quantlib-dev — Discussion of QuantLib development

[Quantlib-dev] Help! QuantLib link error

[letian <luc...@ya...>]

Hi Guys,

I was using version 0.3.12 and just updated to 0.8.1 with boost 1_34_1. My
sdk is VC8.0 in Visual Studio 2005. 
I noticed that a subdirectory "lib" was generated after building QuantLib,
so I included it in the "lib" directory. There is a .lib file
"QuantLib-vc80-mt-gd-0_8_1.lib" in the directory. The examples and test
suites work fine. But when I'm compiling my own programs (which work fine
under the old version, BTW), it gives a link error:  error LNK2019:
unresolved external symbol ". A typical line looks like the follows:

CashflowDlg.obj : error LNK2019: unresolved external symbol "public: static
double __cdecl QuantLib::CashFlows::npv(class std::vector<class
boost::shared_ptr<class QuantLib::CashFlow>,class std::allocator<class
boost::shared_ptr<class QuantLib::CashFlow> > > const &,class
QuantLib::InterestRate const &,class QuantLib::Date)"
(?npv@CashFlows@QuantLib@@SANABV?$vector@V?$shared_ptr@VCashFlow@QuantLib@@@boost@@V?$allocator@V?$shared_ptr@VCashFlow@QuantLib@@@boost@@@std@@@std@@ABVInterestRate@2@VDate@2@@Z)
referenced in function "public: void __thiscall
CCashflowDlg::OnBnClickedCompute(void)"
(?OnBnClickedCompute@CCashflowDlg@@QAEXXZ)

Does anyone know what happened here? Thank you very much in advance.

PS: I got QL from sorceforge, but some core.hpp are missing, for example,
ql/core.hpp, cashflows/core.hpp. A mistake?

Regards,
letian

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View this message in context: http://www.nabble.com/Help%21-QuantLib-link-error-tf4337053.html#a12353656
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Re: [Quantlib-dev] Binomial Tree Fever

[John M. <jwm...@ya...>]

Yeah, I think you might be right. Thanks for noticing and replying so quickly.

Re: [Quantlib-dev] Binomial Tree Fever

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

Hi,
=20
Perhaps not.=20
=20
The variance looks like it is divided by the number of steps before it is b=
eing used.
=20
Whereas in the other cases, the variance for a single dt step is taken and =
used directly.
=20
Just an observation...
=20
Toy out.> To: qua...@li...> From: jwm...@ya...>=
 Date: Mon, 27 Aug 2007 13:40:57 +0000> Subject: [Quantlib-dev] Binomial Tr=
ee Fever> > Think I found two errors in the Binomial Tree class. The proble=
ms are in> LeisenReimer:: LeisenReimer and Joshi4::Joshi4. In both construc=
tors the> variance should be > > Real variance =3D process->variance(0.0, x=
0_, dt_);> > Instead of> > Real variance =3D process->variance(0.0, x0_, en=
d);> > > ------------------------------------------------------------------=
-------> This SF.net email is sponsored by: Splunk Inc.> Still grepping thr=
ough log files to find problems? Stop.> Now Search log events and configura=
tion files using AJAX and a browser.> Download your FREE copy of Splunk now=
 >> http://get.splunk.com/> _______________________________________________=
> QuantLib-dev mailing list> Qua...@li...> https://li=
sts.sourceforge.net/lists/listinfo/quantlib-dev
_________________________________________________________________
The next generation of MSN Hotmail has arrived - Windows Live Hotmail
http://www.newhotmail.co.uk=

[Quantlib-dev] Binomial Tree Fever

[John M. <jwm...@ya...>]

Think I found two errors in the Binomial Tree class. The problems are in
LeisenReimer:: LeisenReimer and Joshi4::Joshi4. In both constructors the
variance should be 

Real variance = process->variance(0.0, x0_, dt_);

Instead of

Real variance = process->variance(0.0, x0_, end);

Re: [Quantlib-dev] Compile SWIG 0.8.0

[Toli K. <to...@ma...>]

Guillaume

I've never had any luck compiling SWIG with Eclipse/SkWash.

