quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] Proposed change to Convertible Bond model

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

Sorry, I meant that it only happens at each call date. I played with values
between 1.2 and 1, as well as using a standard call. For a specific call
schedule and inputs (though this worked with other call schedules), the trigger
at 1.2 significantly increased the result (way beyond expected values), while
using no trigger was much lower (lower than expected). The difference in price
was around ~15%. 

Re: [Quantlib-dev] Proposed change to Convertible Bond model

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

On Thu, 2007-05-31 at 11:30 +0000, John Maiden wrote:
> Does anyone know the purpose of the Soft Callability class? It's defined in
> convertiblebond.hpp and implemented in discretizedconvertible.cpp. I'm asking
> because as far as I know, call triggers are typically tied to a period of time,
> e.g. stock price above 120% for 20 out of 30 days. In its implementation in
> QuantLib, it simply acts as a potential additional call at each node, and thus
> inflates the overall price of the bond. 

At this time, there's no time period where the trigger condition has to
hold; it's just checked at the callability date. I agree it should be
fixed. However, the price increase might not be as high as you make it;
unless I'm mistaken, the additional call is not at each node, but only
at the node corresponding to the callability date.

Later,
	Luigi


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

Present to inform, not to impress; if you inform, you will impress. 
-- Fred Brooks 

[Quantlib-dev] Fixed rate bond changes

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

Guys,

I order to have a more generic FixedRateBond class I included two
constructors that are able to receive an InterestRate vector.
This way someone can setup a more generic coupon generation. I needed that,
for example, to setup NTN-F Brazilian public bond. Test Suite includes
examples with that bond.
I think we should have an amortization schedule two but I don´t know when I
will be able to do that.

There is a correction to a mistake I made in Calendar::businessDaysBetween
too, when from and to dates are the same.

I hope you guys enjoy and use it in the next QuantLib version. Once SF didn´t
accept my zip file by email I sent using Patche option of SF.

Regards,



Piter Dias
pit...@ca...




Piter Dias
pit...@ca...

[Quantlib-dev] [ quantlib-Patches-1734245 ] More generic FixedRateBond Class

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

Patches item #1734245, was opened at 2007-06-09 20:58
Message generated for change (Settings changed) made by piterdias
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1734245&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: Works For Me
Priority: 5
Private: No
Submitted By: Piter Dias (piterdias)
>Assigned to: Ferdinando Ametrano (nando)
Summary: More generic FixedRateBond Class

Initial Comment:
Guys,

I changed FixedRateBond class to include more complete information about coupon generation.
Instead of passing just a Rates vector to the constructors, now we can pass a InterestRate vector too.


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

Comment By: Piter Dias (piterdias)
Date: 2007-06-09 20:59

Message:
Logged In: YES 
user_id=975167
Originator: YES

File Added: FixedRateBond.patch

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1734245&group_id=12740

[Quantlib-dev] [ quantlib-Patches-1734245 ] More generic FixedRateBond Class

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

Patches item #1734245, was opened at 2007-06-09 20:58
Message generated for change (Comment added) made by piterdias
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1734245&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: Piter Dias (piterdias)
Assigned to: Nobody/Anonymous (nobody)
Summary: More generic FixedRateBond Class

Initial Comment:
Guys,

I changed FixedRateBond class to include more complete information about coupon generation.
Instead of passing just a Rates vector to the constructors, now we can pass a InterestRate vector too.


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

>Comment By: Piter Dias (piterdias)
Date: 2007-06-09 20:59

Message:
Logged In: YES 
user_id=975167
Originator: YES

File Added: FixedRateBond.patch

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1734245&group_id=12740

[Quantlib-dev] [ quantlib-Patches-1734245 ] More generic FixedRateBond Class

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

Patches item #1734245, was opened at 2007-06-09 20:58
Message generated for change (Tracker Item Submitted) made by Item Submitter
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1734245&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: Piter Dias (piterdias)
Assigned to: Nobody/Anonymous (nobody)
Summary: More generic FixedRateBond Class

Initial Comment:
Guys,

I changed FixedRateBond class to include more complete information about coupon generation.
Instead of passing just a Rates vector to the constructors, now we can pass a InterestRate vector too.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1734245&group_id=12740

[Quantlib-dev] Strange behavior of dirtyPriceFromYield

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

Guys,

I am a bit confused with the dirtyPriceFromYield piece of code bellow.
It seems that even if I set Compounding to Simple the yield will be
compounded coupon by coupon.
Is it make sense?
Why don´t we calculate discount factor always from settlement to couponDate?
This way Compounding setup would be followed and a fixed coupon bond would
have the same behavior of a portfolio of zero coupon ones.

