quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] Canada calendar - "family day" holiday, starting 2008

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

On Wed, 2007-11-14 at 14:23 -0800, mattknox_ca wrote:
> I just realized there will be a new holiday in the province of Ontario in
> Canada (which impacts the TSX) starting in 2008 called "family day"
> (http://en.wikipedia.org/wiki/Family_Day). Yes, it is a little silly, but
> I'm not one to complain about extra holidays :) .  Both bond markets and the
> TSX will be closed for this new holiday
> (http://www.tsx.com/en/market_activity/market_hours.html). I don't have a
> link confirming that bond markets (ie. the "settlement" calendar) will be
> closed, but I know that they will. This holiday will be on the third Monday
> in February every year (February 18th in 2008).

Matt,
	I've added it. Thanks for the info.

Luigi


-- 

fix, n.,v. 
What one does when a problem has been reported too many times 
to be ignored. 
-- the Jargon file 

Re: [Quantlib-dev] IRS conventions

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

People,=20
just to cross-check, but standard (eur) interest rate swaps quoted in
the market do have a fixed leg with ADJUSTED MODIFIED FOLLOWING
convention for accrual dates schedule, right ?
Many thanks
Marco

> -----Original Message-----
> From: qua...@li...=20
> [mailto:qua...@li...] On Behalf=20
> Of na...@us...
> Sent: 15 November 2007 12:24
> To: qua...@li...
> Subject: [QuantLib-svn] SF.net SVN: quantlib: [13383] trunk/QuantLib
>=20
>=20
> Revision: 13383
>          =20
> http://quantlib.svn.sourceforge.net/quantlib/?rev=3D13383&view=3Drev
> Author:   nando
> Date:     2007-11-15 03:24:24 -0800 (Thu, 15 Nov 2007)
>=20
> Log Message:
> -----------
> fixed bug:
> - swap index business day convention for the fixed leg was=20
> ModifiedFollowing instead of Unadjusted.
> - MakeVanillaSwap default fixed accordingly
>=20
> Modified Paths:
> --------------
>     trunk/QuantLib/QuantLib_vc8.vcproj
>     trunk/QuantLib/ql/indexes/swap/euriborswapfixb.cpp
>     trunk/QuantLib/ql/indexes/swap/euriborswapfixifr.cpp
>     trunk/QuantLib/ql/indexes/swap/eurliborswapfixa.cpp
>     trunk/QuantLib/ql/indexes/swap/eurliborswapfixb.cpp
>     trunk/QuantLib/ql/indexes/swap/eurliborswapfixifr.cpp
>     trunk/QuantLib/ql/instruments/makevanillaswap.cpp
>=20
> Modified: trunk/QuantLib/QuantLib_vc8.vcproj
> =
=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/QuantLib_vc8.vcproj	2007-11-15=20
> 11:12:16 UTC (rev 13382)
> +++ trunk/QuantLib/QuantLib_vc8.vcproj	2007-11-15=20
> 11:24:24 UTC (rev 13383)
> @@ -939,6 +939,10 @@
>  				Name=3D"ibor"
>  				>
>  				<File
> +				=09
> RelativePath=3D".\ql\indexes\ibor\all.hpp"
> +					>
> +				</File>
> +				<File
>  				=09
> RelativePath=3D".\ql\indexes\ibor\audlibor.hpp"
>  					>
>  				</File>
> @@ -1019,6 +1023,10 @@
>  				Name=3D"swap"
>  				>
>  				<File
> +				=09
> RelativePath=3D".\ql\indexes\swap\all.hpp"
> +					>
> +				</File>
> +				<File
>  				=09
> RelativePath=3D".\ql\indexes\swap\euriborswapfixa.cpp"
>  					>
>  				</File>
>=20
> Modified: trunk/QuantLib/ql/indexes/swap/euriborswapfixb.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/ql/indexes/swap/euriborswapfixb.cpp=09
> 2007-11-15 11:12:16 UTC (rev 13382)
> +++ trunk/QuantLib/ql/indexes/swap/euriborswapfixb.cpp=09
> 2007-11-15 11:24:24 UTC (rev 13383)
> @@ -34,7 +34,7 @@
>                  EURCurrency(),
>                  TARGET(),
>                  1*Years, // fixedLegTenor
> -                ModifiedFollowing, // fixedLegConvention
> +                Unadjusted, // fixedLegConvention
>                  Thirty360(Thirty360::BondBasis), //=20
> fixedLegDaycounter
>                  tenor > 1*Years ?
>                      boost::shared_ptr<IborIndex>(new Euribor6M(h)) :
>=20
> Modified: trunk/QuantLib/ql/indexes/swap/euriborswapfixifr.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/ql/indexes/swap/euriborswapfixifr.cpp=09