However, i have no problems doing the compilation with QuantLib-SWIG
with Java bindings on command-line on MacOS 10.4.8 or on Ubuntu Linux.
Not sure if this is helpful to you and if you specifically need it on
Windows only. Perhaps you can do this all under Cygwin?

here are the commands i used on Mac/Linux:
Configure/compile main QuantLib distribution
./configure --with-boost-include=/usr/local/bin
make
make install

For QuantLib-SWIG:
Run ./configure and make -C Java. You'll need to specify the locations
of JDK directories with these flags: --with-jdk-include and
--with-jdk-system-include

      ./configure --with-jdk-include=<path to jre include>
--with-jdk-system-include=<path to platform specific system include>
      make install

This will try installing the bindings into the JRE's directory, so you
may want to specify a local folder with --prefix if you don't need it.
Also, make sure your PATH variable has a quantlib-config in the list.

hope this helps.

On 8/24/07, Guillaume et Sandrine Dru <gui...@gm...> wrote:
> Hi,
> I have to use QuantLib in Java, so I'm trying to use Swig (Eclipse 3.2,
> Cygwin, SkWash, Windows XP).
> With Quantlib 0.3.11 (and the associated SWIG 0.3.11) it works great, but
> when I want to use QuantLib 0.8.0 , the compiler crashes everytime I try to
> compile the CPP Wrapper, with the following message :
>
> Building target: QuantLibCPPWraper.dll
> Invoking: GCC C++ Linker
> g++ -L"C:\workspace\QuantLib\Debug" -mno-cygwin -Wl,--add-stdcall-alias
> -shared -o" QuantLibCPPWraper.dll"  ./cppwrapper.o   -lQuantLib
> collect2: ld terminated with signal 11 [Segmentation fault], core dumped
> Info: resolving vtable for QuantLib::Errorby linking to
> __imp___ZTVN8QuantLib5ErrorE (auto-import)
> Info: resolving vtable for QuantLib::EulerDiscretizationby linking to
> __imp___ZTVN8QuantLib19EulerDiscretizationE (auto-import)
> Info: resolving VTT for QuantLib::CompositeInstrument by linking to
> __imp___ZTTN8QuantLib19CompositeInstrumentE (auto-import)
> Info: resolving vtable for QuantLib::CompositeInstrumentby linking to
> __imp___ZTVN8QuantLib19CompositeInstrumentE (auto-import)
> Info: resolving vtable for
> QuantLib::AnalyticEuropeanEngineby linking to
> __imp___ZTVN8QuantLib22AnalyticEuropeanEngineE
> (auto-import)
> Info: resolving VTT for
> QuantLib::OneAssetOption::argumentsby linking to
> __imp___ZTTN8QuantLib14OneAssetOption9argumentsE
> (auto-import)
> Info: resolving vtable for
> QuantLib::OneAssetOption::argumentsby linking to
>
> Have you got any idea of what It's going on ? Why It works perfectly with
> 0.3.11 and not with 0.8.0 ?
> I tried on 2 differents computers, I read the tutorial of SkWash, and I'm
> desperate :).
> I'm ready to offer some French Champagne if you can help me :)
>
> Thx for all
>
> Guillaume
>
> -------------------------------------------------------------------------
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> Still grepping through log files to find problems?  Stop.
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> _______________________________________________
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>
>


-- 
Toli Kuznets
http://www.marketcetera.com: Open-Source Trading Platform
download.run.trade.

[Quantlib-dev] Compile SWIG 0.8.0

[Guillaume et S. D. <gui...@gm...>]

Hi,
I have to use QuantLib in Java, so I'm trying to use Swig (Eclipse 3.2,
Cygwin, SkWash, Windows XP).
With Quantlib 0.3.11 (and the associated SWIG 0.3.11) it works great, but
when I want to use QuantLib 0.8.0, the compiler crashes everytime I try to
compile the CPP Wrapper, with the following message :

