quantlib-dev — Discussion of QuantLib development

[Quantlib-dev] global variables in the test suite

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

Hi all ,

=20

=20

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. 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. Indeed if one check the number of object =
observing the Settings::EvaluationDate he will find something around =
5000 ! Any thoughts ?

Fran=E7ois

=20

[Quantlib-dev] Implementing new evolvers for market models (SF code task)

[eric l. <the...@gm...>]

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

Re: [Quantlib-dev] svn commit succeeds on server, fails locally

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

Hi All,

I worked out the problem, I had some directories named "C++" and
commits to these directories caused a post-commit hook on the SF
server (svnnotify) to fail, presumably because the script doesn't like
the + character.  I will rename the directories today.

Regards,
Eric

On 7/30/07, eric ehlers <eri...@gm...> wrote:
> Hi All,
>
> Has anyone been having problems using subversion?
>
> For the last month or so, almost every time I commit a change, the
> commit fails with the message "200 OK" similar to the following:
>
>     Modified: erik\projects\trunk\QuantLibAddin\Clients\C++\qlxl_demo_market.xml
>     Sending content:
> erik\projects\trunk\QuantLibAddin\Clients\C++\qlxl_demo_market.xml
>     Error: Commit failed (details follow):
>     Error: MERGE request failed on
> '/svnroot/quantlib/trunk/QuantLibAddin/Clients/C++'
>     Error: MERGE of
> '/svnroot/quantlib/trunk/QuantLibAddin/Clients/C++': 200 OK
> (https://quantlib.svn.sourceforge.net)
>
> After this I find that my local copy of svn thinks that the commit has
> failed, whereas the repository on the server thinks that the commit
> has succeeded.  If I do an svn update, svn attempts to merge changes
> from the server into my local copy, finds that the files are the same,
> then marks everything as up-to-date.  No email notification of my
> commit is ever sent.
>
> It appears to me that the commit itself is succeeding, and then some
> subsequent operation on the back end - such as a post commit hook - is
> failing.
>
> I believe the error is unrelated to my local environment:
> - I get the same error both with Tortoise SVN on Windows, and with svn
> at the Linux command line
> - I have tried completely deleting my local copy of the repository
> followed by a fresh svn checkout
> - I have updated to the latest version of svn
>
> Has anyone had a similar problem?  Any idea what might be going wrong?
>
> I've also reported the issue to SourceForge:
> https://sourceforge.net/tracker/index.php?func=detail&aid=1763737&group_id=1&atid=200001
>
> Regards,
> Eric
>

Re: [Quantlib-dev] svn commit succeeds on server, fails locally

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

Hi Eric

none in my team had this problem so far...

ciao -- Nando

On 7/30/07, eric ehlers <eri...@gm...> wrote:
> Hi All,
>
> Has anyone been having problems using subversion?
>
> For the last month or so, almost every time I commit a change, the
> commit fails with the message "200 OK" similar to the following:
>
>     Modified: erik\projects\trunk\QuantLibAddin\Clients\C++\qlxl_demo_market.xml
>     Sending content:
> erik\projects\trunk\QuantLibAddin\Clients\C++\qlxl_demo_market.xml
>     Error: Commit failed (details follow):
>     Error: MERGE request failed on
> '/svnroot/quantlib/trunk/QuantLibAddin/Clients/C++'
>     Error: MERGE of
> '/svnroot/quantlib/trunk/QuantLibAddin/Clients/C++': 200 OK
> (https://quantlib.svn.sourceforge.net)
>
> After this I find that my local copy of svn thinks that the commit has
> failed, whereas the repository on the server thinks that the commit
> has succeeded.  If I do an svn update, svn attempts to merge changes
> from the server into my local copy, finds that the files are the same,
> then marks everything as up-to-date.  No email notification of my
> commit is ever sent.
>
> It appears to me that the commit itself is succeeding, and then some
> subsequent operation on the back end - such as a post commit hook - is
> failing.
>
> I believe the error is unrelated to my local environment:
> - I get the same error both with Tortoise SVN on Windows, and with svn
> at the Linux command line
> - I have tried completely deleting my local copy of the repository
> followed by a fresh svn checkout
> - I have updated to the latest version of svn
>
> Has anyone had a similar problem?  Any idea what might be going wrong?
>
> I've also reported the issue to SourceForge:
> https://sourceforge.net/tracker/index.php?func=detail&aid=1763737&group_id=1&atid=200001
>
> Regards,
> Eric
>
> -------------------------------------------------------------------------
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> Still grepping through log files to find problems?  Stop.
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>

[Quantlib-dev] svn commit succeeds on server, fails locally

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

Hi All,

Has anyone been having problems using subversion?

