quantlib-dev — Discussion of QuantLib development

[Quantlib-dev] Scrambled Low Discrepancy Sequence with Qunatlib

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

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...

 

Re: [Quantlib-dev] Auto Generation OF Addin interface Code

[Eric E. <eri...@na...>]

Hi David,

Long time no speak, hope you're well.

> I have already read the information at
> http://quantlib.org/quantlibaddin/extending.html but found that this
> does not answer my questions.
>
> Is there any information on the AGM over and above that already found at
> the above web page?

There's some in the pipeline.  I'm in the process of revamping the docs
for the next release, so I could move the gensrc stuff to the top of the
todo list, if you could help with feedback.  If that's of interest pls
drop me a line directly and I'll try to get a draft to you for Monday.

Regards,
Eric

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [12585] trunk/QuantLib

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

On Fri, 2007-09-14 at 13:18 +0100, Richard Gomes wrote:
> Luigi Ballabio wrote:
> > On Fri, 2007-09-14 at 10:16 +0200, Ferdinando Ametrano wrote:
> >> Hi Luigi
> >>
> >> the calendar unit test fails after this change. Any idea?
> > 
> > It does? Shame on me.

> I've compiled before sending you the file and it seemed OK. In spite I'm 
> using 0.8.1 and not the trunk, I do not expect any problems.

It did compile, but a test was failing (it checked the list of holidays,
and there was a new one.) No problem, it's fixed now.

Luigi



-- 

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

[Quantlib-dev] Auto Generation OF Addin interface Code

[Brown, D. (AFM) <Dav...@ab...>]

Dear Sir/Madam

=20

I have been trying to add a new function to Quantlib and export this
trough Excel and so I am trying to get to grips with the auto-generation
mechanism (AGM).

=20

I have already read the information at
http://quantlib.org/quantlibaddin/extending.html but found that this
does not answer my questions.

=20

Is there any information on the AGM over and above that already found at
the above web page?

=20

Regards,

David Brown


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Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [12585] trunk/QuantLib

[Richard G. <rgo...@ya...>]

Luigi Ballabio wrote:
> On Fri, 2007-09-14 at 10:16 +0200, Ferdinando Ametrano wrote:
>> Hi Luigi
>>
>> the calendar unit test fails after this change. Any idea?
> 
> It does? Shame on me.
> 
> There's one new holiday. I've added it to the test now.
> 
> Luigi
> 
> 

Hi Luigi,

I've compiled before sending you the file and it seemed OK. In spite I'm 
using 0.8.1 and not the trunk, I do not expect any problems.

Next time I will send you a patch instead.

Let me know if you need any help.

Kind Regards

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [12585] trunk/QuantLib

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

On Fri, 2007-09-14 at 10:16 +0200, Ferdinando Ametrano wrote:
> Hi Luigi
> 
> the calendar unit test fails after this change. Any idea?

It does? Shame on me.

There's one new holiday. I've added it to the test now.

Luigi


-- 

Discontent is the first necessity of progress. 
-- Thomas A. Edison 

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [12585] trunk/QuantLib

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

Hi Luigi

the calendar unit test fails after this change. Any idea?