> 2007-11-15 11:12:16 UTC (rev 13382)
> +++ trunk/QuantLib/ql/indexes/swap/euriborswapfixifr.cpp=09
> 2007-11-15 11:24:24 UTC (rev 13383)
> @@ -34,7 +34,7 @@
>                  EURCurrency(),
>                  TARGET(),
>                  1*Years, // fixedLegTenor
> -                ModifiedFollowing, // fixedLegConvention
> +                Unadjusted, // fixedLegConvention
>                  Thirty360(Thirty360::BondBasis), //=20
> fixedLegDaycounter
>                  tenor > 1*Years ?
>                      boost::shared_ptr<IborIndex>(new Euribor6M(h)) :
>=20
> Modified: trunk/QuantLib/ql/indexes/swap/eurliborswapfixa.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/ql/indexes/swap/eurliborswapfixa.cpp=09
> 2007-11-15 11:12:16 UTC (rev 13382)
> +++ trunk/QuantLib/ql/indexes/swap/eurliborswapfixa.cpp=09
> 2007-11-15 11:24:24 UTC (rev 13383)
> @@ -34,7 +34,7 @@
>                  EURCurrency(),
>                  TARGET(),
>                  1*Years, // fixedLegTenor
> -                ModifiedFollowing, // fixedLegConvention
> +                Unadjusted, // fixedLegConvention
>                  Thirty360(Thirty360::BondBasis), //=20
> fixedLegDaycounter
>                  tenor > 1*Years ?
>                      boost::shared_ptr<IborIndex>(new EURLibor6M(h)) :
>=20
> Modified: trunk/QuantLib/ql/indexes/swap/eurliborswapfixb.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/ql/indexes/swap/eurliborswapfixb.cpp=09
> 2007-11-15 11:12:16 UTC (rev 13382)
> +++ trunk/QuantLib/ql/indexes/swap/eurliborswapfixb.cpp=09
> 2007-11-15 11:24:24 UTC (rev 13383)
> @@ -34,7 +34,7 @@
>                  EURCurrency(),
>                  TARGET(),
>                  1*Years, // fixedLegTenor
> -                ModifiedFollowing, // fixedLegConvention
> +                Unadjusted, // fixedLegConvention
>                  Thirty360(Thirty360::BondBasis), //=20
> fixedLegDaycounter
>                  tenor > 1*Years ?
>                      boost::shared_ptr<IborIndex>(new EURLibor6M(h)) :
>=20
> Modified: trunk/QuantLib/ql/indexes/swap/eurliborswapfixifr.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/ql/indexes/swap/eurliborswapfixifr.cpp=09
> 2007-11-15 11:12:16 UTC (rev 13382)
> +++ trunk/QuantLib/ql/indexes/swap/eurliborswapfixifr.cpp=09
> 2007-11-15 11:24:24 UTC (rev 13383)
> @@ -34,7 +34,7 @@
>                  EURCurrency(),
>                  TARGET(),
>                  1*Years, // fixedLegTenor
> -                ModifiedFollowing, // fixedLegConvention
> +                Unadjusted, // fixedLegConvention
>                  Thirty360(Thirty360::BondBasis), //=20
> fixedLegDaycounter
>                  tenor > 1*Years ?
>                      boost::shared_ptr<IborIndex>(new EURLibor6M(h)) :
>=20
> Modified: trunk/QuantLib/ql/instruments/makevanillaswap.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/ql/instruments/makevanillaswap.cpp=09
> 2007-11-15 11:12:16 UTC (rev 13382)
> +++ trunk/QuantLib/ql/instruments/makevanillaswap.cpp=09
> 2007-11-15 11:24:24 UTC (rev 13383)
> @@ -40,8 +40,8 @@
>        discountingTermStructure_(index->termStructure()),
>        type_(VanillaSwap::Payer), nominal_(1.0),
>        fixedTenor_(Period(1, Years)), floatTenor_(index->tenor()),
> -      fixedConvention_(ModifiedFollowing),
> -      fixedTerminationDateConvention_(ModifiedFollowing),
> +      fixedConvention_(Unadjusted),
> +      fixedTerminationDateConvention_(Unadjusted),
>        floatConvention_(ModifiedFollowing),
>        floatTerminationDateConvention_(ModifiedFollowing),
>        fixedBackward_(true), floatBackward_(true),
>=20
>=20
> This was sent by the SourceForge.net collaborative=20
> development platform, the world's largest Open Source=20
> development site.
>=20
> --------------------------------------------------------------
> -----------
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> https://lists.sourceforge.net/lists/listinfo/quantlib-cvs
>=20

