev/include/
boost-1_34/boost/.

For QuantLib to build I had to use the configure options to explicitly
locate 
the boost install like so:
./configure --with-boost-include=/Users/myName/dev/include/boost-1_34 
--with-boost-lib=/Users/myName/dev/lib

There may be a more elegant way to resolve it, but everything built and
ran 
fine after that.

Jeff



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

Comment By: Luigi Ballabio (lballabio)
Date: 2006-04-19 11:47

Message:
Logged In: YES 
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Please look at config.log and post the relevant error messages.

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[Quantlib-dev] [ quantlib-Bugs-1608340 ] Chinese Calendars bug

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Bugs item #1608340, was opened at 2006-12-04 10:02
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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: Chinese Calendars bug

Initial Comment:
The y argument in SpringFestival() substract 1900 twice.  Thus the function references an illegal index of the array.

QuantLib-0.3.14\ql\Calendars:


    bool China::Impl::isBusinessDay(const Date& date) const {
        Weekday w = date.weekday();
        Day d = date.dayOfMonth();
        Month m = date.month();
        Year y = date.year();
        Day dd = date.dayOfYear();

        if (isWeekend(w)
            // New Year's Day
            || (d == 1 && m == January)
            // Labor Day
            || (d >= 1 && d <= 7 && m == May)
            // National Day
            || (d >= 1 && d <= 7 && m == October)
            // Lunar New Year 2004
            || (d >= 22 && d <= 28 && m == January && y==2004)
            // Spring Festival
            || (dd == springFestival(y-1900))
//                                    ^^^^^ once
            // Last day of Lunar Year
            || (dd == springFestival(y-1900)-1)
//                                    ^^^^^ once
            )
            return false;
        return true;
    }

    Day China::Impl::springFestival(Year y) {
        static const Day SpringFestival[] = {
            31,  51,  39,  29,  47,  36,  25,  44,  33,  22,   // 1900-1909
            41,  30,  49,  37,  26,  45,  34,  23,  42,  32,   // 1910-1919
            52,  39,  28,  47,  37,  24,  44,  33,  23,  41,   // 1920-1929
            30,  48,  37,  26,  45,  35,  24,  42,  31,  51,   // 1930-1939
            39,  27,  46,  37,  25,  44,  33,  22,  41,  29,   // 1940-1949
            48,  37,  27,  45,  34,  24,  43,  31,  49,  39,   // 1950-1959
            28,  46,  36,  25,  44,  33,  21,  40,  30,  48,   // 1960-1969
            37,  27,  46,  34,  23,  42,  31,  49,  38,  28,   // 1970-1979
            47,  36,  25,  44,  33,  51,  40,  29,  48,  37,   // 1980-1989
            27,  46,  36,  23,  41,  31,  51,  38,  28,  47,   // 1990-1999
            36,  24,  43,  32,  22,  40,  29,  49,  38,  26,   // 2000-2009
            45,  34,  23,  41,  31,  51,  39,  28,  47,  36,   // 2010-2019
            25,  43,  32,  22,  41,  29,  48,  37,  26,  44,   // 2020-2029
            34,  23,  42,  31,  50,  39,  28,  46,  36,  24,   // 2030-2039
            43,  32,  22,  41,  30,  48,  37,  26,  45,  33,   // 2040-2049
            23,  42,  32,  50,  39,  28,  46,  35,  24,  43,   // 2050-2059
            33,  21,  40,  29,  48,  36,  26,  45,  34,  23,   // 2060-2069
            42,  31,  51,  38,  27,  46,  36,  24,  43,  33,   // 2070-2079
            22,  40,  29,  48,  37,  26,  45,  35,  24,  41,   // 2080-2089
            30,  50,  38,  27,  46,  36,  25,  43,  32,  21,   // 2090-2099
        };
        return SpringFestival[y-1900];
//                             ^^^^^ twice
    }




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

>Comment By: Luigi Ballabio (lballabio)
Date: 2007-11-23 09:40

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

Thanks for the bug report. However, recent code changes made it obsolete.

Luigi


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1608340&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-1791654 ] autogen.sh error: possibly undefined macro: AC_PROG_LIBTOOL

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

Bugs item #1791654, was opened at 2007-09-10 17:08
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1791654&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: Invalid
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Luigi Ballabio (lballabio)
Summary: autogen.sh error: possibly undefined macro: AC_PROG_LIBTOOL

Initial Comment:
All,

Downloaded quantlib 0.8.1 and get everything (examples and test-suited) compiled and run. 

But I could not get autogen.sh work, here is the complete error message:
$ ./autogen.sh
configure.ac:63: error: possibly undefined macro: AC_PROG_LIBTOOL
      If this token and others are legitimate, please use m4_pattern_allow.
      See the Autoconf documentation.
autoreconf: /ms/user/w/wguo/autoconf-2.61/bin/autoconf failed with exit status: 1

Run the command ./configure --help for information on options
that can change the behavior of the library.