For the last month or so, almost every time I commit a change, the
commit fails with the message "200 OK" similar to the following:

    Modified: erik\projects\trunk\QuantLibAddin\Clients\C++\qlxl_demo_market.xml
    Sending content:
erik\projects\trunk\QuantLibAddin\Clients\C++\qlxl_demo_market.xml
    Error: Commit failed (details follow):
    Error: MERGE request failed on
'/svnroot/quantlib/trunk/QuantLibAddin/Clients/C++'
    Error: MERGE of
'/svnroot/quantlib/trunk/QuantLibAddin/Clients/C++': 200 OK
(https://quantlib.svn.sourceforge.net)

After this I find that my local copy of svn thinks that the commit has
failed, whereas the repository on the server thinks that the commit
has succeeded.  If I do an svn update, svn attempts to merge changes
from the server into my local copy, finds that the files are the same,
then marks everything as up-to-date.  No email notification of my
commit is ever sent.

It appears to me that the commit itself is succeeding, and then some
subsequent operation on the back end - such as a post commit hook - is
failing.

I believe the error is unrelated to my local environment:
- I get the same error both with Tortoise SVN on Windows, and with svn
at the Linux command line
- I have tried completely deleting my local copy of the repository
followed by a fresh svn checkout
- I have updated to the latest version of svn

Has anyone had a similar problem?  Any idea what might be going wrong?

I've also reported the issue to SourceForge:
https://sourceforge.net/tracker/index.php?func=detail&aid=1763737&group_id=1&atid=200001

Regards,
Eric

Re: [Quantlib-dev] QuantLibXL problem under MS Office 2007

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

Hi Dominick,

On 7/30/07, Dominick Samperi <djs...@ea...> wrote:
> Eric,
>
> When I open the ControlPanel spreadsheet first I see the menu. I
> incorrectly assumed that the menu would appear if I simply opened
> one of the other demo worksheets (like Swap.xls).

Glad to hear that it's working.  ControlPanel.xls was saved with a
reference to QuantLibXL.xla so opening the former causes the latter to
be loaded.  The most straightforward way to start the framework, as
Toyin pointed out, is to open QuantLibXL.xla directly, please see
http://www.quantlibxl.org/framework.html.

Regards,
Eric

Re: [Quantlib-dev] QuantLibXL problem under MS Office 2007

[Dominick S. <djs...@ea...>]

Eric,

When I open the ControlPanel spreadsheet first I see the menu. I
incorrectly assumed that the menu would appear if I simply opened
one of the other demo worksheets (like Swap.xls).

Thanks,
Dominick

eric ehlers wrote:
> Hi Dominick,
>
> On 7/27/07, Dominick Samperi <djs...@ea...> wrote:
>   
>> Hello,
>>
>> When I install QuantLibXL-0.8.0 under Office 2007 the associated
>> drop-down menu does not appear, though a few functions that I tested
>> seem to work.
>>     
>
> Have you enabled the setting "Trust access to the VBA project object model"?
>
> This is found under Excel Options, Trust Center, Trust Center
> Settings, Macro Settings.
>
> Thanks,
> Eric
>   

Re: [Quantlib-dev] [Quantlib-users] QuantLibXL, Office 2007, dual core machines...

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

Hey Eric,

That's pretty cool.

Thanks for the update. I've just obtained a couple of new dual core servers 
to test stuff on...

Toy out.