Re: [Quantlib-dev] qlAbcd

[Duminuco C. <cri...@ba...>]

The classes related to abcd (function, calibration, interpolation) have
been refactored.
Now piecewiseconstantabcd.xls should work.
Please, let me know about every workbook that should not work because of
this reason.

Cristina

-----Original Message-----
From: qua...@li...
[mailto:qua...@li...] On Behalf Of Mark
joshi
Sent: 15 November 2007 05:28
To: qua...@li...
Subject: [Quantlib-dev] qlAbcd


The qlabcd functions seems to have changed their names. But not in the
workbooks, e.g. piecewiseconstantabcd.xls

Anyone know what's going on?

thanks

Mark


--=20
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

------------------------------------------------------------------------
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Still grepping through log files to find problems?  Stop.
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Re: [Quantlib-dev] test suite issue

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

I think the issue is that it uses Mersenne to randomize which uses
time to set the seed. So most of the time it passes but once in a
while it fails. This is essentially correct behaviour but annoying.
I'm thinking the best solution is to set the seed in the Mersenne
manually.

Mark


On 15/11/2007, Luigi Ballabio <lui...@gm...> wrote:
>
> On Thu, 2007-11-15 at 10:43 +1100, Mark joshi wrote:
> > Well I just build the test-suite in VC 7 and the randomized lattice
> > rules all passed the test.
>
> Yes, they do. The error happens only once in a while. Maybe it's
> statistics---I mean, if one runs it enough times, it's bound to
> eventually exceed the given tolerance. Is this possible?
>
> Luigi
>
>
> --
>
> I'd never join any club that would have the likes of me as a member.
> -- Groucho Marx
>
>
>


-- 
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] Piecewise yield curve interpolation using cubic splines

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

Some time ago an issue popped up with a maximum set of discretely chosen points on a yield curve to be fitted by a cubic spline. I encountered the same but an additional aspect showed up: This problem seems to be machine dependent. On one system I am able to use points up to 15 years on the curve, on the other only up to a year or so. Does anyone have a clue why this may be as it is?

Regards
Frank
-- 
Ist Ihr Browser Vista-kompatibel? Jetzt die neuesten 
Browser-Versionen downloaden: http://www.gmx.net/de/go/browser

Re: [Quantlib-dev] test suite issue

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

On Thu, 2007-11-15 at 10:43 +1100, Mark joshi wrote:
> Well I just build the test-suite in VC 7 and the randomized lattice
> rules all passed the test.

