quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] PayoffInterpreter: specify new pay-offs and price them without code recompilation

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

Hi Luigi,

> Well, I wouldn't put in into the core library anyway; it would be great
> to have it available as an additional module.  The point is that I
> wouldn't commit to that one as "the" payoff interpreter.

The intention is/was to have "a" payoff interpreter at hand to be able to do 
some prototyping when playing around with new payoffs. 

> People using,
> say, the Python or Ruby bindings might want to define such an
> interpreter in their native language---it could be done easily enough
> using SWIG.

BTW: I know that one can call QL functions from Python etc. via. SWIG. Is it 
also possible to call a Python-Script (which might define a payoff) from C++?

regards

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

Re: [Quantlib-dev] PayoffInterpreter: specify new pay-offs and price them without code recompilation

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

On Thursday 20 September 2007 5:21 pm, HFQuant wrote:
> Hi,
>
> i tried to you your tool and running the example EquityOption.cpp. It
> compiles but crashes at run time.
> Did you have such a feedback before ? (0xC0000005: Access violation reading
> location 0x2183120a.)
>
> thanks
>

arrg. No hadn't had this feedback before;-(. What operating system are you 
using? On windows you might want to include the  payoff interpreter project 
into your quantlib project to avoid any parameter clashes. 

I checked the source code on Linux using g++-4.1 and on Windows with Visual 
Studio Express. On Linux the memory checker valgrind didn't report a memery 
leak or any access violation. I'm compiling against a recent QL version from 
the SVN head. I

cheers

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

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

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

Bugs item #1799500, was opened at 2007-09-21 11:22
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=1799500&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: mara (siopacha)
Assigned to: Nobody/Anonymous (nobody)
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


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1799500&group_id=12740

Re: [Quantlib-dev] PayoffInterpreter: specify new pay-offs and price them without code recompilation

[HFQuant <mar...@mo...>]

Hi,=20

i tried to you your tool and running the example EquityOption.cpp. It
compiles but crashes at run time.=20
Did you have such a feedback before ?

thanks


Klaus Spanderen-2 wrote:
>=20
> Hi=20
>=20
> the idea to specify new pay-offs and price them without code recompilatio=
n
> by=20
> using a script language is floating around for some time.=20
>=20
> To achieve this goal I used an interpreter for a C / Fortron90 like
> language=20
> two colleagues and I have written some time ago. As an example I've
> connected=20
> this interpreter with the MonteCarlo pricing engine.=20
>=20
> The interpreter itself is running in a "Sandbox" with a C++ interface.=20
> Therefore one has full control over the interpreter during the runtime
> (e.g.=20
> reading/modifiying the variable stack, run self defined functions etc.).
>=20
> If you are interest in this little project please feel free to download i=
t=20
> from=20
>=20
> www.spanderen.de/PayoffInterpreter.zip
> or
> www.spanderen.de/PayoffInterpreter.tar.gz
>=20
> Makefiles for Linux/Unix and VC++ are included. My colleagues have given=
=20
> permission to put the interpreter under the Quantlib licence.
>=20
> Feedback whether this project is off any use and should be developed
> further=20
> on are welcome.
>=20
> cheers
>=20
> content of the tar ball:
> =C2=A0langauge/=C2=A0 =C2=A0: the interpreter incl. Bison/Flex files
> =C2=A0math/ =C2=A0 =C2=A0 =C2=A0 : multi dimensional array and index arra=
y
> =C2=A0util/ =C2=A0 =C2=A0 =C2=A0 : utils
> =C2=A0docu/ =C2=A0 =C2=A0 =C2=A0 : html documentation of the language
> =C2=A0testsuite/ =C2=A0: small C++ testsuite using the Sandbox
> =C2=A0examples/ =C2=A0 : QuantLib MonteCarlo pricer using the PayoffInter=
preter
> =C2=A0pilib/ =C2=A0 =C2=A0 =C2=A0: PayoffInterpreter example programs and=
 tests
> =C2=A0console/ =C2=A0 =C2=A0: simple console for the PayoffInterpreter
> --=20
> Klaus Spanderen
> Ludwig Erhard Str. 12
> 48734 Reken (Germany)
> Email: kl...@NO... (remove NOSPAM from the address)
>=20
> -------------------------------------------------------------------------
> 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
>=20
>=20

--=20
View this message in context: http://www.nabble.com/PayoffInterpreter%3A-sp=
ecify-new-pay-offs-and-price-them-without-code-recompilation-tf4470210.html=
#a12799336
Sent from the quantlib-dev mailing list archive at Nabble.com.