What do you guys thing about?

Regards,

Piter Dias
pit...@ca...

//##########################################################################

                if (lastDate == Date()) {
                    // first not-expired coupon
                    if (i > 0) {
                        lastDate = cashflows[i-1]->date();
                    } else {
                        boost::shared_ptr coupon =
                            boost::dynamic_pointer_cast(cashflows[i]);
                        if (coupon)
                            lastDate = coupon->accrualStartDate();
                        else
                            lastDate = couponDate - 1*Years;
                    }
                    discount *= y.discountFactor(settlement,couponDate,
                                                 lastDate, couponDate);
                } else  {
                    discount *= y.discountFactor(lastDate, couponDate);
                }

//##########################################################################

[Quantlib-dev] Strange behavior of dirtyPriceFromYield

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

Guys,

I am a bit confused with the dirtyPriceFromYield piece of code bellow.
It seems that even if I set Compounding to Simple the yield will be
compounded coupon by coupon.
Is it make sense?
Why don´t we calculate discount factor always from settlement to couponDate?
This way Compounding setup would be followed and a fixed coupon bond would
have the same behavior of a portfolio of zero coupon ones.

What do you guys thing about?

Regards,

Piter Dias
pit...@ca...

//##########################################################################

                if (lastDate == Date()) {
                    // first not-expired coupon
                    if (i > 0) {
                        lastDate = cashflows[i-1]->date();
                    } else {
                        boost::shared_ptr<Coupon> coupon =
                            boost::dynamic_pointer_cast<Coupon>(cashflows[i]);
                        if (coupon)
                            lastDate = coupon->accrualStartDate();
                        else
                            lastDate = couponDate - 1*Years;
                    }
                    discount *= y.discountFactor(settlement,couponDate,
                                                 lastDate, couponDate);
                } else  {
                    discount *= y.discountFactor(lastDate, couponDate);
                }

//##########################################################################

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN:quantlib:[11264] trunk/QuantLib/ql/termstructures/volatilities /caplet

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

Thanks for this enlightening answer Luigi,

>What were A and X?

A -> HybridCapletVolatilityStructure
X -> ParametrizedCapletVolStructure

To put it in a nutshell the HybridCapletVolatilityStructure class takes =
two disjoint CapletVolStructures and compute the volatility using the =
appropriated one depending on the tenor. Anyway it was a poor idea to =
templatize, and now the construction of the =
ParametrizedCapletVolStructure is done externally which makes much more =
sense.

Fran=E7ois

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[11264] trunk/QuantLib/ql/termstructures/volatilities /caplet

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

On Thu, 2007-06-07 at 18:31 +0200, DU VIGNAUD DE VILLEFORT FRANCOIS
GASAPRD PHI wrote:
> Here is an example of the code I tried to write:  
> 
> class A {
>   public:
>     template <class T>
>     A() { ... }
> };
> 
> 
> void main() {
>     shared_ptr<A> a (new A<X>());
> }

It doesn't work. The compiler parses A<X>() as the constructor of a
template class A, not the template constructor of a class A.
You can write template constructors, but only in cases such as:

class A {
  public:
    template <class T>
    A(const T& t) { ... }
};

void main() {
    X x;
    shared_ptr<A> a (new A(x));
}

where the <X> is not there and the template specialization is deduced
from the type of the argument.

What were A and X?

Later,
	Luigi


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

There's no sense in being precise when you don't even know what you're 
talking about. 
-- John von Neumann 

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[11264] trunk/QuantLib/ql/termstructures/volatilities /caplet

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

>It is, but (I think) only on the type of an argument. What did you have
>in mind?


