quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] New Basket Option Code and question about StochasticProcessArray

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

On Thu, 2007-03-08 at 11:20 -0600, Joseph Wang wrote:
> I did a backward compatible refactoring of the basket option code that makes 
> it relatively easy to add new types of basket options.  Instead of using a 
> enum to define the basket option, the code now allows you to subclass 
> BasketOptionType which contains code on how to calculate the price of that 
> option.  There are now AverageBasketOptionType, MinBasketOptionType, and 
> MaxBasketOptionType, and by moving the option calculation code out of the 
> engines, any new basket options can be calculated automatically by the monte 
> carlo code.

Joe,
	first of all, thanks for the effort---I've meant to do something of the
sort for a long time but never got around to implement it.
Just for clarity though, I'd call the base class BasketOptionPayoff
(same for the children.) Since next release's purpose will be to get
closer to release 1.0 (more on this later) we're not much concerned with
backward compatibility at this time---in fact, we're trying to change a
number of things that seemed right at some time, that we wanted to
change after a while, but that weren't easy to change while maintaining
backward compatibility.

We'll care again for compatibility starting with the release after this
one.


> I'm now in the process of putting together some swig wrappers for all of this. 
> 
> I do have a question about StochasticProcessArray.  Right now you have to 
> define a vector of StochasticProcesses and then put that into the constructor 
> of the array.  Would it be better to add a "push_back" method to the 
> StochasticProcessArray so that you create an array object and then insert 
> processes to it?

My 2 cents are that I'd like to keep objects as immutable as possible.
For instance, I wouldn't like the possibility to add processes to a
StochasticProcessArray _after_ it has been passed to an instrument.

Later,
	Luigi


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

Brady's First Law of Problem Solving: 
When confronted by a difficult problem, you can solve it more 
easily by reducing it to the question, "How would the Lone 
Ranger have handled this?" 

Re: [Quantlib-dev] Adding a data store

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

Hi Keith,

On Fri, 2007-03-09 at 22:22 +0100, Keith Wood wrote:
> I find myself wanting to suggest that someone add the required
> functionality  such as would allow users of QuantLib to
> Fetch/Process/Store data in a relational database.
> I find myself in the somewhat unique position of being able to call upon
> the engineering group of Sybase as resources to implement this.

It seems like an offer one can't refuse. 

> Is there any interest from your side in talking about this further.
> If so, who should I be talking to.

Posting to this mailing list is OK---in fact, it's the best place to
discuss the issue. As for me, I'm mostly concerned with the core
library, so I don't have the clearest view of the QuantLibAddin
architecture. But I guess someone with more knowledge in that particular
field (Eric?) will reply shortly.

Later,
	Luigi


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

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

[Quantlib-dev] Basket option eye candy

[Joseph W. <jo...@gn...>]

Some more eye candy illustrating mayavi2 and QuantLib integration.  This is a 
vtk plot of three basket option surfaces.  The x and y axes are underlying 
values, and the three basket options correspond to min, max, and average 
basket options.

The integration between mayavi2 is through the python SWIG interface, and that 
works pretty much out of the box.  The thing that I'm working on right now is 

1) create some vtk API's to make it easier to create these plots and add 
labels and axes
2) figuring out how to superimpose some live data
3) figuring out the trait interfaces.  What I'd really like to get is the 
ability to have sliders modify parameters like the volatilities and then have 
the surfaces react interactively

-- 
-------------------------------------------------------------------------------
Joseph Wang Ph.D. - jo...@gn...  
China Derivatives Researcher and Software Developer - QuantLib
http://en.wikiversity.org/wiki/User:Roadrunner

[Quantlib-dev] Adding a data store

[Keith W. <kei...@gm...>]

Greetings All,

My name is Keith Wood and I currently work as the business development
manager for a little known consulting company based in Frankfurt,
Germany. As part of some business development work that I am currently
doing, I find myself wanting to suggest that someone add the required
functionality  such as would allow users of QuantLib to
Fetch/Process/Store data in a relational database.
I envisage this as being the next step up from QuantLibAddIn where
rather than providing the hooks to a spreadsheet, you get hooked into a
data schema. I was thinking something along the lines of a generic
open-source model that allowed you to "install" a bunch of tables and
"stuff" on your favorite flavor of relational data provider.
I find myself in the somewhat unique position of being able to call upon
the engineering group of Sybase as resources to implement this.