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [12748]trunk/QuantLib/ql

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

On Thu, 2007-09-20 at 15:47 +0200, DU VIGNAUD DE VILLEFORT FRANCOIS
GASAPRD PHI wrote:
> My mistake, I did not realize at the beginning that floating point
> errors were raised only at the next FPU call. 

Yes, there are quite a few of those in your last commit...

Luigi


-- 

Flon's Law: 
There is not now, and never will be, a language in 
which it is the least bit difficult to write bad programs. 

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [12748]trunk/QuantLib/ql

[DU V. DE V. F. G. P. <fra...@ca...>]

Hi Luigi,

My mistake, I did not realize at the beginning that floating point =
errors were raised only at the next FPU call.=20
Fran=E7ois

-----Original Message-----
From: qua...@li... =
[mailto:qua...@li...] On Behalf Of Luigi =
Ballabio
Sent: Thursday, September 20, 2007 3:21 PM
To: qua...@li...
Subject: Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: =
[12748]trunk/QuantLib/ql

On Thu, 2007-09-20 at 06:17 -0700, fd...@us... wrote:
> Modified: trunk/QuantLib/ql/termstructure.hpp
> =
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=
=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=3D=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/termstructure.hpp	2007-09-20 13:13:26 UTC (rev =
12747)
> +++ trunk/QuantLib/ql/termstructure.hpp	2007-09-20 13:17:58 UTC (rev =
12748)
> @@ -164,6 +164,7 @@
>      }
> =20
>      inline Time TermStructure::timeFromReference(const Date& d) const =
{
> +        // FLOATING_POINT_EXCEPTION
>          return dayCounter().yearFraction(referenceDate(),d);
>      }

The error seems to be in the day counter. Why flagging code that merely
calls it?

Luigi



--=20

I hate quotations.=20
-- Ralph Waldo Emerson=20



-------------------------------------------------------------------------=

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] [QuantLib-svn] SF.net SVN: quantlib: [12748] trunk/QuantLib/ql

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

On Thu, 2007-09-20 at 06:17 -0700, fd...@us... wrote:
> Modified: trunk/QuantLib/ql/termstructure.hpp
> ===================================================================
> --- trunk/QuantLib/ql/termstructure.hpp	2007-09-20 13:13:26 UTC (rev 12747)
> +++ trunk/QuantLib/ql/termstructure.hpp	2007-09-20 13:17:58 UTC (rev 12748)
> @@ -164,6 +164,7 @@
>      }
>  
>      inline Time TermStructure::timeFromReference(const Date& d) const {
> +        // FLOATING_POINT_EXCEPTION
>          return dayCounter().yearFraction(referenceDate(),d);
>      }

The error seems to be in the day counter. Why flagging code that merely
calls it?

Luigi



-- 

I hate quotations. 
-- Ralph Waldo Emerson 

Re: [Quantlib-dev] Question about Random Sequence

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

On Thu, 2007-09-20 at 05:36 -0500, Young Cho wrote:
> What I'm trying to do is switching a random sequence. 
> ======================================================= 
> mcengine1 = 
>             MakeMCEuropeanEngine<PseudoRandom>().withSteps(timeSteps) 
>             .withSamples(1000).withSeed(mcSeed); 
> ======================================================= 
> What this is using is PseudoRandom which is an Uniform Random
> sequence. 
> I would like to use Normal Random Sequence using the Box-Muller method
> already implemented in ql. 