ciao -- Nando

On 9/12/07, lba...@us...
<lba...@us...> wrote:
> Revision: 12585
>           http://quantlib.svn.sourceforge.net/quantlib/?rev=12585&view=rev
> Author:   lballabio
> Date:     2007-09-12 06:01:11 -0700 (Wed, 12 Sep 2007)
>
> Log Message:
> -----------
> Added Brazilian exchange calendar (thanks to Richard Gomes)
>
> Modified Paths:
> --------------
>     trunk/QuantLib/ql/time/calendars/brazil.cpp
>     trunk/QuantLib/ql/time/calendars/brazil.hpp
>     trunk/QuantLib-SWIG/SWIG/calendars.i
>
> Modified: trunk/QuantLib/ql/time/calendars/brazil.cpp
> ===================================================================
> --- trunk/QuantLib/ql/time/calendars/brazil.cpp 2007-09-12 12:40:43 UTC (rev 12584)
> +++ trunk/QuantLib/ql/time/calendars/brazil.cpp 2007-09-12 13:01:11 UTC (rev 12585)
> @@ -2,6 +2,7 @@
>
>  /*
>   Copyright (C) 2005, 2006 Piter Dias
> + Copyright (C) 2007 Richard Gomes
>
>   This file is part of QuantLib, a free-software/open-source library
>   for financial quantitative analysts and developers - http://quantlib.org/
> @@ -26,11 +27,16 @@
>          // all calendar instances on the same market share the same
>          // implementation instance
>          static boost::shared_ptr<Calendar::Impl> settlementImpl(
> -            new Brazil::SettlementImpl);
> +                                                  new Brazil::SettlementImpl);
> +        static boost::shared_ptr<Calendar::Impl> exchangeImpl(
> +                                                    new Brazil::ExchangeImpl);
>          switch (market) {
>            case Settlement:
>              impl_ = settlementImpl;
>              break;
> +          case Exchange:
> +            impl_ = exchangeImpl;
> +            break;
>            default:
>              QL_FAIL("unknown market");
>          }
> @@ -55,10 +61,12 @@
>              || (d == 7 && m == September)
>              // Nossa Sra. Aparecida Day
>              || (d == 12 && m == October)
> -            // Dead Day
> +            // All Souls Day
>              || (d == 2 && m == November)
>              // Republic Day
>              || (d == 15 && m == November)
> +            // Black Consciousness Day
> +            || (d == 20 && m == November && y >= 2004)
>              // Christmas
>              || (d == 25 && m == December)
>              // Passion of Christ
> @@ -72,5 +80,47 @@
>          return true;
>      }
>
> +    bool Brazil::ExchangeImpl::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();
> +        Day em = easterMonday(y);
> +
> +        if (isWeekend(w)
> +            // New Year's Day
> +            || (d == 1 && m == January)
> +            // Sao Paulo City Day
> +            || (d == 25 && m == January)
> +            // Tiradentes Day
> +            || (d == 21 && m == April)
> +            // Labor Day
> +            || (d == 1 && m == May)
> +            // Revolution Day
> +            || (d == 9 && m == July)
> +            // Independence Day
> +            || (d == 7 && m == September)
> +            // Nossa Sra. Aparecida Day
> +            || (d == 12 && m == October)
> +            // All Souls Day
> +            || (d == 2 && m == November)
> +            // Republic Day
> +            || (d == 15 && m == November)
> +            // Black Consciousness Day
> +            || (d == 20 && m == November && y >= 2004)
> +            // Christmas
> +            || (d == 25 && m == December)
> +            // Passion of Christ
> +            || (dd == em-3)
> +            // Carnival
> +            || (dd == em-49 || dd == em-48)
> +            // Corpus Christi
> +            || (dd == em+59)
> +            )
> +            return false;
> +        return true;
> +    }
> +
>  }
>
>
> Modified: trunk/QuantLib/ql/time/calendars/brazil.hpp
> ===================================================================
> --- trunk/QuantLib/ql/time/calendars/brazil.hpp 2007-09-12 12:40:43 UTC (rev 12584)
> +++ trunk/QuantLib/ql/time/calendars/brazil.hpp 2007-09-12 13:01:11 UTC (rev 12585)
> @@ -2,6 +2,7 @@
>
>  /*
>   Copyright (C) 2005, 2006 Piter Dias
> + Copyright (C) 2007 Richard Gomes
>
>   This file is part of QuantLib, a free-software/open-source library
>   for financial quantitative analysts and developers - http://quantlib.org/
> @@ -38,14 +39,35 @@
>          <li>Labour Day, May 1st</li>
>          <li>Independence Day, September 21th</li>
>          <li>Nossa Sra. Aparecida Day, October 12th</li>
> -        <li>Dead Day, October 2nd</li>
> +        <li>All Souls Day, November 2nd</li>
>          <li>Republic Day, November 15th</li>
> +        <li>Black Consciousness Day, November 20th (since 2004)</li>
>          <li>Christmas, December 25th</li>
>          <li>Passion of Christ</li>
>          <li>Carnival</li>
>          <li>Corpus Christi</li>
>          </ul>
>
> +        Holidays for the stock exchange
> +        <ul>
> +        <li>Saturdays</li>
> +        <li>Sundays</li>
> +        <li>New Year's Day, January 1st</li>
> +        <li>Sao Paulo City Day, January 25th</li>
> +        <li>Tiradentes's Day, April 21th</li>
> +        <li>Labour Day, May 1st</li>
> +        <li>Revolution Day, July 9th</li>
> +        <li>Independence Day, September 21th</li>
> +        <li>Nossa Sra. Aparecida Day, October 12th</li>
> +        <li>All Souls Day, November 2nd</li>
> +        <li>Republic Day, November 15th</li>
> +        <li>Black Consciousness Day, November 20th (since 2004)</li>
> +        <li>Christmas, December 25th</li>
> +        <li>Passion of Christ</li>
> +        <li>Carnival</li>
> +        <li>Corpus Christi</li>
> +        </ul>
> +
>          \ingroup calendars
>
>          \test the correctness of the returned results is tested
> @@ -58,9 +80,15 @@
>              std::string name() const { return "Brazil"; }
>              bool isBusinessDay(const Date&) const;
>          };
> +        class ExchangeImpl : public Calendar::WesternImpl {
> +          public:
> +            std::string name() const { return "BOVESPA"; }
> +            bool isBusinessDay(const Date&) const;
> +        };
>        public:
>          //! Brazilian calendars
> -        enum Market { Settlement             //!< generic settlement calendar
> +        enum Market { Settlement,            //!< generic settlement calendar
> +                      Exchange               //!< BOVESPA calendar
>          };
>          Brazil(Market market = Settlement);
>      };
> @@ -69,3 +97,4 @@
>
>
>  #endif
> +
>
> Modified: trunk/QuantLib-SWIG/SWIG/calendars.i
> ===================================================================
> --- trunk/QuantLib-SWIG/SWIG/calendars.i        2007-09-12 12:40:43 UTC (rev 12584)
> +++ trunk/QuantLib-SWIG/SWIG/calendars.i        2007-09-12 13:01:11 UTC (rev 12585)
> @@ -134,7 +134,7 @@
>
>      class Brazil : public Calendar {
>        public:
> -        enum Market { Settlement };
> +        enum Market { Settlement, Exchange };
>          Brazil(Market m = Settlement);
>      };
>
>
>
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>