Is there any interest from your side in talking about this further.
If so, who should I be talking to.

Regards
Keith Wood

[Quantlib-dev] New Basket Option Code and question about StochasticProcessArray

[Joseph W. <jo...@gn...>]

Thanks to everyone that sent me code and pointers.

I did a backward compatible refactoring of the basket option code that makes 
it relatively easy to add new types of basket options.  Instead of using a 
enum to define the basket option, the code now allows you to subclass 
BasketOptionType which contains code on how to calculate the price of that 
option.  There are now AverageBasketOptionType, MinBasketOptionType, and 
MaxBasketOptionType, and by moving the option calculation code out of the 
engines, any new basket options can be calculated automatically by the monte 
carlo code.

I'm now in the process of putting together some swig wrappers for all of this. 

I do have a question about StochasticProcessArray.  Right now you have to 
define a vector of StochasticProcesses and then put that into the constructor 
of the array.  Would it be better to add a "push_back" method to the 
StochasticProcessArray so that you create an array object and then insert 
processes to it?

-- 
-------------------------------------------------------------------------------
Joseph Wang Ph.D. - jo...@gn...  
China Derivatives Researcher and Software Developer - QuantLib
http://en.wikiversity.org/wiki/User:Roadrunner

Re: [Quantlib-dev] Vanilla option refactoring

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

Hi Joe,

On Sat, 2007-02-24 at 14:42 -0600, Joseph Wang wrote:
> Just wanted to bounce this idea off people.
> 
> Right now we have
> 
> QuantoVanillaOption
> QuantoForwardVanillaOption
> ForwardVanillaOption
> 
> If you add in options on divdend paying stocks that's another level of 
> complication.
> 
> I was wondering if it would be a good idea to create the classes
> 
> QuantoInstrument
> ForwardInstrument
> 
> And then use multiple inheritance to compose the option classes.
> 
> Alternatively we can use decorator templates in the same way that the engines 
> work.
> 
> Quanto<VanillaOption>
> 
> Thoughts?

We tried that---the idea is surely interesting---but for some reason it
didn't seem to work. I don't remember what was the problem though. Why
don't you try prototyping it?

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-users] Followup questions on MC / Bug in china.cpp

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

On Wed, 2007-02-28 at 01:08 -0600, Joseph Wang wrote:
> Thanks for the replies on the basket option pricing question.  There is a 
> followup question.  What facilities does QuantLib have for creating 
> coorelated monte-carlo paths for multi-asset options?

Hi Joe,
	see ql/MonteCarlo/multipathgenerator.hpp. An example of an engine using
it is in ql/PricingEngines/Basket/mcbasketengine.hpp which can be used
with the basket option in ql/Instruments/basketoption.hpp.

Later,
	Luigi


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

No, I'm not interested in developing a powerful brain. All I'm after 
is just a mediocre brain, something like the president of American 
Telephone and Telegraph Company. 
-- Alan Turing on the possibilities of a thinking machine, 1943. 

[Quantlib-dev] [ quantlib-Bugs-1670981 ] test for libboost_unit_test_framworkXXX

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

Bugs item #1670981, was opened at 2007-02-28 10:22
Message generated for change (Tracker Item Submitted) made by Item Submitter
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1670981&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: Alan King (kingaj12)
Assigned to: Nobody/Anonymous (nobody)
Summary: test for libboost_unit_test_framworkXXX

Initial Comment:
"configure --enable-benchmark" tests for existence of libboost_unit_test_framworkXXX for some flavors of XXX but not all.  

Workaround is to edit configure, locate the line that tests for unit_test_framework and add a line that looks for the boost flavor we built (static).  