Young,
	the MC engine is already using a Normal random sequence. The
PseudoRandom class specifies both the basic uniform generator and the
method to use for turning it into a normal generator (which by default
is the inverse-cumulative method---it is faster than Box-Muller and at
least as accurate.)

Luigi


-- 

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

[Quantlib-dev] Question about Random Sequence

[Young C. <cy...@gm...>]

Hi all, 

I am a student researching with Quantlib. 
Since I am a beginner, I'm working on an example, equityOption.cpp, which is
posted Quantlib.org. 

What I'm trying to do is switching a random sequence. 
======================================================= 
mcengine1 = 
            MakeMCEuropeanEngine<PseudoRandom>().withSteps(timeSteps) 
            .withSamples(1000).withSeed(mcSeed); 
======================================================= 
What this is using is PseudoRandom which is an Uniform Random sequence. 
I would like to use Normal Random Sequence using the Box-Muller method
already implemented in ql. 

Unfortunately, I dont know how to change the sequence that I want to use. 
What should I do ? 
Anyone can help me out? I will be glad to hear any advice. 

Thanks.

Young. 

Re: [Quantlib-dev] PayoffInterpreter: specify new pay-offs and price them without code recompilation

[newbie73 <lui...@av...>]

Apologies if this seems to be off topic, though this is somewhat related to a
pipe dream I had regarding QuantLib.  If it is possible to allow some
external scripting language to define a new payoff structure, why not go
ahead and allow the interpreter to extend QuantLib in general?

Perhaps an embedded version of Python could work or some other method of
allowing "add-in" style hooks/call backs. :-)




-------------------------------------------
Well, I wouldn't put in into the core library anyway; it would be great 
to have it available as an additional module.  The point is that I 
wouldn't commit to that one as "the" payoff interpreter. People using, 
say, the Python or Ruby bindings might want to define such an 
interpreter in their native language---it could be done easily enough 
using SWIG.

Luigi


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



-- 
View this message in context: http://www.nabble.com/PayoffInterpreter%3A-specify-new-pay-offs-and-price-them-without-code-recompilation-tf4470210.html#a12785707
Sent from the quantlib-dev mailing list archive at Nabble.com.

Re: [Quantlib-dev] PayoffInterpreter: specify new pay-offs and price them without code recompilation

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

On Sep 19, 2007, at 9:39 PM, Klaus Spanderen wrote:
> the language itself is quite comprehensive C derivative with some 
> MatLab/
> Fortran90 extensions, e.g. vector/matrix as build-in types and the
> interpreter has a C++ interface. The "problem" is that the project 
> consists
> of +20K lines of code and I don't want to blow up QL until I know that 
> a
> PayoffInterpreter is of any use for other users;-).

Well, I wouldn't put in into the core library anyway; it would be great 
to have it available as an additional module.  The point is that I 
wouldn't commit to that one as "the" payoff interpreter. People using, 
say, the Python or Ruby bindings might want to define such an 
interpreter in their native language---it could be done easily enough 
using SWIG.

Luigi

Re: [Quantlib-dev] PayoffInterpreter: specify new pay-offs and price them without code recompilation

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

Hi Nando,

the language itself is quite comprehensive C derivative with some MatLab/
Fortran90 extensions, e.g. vector/matrix as build-in types and the 
interpreter has a C++ interface. The "problem" is that the project consists 
of +20K lines of code and I don't want to blow up QL until I know that a 
PayoffInterpreter is of any use for other users;-). The parser itself is 
written using GNU Flex/Bison.


On Tuesday 18 September 2007 10:45 am, Ferdinando Ametrano wrote:
> I would be interested in knowing what are the approaches used on the
> street by commercial or proprietary parsers, any ad-hoc open source
> library which could help, design decisions, etc

At least on the equity side stucturer are using script/interpreter languages 
together with MonteCarlo scenorio engines.(e.g. Reech).