Yes, they do. The error happens only once in a while. Maybe it's
statistics---I mean, if one runs it enough times, it's bound to
eventually exceed the given tolerance. Is this possible?

Luigi


-- 

I'd never join any club that would have the likes of me as a member. 
-- Groucho Marx 

[Quantlib-dev] qlAbcd

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

The qlabcd functions seems to have changed their names. But not in the
workbooks, e.g. piecewiseconstantabcd.xls

Anyone know what's going on?

thanks

Mark


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

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

[Quantlib-dev] test suite issue

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

Well I just build the test-suite in VC 7 and the randomized lattice
rules all passed the test.

Do you have more colour on this, Klaus?

regards

Mark

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

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

[Quantlib-dev] Canada calendar - "family day" holiday, starting 2008

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

First of all, thank you Luigi for the previous fix regarding Remembrance day
in the Canadian calendar.

I just realized there will be a new holiday in the province of Ontario in
Canada (which impacts the TSX) starting in 2008 called "family day"
(http://en.wikipedia.org/wiki/Family_Day). Yes, it is a little silly, but
I'm not one to complain about extra holidays :) .  Both bond markets and the
TSX will be closed for this new holiday
(http://www.tsx.com/en/market_activity/market_hours.html). I don't have a
link confirming that bond markets (ie. the "settlement" calendar) will be
closed, but I know that they will. This holiday will be on the third Monday
in February every year (February 18th in 2008).

I'm a big fan of QuantLib, I think it is amazing work that you guys are
doing. Thanks for everything.

- Matt

-- 
View this message in context: http://www.nabble.com/Canada-calendar---%22family-day%22-holiday%2C-starting-2008-tf4808375.html#a13757708
Sent from the quantlib-dev mailing list archive at Nabble.com.

Re: [Quantlib-dev] Implementation of Milstein discretization scheme

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

Hi Frank,
=20
I'm pretty new to these discretization schemes, however there seems to be q=
uite a few implemented within the hestonprocess class.
=20
I'm not too sure whether these discretization schemes are spcific to the he=
ston process only, or whether these can be factored out into their own clas=
ses and used elsewhere...
=20
Thoughts anyone...
=20
Toy out.
=20
> Date: Mon, 5 Nov 2007 10:52:37 +0100> From: fho...@gm...> To: quant=
li...@li...> Subject: [Quantlib-dev] Implementation of Mi=
lstein discretization scheme> > Is there any suggestion how to implement a =
Milstein scheme? The main difference between Euler and Milstein discretizat=
ion is that for, e.g., a geometric Brownian motion it incorporates a drift =
correction which involves the realization of the standard normal variate wh=
ich also applies to the corresponding diffusion part. One would have to pas=
s a dw parameter to the discretization itself. In the multidimensional case=
 one would have to pass off-diagonal terms as well (see Peter J=E4ckel's bo=
ok on 'Monte Carlo Methods in Finance'). Predictor-corrector mechanisms see=
m to be covered by the already existing setup for the Euler discretization.=
 Any suggestions?> > Regards> Frank> -- > Ist Ihr Browser Vista-kompatibel?=
 Jetzt die neuesten > Browser-Versionen downloaden: http://www.gmx.net/de/g=
o/browser> > --------------------------------------------------------------=
-----------> This SF.net email is sponsored by: Splunk Inc.> Still grepping=
 through log files to find problems? Stop.> Now Search log events and confi=
guration files using AJAX and a browser.> Download your FREE copy of Splunk=
 now >> http://get.splunk.com/> ___________________________________________=
____> QuantLib-dev mailing list> Qua...@li...> https:=
//lists.sourceforge.net/lists/listinfo/quantlib-dev
_________________________________________________________________
Feel like a local wherever you go.
http://www.backofmyhand.com=

Re: [Quantlib-dev] Volatility curves... Oh my, there are so many...