Building target: QuantLibCPPWraper.dll
Invoking: GCC C++ Linker
g++ -L"C:\workspace\QuantLib\Debug" -mno-cygwin -Wl,--add-stdcall-alias
-shared -o"QuantLibCPPWraper.dll"  ./cppwrapper.o   -lQuantLib
collect2: ld terminated with signal 11 [Segmentation fault], core dumped
Info: resolving vtable for QuantLib::Errorby linking to
__imp___ZTVN8QuantLib5ErrorE (auto-import)
Info: resolving vtable for QuantLib::EulerDiscretizationby linking to
__imp___ZTVN8QuantLib19EulerDiscretizationE (auto-import)
Info: resolving VTT for QuantLib::CompositeInstrument by linking to
__imp___ZTTN8QuantLib19CompositeInstrumentE (auto-import)
Info: resolving vtable for QuantLib::CompositeInstrumentby linking to
__imp___ZTVN8QuantLib19CompositeInstrumentE (auto-import)
Info: resolving vtable for QuantLib::AnalyticEuropeanEngineby linking to
__imp___ZTVN8QuantLib22AnalyticEuropeanEngineE (auto-import)
Info: resolving VTT for QuantLib::OneAssetOption::argumentsby linking to
__imp___ZTTN8QuantLib14OneAssetOption9argumentsE (auto-import)
Info: resolving vtable for QuantLib::OneAssetOption::argumentsby linking to

Have you got any idea of what It's going on ? Why It works perfectly with
0.3.11 and not with 0.8.0 ?
I tried on 2 differents computers, I read the tutorial of SkWash, and I'm
desperate :).
I'm ready to offer some French Champagne if you can help me :)

Thx for all

Guillaume

Re: [Quantlib-dev] crash in express

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

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

regards

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?
>
> Later,
>         Luigi
>
>
> --
>
> An ideal world is left as an exercise to the reader.
> -- Paul Graham
>
>
>


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

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [12315] externals

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

On Sat, 2007-08-18 at 07:07 -0700, na...@us... wrote:
> Revision: 12315
>           http://quantlib.svn.sourceforge.net/quantlib/?rev=12315&view=rev
> Author:   nando
> Date:     2007-08-18 07:07:43 -0700 (Sat, 18 Aug 2007)
> 
> Log Message:
> -----------
> added externals folder for partial views of the QuantLib trunk 

Nando,
	care to elaborate? How are these external if they point into the same
repository? Isn't this a job for tags instead?

Luigi


-- 

If you can't convince them, confuse them. 
-- Harry S. Truman 

Re: [Quantlib-dev] crash in express

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

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?

Later,
	Luigi


-- 

An ideal world is left as an exercise to the reader. 
-- Paul Graham 

[Quantlib-dev] crash in express

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

OK I just tried this, with Visual Studio 8.0 express it crashes. This
is just after doing an update from subversion.

It seems to crash with QuantLibAllDynamic on opening.

QuantLibAllStatic seems ok.

Mark


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

Re: [Quantlib-dev] Again with the Convertible Bonds

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

On Wed, 2007-08-15 at 12:32 +0000, John Maiden wrote:
> For those that are interested, this is a potential patch for an issue
> I've found
> with the Convertible Bond classes. Basically the weights that are
> being assigned
> to calculate the discounting rate in
> TsiveriotisFernandesLattice::stepback skew
> the results for high credit spreads, so that a callable convertible
> bond will be
> more expensive than an equivalent non-callable convertible bond. See
> "More More
> More Convertible Bonds" in gmane.comp.finance.quantlib.user for more
> details.

Thanks John,
	I'll have a look at your patch as soon as I get some time.

Later,
	Luigi


-- 

The most exciting phrase to hear in science, the one that heralds new 
discoveries, is not "Eureka!" but "That's funny..." 
-- Isaac Asimov 

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

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

Bugs item #1776593, was opened at 2007-08-17 14:20
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=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
Resolution: None
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...

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1776593&group_id=12740

[Quantlib-dev] Again with the Convertible Bonds

[John M. <jwm...@ya...>]

For those that are interested, this is a potential patch for an issue I've found
with the Convertible Bond classes. Basically the weights that are being assigned
to calculate the discounting rate in TsiveriotisFernandesLattice::stepback skew
the results for high credit spreads, so that a callable convertible bond will be
more expensive than an equivalent non-callable convertible bond. See "More More
More Convertible Bonds" in gmane.comp.finance.quantlib.user for more details.