Re: [Quantlib-dev] brazilian calendar

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

On Mon, 2007-09-10 at 22:08 +0100, Richard Gomes wrote:
> Find attached
> brazil.hpp
> brazil.cpp
> calendars.i

Ok, I applied the patch.

Thanks,
	Luigi


-- 

A debugged program is one for which you have not yet found the 
conditions that make it fail. 
-- Jerry Ogdin 

Re: [Quantlib-dev] EquityOptions in Java

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

On Mon, 2007-09-10 at 22:19 +0100, Richard Gomes wrote:
> Find attached the example EquityOptions translated to Java.

And on Sat, 2007-09-08 at 16:01 -0700, Tito Ingargiola wrote:
> I include below a mostly complete java version of the
> EquityOption program.

Richard, Tito,
	thank you both. I've merged your examples and added the resulting file
to the repository. It will be included in next release.

Luigi


-- 

Use every man after his desert, and who shall scape whipping? 
-- Hamlet, Act II, scene II 

[Quantlib-dev] brazilian calendar

[Richard G. <rgo...@ya...>]

Hi Luigi,

I dont know why, but the posts I've done yesterday didn't show in the
newsgroup.

Find attached
brazil.hpp
brazil.cpp
calendars.i

Thanks

-- 
Richard Gomes

[Quantlib-dev] EquityOptions in Java

[Richard G. <rgo...@ya...>]

Luigi

Find attached the example EquityOptions translated to Java.

I've made several changes in options.i in order to:
1. Support CamelCaseNamesForTemplates, like CoxRossRubinstein, for instance.
2. Expose FDBermudan

Notice that, in the end of EquityOptions.java there's still some code not
translate. This is due to a missing .i file which options.i is dependent
on.

Thanks Tito Ingargiola for the help you provided and your work on options.i

Kind Regards

-- 
Richard Gomes

[Quantlib-dev] [ quantlib-Feature Requests-1776593 ] No Vega or Rho under American Option Pricing Engines

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

Feature Requests item #1776593, was opened at 2007-08-17 23:20
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=1776593&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
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Nobody/Anonymous (nobody)
Summary: No Vega or Rho under American Option Pricing Engines

Initial Comment:
I cannot get qlVega or qlRho to calculate Vega and Rho for an American option.  I have used all of the pricing engines (CRR, JOSHI, etc.) and none work.  However, the European and Asian option pricing engines work with qlVega and qlRho.

If anyone can fix this, please keep me posted.  I am using it in QuantLibXL in Excel 2003. 

Matt Slezak
noc...@ya...

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

Comment By: Eric Ehlers (ericehlers)
Date: 2007-09-07 22:29

Message:
Logged In: YES 
user_id=1143221
Originator: NO

Hi Matt,

Unfortunately I'm not aware of plans to add the requested functionality
(nor the feasibility thereof).  Contributions are welcome.

If you have a copy of the source code you can at least identify which
pricing engines support vega/rho by searching for those terms in *.cpp
files in directory ql/pricingengines and its subdirectories.

Regards,
Eric

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=1776593&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 08:08
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=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: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
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...

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

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

[Quantlib-dev] Computationally difficult problems

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

Hi All,
    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?

Cheers

Re: [Quantlib-dev] crash in express

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

the problem is that it crashes on opening the solution.

Personally, I love intellisense.