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

[Quantlib-dev] Documentation & Pre-built packages for OSX & Windows

[newbie73 <lui...@av...>]

> I would not mind volunteering some time in helping with creating a more 
> functional form of the documentation as I explore the library.  I would 
> certainly need some guidance with many of the concepts, though I'd gladly
> do 
> what I can to help with this aspect of the product. 
> 
> Please let me know how to go about this, especially now that my interest 
> level in the idea is high. :) 
-- 
View this message in context: http://www.nabble.com/Documentation---Pre-built-packages-for-OSX---Windows-tf4481372.html#a12778715
Sent from the quantlib-dev mailing list archive at Nabble.com.

Re: [Quantlib-dev] QuantLib-dev Digest, Vol 16, Issue 9

[Roger T. <rog...@ii...>]

Thanks for your reply. I thought of that as well but not so sure where to 
start. I used to write multi-threaded program and parallel programs on a 
unix cluster. I thought it would be an interesting
project. I know @RISK has a parallel implementation of Monte Carlo 
simulation. Just wondering how do they actually do it....

>>     I am new to this area of study. I am wondering is there any
>> problems in quantitative finance that need the design of efficient and
>> parallel algorithms especially in the area of derivative pricing?
>
> Hi Roger,
> since nobody else seems to answer, I'll just state the obvious---Monte
> Carlo simulations.
> Another possibility might be rolling back an asset on a tree; at any
> step, different result nodes are independent and could be calculated
> simultaneously.
>
> Luigi
>

[Quantlib-dev] [ quantlib-Bugs-1797273 ] Compile Error using gcc 3.4.1 on Intel Solaris 10

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

Bugs item #1797273, was opened at 2007-09-18 14:25
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=1797273&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: Sameer D'Costa (sameerd)
Assigned to: Nobody/Anonymous (nobody)
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

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1797273&group_id=12740

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [12671] trunk/QuantLib

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

On Tue, 2007-09-18 at 10:37 +0200, Ferdinando Ametrano wrote:
> yes capstripper will be abandoned as we move to better alternatives.
> This evolution is tightly related to the work I'm doing on volatility
> term structures. the idea is to design the abstract base classes in a
> way which enforce more financial constraints depending on the asset
> class (equity-fx or interest rate). The interest rate one should also
> allow for at least two kind of market smiles, the one quoted as spread
> over the atm strike and atm vol, and the one quoted at fixed strikes,
> and we need facilities for abcd interpolation of the atm backbone, and
> sabr interpolation of the smile. Hopefully in 3-4 weeks the job will
> be completed.
> 
> In the meantime those interested might take a look at the new classes:
> BlackAtmVolCurve (suitable for both equity-fx and interest rate, atm only)
> ---- AbcdAtmVolCurve  (suitable for interest rate, atm only)
> ---- BlackVolSurface (suitable for both equity-fx and interest rate, atm+smile)
> -------- EquityFXVolSurface (suitable for equity-fx, atm+smile)
> -------- InterestRateVolSurface (suitable for interest rate, atm+smile)
> ------------ SabrVolSurface (suitable for interest rate, atm+smile)

Hmm. A few notes:

1) BlackVolSurface cannot inherit from BlackAtmVolCurve. The "is a"
relationship doesn't work. Well, at least the way I understand
them---see point 3).

2) at-the-money interpolation such as ABCD and smile interpolation such
as SABR are orthogonal choices (yes, I know that they are probably the
only sensible choices, but bear with me.) If you embed them in base
classes such as AbcdAtmVolCurve, you're going to end up with classes
such as AbcdAtmSabrVolSurface. On the one hand, they are going to
proliferate exponentially with the number of interpolations; and on the
other hand, you end up with diamond inheritance and all its problems.
Instead of coding them base classes, you'll be better off coding ABCD or
SABR as policies so that you can combine them freely. The same goes for
how to quote the smile---another orthogonal choice.

3) How about describing the design you have in mind so that we can
discuss it a bit on the list?