>From: "eric ehlers" <eri...@gm...>
>To: "Toyin Akin" <toy...@ho...>
>CC: qua...@li...,qua...@li...
>Subject: Re: [Quantlib-users] QuantLibXL, Office 2007, dual core 
>machines...
>Date: Mon, 30 Jul 2007 11:10:53 +0200
>
>Hi Toyin,
>
>On 7/25/07, Toyin Akin <toy...@ho...> wrote:
> > Hi,
> >
> > I've been reading up on some of QuantLibXL docs and came across a 
>potential
> > issue with the way QuantLib is designed when run on Excel 2007 with
> > dual/quad core machines.
>
>When an XLL registers a function with Excel, the XLL may pass an
>additional new parameter recognized by Excel 2007 to indicate that the
>function is thread safe.  Excel 2007 invokes an XLL's functions in
>parallel only if they have been registered as thread safe.
>
>In other words, we can take our existing code as-is and run it under
>Excel 2007 and it should behave exactly as it did under earlier
>versions of Excel, with all calculations running in a single thread.
>
>Of course longer term we would like to take advantage of
>multithreading, and as you mention we would need to take account of
>QuantLib's processing of the evaluation date.  One simple approach
>would be to implement a startup routine which explicilty sets the
>evaluation date in each thread to be used by the XLL.
>
>Regards,
>Eric
>
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Re: [Quantlib-dev] [Quantlib-users] QuantLibXL, Office 2007, dual core machines...

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

Hi Toyin,

On 7/25/07, Toyin Akin <toy...@ho...> wrote:
> Hi,
>
> I've been reading up on some of QuantLibXL docs and came across a potential
> issue with the way QuantLib is designed when run on Excel 2007 with
> dual/quad core machines.

When an XLL registers a function with Excel, the XLL may pass an
additional new parameter recognized by Excel 2007 to indicate that the
function is thread safe.  Excel 2007 invokes an XLL's functions in
parallel only if they have been registered as thread safe.

In other words, we can take our existing code as-is and run it under
Excel 2007 and it should behave exactly as it did under earlier
versions of Excel, with all calculations running in a single thread.

Of course longer term we would like to take advantage of
multithreading, and as you mention we would need to take account of
QuantLib's processing of the evaluation date.  One simple approach
would be to implement a startup routine which explicilty sets the
evaluation date in each thread to be used by the XLL.

Regards,
Eric

Re: [Quantlib-dev] QuantLibXL problem under MS Office 2007

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

Hi Dominick,

On 7/27/07, Dominick Samperi <djs...@ea...> wrote:
> Hello,
>
> When I install QuantLibXL-0.8.0 under Office 2007 the associated
> drop-down menu does not appear, though a few functions that I tested
> seem to work.

Have you enabled the setting "Trust access to the VBA project object model"?

This is found under Excel Options, Trust Center, Trust Center
Settings, Macro Settings.

Thanks,
Eric

Re: [Quantlib-dev] QuantLibXL problem under MS Office 2007

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

Hi Dominick,

It works for me.

I installed it a couple of days ago.
I just load Excel 2007 first and then double click on the main addin (or 
drag it onto Excel's surface).

I like it a lot...

Toy out.

>From: Dominick Samperi <djs...@ea...>
>To: qua...@li...,QuantLib developers 
><qua...@li...>
>Subject: [Quantlib-dev] QuantLibXL problem under MS Office 2007
>Date: Thu, 26 Jul 2007 19:19:03 -0400
>
>Hello,
>
>When I install QuantLibXL-0.8.0 under Office 2007 the associated
>drop-down menu does not appear, though a few functions that I tested
>seem to work.
>
>Under Office 2007 the menus created by VBA normally appear under
>the Add-Ins tab, and this happens with a few programs that I tested, but
>it does not seem to work with QuantLibXL. On the other hand, the
>QuantLibXL menu appears under Office 2000, for example.
>
>Any ideas?
>
>Thanks,
>Dominick
>
>-------------------------------------------------------------------------
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>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/
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Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [11998] branches/swaptionBondRefactoring/QuantLib

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

On Fri, 2007-07-27 at 06:56 -0700, gi...@us... wrote:
> Revision: 11998
>           http://quantlib.svn.sourceforge.net/quantlib/?rev=11998&view=rev
> Author:   giorfa
> Date:     2007-07-27 06:56:28 -0700 (Fri, 27 Jul 2007)