Mark


On 08/09/2007, Eric Ehlers <eri...@na...> wrote:
> Hi Mark,
>
> > On 22/08/07, Luigi Ballabio <lui...@gm...> wrote:
> >> On Wed, 2007-08-22 at 10:58 +1000, Mark joshi wrote:
> >> > OK I just tried this, with Visual Studio 8.0 express it crashes. This
> >> > is just after doing an update from subversion.
> >>
> >> Mark,
> >>         could it be the Intellisense problem mentioned on the list in
> >> the past
> >> few days?
>
> > I switched off statement completion and parameter listing under tools,
> > options, and it didn't
> > crash. So it probably is intellisense.
>
> Glad to hear that disabling Intellisense fixed the problem.  I keep
> Intellisense disabled because of problems with stability and performance.
> (I think I recently overheard someone say that a patch was released but I
> haven't looked into it.)
>
> Still if a clean build crashes that's probably a problem with QuantLibXL
> rather than Intellisense.  In my experience, problems of this type can
> arise when a source file is referenced by the solution but absent from
> disk, or vice versa.  I just looked for a discrepancy and didn't find
> anything.  I don't have VC8 Express installed at the moment but will try
> to fix this for the next release.
>
> regards,
> Eric
>
>


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

Re: [Quantlib-dev] crash in express

[Eric E. <eri...@na...>]

Hi Mark,

> On 22/08/07, Luigi Ballabio <lui...@gm...> wrote:
>> On Wed, 2007-08-22 at 10:58 +1000, Mark joshi wrote:
>> > OK I just tried this, with Visual Studio 8.0 express it crashes. This
>> > is just after doing an update from subversion.
>>
>> Mark,
>>         could it be the Intellisense problem mentioned on the list in
>> the past
>> few days?

> I switched off statement completion and parameter listing under tools,
> options, and it didn't
> crash. So it probably is intellisense.

Glad to hear that disabling Intellisense fixed the problem.  I keep
Intellisense disabled because of problems with stability and performance. 
(I think I recently overheard someone say that a patch was released but I
haven't looked into it.)

Still if a clean build crashes that's probably a problem with QuantLibXL
rather than Intellisense.  In my experience, problems of this type can
arise when a source file is referenced by the solution but absent from
disk, or vice versa.  I just looked for a discrepancy and didn't find
anything.  I don't have VC8 Express installed at the moment but will try
to fix this for the next release.

regards,
Eric

[Quantlib-dev] [ quantlib-Feature Requests-1776593 ] No Vega or Rho under American Option Pricing Engines

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

Feature Requests item #1776593, was opened at 2007-08-17 23:20
Message generated for change (Comment added) made by ericehlers
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=1776593&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
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Eric Ehlers (ericehlers)
Summary: No Vega or Rho under American Option Pricing Engines

Initial Comment:
I cannot get qlVega or qlRho to calculate Vega and Rho for an American option.  I have used all of the pricing engines (CRR, JOSHI, etc.) and none work.  However, the European and Asian option pricing engines work with qlVega and qlRho.

If anyone can fix this, please keep me posted.  I am using it in QuantLibXL in Excel 2003. 

Matt Slezak
noc...@ya...

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

>Comment By: Eric Ehlers (ericehlers)
Date: 2007-09-07 22:29

Message:
Logged In: YES 
user_id=1143221
Originator: NO

Hi Matt,

Unfortunately I'm not aware of plans to add the requested functionality
(nor the feasibility thereof).  Contributions are welcome.

If you have a copy of the source code you can at least identify which
pricing engines support vega/rho by searching for those terms in *.cpp
files in directory ql/pricingengines and its subdirectories.

Regards,
Eric

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=1776593&group_id=12740

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [12538] trunk/QuantLib/ql/cashflows

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

On Fri, 2007-09-07 at 10:44 +0200, Ferdinando Ametrano wrote:
> > Any particular reason to separate the enumeration from where the
> > duration calculation is implemented?
> 
> I'm trying to use forward declaration in order to avoid early hpp
> inclusion. The point is that when Duration::Type is included in any
> input parameters list you need to import its definition even if you
> don't need all the rest of ql/cashflows/cashflows.hpp

Yes, but where is Duration::Type used other than for passing it to the
functions in cashflows.hpp?

Luigi


-- 

Quote me as saying I was misquoted. 
-- Groucho Marx 

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [12538] trunk/QuantLib/ql/cashflows

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

Hi Luigi

> Any particular reason to separate the enumeration from where the
> duration calculation is implemented?

I'm trying to use forward declaration in order to avoid early hpp
inclusion. The point is that when Duration::Type is included in any
input parameters list you need to import its definition even if you
don't need all the rest of ql/cashflows/cashflows.hpp

The same has been done for most enumerative types
(BusinessDayConvention, Time Unit, etc)

ciao -- Nando

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [12538] trunk/QuantLib/ql/cashflows

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

On Thu, 2007-09-06 at 07:53 -0700, na...@us... wrote:
> Revision: 12538
>           http://quantlib.svn.sourceforge.net/quantlib/?rev=12538&view=rev
> Author:   nando
> Date:     2007-09-06 07:53:16 -0700 (Thu, 06 Sep 2007)
> 
> Log Message:
> -----------
> moved Duration::Type enumeration in its own file. std::ostream&
> operator<< to be implemented

Any particular reason to separate the enumeration from where the
duration calculation is implemented?

Luigi


-- 

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

Re: [Quantlib-dev] does anyone use java+swig bindings?