Later,
	Luigi


-- 

Prediction is very difficult, especially if it's about the future. 
-- Niels Bohr 

Re: [Quantlib-dev] Create Bond from Cashflow & redemption schedule

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

On Tue, 2007-09-18 at 09:34 -0400, Irakli Machabeli wrote:
> I’d like to value Mortgage CMO Bond whose cash flow is determined by
> external library. I don’t see suitable class in QL. 
> 
> Does anyone currently plan to code the class that can create bond from
> CF & redemption schedule. 

It's planned for next release. In fact, you could check it out from the
Subversion server already.

Luigi


-- 

A child of five would understand this. Send someone to fetch a child of
five. 
-- Groucho Marx 

[Quantlib-dev] Create Bond from Cashflow & redemption schedule

[Irakli M. <ima...@ho...>]

I=92d like to value Mortgage CMO Bond whose cash flow is
determined by external library. I don=92t see suitable class in QL.=20

Does anyone currently plan to code the class that can create bond
from CF & redemption schedule.=20


_________________________________________________________________
Kick back and relax with hot games and cool activities at the Messenger Caf=
=E9.
http://www.cafemessenger.com?ocid=3DTXT_TAGLM_SeptWLtagline=

Re: [Quantlib-dev] Computationally difficult problems

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

On Mon, 2007-09-10 at 18:29 +1000, Roger Ting wrote:
>     I am new to this area of study. I am wondering is there any
> problems in quantitative finance that need the design of efficient and
> parallel algorithms especially in the area of derivative pricing?

Hi Roger,
	since nobody else seems to answer, I'll just state the obvious---Monte
Carlo simulations.
Another possibility might be rolling back an asset on a tree; at any
step, different result nodes are independent and could be calculated
simultaneously.

Luigi


-- 

Anyone who says he can see through women is missing a lot. 
-- Groucho Marx 

Re: [Quantlib-dev] PayoffInterpreter: specify new pay-offs and price them without code recompilation

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

Hi Klaus

> If you are interest in this little project please feel free to download it

I don't have time enough to take a look at it, but it would surely an
interesting addition. I know others have been working on similar
projects and I wonder if anybody knowledgeable about payoff scripting
could summarize the current consensus on this issue

I would be interested in knowing what are the approaches used on the
street by commercial or proprietary parsers, any ad-hoc open source
library which could help, design decisions, etc

ciao -- nando

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [12671] trunk/QuantLib

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

Hi Luigi
> > renamed capstripper2.*pp as optionletstripper.*pp
>
> Is capstripper to be abandoned, or are they alternative? What's the
> difference between the two?

yes capstripper will be abandoned as we move to better alternatives.
This evolution is tightly related to the work I'm doing on volatility
term structures. the idea is to design the abstract base classes in a
way which enforce more financial constraints depending on the asset
class (equity-fx or interest rate). The interest rate one should also
allow for at least two kind of market smiles, the one quoted as spread
over the atm strike and atm vol, and the one quoted at fixed strikes,
and we need facilities for abcd interpolation of the atm backbone, and
sabr interpolation of the smile. Hopefully in 3-4 weeks the job will
be completed.

In the meantime those interested might take a look at the new classes:
BlackAtmVolCurve (suitable for both equity-fx and interest rate, atm only)
---- AbcdAtmVolCurve  (suitable for interest rate, atm only)
---- BlackVolSurface (suitable for both equity-fx and interest rate, atm+smile)
-------- EquityFXVolSurface (suitable for equity-fx, atm+smile)
-------- InterestRateVolSurface (suitable for interest rate, atm+smile)
------------ SabrVolSurface (suitable for interest rate, atm+smile)

ciao -- Nando

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [12671] trunk/QuantLib

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

On Mon, 2007-09-17 at 09:10 -0700, na...@us... wrote:
> Log Message:
> -----------
> renamed capstripper2.*pp as optionletstripper.*pp

Is capstripper to be abandoned, or are they alternative? What's the
difference between the two?

Luigi


-- 

Weiler's Law: 
Nothing is impossible for the man who doesn't have to 
do it himself. 