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

If anyone responds to this request, please post to the entire board as
there are several others of us who are equally idiots (with apologies
to Toyin) w.r.t. the vol structures.

Cheers
Simon

On Nov 14, 2007 2:30 AM, Toyin Akin <toy...@ho...> wrote:
> Hi all,
>
> Over the last year the number of volatility cuves have certainly increased.
>
> I'm taking a look now in order to construct curves to represent...
>
> cap/floor volatilities
> swaption volatilities
> fx volatilities and
> equity volatilities
>
> Can somebody give a quick "idiots guide" to the concrete volatility classes
> and if there are multiple classes for a particular asset class (ie -
> swaption) what are the pros/cons?
>
> Finally, smilesection is seen heavily in the code, what is this?
>
> Thanks in advance,
> Toy out...
>
> ________________________________
> The next generation of MSN Hotmail has arrived - Windows Live Hotmail
>
> -------------------------------------------------------------------------
> This SF.net email is sponsored by: Splunk Inc.
> Still grepping through log files to find problems?  Stop.
> Now Search log events and configuration files using AJAX and a browser.
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> _______________________________________________
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> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>

[Quantlib-dev] test suite error

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

I'll try to find some time to look at this. My best guess is that the
randomizer is using a different seed in VC7 than VC8.

Mark


> Testing randomized lattice sequences, C up to dimension 30...
> ./lowdiscrepancysequences.cpp(156): error in
> "LowDiscrepancyTest::testRandomizedLattices": Lattice generatorC returns
> a mean of 0.49985 with standard deviation -4.12168 in dimension 7


-- 
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] Volatility curves... Oh my, there are so many...

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

Hi all,
=20
Over the last year the number of volatility cuves have certainly increased.
=20
I'm taking a look now in order to construct curves to represent...=20
=20
cap/floor volatilities
swaption volatilities
fx volatilities and
equity volatilities
=20
Can somebody give a quick "idiots guide" to the concrete volatility classes=
 and if there are multiple classes for a particular asset class (ie - swapt=
ion) what are the pros/cons?
=20
Finally, smilesection is seen heavily in the code, what is this?
=20
Thanks in advance,
Toy out...
_________________________________________________________________
100=92s of Music vouchers to be won with MSN Music
https://www.musicmashup.co.uk=

[Quantlib-dev] [ quantlib-Bugs-1830694 ] QuantLib::YieldTermStructure problem

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

Bugs item #1830694, was opened at 2007-11-12 22:42
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1830694&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: QuantLib::YieldTermStructure problem

Initial Comment:
Please, review attached file with compiler error.

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2007-11-13 18:12

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

It's a compiler bug. What compiler (including version) and operating
system are you using?


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1830694&group_id=12740

Re: [Quantlib-dev] NonLeastSquare with LevenbergMarquardt: small code update

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

On Thu, 2007-11-01 at 01:44 -0700, Yomi wrote:
> I was trying to make the NonLeastSquare algorithm.
> The results were not performing well using ConjugateGradient, so I have
> decided to use LevenbergMarquardt instead.
> 
> To make it work, you need to update the LeastSquareFunction values member
> function as follow: [...]

Done, thanks.

Luigi


-- 

Just remember what ol' Jack Burton does when the earth quakes, the 
poison arrows fall from the sky, and the pillars of Heaven shake. Yeah, 
Jack Burton just looks that big old storm right in the eye and says, 
"Give me your best shot. I can take it." 
-- Jack Burton, "Big trouble in Little China" 

[Quantlib-dev] [ quantlib-Bugs-1830694 ] QuantLib::YieldTermStructure problem

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

Bugs item #1830694, was opened at 2007-11-12 13:42
Message generated for change (Tracker Item Submitted) made by Item Submitter
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https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1830694&group_id=12740

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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: QuantLib::YieldTermStructure problem

Initial Comment:
Please, review attached file with compiler error.