> Modified: branches/swaptionBondRefactoring/QuantLib/ql/instrument.hpp
> ===================================================================
> --- branches/swaptionBondRefactoring/QuantLib/ql/instrument.hpp	2007-07-27 13:03:27 UTC (rev 11997)
> +++ branches/swaptionBondRefactoring/QuantLib/ql/instrument.hpp	2007-07-27 13:56:28 UTC (rev 11998)
> @@ -101,6 +102,9 @@
>          mutable std::map<std::string,boost::any> additionalResults_;
>          //@}
>          boost::shared_ptr<PricingEngine> engine_;
> +    private:
> +        // Cash Flows Collections
> +        std::vector<Leg> legs_;
>      };
>  


No, this doesn't belong to the Instrument class.

Later,
	Luigi



-- 

Perfection is reached, not when there is no longer anything to add, but 
when there is no longer anything to take away. 
-- Antoine de Saint-Exupery 

[Quantlib-dev] Separating notification channels ?

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

Hi all,

=20

In our implementation market data and evaluation date changes are =
propagated through the same channel (observers update methods).=20

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). 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 ?

Fran=E7ois

[Quantlib-dev] QuantLibXL problem under MS Office 2007

[Dominick S. <djs...@ea...>]

Hello,

When I install QuantLibXL-0.8.0 under Office 2007 the associated
drop-down menu does not appear, though a few functions that I tested
seem to work.

Under Office 2007 the menus created by VBA normally appear under
the Add-Ins tab, and this happens with a few programs that I tested, but
it does not seem to work with QuantLibXL. On the other hand, the
QuantLibXL menu appears under Office 2000, for example.

Any ideas?

Thanks,
Dominick

Re: [Quantlib-dev] java libraries

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

On Thu, 2007-07-19 at 12:44 +0100, ant...@bl... wrote:
> I stumbled across the quantlib.org website while looking for some open
> source java finance software. I was planning to write some java classes
> and wanted to check if this had been done before (not re-inventing the
> wheel!).
> 
> I noticed that there is some mention that these libraries have been ported
> to java, is this the case, if so where could I find them? Or is it a case
> of individuals porting them for their own use?

Anthony,
	bindings to Java of part of the C++ library are available in the
QuantLib-SWIG module. It's not a true porting to Java though---you only
get to call the compiled C++ code from Java.

Later,
	Luigi


-- 

Do the right thing. It will gratify some people and astonish the rest. 
-- Mark Twain 

Re: [Quantlib-dev] callable bonds

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

Convertible bonds use the binomialconvertibleengine class in
pricingengines/hybrid/binomialconvertibleengine.hpp. The class passes the
convertible bond arguments, adjusts the underlying stock for dividends, and most
importantly, sets up the underlying stock tree. DiscretizedConvertible processes
coupons, calls/puts, and convertibility. The convertible bond is actually
stepped back in TsiveriotisFernandesLattice. 

If you make the exercise European and set the conversion ratio low enough, then
DiscretizedConvertible will only adjust for calls/puts and coupons. The convert
is stepped back at a blended rate (a combination of the risk-free rate and the
spread). If the conversion ratio is low enough, then the result should be a
corporate bond that is stepped back at risk-free + spread, and occasionally
adjusted for coupons and calls/puts. The underlying convertibility will not
influence the result at all.

If this sounds like a good direction, then you would need to alter
TsiveriotisFernandesLattice since it works with a constant risk-free and spread
rate. It's easy to adapt it for a yield and spread curve, and it should be open
to other interest rate models.

Re: [Quantlib-dev] bond spreads/option adjusted spreads

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

On Wed, 2007-07-25 at 01:08 -0400, Zhonghua Guo wrote:
> The only thing I was getting confused about was that in all the
> "scenarios" (e.g. all the nodes on a tree for a lattice method),  i
> thought those rates were forward rates, not zero rates. 
>  
> Fabozzi does exactly what you are saying above- you model the tree (of
> forward rates, I thought) and find the constant rate when added to all
> the nodes that reprices the bond correctly. I can do it that way
> but... is it right ? I thought the OAS was defined as a spread
> over zero rates, not the forward rates.