[Richard G. <rgo...@ya...>]

Tito Ingargiola wrote:
> 
> Hi,
> 
> I've been playing with QuantLib for the last month or so and have more
> or less fallen in love.  In c++, everything I've tried works pretty
> much as expected.
> 
> Unfortunately, I have an extensive gui written in java and when I try
> to bridge into QuantLib via the SWIG interfaces I've run into endless
> difficulties.  Given the lack of traffic on this list for java users
> except the odd "I tried but it didn't work..." post, I wonder if
> anyone is actually using the SWIG interfaces for java integration?  If
> so, could anyone kindly point me to a non trivial example of java
> accessing QuantLib functionality?  The sample provided with the swig
> extension is laughably simple and doesn't demonstrate any kind of
> parameter passing.
> 
> I'm frustrated at this point as things which are simple to do in c++
> just don't work via the swig interfaces and I'm getting close to
> dumping the swig interfaces and writing my own JNI interfaces for the
> relatively limited areas of functionality I'm interested in, but I'd
> prefer not to do this if a reasonable alternative exists.  
> 
> In order to illustrate the kinds of difficulties I'm running into, I
> enclose below a simple sample program based on
> Quantlib/Examples/EquityOption which uses the SWIG interfaces and
> compiles fine but will crash in several different places when run.
> Even such a simple thing as Dates don't seem to work.  That is:
> 
> 
>        Date goodDate = Date.todaysDate(); // ok
>        goodDate.add(17); // ok
> // boom when date is referenced
>        Date badDate = new Date( 1, Month.October, 2007);
> 
> I have similar experiences with simple objects like quotes or
> handles... which is why I question that anyone is actually using these
> things.
> 
> Any insights, pointers or suggestions will be very much appreciated!
> Thanks and regards,
> 
>     Tito.
> 
> --- the java program I mentioned follows ---
> 
> 
> 
> 
> package test;
> 
> import org.quantlib.Actual365Fixed;
> import org.quantlib.AmericanExercise;
> import org.quantlib.BaroneAdesiWhaleyEngine;
> import org.quantlib.BlackConstantVol;
> import org.quantlib.BlackScholesMertonProcess;
> import org.quantlib.BlackVolTermStructureHandle;
> import org.quantlib.Date;
> import org.quantlib.DayCounter;
> import org.quantlib.FlatForward;
> import org.quantlib.Month;
> import org.quantlib.Option;
> import org.quantlib.Payoff;
> import org.quantlib.PlainVanillaPayoff;
> import org.quantlib.QuoteHandle;
> import org.quantlib.SimpleQuote;
> import org.quantlib.StochasticProcess;
> import org.quantlib.VanillaOption;
> import org.quantlib.YieldTermStructureHandle;
> 
> /**
>  * Test app - simplified version of QuantLib/Examples/EquityOption to test
>  * use of Quantlib through supplied SWIG interface...
>  *
>  * @author Tito Ingargiola
>  */
> public class EquityOption {
>     static {
>         /* You need to run this thing with something like:
>          * -Djava.library.path=/usr/local/lib
>          */
>         System.loadLibrary("QuantLib-0.8.1");
>         System.loadLibrary("QuantLibJNI");
>     }
>     
>     public static void main(String[] args) throws Exception {
>         System.out.println("starting...");
>         //QuantLib ql = new QuantLib();
>         //Thread.sleep(500);
> 
>         Option.Type type = Option.Type.Put;
>         double strike = 14.7;
>         double underlying = 14.76;
>         double riskFreeRate = 0.055;
>         double divYield = riskFreeRate; // for futures
>         double volatility = .22;
>         System.out.println("creating dates...");
>         Date settle = Date.todaysDate();        // Explicitly setting date
>         Date expiry = Date.todaysDate().add(13);//  causes crash...on 
> use(?)
>         Date expiry2 = new Date( 20, Month.September, 2007 ); // e.g.
>         System.out.println(settle+" -> "+expiry);
>         
>         AmericanExercise exercise = new AmericanExercise(settle, 
> expiry,true);
>         // using the below will cause crash
>        // AmericanExercise exercise2 = new AmericanExercise(settle, 
> expiry2,true);
>         
>         // this is fine ... unless you use it...
>         DayCounter dayc = new Actual365Fixed();
>         // this is fine ... unless you use it...
>         SimpleQuote under = new SimpleQuote(underlying);
>         // this instead blows up on construction...
>         QuoteHandle underh = new QuoteHandle(under);
>         
>         /// the rest is pie-in-the-sky stuff...
>         
>         YieldTermStructureHandle  flatTS = new YieldTermStructureHandle
>             (new FlatForward(settle,riskFreeRate, dayc));
>         
>         YieldTermStructureHandle flatDivTS = new YieldTermStructureHandle
>             (new FlatForward(settle,divYield, dayc));
> 
>         BlackVolTermStructureHandle flatVolTS = new 
> BlackVolTermStructureHandle
>             (new BlackConstantVol(settle,volatility,dayc));
>         
>         
>         StochasticProcess stochp = new BlackScholesMertonProcess
>             (underh,flatDivTS,flatTS,flatVolTS);
>         Payoff payoff = new PlainVanillaPayoff(type, strike) ;
> 
>         VanillaOption option = new VanillaOption
>             (stochp, payoff,exercise);
>         
>         option.setPricingEngine(new BaroneAdesiWhaleyEngine());
>         
>         System.out.println("Option:   \t"+option);
>         System.out.println("NPV:      \t"+option.NPV());
>         
>         System.out.println("\ndone.");
>         
>     }
> }
> 
> 
> 
>     
> 
> 
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Hi Tito,