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Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[13271]trunk/QuantLib/ql/instruments

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

On Fri, 2007-11-02 at 16:57 +0100, Bianchetti Marco wrote:
> > > Why not under a dedicated folder /instruments/inflation/ ?
> > 
> > I'm not particularly fond of deep folder structures.
> 
> I agree in general, but this time:
> - we already have termstructures\inflation 

But that is more clean-cut. I don't foresee cases in which it's not
clear in which subfolder to put a given term structure.


> - we have non very clean-cut names for inflation instruments ("zciis"
> and "yyiis" are familiar only to Brigo&Mercurio's book readers...)
> Alternatively we could rename the instruments files as inflationzcswap
> and inflationyyswap.

Good point. I'll do that.

Luigi


-- 

Every solution breeds new problems. 
-- unknown 

[Quantlib-dev] [ quantlib-Bugs-1799500 ] test suite failed

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

Bugs item #1799500, was opened at 2007-09-21 10:22
Message generated for change (Comment added) made by lballabio
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Category: None
Group: None
>Status: Closed
>Resolution: Rejected
Priority: 5
Private: No
Submitted By: mara (siopacha)
>Assigned to: Luigi Ballabio (lballabio)
Summary: test suite failed

Initial Comment:
*operating system: windows XP professional;
*compiler: gcc 3.4.4;
*Boost version: have used both 1_33_1 and 1_34_1;
*the compilation error and the file affected:  checking for Boost unit-test framework: no
WARNING: Boost unit-test framework not found
WARNING: The test suite will be disabled


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

>Comment By: Luigi Ballabio (lballabio)
Date: 2007-11-07 12:42

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

Not a bug. configure cannot find your Boost libraries; pass their location
using
./configure --with-boost-lib=LIB_PATH


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[Quantlib-dev] [ quantlib-Bugs-1826937 ] < operator in Period class incorrect

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

Bugs item #1826937, was opened at 2007-11-06 16:49
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1826937&group_id=12740

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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: < operator in Period class incorrect

Initial Comment:
The following code incorrectly throws an "undecidable" comparison.


// Demonstrates false undecidability in Period.
#include <iostream>
#include <ql/quantlib.hpp>

using namespace std;
using namespace QuantLib;


int main (int argc, char * const argv[]) {
  Period p3m(3, Months), p1w(1, Weeks);
		
  cout<<"Hello, World! " << p3m << ", " << p1w << endl;
		
  bool bigGTsmall = p3m > p1w;
  cout << "bigGTsmall = " << bigGTsmall << endl;

  // next comparison throws "undecidable comparison"
  bool bigLTsmall = p3m < p1w;
  cout << "bigLTsmall " << bigLTsmall << endl;
		
  return 0;
}

I've attached a possible fix, coded for clarity.  (The original comparison code in the Period class has a significant number of nested ifs and switches).

Best,

Chr...@ya...

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

Comment By: Luigi Ballabio (lballabio)
Date: 2007-11-07 12:39

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

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


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[Quantlib-dev] [ quantlib-Bugs-1826937 ] < operator in Period class incorrect

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

Bugs item #1826937, was opened at 2007-11-06 07:49
Message generated for change (Tracker Item Submitted) made by Item Submitter
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1826937&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: < operator in Period class incorrect

Initial Comment:
The following code incorrectly throws an "undecidable" comparison.


// Demonstrates false undecidability in Period.
#include <iostream>
#include <ql/quantlib.hpp>

using namespace std;
using namespace QuantLib;


int main (int argc, char * const argv[]) {
  Period p3m(3, Months), p1w(1, Weeks);
		
  cout<<"Hello, World! " << p3m << ", " << p1w << endl;
		
  bool bigGTsmall = p3m > p1w;
  cout << "bigGTsmall = " << bigGTsmall << endl;

  // next comparison throws "undecidable comparison"
  bool bigLTsmall = p3m < p1w;
  cout << "bigLTsmall " << bigLTsmall << endl;
		
  return 0;
}

I've attached a possible fix, coded for clarity.  (The original comparison code in the Period class has a significant number of nested ifs and switches).