Zero rates are averages of forward rates. If the spread over the
forwards is constant, it results in the same spread on zero rates.

Later,
	Luigi

-- 

Don't say "yes" until I finish talking. 
-- Darryl F. Zanuck 

Re: [Quantlib-dev] callable bonds

[Zhonghua G. <zho...@gm...>]

Hi John:  From what little I know, the optionality/callability in the
convertible bond class is based on an underlying equity stochastic process.
If you introduced a stochastic interest rate process into the model and the
correlation between the two processes, then I would think it would be
possible to have the (callable) convertible bond reduce to a "plain"
callable bond (i.e. where optionality is a function purely of interest rate
volatility, not equity vol) when some parameter is set high enough so that
it would never be converted to equity. If I can get the callable bond
classes done, then I'd like to look into it bringing some machinery
over, but the only engine I am working on now is tree-based and I don't know
the standard engine for converts that model both processes.  Best, GZH


Message: 4
Date: Mon, 23 Jul 2007 12:19:48 +0000 (UTC)
From: John Maiden <jwm...@ya...>
Subject: Re: [Quantlib-dev] callable bonds
To: qua...@li...
Message-ID: <loo...@po...>
Content-Type: text/plain; charset=us-ascii

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.
     As for your bond spread issue, if you use a convertible
bond then you can also alter the Black-Scholes process that
goes into the bond to include zero curves.

John

Re: [Quantlib-dev] bond spreads/option adjusted spreads

[Zhonghua G. <zho...@gm...>]

Hi Chiara: Thank you for your reply.
**
*Given this assumptions, the OAS is simply the constant absolute shift to
the zero cpn rates in all scenario that is requires to ensure that the model
value of the bond equals the market price.*
**
The only thing I was getting confused about was that in all the "scenarios"
(e.g. all the nodes on a tree for a lattice method),  i thought those rates
were forward rates, not zero rates.
**
Fabozzi does exactly what you are saying above- you model the tree (of
forward rates, I thought) and find the constant rate when added to all the
nodes that reprices the bond correctly. I can do it that way but... is it
right ? I thought the OAS was defined as a spread over zero rates, not the
forward rates.

Best, GZH

**

**

**



On 7/24/07, FORNAROLA CHIARA <chi...@ca...> wrote:
>
>  Hi Allen,
>
>
>
> for non callable bonds you calculate the Z-spread which is the required
> shift to the  zero-cpn rates so that when you sum the value of the bond's
> discounted payments, you get the observed market price of the bond. For
> bonds with embedded options, such as callable bonds, the z-spread is often
> not meaningful. This is because it is usually not appropriate to value a
> callable bond simply by discounting its scheduled payments. To value a
> callable bond properly, a model that explicitly takes into account
> volatility in interest rates is needed, so that the risk of the bond being
> called can be taken into account.
>
> Considered a stochastic term structure model, this will take as input a
> curve of zero cpn interest rates and some parameters determining the
> volatility of these interest rates. From these inputs the model generates a
> large number of possible scenarios for futures interest rates. A callable
> bond then is valued by first discounting the cashflows of the security in
> each scenario separately and then averaging over all the scenarios. Given
> this assumptions, the OAS is simply the constant absolute shift to the zero
> cpn rates in all scenario that is requires to ensure that the model value of
> the bond equals the market price. For bonds without embedded options, the
> OAS is exactly the same as the Z-spread (when adjusting for the proper
> daycount and coumpounding conventions).
>
> I hope this will help to clarify the difference between the two kinds of
> spread you mentioned.
>
>
>
> Chiara
>
> p.s.
>
> Regarding, Z-spread, in the next release you'll find in the bond class
> cleanPriceFromZSpread and dirtyPriceFromZSpread.
>
>
>
> -----Original Message-----
> *From:* qua...@li... [mailto:
> qua...@li...] *On Behalf Of *Allen Kuo
> *Sent:* Sunday, July 15, 2007 10:06 AM
> *To:* qua...@li...
> *Subject:* [Quantlib-dev] bond spreads/option adjusted spreads
>
>
>
> Hi:
>
>
>
> I am interested in calculating the spread over a reference zero curve
> (Fabozzi's "zero volatility spread") for a bond. I would approach via Newton
> Raphson iteration, varying the spread (using ZeroSpreadedTermStructure) to
> make NPV() match the market quote on the bond. I would look to create a
> method under Bond to do this, e.g. myBond.zeroVolSpread(Handle<Quote>
> marketQuoteCleanPrice).
>
>
>
> What I was ultimately trying to get at was the CallableFixedRateBond
> "option adjusted spread" (OAS). I was looking at Fabozzi and his OAS for a
> callable bonds was the constant rate added to all the nodes on his binomial
> short rate tree that make the NPV equal the observed market price. Isn't
> the spread over the tree a spread over forward rates, rather than zero rates
> ? Could I instead compute the spread the same way as I do for a non-callable
> bond, as mentioned above, by varying the spread over the input reference
> zero curve so that the the forward rate tree gets "raised" by the spread
> automatically/implicitly when you do this ? This would be easier than to go
> into the ShortRateModel and add the spread to each node of the tree.
>
>
>
> Thanks,
>
> GZH
>