[Quantlib-dev] PayoffInterpreter: specify new pay-offs and price them without code recompilation

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

Hi=20

the idea to specify new pay-offs and price them without code recompilation =
by=20
using a script language is floating around for some time.=20

To achieve this goal I used an interpreter for a C / Fortron90 like languag=
e=20
two colleagues and I have written some time ago. As an example I've connect=
ed=20
this interpreter with the MonteCarlo pricing engine.=20

The interpreter itself is running in a "Sandbox" with a C++ interface.=20
Therefore one has full control over the interpreter during the runtime (e.g=
=2E=20
reading/modifiying the variable stack, run self defined functions etc.).

If you are interest in this little project please feel free to download it=
=20
from=20

www.spanderen.de/PayoffInterpreter.zip
or
www.spanderen.de/PayoffInterpreter.tar.gz

Makefiles for Linux/Unix and VC++ are included. My colleagues have given=20
permission to put the interpreter under the Quantlib licence.

=46eedback whether this project is off any use and should be developed furt=
her=20
on are welcome.

cheers

content of the tar ball:
=A0langauge/=A0 =A0: the interpreter incl. Bison/Flex files
=A0math/ =A0 =A0 =A0 : multi dimensional array and index array
=A0util/ =A0 =A0 =A0 : utils
=A0docu/ =A0 =A0 =A0 : html documentation of the language
=A0testsuite/ =A0: small C++ testsuite using the Sandbox
=A0examples/ =A0 : QuantLib MonteCarlo pricer using the PayoffInterpreter
=A0pilib/ =A0 =A0 =A0: PayoffInterpreter example programs and tests
=A0console/ =A0 =A0: simple console for the PayoffInterpreter
=2D-=20
Klaus Spanderen
Ludwig Erhard Str. 12
48734 Reken (Germany)
Email: kl...@NO... (remove NOSPAM from the address)

Re: [Quantlib-dev] Scrambled Low Discrepancy Sequence with Qunatlib

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

On Sat, 2007-09-15 at 03:08 -0500, Young Cho wrote:
> This is Young Cho, I am a college senior majoring Applied Math. I am
> researching low-discrepancy random number generator in Monte Carlo
> Method. I am wondering whether somebody is working on Scrambled Low
> discrepancy sequence with Quantlib.

Not that I know of.
Would you be interested in contributing it?

Thanks,
	Luigi


-- 

For every problem there is one solution which is simple, neat, and
wrong. 
-- H. L. Mencken 

[Quantlib-dev] scrambled low discrepancy

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

Unscrambled low discrepancy is in. I am pretty sure that no one is working
on scrambling but it would not be hard. I am planning to put some lattice
rule stuff in, however,

mark


> ------------------------------
>
> Message: 6
> Date: Sat, 15 Sep 2007 03:08:37 -0500
> From: "Young Cho" <cy...@gm...>
> Subject: [Quantlib-dev] Scrambled Low Discrepancy Sequence with
>         Qunatlib
> To: <qua...@li...>
> Message-ID: <46e...@mx...>
> Content-Type: text/plain; charset="us-ascii"
>
> Hello all,
>
> This is Young Cho, I am a college senior majoring Applied Math. I am
> researching low-discrepancy random number generator in Monte Carlo Method.
> I
> am wondering whether somebody is working on Scrambled Low discrepancy
> sequence with Quantlib. If somebody is doing, how is it going? I will be
> glad to hear any information about it. Please give me reply, if you are
> working on it.
>
>
>
> Thank you very much.
>
>
>
> Young Cho
>
> Department of Applied Mathematics
>
> Illinois Insititute of Technology
>
> E-mail : cy...@gm...
>
>
>
>
>
>
>
> Young Cho
>
> Department of Applied Mathematics
>
> Illinois Insititute of Technology
>
> Phone: (773) 656-7456
>
> E-mail : yc...@ii... or cy...@gm...
>
>
>
> -------------- next part --------------
> An HTML attachment was scrubbed...
>
> ------------------------------
>
> -------------------------------------------------------------------------
> 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
>
>
> End of QuantLib-dev Digest, Vol 16, Issue 8
> *******************************************
>



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