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1670981&group_id=12740

Re: [Quantlib-dev] Prerelease Tarballs for ObjectHandler 0.2.0 and QuantLibAddin 0.4.0

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

Hi Marco,

Many thanks for your testing and feedback.

> Nice job Eric!

Credit goes to http://www.quantlibxl.org/people.html (and to the other
names added to the 0.4.0 version of that doc :-)

Regards,
Eric

Re: [Quantlib-dev] Prerelease Tarballs for ObjectHandler 0.2.0 and QuantLibAddin 0.4.0

[Marco M. <Mar...@st...>]

Hi,
I've been playing with this release for a couple of days.
So far everything worked great.
I did not get to play with all the features, however, I have to say
that the stability of QuantLibAddin has been improved a lot.
Nice job Eric!

Marco

At 01:33 PM 2007-02-26, eric ehlers wrote:
>Hi All
>
>Here is the link to the prerelease tarballs for ObjectHandler 0.2.0
>and QuantLibAddin 0.4.0:
>
>    http://quantlib.org/prerelease/oh-qla.html
>
>I'd be grateful to anyone who could test the files and let me know 
>how it goes.
>
>Regards,
>Eric
>
>-------------------------------------------------------------------------
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>https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Quantlib-dev] Followup questions on MC / Bug in china.cpp

[Joseph W. <jo...@gn...>]

Thanks for the replies on the basket option pricing question.  There is a 
followup question.  What facilities does QuantLib have for creating 
coorelated monte-carlo paths for multi-asset options?  I'm wondering if there 
is something in the libor market-model code that is usable for this.

Also, if there is someone out there that wants an easy project to fix the 
libraries.  Calendar/china.cpp needs to be fixed to take into account the 
fact that the Lunar New Year is a week long festival (which is why the the 
market drop yesterday was as sharp as it was).  The code fix is easy.  
Getting data on when the holidays where historically is more difficult.

-- 
-------------------------------------------------------------------------------
Joseph Wang Ph.D. - jo...@gn...  
China Derivatives Researcher and Software Developer - QuantLib
http://en.wikiversity.org/wiki/User:Roadrunner

[Quantlib-dev] Prerelease Tarballs for ObjectHandler 0.2.0 and QuantLibAddin 0.4.0

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

Hi All

Here is the link to the prerelease tarballs for ObjectHandler 0.2.0
and QuantLibAddin 0.4.0:

   http://quantlib.org/prerelease/oh-qla.html

I'd be grateful to anyone who could test the files and let me know how it goes.

Regards,
Eric

[Quantlib-dev] Paper on R/SWIG/QuantLib now on SSRN

[Joseph W. <jo...@gn...>]

I finally had a chance to upload a conference paper I wrote describing the 
work I did on getting R, SWIG, and QuantLib together to research Shanghai 
warrants.  The paper was for an economics conference so it is light on 
technical details.

The paper is at

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=965317

-- 
-------------------------------------------------------------------------------
Joseph Wang Ph.D. - jo...@gn...  
China Derivatives Researcher and Software Developer - QuantLib
http://en.wikiversity.org/wiki/User:Roadrunner

[Quantlib-dev] Vanilla option refactoring

[Joseph W. <jo...@gn...>]

Just wanted to bounce this idea off people.

Right now we have

QuantoVanillaOption
QuantoForwardVanillaOption
ForwardVanillaOption

If you add in options on divdend paying stocks that's another level of 
complication.

I was wondering if it would be a good idea to create the classes

QuantoInstrument
ForwardInstrument

And then use multiple inheritance to compose the option classes.

Alternatively we can use decorator templates in the same way that the engines 
work.

Quanto<VanillaOption>

Thoughts?

-- 
-------------------------------------------------------------------------------
Joseph Wang Ph.D. - jo...@gn...  
China Derivatives Researcher and Software Developer - QuantLib
http://en.wikiversity.org/wiki/User:Roadrunner

[Quantlib-dev] Pricing multi asset option with monte carlo

[Joseph W. <jo...@gn...>]

I'm interested in pricing an option whose payoff is dependent on three 
coorelated underlying assets with a known covariance matrix using monte 
carlo.