Best,

Chr...@ya...

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

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https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1826937&group_id=12740

Re: [Quantlib-dev] Errors in test suite

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

On Nov 6, 2007 11:26 AM, Luigi Ballabio <lui...@gm...> wrote:
> > Testing consistency of piecewise-spline forward-rate curve...
> > unknown location(0): fatal error in
> > "PiecewiseYieldCurveTest::testSplineForwardConsistency": std::exception:
> >
> >  1st iteration: could not bootstrap the 17th instrument, maturity
> > November 8th, 2019
> >  error message: root not bracketed: f[2.22045e-016,3] ->
> > [-3.371568e-003,-6.562049e-002]
> > .\lowdiscrepancysequences.cpp(156): last checkpoint
>
> This never worked as far as I know---the test case was not enabled in
> last release.  Nando? Are you working on splines? How's it going?

you're right, that never worked. I commented the test in since I am
working on splines and wanted to perform it. Unfortunately the
conclusion of my work so far is that splines do not go well with
instantaneous forward rate bootstrapping.
The test will probably just commented out in next release...

ciao -- nando

Re: [Quantlib-dev] Errors in test suite

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

On Tue, 2007-11-06 at 09:45 +0100, Bianchetti Marco wrote:
> On the trunk using vc7 I get the following three errors in test suite:
> 
> Testing Joint Calibration of an Heston Equity Processincl. Stochastic
> Interest Rates via a Hull-White Model...
> ./hybridhestonhullwhiteprocess.cpp(1418): error in
> "HybridHestonHullWhiteProcessTest::testPseudoJointCalibration": Failed
> to calibrate Heston Hull-White Model

It happens depending on the evaluation date. The sample data are not
very robust, I guess.  Klaus? Any further insight?


> Testing randomized lattice sequences, C up to dimension 30...
> ./lowdiscrepancysequences.cpp(156): error in
> "LowDiscrepancyTest::testRandomizedLattices": Lattice generatorC returns
> a mean of 0.49985 with standard deviation -4.12168 in dimension 7

Strange. Not for the value as such (the check is for <= 4, I think, so
it's not much far off) but for the negative sign.  Mark, are you
reading? Can you look into this?


> Testing consistency of piecewise-spline forward-rate curve...
> unknown location(0): fatal error in
> "PiecewiseYieldCurveTest::testSplineForwardConsistency": std::exception:
> 
>  1st iteration: could not bootstrap the 17th instrument, maturity
> November 8th, 2019
>  error message: root not bracketed: f[2.22045e-016,3] ->
> [-3.371568e-003,-6.562049e-002]
> .\lowdiscrepancysequences.cpp(156): last checkpoint

This never worked as far as I know---the test case was not enabled in
last release.  Nando? Are you working on splines? How's it going?

Luigi


-- 

All generalizations are false, including this one. 
-- Mark Twain 

[Quantlib-dev] Errors in test suite

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

On the trunk using vc7 I get the following three errors in test suite:

Testing Joint Calibration of an Heston Equity Processincl. Stochastic
Interest Rates via a Hull-White Model...
./hybridhestonhullwhiteprocess.cpp(1418): error in
"HybridHestonHullWhiteProcessTest::testPseudoJointCalibration": Failed
to calibrate Heston Hull-White Model

Testing randomized lattice sequences, C up to dimension 30...
./lowdiscrepancysequences.cpp(156): error in
"LowDiscrepancyTest::testRandomizedLattices": Lattice generatorC returns
a mean of 0.49985 with standard deviation -4.12168 in dimension 7

Testing consistency of piecewise-spline forward-rate curve...
unknown location(0): fatal error in
"PiecewiseYieldCurveTest::testSplineForwardConsistency": std::exception:

 1st iteration: could not bootstrap the 17th instrument, maturity
November 8th, 2019
 error message: root not bracketed: f[2.22045e-016,3] ->
[-3.371568e-003,-6.562049e-002]
.\lowdiscrepancysequences.cpp(156): last checkpoint

Re: [Quantlib-dev] [Quantlib-users] MakeMCEuropeanEngine<PseudoRandom>

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

Hi Luigi!
I've thought a bit about changing the discretization scheme for a
StochasticProcess1D at least. I think one should define a new abstract =
class
Discretization outside of StochasticProcess(1D) which should carry the
framework of a general discretization scheme and could inherit to =
derived
classes such as a new EulerDiscretization. Also
StochasticProcess(1D)::evolve has a very specific form which could be a
property of the (Euler)Discretization and not the process itself. As one =
can
easily see from the code, ::expectation, ::stdDeviation, ::variance only
carry over objects from the discretization method which suggests this to =
be
taken out to a new class which could show a more general behavior =
(Milstein,
integrating var, predictor corrector, Runge-Kutta, ...).

Could that make sense?

Regards
Frank

> -----Urspr=FCngliche Nachricht-----
> Von: Luigi Ballabio [mailto:lui...@gm...]=20
> Gesendet: Freitag, 2. November 2007 17:17
> An: fho...@gm...
> Cc: qua...@li...;=20
> qua...@li...
> Betreff: Re: [Quantlib-users] MakeMCEuropeanEngine<PseudoRandom>
>=20
>=20
>=20
> Hi Frank,
>=20
> On Thu, 2007-11-01 at 22:12 +0100, Frank H=F6vermann wrote:
> > When I change the value which is passed to .withTimeSteps starting=20
> > from 1 to, say, 5 in the case of non-flat vol term=20
> structure (but flat
> > skew) which is defined by 5 points on the time scale, the value 1=20
> > results in a plain vanilla call option's value which corresponds to=20
> > the start vol (all else being equal). Increasing the number of time=20
> > steps the option's value seems to approach the value of the closed=20
> > form solution where the speed of convergence depends on the=20
> particular=20
> > shape of the term structure in the neighborhood of maturity.
> > =20
> > I would expect, especially in the case of one time step for=20
> this plain=20
> > vanilla call, the vol to be taken as the terminal vol not=20
> the initial=20
> > one. Am I wrong?
>=20
> No, you're right. The problem is in the way that the=20
> Black-Scholes stochastic process is discretized. By default,=20
> it uses Euler discretization, which at each step simply takes=20
> the initial value (see
> <ql/processes/eulerdiscretization.cpp>.)  You can obtain the=20
> behavior you want by defining another discretization (you can=20
> do it by cloning the Euler code and modify it) that takes the=20
> terminal value. Once you have implemented it, you can pass it=20
> to the BlackScholesProcess constructor so that it overrides=20
> the default behavior.  If you want, you can implement more=20
> refined behaviors, too (such as integrating the variance, or=20
> using some predictor-corrector algorithm.)
>=20
> Luigi
>=20
> P.S. If you implement the new class and want to contribute=20
> it, I'll be glad to add it to the library.
>=20
>=20
>=20
> --=20
>=20
> The nice thing about standards is that there are so many of them to=20
> choose from.=20
> -- Andrew S. Tanenbaum=20
>=20

[Quantlib-dev] Implementation of Milstein discretization scheme

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

Is there any suggestion how to implement a Milstein scheme? The main difference between Euler and Milstein discretization is that for, e.g., a geometric Brownian motion it incorporates a drift correction which involves the realization of the standard normal variate which also applies to the corresponding diffusion part. One would have to pass a dw parameter to the discretization itself. In the multidimensional case one would have to pass off-diagonal terms as well (see Peter Jäckel's book on 'Monte Carlo Methods in Finance'). Predictor-corrector mechanisms seem to be covered by the already existing setup for the Euler discretization. Any suggestions?

Regards
Frank
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