I have a lot of code in Java as well and I'd like to plug QuantLib in.

It's incredible how you and me are facing the same problems, following 
the same path and started translating the same example! :D  When I 
looked at you Java code it was quite similar to mine (of course... you 
also translated the example in C++).

Oh well...

I dont think that writing your own JNI is a good idea.
It's a huge, boring and error prone task. I'd rely on SWIG instead.
It'd be much easier to learn how to hack the intrincacies of SWIG.

It would be great if we were able to convert comments from C++ code to 
JavaDOC as well, as Eclipse would be able to show documentation as you type.

Another thing to be considered is performance.
I tried to use Matrix and it does not make sense to initialize every 
cell at a time. The performance will be poor. It means that we should 
create additional methods intended to be called by another languages due 
to poor performance of separated calls.

I've posted one thread quite similiar to yours and Luigi gave me some 
directions. In case, I've use Matrix as an example of issues I've found.

I'm planning to work on SWIG this weekend. Maybe we could work together 
on this kind of thing.

Kind Regards

-- Richard Gomes

Re: [Quantlib-dev] does anyone use java+swig bindings?

[Tito I. <tit...@ya...>]

My apologies - I realize I've sent this to the wrong list!  I'll send to the users list - sorry for the disturbance...

Tito Ingargiola <tit...@ya...> wrote: 
Hi,

I've been playing with QuantLib for the last month or so and have more
or less fallen in love.  In c++, everything I've tried works pretty
much as expected.

Unfortunately, I have an extensive gui written in java and when I try
to bridge into QuantLib via the SWIG interfaces I've run into endless
difficulties.  Given the lack of traffic on this list for java users
except the odd "I tried but it didn't work..." post, I wonder if
anyone is actually using the SWIG interfaces for java integration?  If
so, could anyone kindly point me to a non trivial example of java
accessing QuantLib functionality?  The sample provided with the swig
extension is laughably simple and doesn't demonstrate any kind of
parameter passing.

I'm frustrated at this point as things which are simple to do in c++
just don't work via the swig interfaces and I'm getting close to
dumping the swig interfaces and writing my own  JNI interfaces for the
relatively limited areas of functionality I'm interested in, but I'd
prefer not to do this if a reasonable alternative exists.  

In order to illustrate the kinds of difficulties I'm running into, I
enclose below a simple sample program based on
Quantlib/Examples/EquityOption which uses the SWIG interfaces and
compiles fine but will crash in several different places when run.
Even such a simple thing as Dates don't seem to work.  That is:


       Date goodDate = Date.todaysDate(); // ok 
       goodDate.add(17); // ok 
// boom when date is referenced
       Date badDate = new Date( 1, Month.October, 2007); 

I have similar experiences with simple objects like quotes or
handles... which is why I question that anyone is actually using these
things.

Any insights, pointers or suggestions will be  very much appreciated!
Thanks and regards,

    Tito.

--- the java program I mentioned follows ---




package test;

import org.quantlib.Actual365Fixed;
import org.quantlib.AmericanExercise;
import org.quantlib.BaroneAdesiWhaleyEngine;
import org.quantlib.BlackConstantVol;
import org.quantlib.BlackScholesMertonProcess;
import org.quantlib.BlackVolTermStructureHandle;
import org.quantlib.Date;
import org.quantlib.DayCounter;
import org.quantlib.FlatForward;
import org.quantlib.Month;
import org.quantlib.Option;
import org.quantlib.Payoff;
import org.quantlib.PlainVanillaPayoff;
import org.quantlib.QuoteHandle;
import org.quantlib.SimpleQuote;
import org.quantlib.StochasticProcess;
import org.quantlib.VanillaOption;
import org.quantlib.YieldTermStructureHandle;

/**
 * Test app - simplified version of QuantLib/Examples/EquityOption to test
 * use of  Quantlib through supplied SWIG interface...
 *
 * @author Tito Ingargiola
 */
public class EquityOption {
    static {
        /* You need to run this thing with something like:
         * -Djava.library.path=/usr/local/lib
         */
        System.loadLibrary("QuantLib-0.8.1");
        System.loadLibrary("QuantLibJNI");
    }
    
    public static void main(String[] args) throws Exception {
        System.out.println("starting...");
        //QuantLib ql = new QuantLib();
        //Thread.sleep(500);