The relevant information, automake(1.9.6)/autoconf(2.61)/libtool(1.5.22) as shown here:
$ automake --version
automake (GNU automake) 1.9.6

$ autoconf --version
autoconf (GNU Autoconf) 2.61

$ libtool --version
ltmain.sh (GNU libtool) 1.5.22 (1.1220.2.365 2005/12/18 22:14:06)


Anything I may miss?

Thanks a lot in advance!
- Winston
win...@mo...

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2007-11-23 09:39

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

aclocal does not find libtool.m4 (provided with libtool.)  See the
automake/aclocal manual for information on how to fix this.

However, if you're compiling the released tarball, you don't need to run
autogen at all. Just untar the archive and run ./configure.

Luigi


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1791654&group_id=12740

Re: [Quantlib-dev] C++ help needed: singleton.hpp

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

Hi Luigi

you solved it, thanks!

Klaus


On Tuesday 20 November 2007 16:11:03 Luigi Ballabio wrote:
> On Sun, 2007-10-14 at 09:41 +0200, Klaus Spanderen wrote:
> > I'm having this problem using Visual Studio Express 2005 [...]
> > when compiled within a separate Visual Studio
> > solution _and_ the option
> >
> > Common Language Runtime-Support (/clr)
> >
> > is switched on. Everything is okay as soon as I'm switching this option
> > off or declaring
> >
> > inline T& Singleton<T>::instance() { ..}
>
> Klaus,
> 	I've committed a fix. May you try it and see if it works?
>
> Thanks,
> 	Luigi



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

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[13464] trunk/QuantLib/test-suite/interpolations.cpp

[Bianchetti M. <mar...@ba...>]

Reverted, sorry for the inconvenient.
M.


> -----Original Message-----
> From: qua...@li...=20
> [mailto:qua...@li...] On Behalf=20
> Of Luigi Ballabio
> Sent: 21 November 2007 11:46
> To: qua...@li...
> Subject: Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN:=20
> quantlib:[13464] trunk/QuantLib/test-suite/interpolations.cpp
>=20
>=20
>=20
> On Wed, 2007-11-21 at 00:43 -0800,=20
> mar...@us...
> wrote:
> > Revision: 13464
> >          =20
> http://quantlib.svn.sourceforge.net/quantlib/?rev=3D13464&view=3Drev
> > Author:   marcobianchetti
> > Date:     2007-11-21 00:43:28 -0800 (Wed, 21 Nov 2007)
> >=20
> > Modified: trunk/QuantLib/test-suite/interpolations.cpp
> > =
=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=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D
> > --- trunk/QuantLib/test-suite/interpolations.cpp=09
> 2007-11-20 16:52:55 UTC (rev 13463)
> > +++ trunk/QuantLib/test-suite/interpolations.cpp=09
> 2007-11-21 08:43:28 UTC (rev 13464)
> > @@ -21,17 +21,18 @@
> > =20
> > +#include <ql/math/interpolations/haganwestinterpolation.hpp>
>=20
> The above header file is not in the repository.
>=20
> Luigi

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [13464] trunk/QuantLib/test-suite/interpolations.cpp

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

On Wed, 2007-11-21 at 00:43 -0800, mar...@us...
wrote:
> Revision: 13464
>           http://quantlib.svn.sourceforge.net/quantlib/?rev=13464&view=rev
> Author:   marcobianchetti
> Date:     2007-11-21 00:43:28 -0800 (Wed, 21 Nov 2007)
> 
> Modified: trunk/QuantLib/test-suite/interpolations.cpp
> ===================================================================
> --- trunk/QuantLib/test-suite/interpolations.cpp	2007-11-20 16:52:55 UTC (rev 13463)
> +++ trunk/QuantLib/test-suite/interpolations.cpp	2007-11-21 08:43:28 UTC (rev 13464)
> @@ -21,17 +21,18 @@
>  
> +#include <ql/math/interpolations/haganwestinterpolation.hpp>

The above header file is not in the repository.

Luigi


-- 

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

Re: [Quantlib-dev] C++ help needed: singleton.hpp

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

On Sun, 2007-10-14 at 09:41 +0200, Klaus Spanderen wrote:
> I'm having this problem using Visual Studio Express 2005 [...]
> when compiled within a separate Visual Studio 
> solution _and_ the option
> 
> Common Language Runtime-Support (/clr)
> 
> is switched on. Everything is okay as soon as I'm switching this option off or 
> declaring 
> 
> inline T& Singleton<T>::instance() { ..}

Klaus,
	I've committed a fix. May you try it and see if it works?

Thanks,
	Luigi


-- 

There is no such thing as public opinion. There is only published
opinion. 
-- Winston Churchill