Changes would be made to TsiveriotisFernandesLattice::stepback and
DiscretizedConvertible::applyConvertibility(). Would like input on these changes
and see if people agree/disagree, or know of a better way to do this. Originally
the adjusted discount rate was ConversionProbability * risk free rate + (1 -
ConversionProbability) * (risk free rate + spread). A higher conversion
probability (~1) means that you're probably going to convert, and should
discount the convert like a stock. A lower conversion probability (~0) means the
convert is trading like a bond, and should be discounted as such. I'll keep this
approach, but change how the conversion probability is computed. Basically
instead of assigning an initial probability of 1 if the convert is convertible
and the value is below parity, and later blending the probabilities, the
conversion probabilities will simply be delta (which I took from "Global
Convertible Investing" by Hart Woodson). New code below:

In DiscretedConvertible.cpp:

   void DiscretizedConvertible::applyConvertibility() {
        Array grid = adjustedGrid();
		Array ratio = divAdjustedRatio();
        for (Size j=0; j<values_.size(); j++) {
            Real payoff = ratio[j]*grid[j];
            if (values_[j] <= payoff) {
                values_[j] = payoff;
                // old method
                //conversionProbability_[j] = 1.0;
            }
        }

		for (Size j=0; j<values_.size()-1; j++) {
			conversionProbability_[j] = ((values_[j+1]  - values_[j])/(grid[j+1] -
grid[j]))*(1/ratio[j]);
                        //some values are slightly above 1, must be due to rounding
			if(conversionProbability_[j] > 1.0)
				conversionProbability_[j] = 1.0;
		}
 
                //always assume that will convert at highest stock price
		conversionProbability_[values_.size() - 1] = 1.0;

    }


In TFLattice.hpp:

  template <class T>
    void TsiveriotisFernandesLattice<T>::stepback(
              Size i, const Array& values, const Array& conversionProbability,
              const Array& spreadAdjustedRate, Array& newValues,
              Array& newConversionProbability,
              Array& newSpreadAdjustedRate) const {

	    Real localRiskFreeRate = riskFreeRate_.at(i);
		Real localcreditSpread = creditSpread_.at(i);
		Real down = TFtree_->probability(0,0,0);
		Real up = TFtree_->probability(0,0,1);

        for (Size j=0; j<this->size(i); j++) {

            // new conversion probability is calculated via backward
            // induction using up and down probabilities on tree on
            // previous conversion probabilities, ie weighted average
            // of previous probabilities.

            //don't blend the probabilties
            newConversionProbability[j] = conversionProbability[j];
                /*down*conversionProbability[j]+ up*conversionProbability[j+1];*/

            // Use blended discounting rate
            newSpreadAdjustedRate[j] =
                newConversionProbability[j] * localRiskFreeRate +
               
(1-newConversionProbability[j])*(localRiskFreeRate+localcreditSpread);

            newValues[j] =
                (down*values[j]/(1+(spreadAdjustedRate[j]*dt_)))
              + (up*values[j+1]/(1+(spreadAdjustedRate[j+1]*dt_)));

        }

    }


Looking forward to input.

Re: [Quantlib-dev] Quantlib crashes VC++ Express

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

Eric/Nicola,

Both you are right. The problem was Intellisense.

Thanks a lot.

Piter Dias
pit...@ca...

Re: [Quantlib-dev] Quantlib crashes VC++ Express

[eric e. <eri...@gm...>]

> I checkout Quantlib from SVN but it crashes VC++ Express when I open it.
> It used to work but this checkout has some problems.
> Did anyone face the same problem? Could you please help me?

Hi Piter,

I'm using the latest SVN snapshot in VC8 Professional without
problems.  I don't know about VC8 Express.

One cause of crashes in VC8 is Intellisense and you might want to try
disabling that - rename file "VC\vcpackages\feacp.dll" under the VC8
directory tree.  Apparently there's a patch to fix Intellisense but I
haven't looked into it yet.  Again this all relates to VC8
Professional, I'm not sure it applies to VC8 Express.