        Option.Type type =  Option.Type.Put;
        double strike = 14.7;
        double underlying = 14.76;
        double riskFreeRate = 0.055;
        double divYield = riskFreeRate; // for futures
        double volatility = .22;
        System.out.println("creating dates...");
        Date settle = Date.todaysDate();        // Explicitly setting date 
        Date expiry = Date.todaysDate().add(13);//  causes crash...on use(?) 
        Date expiry2 = new Date( 20, Month.September, 2007 ); // e.g.
        System.out.println(settle+" ->  "+expiry);
        
        AmericanExercise exercise = new AmericanExercise(settle, expiry,true);
        // using the below will cause crash
       // AmericanExercise exercise2 = new AmericanExercise(settle, expiry2,true);
        
        // this is fine ... unless you use it...
        DayCounter dayc = new Actual365Fixed(); 
        // this is fine ... unless you use it...
        SimpleQuote under = new SimpleQuote(underlying);
        // this instead blows up on construction...
        QuoteHandle underh = new  QuoteHandle(under);
        
        /// the rest is pie-in-the-sky stuff...
        
        YieldTermStructureHandle  flatTS = new YieldTermStructureHandle
            (new FlatForward(settle,riskFreeRate, dayc));
        
        YieldTermStructureHandle flatDivTS = new YieldTermStructureHandle
            (new FlatForward(settle,divYield, dayc));

        BlackVolTermStructureHandle flatVolTS = new BlackVolTermStructureHandle
            (new BlackConstantVol(settle,volatility,dayc));
         
        
        StochasticProcess stochp = new BlackScholesMertonProcess
            (underh,flatDivTS,flatTS,flatVolTS);
        Payoff payoff = new PlainVanillaPayoff(type, strike) ;

        VanillaOption option = new VanillaOption
            (stochp, payoff,exercise);
        
        option.setPricingEngine(new BaroneAdesiWhaleyEngine());
        
        System.out.println("Option:   \t"+option);
        System.out.println("NPV:       \t"+option.NPV());
        
        System.out.println("\ndone.");
        
    }
}



    

-------------------------------------------------------------------------
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Still grepping through log files to find problems?  Stop.
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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

[Quantlib-dev] does anyone use java+swig bindings?

[Tito I. <tit...@ya...>]

Hi,

I've been playing with QuantLib for the last month or so and have more
or less fallen in love.  In c++, everything I've tried works pretty
much as expected.

Unfortunately, I have an extensive gui written in java and when I try
to bridge into QuantLib via the SWIG interfaces I've run into endless
difficulties.  Given the lack of traffic on this list for java users
except the odd "I tried but it didn't work..." post, I wonder if
anyone is actually using the SWIG interfaces for java integration?  If
so, could anyone kindly point me to a non trivial example of java
accessing QuantLib functionality?  The sample provided with the swig
extension is laughably simple and doesn't demonstrate any kind of
parameter passing.

I'm frustrated at this point as things which are simple to do in c++
just don't work via the swig interfaces and I'm getting close to
dumping the swig interfaces and writing my own JNI interfaces for the
relatively limited areas of functionality I'm interested in, but I'd
prefer not to do this if a reasonable alternative exists.  

In order to illustrate the kinds of difficulties I'm running into, I
enclose below a simple sample program based on
Quantlib/Examples/EquityOption which uses the SWIG interfaces and
compiles fine but will crash in several different places when run.
Even such a simple thing as Dates don't seem to work.  That is:


       Date goodDate = Date.todaysDate(); // ok 
       goodDate.add(17); // ok 
// boom when date is referenced
       Date badDate = new Date( 1, Month.October, 2007); 

I have similar experiences with simple objects like quotes or
handles... which is why I question that anyone is actually using these
things.

Any insights, pointers or suggestions will be very much appreciated!
Thanks and regards,

    Tito.

--- the java program I mentioned follows ---




package test;

import org.quantlib.Actual365Fixed;
import org.quantlib.AmericanExercise;
import org.quantlib.BaroneAdesiWhaleyEngine;
import org.quantlib.BlackConstantVol;
import org.quantlib.BlackScholesMertonProcess;
import org.quantlib.BlackVolTermStructureHandle;
import org.quantlib.Date;
import org.quantlib.DayCounter;
import org.quantlib.FlatForward;
import org.quantlib.Month;
import org.quantlib.Option;
import org.quantlib.Payoff;
import org.quantlib.PlainVanillaPayoff;
import org.quantlib.QuoteHandle;
import org.quantlib.SimpleQuote;
import org.quantlib.StochasticProcess;
import org.quantlib.VanillaOption;
import org.quantlib.YieldTermStructureHandle;