Is there an example of this? 
-- 
-------------------------------------------------------------------------------
Joseph Wang Ph.D. - jo...@gn...  
China Derivatives Researcher and Software Developer - QuantLib
http://en.wikiversity.org/wiki/User:Roadrunner

Re: [Quantlib-dev] QuantLibXL 0.4.0 prerelease binary

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

Hello,

> Do you mean "upload" as in "for release"? In that case, upload.sf.net is
> up for FTP access.

No by "upload" I mean scp the tarballs to the prerelease directory so
that people can test them before the public release.

Thanks,
Eric

Re: [Quantlib-dev] QuantLibXL 0.4.0 prerelease binary

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

On Thu, 2007-02-22 at 15:16 +0100, eric ehlers wrote:
> The ObjectHandler/QuantLibAddin tarballs are ready to go

Good. Congratulations.

>  however I'm
> unable to upload them thanks to the SourceForge outage which was
> scheduled to be resolved yesterday but seems to be ongoing.

Do you mean "upload" as in "for release"? In that case, upload.sf.net is
up for FTP access.

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 

[Quantlib-dev] QuantLibXL 0.4.0 prerelease binary

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

Hello

The ObjectHandler/QuantLibAddin tarballs are ready to go however I'm
unable to upload them thanks to the SourceForge outage which was
scheduled to be resolved yesterday but seems to be ongoing.

In the meantime a couple of people have asked for an early look at the
XLL so here it is:

    http://users.skynet.be/ehlers/qlxl/index.html

I'd be grateful to anyone who could install that and let me know of
any problems.

Regards,
Eric

[Quantlib-dev] Is class PiecewiseConstantParameter fully implemented?

[Story, T. <tod...@wa...>]

Hello:

I'm interested in using the PiecewiseConstantParameter class, but don't
see any examples of usage within the code (3.14).  Furthermore, the
constructor "PiecewiseConstantParameter(const std::vector<Time>& times)"

does not see to allow input of the actual parameter values associated
with each time.  Am I missing something or is this class not fully
implemented?

Regards, Todd Story

Todd Story
Wachovia Securities
tod...@wa...

Re: [Quantlib-dev] Feedback on new release of quantlib

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

Hello,

On 2/21/07, Luigi Ballabio <lui...@gm...> wrote:
> On Tue, 2007-02-20 at 22:23 +0100, Tim M=FCller-Seydlitz wrote:
>
> > - Synchronization with quantlibxl? How are both projects synchronized? =
How are
> > versions compatible? What can be done in the mean time?
>
> We branched for release at about the same time, so I guess Eric is
> packaging QuantLibXL 0.4.0 as we speak. I'll let him answer this one
> though.

I'm packaging QuantLibXL 0.4.0 as you speak :-)

Each QuantLib release is followed by a QuantLibXL release with the
same version number.  Different versions of QL/QLXL are not
compatible.

Regards,
Eric

Re: [Quantlib-dev] Feedback on new release of quantlib

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

On Tue, 2007-02-20 at 22:23 +0100, Tim Müller-Seydlitz wrote:
> I very much welcome the new 0.4.0 release. An impressive step has been made.

Thanks. Also, let me thank in turn all users and developers which made
it possible.

> But it doesn't help to launch a firework in the cellar. Therefore, I think that
> the marketing needs to be improved.

I agree---especially since we're planning to release version 1.0 by the
end of the year. I'll try and follow up on this shortly.

> Here are some little things that should be changed:
> 
> - The main page quantlib.org does not hold any information on this important update.
> - http://quantlib.org/reference/history.html does not contain the changes. So
> - http://quantlib.org/download.shtml needs to be updated.

I'm aware of this. Unfortunately, Sourceforge had hardware problems and
was forced to shut down shell access since last week. Thus, it is not
possible for me to update the web site at this time. Hopefully, the
access should be back in a couple of days.