Here is an example of the code I tried to write: =20

class X {};
class Y: public X {};

class A {
  public:
    template <class T>
    A():p_(){
        p_ =3D shared_ptr(new T);
    }
  private:
      shared_ptr<X> p_;
};


void main() {
    shared_ptr<A> a (new A<X>());
}


Fran=E7ois



----------------------------------------=20

Can't act. Slightly bald. Also dances.=20
-- RKO executive, reacting to Fred Astaire's screen test.=20
Cerf/Navasky, "The Experts Speak"=20



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Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib: [11264] trunk/QuantLib/ql/termstructures/volatilities /caplet

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

On Thu, 2007-06-07 at 08:53 -0700, fd...@us... wrote:
> Log Message:
> -----------
> the code refactoring which failed last time (I really hope it wont this time...): 
> HybridCapletVolatilityStructure is no longer templatized
> Just for curiosity sake: Does anyone knows if it is possible to templatize constructors ?

It is, but (I think) only on the type of an argument. What did you have
in mind?

Luigi



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

Can't act. Slightly bald. Also dances. 
-- RKO executive, reacting to Fred Astaire's screen test. 
Cerf/Navasky, "The Experts Speak" 

Re: [Quantlib-dev] optimizers

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

Thank you Sergey for the licensing of BFGS algo.
We put this task in our todo list (low priority indeeed), is it of
interest for you ?=20
I mean, just plugging BFGS into Quantlib, insipirated by the present
framework for optimizers (Simplex or Levenberg-Marquardt, for instance).
Let us know.
Regards
Marco

> -----Original Message-----
> From: qua...@li...=20
> [mailto:qua...@li...] On Behalf=20
> Of alglib
> Sent: 04 June 2007 14:05
> To: qua...@li...
> Subject: Re: [Quantlib-dev] optimizers
>=20
>=20
>=20
> Hello!
>=20
> BFGS stands for "Broyden-Fletcher-Goldfarb-Shanno". It is=20
> algorithm name,
> not license name.
>=20
> Original FORTRAN implementation of the L-BFGS algorithm was "freely
> available for educational or commercial purposes". As far as=20
> I can see it is
> compatible with BSD. I am not a lawyer but common sense tells me it is
> compatible.
>=20
> I've put some restrictions on the use of the translated code=20
> (which were
> discussed above), but if you wish, you can use it under BSD=20
> (QuantLib uses
> BSD, isn't it?). You have a nice project and I would be glag=20
> to help you.
>=20
>=20
> Ferdinando Ametrano wrote:
> >=20
> > Hi Sergey,
> >=20
> > I'm not familiar with BFGS (and/or L-BFGS) and I can't find it in my
> > personal authoritative reference:
> > http://www.gnu.org/licenses/license-list.html
> >=20
> > It would be very nice to have ALGLIB not only open source, but also
> > free software as in http://www.gnu.org/philosophy/free-sw.html
> >=20
> > In any case I can't see QuantLib depending on any software which is
> > not free and/or not compatible with the GNU GPL
> >=20
> > ciao -- Nando
> >=20

Re: [Quantlib-dev] Some noobie questions

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

On Sat, 2007-05-19 at 06:55 +0000, Takashi Yamamoto wrote:
> I recently came accross Quantlib and have a few questions (I couldnt find 
> the answers in the "documentation):

Hi Takashi,
	apologies for the delay, and thanks for the interest.


> 1). Is there a "roll your own" cookbook that shows how to derive other 
> instruments (from an existing base instrument class say?)

It's not complete, but I uploaded a draft recently. You can find it at
<http://www.compplusplus.com/2007/04/luigi_ballabio__2.html>.  It's
written for QuantLib 0.4.0, but I think you can find your way around
0.8.0 as well.


> 2). Equity derivatives, Futures and Commodities appear to be missing from 
> the library - was this an oversight?

We do have some equity derivatives in the library (European, Asian and
American vanilla options, barrier options, a few others.) The others are
missing because in their real work, most developers are working more in
interest-rate derivative, so that's what they were interested in coding.

> (i)- if yes, when are these instruments likely to be included ?

When someone has an interest in such instruments and is willing to help,
which leads me to your next question:

> (ii). No plan is in place for these instruments, could someone then kindly 
> suggest to me how I may go about using the existing library to build these 
> instruments - i.e attempt to add these instruments to the library (similar 
> to question 1).