Regards,
Eric

[Quantlib-dev] Quantlib crashes VC++ Express

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

Guys,

I checkout Quantlib from SVN but it crashes VC++ Express when I open it.
It used to work but this checkout has some problems.
Did anyone face the same problem? Could you please help me?

Regards,


Piter Dias
pit...@ca...

Re: [Quantlib-dev] Implementing new evolvers for market models (SF codetask)

[Anthony N. <blu...@gm...>]

Hi Eric,

I would like also to help on this task if you do not mind some help ...

Kind regards.
Anthony Nguyen
"eric liao" <the...@gm...> a écrit dans le message de news: 
4fe...@ma......
> Hi all,
>
> As I am new to QuantLib development, for learning purposes I am
> thinking of volunteering for the SF task of ''Implement new evolvers
> for market models''
> (http://sourceforge.net/pm/task.php?func=detailtask&project_task_id=138604&group_id=12740&group_project_id=52333).
>
> I would just like to check with you guys if there has been any
> progress done on the task to avoid repeating other people's work.
>
> Regards,
> Eric Liao
>
> -------------------------------------------------------------------------
> 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.
> Download your FREE copy of Splunk now >>  http://get.splunk.com/ 

[Quantlib-dev] [ quantlib-Bugs-1767957 ] make error

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

Bugs item #1767957, was opened at 2007-08-05 09:19
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=1767957&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: make error

Initial Comment:
I am getting this error when making quantLib using cygwin: 
make[4]: Entering directory 
`/cygdrive/c/back_testing/quantLib/QuantLib-0.8.1/ql/indexes' 
/bin/sh ../../libtool --tag=CXX --mode=link g++  -g -O2 -Wall   
-L/usr/local/lib -o libIndexes.la   iborindex.lo indexman 
ager.lo interestrateindex.lo swapindex.lo ibor/libIborIndexes.la 
swap/libSwapIndexes.la 
rm -fr  .libs/libIndexes.lax 
rm -fr .libs/libIndexes.lax 
mkdir .libs/libIndexes.lax 
rm -fr .libs/libIndexes.lax/libIborIndexes.a 
mkdir .libs/libIndexes.lax/libIborIndexes.a 
(cd .libs/libIndexes.lax/libIborIndexes.a && ar x 
/cygdrive/c/back_testing/quantLib/QuantLib-0.8.1/ql/indexes/ibor/.libs 
/libIborIndexes.a) 
libtool: link: ERROR: object name conflicts: 
.libs/libIndexes.lax/libIborIndexes.a//cygdrive/c/back_testing/quantLib/Qua 
ntLib-0.8.1/ql/indexes/ibor/.libs/libIborIndexes.a 
make[4]: *** [libIndexes.la] Error 1 
make[4]: Leaving directory 
`/cygdrive/c/back_testing/quantLib/QuantLib-0.8.1/ql/indexes' 
make[3]: *** [all-recursive] Error 1 
make[3]: Leaving directory 
`/cygdrive/c/back_testing/quantLib/QuantLib-0.8.1/ql/indexes' 
make[2]: *** [all-recursive] Error 1 
make[2]: Leaving directory 
`/cygdrive/c/back_testing/quantLib/QuantLib-0.8.1/ql' 
make[1]: *** [all] Error 2 
make[1]: Leaving directory 
`/cygdrive/c/back_testing/quantLib/QuantLib-0.8.1/ql' 
make: *** [all-recursive] Error 1 

Configure seamed to work. This was the line to configure: 
./configure --with-boost-include=/usr/local/boost_1_34_1 
--with-boost-lib=/usr/local/lib --with-gnu-ld 




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

You can respond by visiting: 
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[Quantlib-dev] glasserman-zhao

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

I don't think anyone is working on the Glasserman-Zhao market model
evolver and this would be well worth getting. See the paper from
Finance and Stochastics or Glasserman's book.

Mark


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

[Quantlib-dev] Missing in inaction (again)

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

Hi all,
	I'll be in vacation for two weeks without an internet connection. See
you all on August 20th.