[Quantlib-dev] QuantLibXL, Office 2007, dual core machines...

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

Hi,

I've been reading up on some of QuantLibXL docs and came across a potential 
issue with the way QuantLib is designed when run on Excel 2007 with 
dual/quad core machines.

I found the following snippet on the web...

#######################################################
To a large number of customers, Excel’s calculation speed is extremely 
important – perhaps the most important “feature” we ship.  When planning 
Excel 12, we started a small investigation to look at different ways we 
could make Excel calculate faster on computers that had multi-processor or 
dual-core chips.  The investigation turned out to be promising, so we 
continued the work, and the result is a very exciting feature that we refer 
to as multi-threaded calculation, or MTC.  (Note – this is another working 
name, not a final name.  Also note that our developers refer to this as MTR, 
or multi-threaded recalculation, but since most customers use the word 
calculation, I have decided to go that route for this post.)

In a nutshell, this feature enables Excel to spot formulas that can be 
calculated concurrently, and then run those formulas on multiple processors 
simultaneously.  The net effect is that a given spreadsheet finishes 
calculating in less time, improving Excel’s overall calculation performance. 
  Excel 12 can take advantage of as many processors (or cores, which to 
Excel appear as processors) as there are on a machine - when Excel loads a 
workbook, it asks the operating system how many processors are available, 
and it creates a thread for each processor.  In general, the more 
processors, the better the performance improvement.
#######################################################

This tells me that due to the way that evaluationDate() is handled in 
QuantLib, it *MAY* be possible to mis-price deals because one thread may set 
the value of the evaluation date while another then uses the changed value. 
Within Excel 2003, this is not possible.

I haven't tested this, but maybe one has to be carefull how evalDate() is 
used on spreadsheets (one centralised location and not scattered across 
spreadsheets). This may restrict how some spreadsheets are designed.

Can someone look into this? Is this really an issue?

More info on this can be gleamed here...

http://blogs.msdn.com/officerocker/archive/2006/08/17/704242.aspx

or google for "excel 2007 multithreaded dual core"

Toy out...

_________________________________________________________________
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Re: [Quantlib-dev] bond spreads/option adjusted spreads

[FORNAROLA C. <chi...@ca...>]

Hi Allen,

=20

for non callable bonds you calculate the Z-spread which is the required
shift to the  zero-cpn rates so that when you sum the value of the
bond's discounted payments, you get the observed market price of the
bond. For bonds with embedded options, such as callable bonds, the
z-spread is often not meaningful. This is because it is usually not
appropriate to value a callable bond simply by discounting its scheduled
payments. To value a callable bond properly, a model that explicitly
takes into account volatility in interest rates is needed, so that the
risk of the bond being called can be taken into account.

Considered a stochastic term structure model, this will take as input a
curve of zero cpn interest rates and some parameters determining the
volatility of these interest rates. From these inputs the model
generates a large number of possible scenarios for futures interest
rates. A callable bond then is valued by first discounting the cashflows
of the security in each scenario separately and then averaging over all
the scenarios. Given this assumptions, the OAS is simply the constant
absolute shift to the zero cpn rates in all scenario that is requires to
ensure that the model value of the bond equals the market price. For
bonds without embedded options, the OAS is exactly the same as the
Z-spread (when adjusting for the proper daycount and coumpounding
conventions).