The draft at the above link contains a couple of working examples and
can get you started. However, it's likely that you'll need more
information. You're welcome to ask questions on this list.


> 3).  Concrete classes for calendars (one for each country) seems a bit 
> unusual, why was this approach taking rather than having a generic calendar 
> class with properties/methods that would determine which country the 
> calendar was representing?

Because holidays are not represented as data in the calendar class, but
as actual code describing the holiday rules. Therefore, we need derived
classes to dispatch the correct virtual method.


> 4). There are existing, complete libraries for Date/Time (e.g. wxWidget), 
> why did you not build on these existing classes (i.e. why did  you decide to 
> start from scratch)?

When we started, we tried to keep dependencies at a minimum---for
instance, we didn't want to require wxWidget as a prerequisite for
building the library. Nowadays, we might switch (for instance, to
boost:date) but since the date class is used everywhere in the library,
that would require quite a bit of study to see that we wouldn't lose
functionality. So far, nobody had the time to do it.

Later,
	Luigi


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

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

Re: [Quantlib-dev] Problem with Visual Studio 2005

[<fre...@gm...>]

Indeed, it is not managed C++ but it does work with ('my') VS2005SP1 and QL
0.8. However, QL 0.4 seems to crash now with the feacp.dll from this fix. I
guess intellisense is not very stable.

Fred

On Wed, 2007-06-06 at 11:39 +0200, Fr=E9d=E9ric Degraeve wrote:
> Hello,
> For other people with the same problem, just apply this fix!
> http://support.microsoft.com/?scid=3Dkb%3Ben-us%3B913377&x=3D16&y=3D11
> Thank you for the tip, Francois!

Nice to know the fix works--but our project is not Managed C++, is it?

Luigi


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

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



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Re: [Quantlib-dev] Problem with Visual Studio 2005

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

Hi Fr=E9d=E9ric

> It comes from Intellisense (feacp.dll). I've made the
> trick to rename this dll. However, it disables the ability 'go to
> definition'. I look right now for an other solution.

The problem arose a couple of months ago. I looked for a solution, but
even with the latest Visual Studio service pack I had no luck.
Renaming the "Microsoft Visual Studio 8\VC\vcpackages\feacp.dll" and
losing IntelliSense functionalities was the only option at that time.
If you find a better solution please let us know.

Luigi: we might want to have this as FAQ

ciao -- Nando

Re: [Quantlib-dev] test-suite in debug mode

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

On Wed, 2007-06-06 at 08:49 +1000, Mark joshi wrote:
> here are his comments:
> 
> "
> Visual Studio 2003 (at work) and 2005 (at home). Both give test failures
> due to errors exceeding tols, and appears to hang in debug mode part way
> through (in debug mode).
> "

Ok, I reproduced it---I launched VC7 compilation and test suite in debug
mode yesterday before going home, and this morning it was still trying
to price callable swaps.

In reverse order:

- it does seem to hang, but it's because "slow" doesn't even begin to
express how the callable-swap tests are in debug mode. They take maybe
15 minutes in release mode, which translates to several hours in debug
mode.

- previous test fail, but not because of tolerances--the message is a
bit misleading in this case. The tests are repricing a string of
instruments (say, coterminal swaps) in a single simulation. The error
for each instrument is sensible (on average, about one sigma or less)
but the problem is that all errors are on the same side (for the ones I
saw, all negative.) It might be a chance, but I think it's unlikely.
Unfortunately I don't have the time to look into it now. Anyone?

Later,
	Luigi


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

The doctrine of human equality reposes on this: that there is no man 
really clever who has not found that he is stupid. 
-- Gilbert K. Chesterson 

Re: [Quantlib-dev] Problem with Visual Studio 2005

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

On Wed, 2007-06-06 at 11:39 +0200, Frédéric Degraeve wrote:
> Hello,
> For other people with the same problem, just apply this fix!
> http://support.microsoft.com/?scid=kb%3Ben-us%3B913377&x=16&y=11
> Thank you for the tip, Francois!

Nice to know the fix works--but our project is not Managed C++, is it?