Luigi


-- 

The first thing we do, let's kill all the lawyers. 
-- W. Shakespeare, "King Henry VI, Part II" 

[Quantlib-dev] Info

[Mahmud S. <mah...@gm...>]

Dear all,

I have just joined the quantlib developers. Can you help me with additional
info? From where to start, who to ask for tasks and help?

Thanks,

Mahmud

Re: [Quantlib-dev] callable bonds

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

On Mon, 2007-07-23 at 12:19 +0000, John Maiden wrote:
> Allen-
> 
>      Maybe I'm missing something here, but wouldn't a 
> callable fixed rate bond be similar to a convertible bond? 
> All you have to do is make it a European option and then 
> set the conversion ratio so small that it will never be
> converted at the final time. 

Yes, in principle; but the current implementation of convertible bonds
builds an equity tree and uses deterministic interest rates. This
approximation works if variations in the equity value have a much bigger
effect on price than variations in the interest rates. If you take the
convertibility away, the assumption breaks down.

Later,
	Luigi


-- 

Greenspun's Tenth Rule of Programming: 
Any sufficiently complicated C or Fortran program contains an 
ad-hoc, informally-specified bug-ridden slow implementation of 
half of Common Lisp. 

Re: [Quantlib-dev] callable bonds

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

Hi Allen,
	apologies for the delay. I hope I'm not discouraging you or others from
participating to the project...


On Sat, 2007-07-14 at 02:54 -0400, Allen Kuo wrote:
> Hi: I built a CallableFixedRateBond and would eventually like to make
> a contribution to QuantLib. Was wondering if we can we take
> callability to be a *feature* of a FixedRateBond, rather than
> developing a new class CallableFixedRateBond (construction of a
> FixedRateBond without the engine would resort to the original
> discounted cashflow NPV calculation).

As a gut feeling, I'd keep it a separate class. 


>   If the notion of a Quantlib::FixedRateBond can be expanded to
> include embedded optionality, class names also become shorter (they
> are getting long…..), e.g. TreeFixedRateBondEngine versus
> TreeCallableFixedRateBondEngine.

True, but I would also keep the vanilla bonds simple---new users have
enough difficulties already... also, I'm thinking of the possibility of
having callable zero-coupon or floating-rate bonds too. Keeping it
separate might help abstracting out the code for callability, so that
part of it might be reused between such bonds.

Later,
	Luigi


-- 

The most exciting phrase to hear in science, the one that heralds new 
discoveries, is not "Eureka!" but "That's funny..." 
-- Isaac Asimov 

Re: [Quantlib-dev] Separating notification channels ?

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

On Fri, 2007-07-27 at 09:57 +0200, DU VIGNAUD DE VILLEFORT FRANCOIS
GASAPRD PHI wrote:
> In our implementation market data and evaluation date changes are
> propagated through the same channel (observers update methods). 
> 
> As we are properly trying to handle properly the evaluation date
> changes this coupling is becoming more and more an hindrance (eg: the
> Capstripper can no longer notifying lazily its observers).

Can you elaborate? What is the problem?

>  What about having dedicated channels ? Though I’m sure that some of
> us have already thought about this solution but what about using boost
> signal library to implement the notification chain ? Any thoughts ?

Yes, we might have a look at Boost.signal. But it would be a rather
large refactoring, and lately I'm becoming more concerned with
finalizing a 1.0 release, which calls for more stability instead.
Frankly, I'd leave your suggestion for after a stable release.

Later,
	Luigi


-- 

Barker's Proof: 
Proofreading is more effective after publication. 

Re: [Quantlib-dev] global variables in the test suite

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

On Thu, 2007-08-02 at 10:12 +0200, DU VIGNAUD DE VILLEFORT FRANCOIS
GASAPRD PHI wrote:
> A quick mail to let you know that the fact that we are using global
> variable in the test suite may lead to some dummy bugs.

Which is why we're using the SavedSettings class all over the place.

> Yesterday I have fixed such a bug (rev 12106), in which the
> smilesections created for CapStripper tests were throwing disruptive
> exceptions during the PiecewiseYieldCurve test.

The smile sections were throwing exceptions? Were they still alive after
their test case was completed? Why?

Later,
	Luigi


--  

Every solution breeds new problems. 
-- unknown