I hope this will help to clarify the difference between the two kinds of
spread you mentioned.

=20

Chiara

p.s.

Regarding, Z-spread, in the next release you'll find in the bond class
cleanPriceFromZSpread and dirtyPriceFromZSpread.

=20

-----Original Message-----
From: qua...@li...
[mailto:qua...@li...] On Behalf Of Allen
Kuo
Sent: Sunday, July 15, 2007 10:06 AM
To: qua...@li...
Subject: [Quantlib-dev] bond spreads/option adjusted spreads

=20

Hi:

=20

I am interested in calculating the spread over a reference zero curve
(Fabozzi's "zero volatility spread") for a bond. I would approach via
Newton Raphson iteration, varying the spread (using
ZeroSpreadedTermStructure) to make NPV() match the market quote on the
bond. I would look to create a method under Bond to do this, e.g.
myBond.zeroVolSpread(Handle<Quote> marketQuoteCleanPrice).

=20

What I was ultimately trying to get at was the CallableFixedRateBond
"option adjusted spread" (OAS). I was looking at Fabozzi and his OAS for
a callable bonds was the constant rate added to all the nodes on his
binomial short rate tree that make the NPV equal the observed market
price. Isn't  the spread over the tree a spread over forward rates,
rather than zero rates ? Could I instead compute the spread the same way
as I do for a non-callable bond, as mentioned above, by varying the
spread over the input reference zero curve so that the the forward rate
tree gets "raised" by the spread automatically/implicitly when you do
this ? This would be easier than to go into the ShortRateModel and add
the spread to each node of the tree.=20

=20

Thanks,

GZH

[Quantlib-dev] payoff script generators ?

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

Hi all,

=20

I'm playing with the idea of creating a payoff script tool. So far I =
have build a simple symbolic calculator which can evaluate on the fly =
defined expressions at will. I use Spirit/Phoenix which is a powerfull =
library once you master it but not intended the fainthearted programmers =
for sure. I'm aware that this is quite an amibitious undertaking, yet I =
have the feeling that is reachable, any suggestion, encouragment, =
warnings ?=20

Fran=E7ois

Re: [Quantlib-dev] callable bonds

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

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. 
     As for your bond spread issue, if you use a convertible 
bond then you can also alter the Black-Scholes process that 
goes into the bond to include zero curves.

John

[Quantlib-dev] java libraries

[<ant...@bl...>]

Hi

I stumbled across the quantlib.org website while looking for some open
source java finance software. I was planning to write some java classes
and wanted to check if this had been done before (not re-inventing the
wheel!).

I noticed that there is some mention that these libraries have been ported
to java, is this the case, if so where could I find them? Or is it a case
of individuals porting them for their own use?

Is development of this still active? I may brush up on my C++ and have a
play!

Cheers
Anthony.

[Quantlib-dev] bond spreads/option adjusted spreads

[Allen K. <zho...@gm...>]

Hi:



I am interested in calculating the spread over a reference zero curve
(Fabozzi's "zero volatility spread") for a bond. I would approach via Newton
Raphson iteration, varying the spread (using ZeroSpreadedTermStructure) to
make NPV() match the market quote on the bond. I would look to create a
method under Bond to do this, e.g. myBond.zeroVolSpread(Handle<Quote>
marketQuoteCleanPrice).



What I was ultimately trying to get at was the CallableFixedRateBond "option
adjusted spread" (OAS). I was looking at Fabozzi and his OAS for a callable
bonds was the constant rate added to all the nodes on his binomial short
rate tree that make the NPV equal the observed market price. Isn't  the
spread over the tree a spread over forward rates, rather than zero rates ?
Could I instead compute the spread the same way as I do for a non-callable
bond, as mentioned above, by varying the spread over the input reference
zero curve so that the the forward rate tree gets "raised" by the spread
automatically/implicitly when you do this ? This would be easier than to go
into the ShortRateModel and add the spread to each node of the tree.



Thanks,

GZH