Luigi


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

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

Re: [Quantlib-dev] Problem with Visual Studio 2005

[<fre...@gm...>]

Hello,
For other people with the same problem, just apply this fix!
http://support.microsoft.com/?scid=3Dkb%3Ben-us%3B913377&x=3D16&y=3D11
Thank you for the tip, Francois!
Fred


On 6/6/07, Fr=E9d=E9ric Degraeve <fre...@gm...> wrote:
>
> Hello Luigi & Francois,
>
> Francois is right. It comes from Intellisense (feacp.dll). I've made the
> trick to rename this dll. However, it disables the ability 'go to
> definition'. I look right now for an other solution.
>
> Luigi, I've got the following version of vs2005 and I get a fatal error o=
n
> feacp.dll.
> Version 8.0.50727.762  (SP.050727-7600)
> Microsoft .NET Framework Version 2.0.50727
> Microsoft Visual Studio 2005 Professional Edition - ENU Service Pack 1
> (KB926601)
>
>
> On 6/5/07, Luigi Ballabio <lui...@gm... > wrote:
> >
> > On Tue, 2007-06-05 at 16:32 +0200, Fr=E9d=E9ric Degraeve wrote:
> > > Hello everyone,
> > >
> > > I get a fatal error from Visual Studio 2005 with sources in
> > > QuantLib-0.8.1.zip. Anyone else?
> >
> > Not me. Moreover, 0.8.1 should be identical to 0.8.0 on Windows.
> > What error do you get?
> >
> > Luigi
> >
> >
> > ----------------------------------------
> >
> > Better to remain silent and be thought a fool than to speak out and
> > remove all doubt.
> > -- Abraham Lincoln
> >
> >
> >
>

Re: [Quantlib-dev] Problem with Visual Studio 2005

[<fre...@gm...>]

Hello Luigi & Francois,

Francois is right. It comes from Intellisense (feacp.dll). I've made the
trick to rename this dll. However, it disables the ability 'go to
definition'. I look right now for an other solution.

Luigi, I've got the following version of vs2005 and I get a fatal error on
feacp.dll.
Version 8.0.50727.762  (SP.050727-7600)
Microsoft .NET Framework Version 2.0.50727
Microsoft Visual Studio 2005 Professional Edition - ENU Service Pack 1
(KB926601)


On 6/5/07, Luigi Ballabio <lui...@gm...> wrote:
>
> On Tue, 2007-06-05 at 16:32 +0200, Fr=E9d=E9ric Degraeve wrote:
> > Hello everyone,
> >
> > I get a fatal error from Visual Studio 2005 with sources in
> > QuantLib-0.8.1.zip. Anyone else?
>
> Not me. Moreover, 0.8.1 should be identical to 0.8.0 on Windows.
> What error do you get?
>
> Luigi
>
>
> ----------------------------------------
>
> Better to remain silent and be thought a fool than to speak out and
> remove all doubt.
> -- Abraham Lincoln
>
>
>

Re: [Quantlib-dev] test-suite in debug mode

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

here are his comments:

"
Visual Studio 2003 (at work) and 2005 (at home). Both give test failures
due to errors exceeding tols, and appears to hang in debug mode part way
through (in debug mode).
"


On 06/06/07, Luigi Ballabio <lui...@gm...> wrote:
> On Mon, 2007-06-04 at 09:25 +1000, Mark joshi wrote:
> > A friend is claiming that the testsuite is failing for the market
> > models in the 0.8 release in debug mode. Is anyone aware of this
> > problem?
>
> With what compiler?
>
> Later,
>         Luigi
>
>
> ----------------------------------------
>
> Age is an issue of mind over matter. If you don't mind, it doesn't
> matter.
> -- Mark Twain
>
>
>


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

Re: [Quantlib-dev] a simple question

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

Bonjour Fran=E7ois,
	sorry for the delay. Here we go:

On May 18, 2007, at 5:41 PM, DU VIGNAUD DE VILLEFORT FRANCOIS GASAPRD=20
PHI wrote:
>> In this case, isValid_ should be protected and derived classes would=20=

>> have to manage it.
>
> I agree with you, we could also leave it as it is and provide a=20
> protected function setQuote() which would set isValid_ to true.
>
>> Using optional wouldn't be so tricky: we could just write SimpleQuote=20=

>> as >(without namespace boost)
>
> I agree again, provided that you add a resetQuote() method to your=20
> class, then the use of optional would be transparent to the user.

resetQuote() might not be necessary, as we can declare setQuote as=20
setQuote(optional<Real>). With this declaration,

q.setQuote(42);

would automatically package the Real in the optional, while

q.setQuote(none);

would make q a null quote.