/**
 * Test app - simplified version of QuantLib/Examples/EquityOption to test
 * use of Quantlib through supplied SWIG interface...
 *
 * @author Tito Ingargiola
 */
public class EquityOption {
    static {
        /* You need to run this thing with something like:
         * -Djava.library.path=/usr/local/lib
         */
        System.loadLibrary("QuantLib-0.8.1");
        System.loadLibrary("QuantLibJNI");
    }
    
    public static void main(String[] args) throws Exception {
        System.out.println("starting...");
        //QuantLib ql = new QuantLib();
        //Thread.sleep(500);

        Option.Type type = Option.Type.Put;
        double strike = 14.7;
        double underlying = 14.76;
        double riskFreeRate = 0.055;
        double divYield = riskFreeRate; // for futures
        double volatility = .22;
        System.out.println("creating dates...");
        Date settle = Date.todaysDate();        // Explicitly setting date 
        Date expiry = Date.todaysDate().add(13);//  causes crash...on use(?) 
        Date expiry2 = new Date( 20, Month.September, 2007 ); // e.g.
        System.out.println(settle+" -> "+expiry);
        
        AmericanExercise exercise = new AmericanExercise(settle, expiry,true);
        // using the below will cause crash
       // AmericanExercise exercise2 = new AmericanExercise(settle, expiry2,true);
        
        // this is fine ... unless you use it...
        DayCounter dayc = new Actual365Fixed(); 
        // this is fine ... unless you use it...
        SimpleQuote under = new SimpleQuote(underlying);
        // this instead blows up on construction...
        QuoteHandle underh = new QuoteHandle(under);
        
        /// the rest is pie-in-the-sky stuff...
        
        YieldTermStructureHandle  flatTS = new YieldTermStructureHandle
            (new FlatForward(settle,riskFreeRate, dayc));
        
        YieldTermStructureHandle flatDivTS = new YieldTermStructureHandle
            (new FlatForward(settle,divYield, dayc));

        BlackVolTermStructureHandle flatVolTS = new BlackVolTermStructureHandle
            (new BlackConstantVol(settle,volatility,dayc));
        
        
        StochasticProcess stochp = new BlackScholesMertonProcess
            (underh,flatDivTS,flatTS,flatVolTS);
        Payoff payoff = new PlainVanillaPayoff(type, strike) ;

        VanillaOption option = new VanillaOption
            (stochp, payoff,exercise);
        
        option.setPricingEngine(new BaroneAdesiWhaleyEngine());
        
        System.out.println("Option:   \t"+option);
        System.out.println("NPV:      \t"+option.NPV());
        
        System.out.println("\ndone.");
        
    }
}



    

Re: [Quantlib-dev] DerivedQuote design

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

Hi François,

On Wed, 2007-09-05 at 16:12 +0200, DU VIGNAUD DE VILLEFORT FRANCOIS
GASAPRD PHI wrote:
> A quick question about the DerivedQuote class design: The operation
> performed by this class is a template parameter yet the actual
> operation is actually known only at run time.

No, it is usually known at compile-time.  The current implementation of
value() calls operator() on the passed UnaryFunction instance, whose
type is usually known (we're taking a copy of it, so there's no
polymorphic behavior) and whose code can be inlined.  The cases in which
this is not possible is just when UnaryFunction is a function pointer
(in the C style.)


>  What about using a more informative template so that the operation
> can be known at compilation time and inlined ? (we would loose the
> possibility to change the operation at run time but who cares ?). 
> 
> To be as explicit as possible, the DerivedQuote value method would be
> written like this:
> 
>     template <class UnaryFunction>
> 
>     inline Real DerivedQuote<UnaryFunction>::value() const {
> 
>         QL_ENSURE(isValid(), "invalid DerivedQuote");
> 
>         return UnaryFunction::eval(element_->value());
> 
>     }

You mean, eval() should be a static method of the UnaryFunction class?
Unfortunately, this would mean that:
a) you can't use existing functions (which have no methods at all) or
function objects (which define operator() instead) unless you adapt
them;
b) you can't use function objects that hold non-static data
members---not even by adapting them.

Luigi


-- 

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

[Quantlib-dev] DerivedQuote design

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

Hi all,

=20

A quick question about the DerivedQuote class design: The operation =
performed by this class is a template parameter yet the actual operation =
is actually known only at run time. What about using a more informative =
template so that the operation can be known at compilation time and =
inlined ? (we would loose the possibility to change the operation at run =
time but who cares ?).=20

To be as explicit as possible, the DerivedQuote value method would be =
written like this:

=20

    template <class UnaryFunction>

    inline Real DerivedQuote<UnaryFunction>::value() const {

        QL_ENSURE(isValid(), "invalid DerivedQuote");

        return UnaryFunction::eval(element_->value());

    }

=20

Fran=E7ois

=20