>  Still, I have two remaining arguments:
> ->You have to reimplement this machinery in every quote classe.
> ->What would be the added benefit compare to a more traditionnal=20
> solution ? (like mine)
>
> I know that you will destroy these arguments in a couple of seconds,=20=

> but it is instructive to understand one's error anyway

Well, it's not an error. I just think it's a less than optimal solution=20=

:)
As for your arguments:

1) your solution actually leads to more machinery. Among the quotes we=20=

currently have, only SimpleQuote manages the value directly, so to=20
speak. For the other quotes, isValid() is implemented, for instance,=20
like this:

     bool ImpliedStdDevQuote::isValid() const {
         return !price_.empty()    && !forward_.empty() &&
                 price_->isValid() &&  forward_->isValid();
     }

In your approach, the above becomes:

     bool ImpliedStdDevQuote::isValid() const {
         isValid_ =3D !price_.empty()    && !forward_.empty() &&
                 price_->isValid() &&  forward_->isValid();
         return isValid_;
     }

i.e., management of the isValid_ data member (directly or via some=20
method) is forced upon the programmer, which can no longer implement=20
the interface by just writing the logic (as he does now) but instead=20
has to worry about the particular implementation of the base class. (*)

2) The added benefit comes from the above. No, let me rephrase this:=20
the added benefit is the fact that in the current approach, Quote is a=20=

pure interface; the above is a consequence. In your approach, you're=20
making Quote a somewhat less abstract base class, which is seldom a=20
benefit. Moreover, you're modeling it after SimpleQuote, which is just=20=

a particular case.

Later,
	Luigi

(*) This is the same issue I had with storing a dayCounter_ data member=20=

in TermStructure itself. On the one hand, we saved having to declare it=20=

in quite a few derived classes, but on the other hand we're left with=20
classes such as ImpliedTermStructure, which leaves it uninitialized.

Re: [Quantlib-dev] test-suite in debug mode

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

On Mon, 2007-06-04 at 09:25 +1000, Mark joshi wrote:
> A friend is claiming that the testsuite is failing for the market
> models in the 0.8 release in debug mode. Is anyone aware of this
> problem?

With what compiler?

Later,
	Luigi


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

Age is an issue of mind over matter. If you don't mind, it doesn't
matter. 
-- Mark Twain 

Re: [Quantlib-dev] Problem with Visual Studio 2005

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

On Tue, 2007-06-05 at 16:32 +0200, Frédéric Degraeve wrote:
> Hello everyone,
> 
> I get a fatal error from Visual Studio 2005 with sources in
> QuantLib-0.8.1.zip. Anyone else?

Not me. Moreover, 0.8.1 should be identical to 0.8.0 on Windows.
What error do you get?

Luigi


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

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

Re: [Quantlib-dev] Problem with Visual Studio 2005

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

Hi Frederic,

=20

It might be caused by the wonderful intellisense which does not support =
"big" projects. Have you tried to disable it? (to do so you have to =
rename or move the following dll : Microsoft Visual Studio =
8\VC\vcpackages\feacp.dll)

Hope this help,

Fran=E7ois

=20

=20

-----Original Message-----
From: qua...@li... =
[mailto:qua...@li...] On Behalf Of =
Fr=E9d=E9ric Degraeve
Sent: Tuesday, June 05, 2007 4:33 PM
To: qua...@li...
Subject: [Quantlib-dev] Problem with Visual Studio 2005

=20

Hello everyone,

I get a fatal error from Visual Studio 2005 with sources in =
QuantLib-0.8.1.zip. Anyone else?

Regards,
Fr=E9d=E9ric Degraeve

ps : =
http://downloads.sourceforge.net/quantlib/QuantLib-0.8.1.zip?modtime=3D11=
80971486&big_mirror=3D1=20