> - Synchronization with quantlibxl? How are both projects synchronized? How are
> versions compatible? What can be done in the mean time?

We branched for release at about the same time, so I guess Eric is
packaging QuantLibXL 0.4.0 as we speak. I'll let him answer this one
though.

Later,
	Luigi


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

Within C++, there is a much smaller and cleaner language struggling to
get out. 
-- Bjarne Stroustrup 

[Quantlib-dev] Feedback on new release of quantlib

[<tm...@na...>]

Hi,

I very much welcome the new 0.4.0 release. An impressive step has been made.
But it doesn't help to launch a firework in the cellar. Therefore, I think that
the marketing needs to be improved.

Here are some little things that should be changed:

- The main page quantlib.org does not hold any information on this important update.
- http://quantlib.org/reference/history.html does not contain the changes. So
- http://quantlib.org/download.shtml needs to be updated.
- Synchronization with quantlibxl? How are both projects synchronized? How are
versions compatible? What can be done in the mean time?

Regards
Tim

[Quantlib-dev] [ quantlib-Bugs-1662397 ] Error in BermudanSwaption Example?

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

Bugs item #1662397, was opened at 2007-02-17 17:21
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=1662397&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: Bert (tbms1)
Assigned to: Nobody/Anonymous (nobody)
Summary: Error in BermudanSwaption Example?

Initial Comment:
Hi,
I suppose there could be an error in BermudanSwaption.cpp of the examples (see around lines 175)

        for (i=0; i<numRows; i++) {
            Size j = numCols - i -1; // 1x5, 2x4, 3x3, 4x2, 5x1
//This causes j to have the values: 4,3,2,1,0
//I guess this is not what is supposed to happen when the period is set to 4,3,2,1,0 4 lines below

            Size k = i*numCols + j;
            boost::shared_ptr<Quote> vol(new SimpleQuote(swaptionVols[k]));
            swaptions.push_back(boost::shared_ptr<CalibrationHelper>(new
                SwaptionHelper(swaptionMaturities[i],
                               Period(swapLenghts[j], Years),
                               Handle<Quote>(vol),
                               indexSixMonths,
                               indexSixMonths->tenor(),
                               indexSixMonths->dayCounter(),
                               indexSixMonths->dayCounter(),
                               rhTermStructure)));
            swaptions.back()->addTimesTo(times);
        }



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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1662397&group_id=12740

[Quantlib-dev] code

[AYUSO M. R. <Ay...@ba...>]

Hi,

=0D

I am interesting in the code of the libraries "quantlib" but not is in
the web

=0D

Can you help me, please?

=0D

Thanks

=0D

Roberto




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Re: [Quantlib-dev] QuantLib/ObjectHandler usage in commercialappilcations v3...

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

Hi all,

We have uploaded 2 new training videos (over 2 hours of new video viewing 
content) demostrating the construction, pricing and querying of interest 
rate leg objects.

The description now follows...

Training video presenting the basics of interest leg construction and 
pricing.
This includes the definition of such terms as Regular, In-Arrears, Quanto, 
Averaging, Compounding and CMS interest rate leg deals. This is part #1 of a 
two video set describng the construction and pricing of interest leg deals.

Video duration : 50 minutes.


Training video presenting the advanced construction and pricing of interest 
rate leg objects.
This includes the construction, pricing and querying of interest rate legs 
including Regular, In-Arrears, Quanto, Averaging, Compounding, Inverse and 
CMS interest rate leg deals.

We also show how given a portfolio of legs, you can imply out a flat 
margin/coupon across any combination of legs given a target PV.

This is part #2 of a two video set describing the construction and pricing 
of interest leg deals.

Video duration : 109 minutes.


Again, the low-level code used internally is based on QuantLib.
We simply coded up an interface on top of the supurb quantlib library.

You can view these free training videos from www.QuantTools.com.

Simply navigate to the Download/Screenshot -> Training Videos link within 
the menu.

We have also updated the CapeTools QuantTools libraries to v2.0.6.

Basically we have added some new averaging and compounding type Forward/Swap 
rate functions (thus OIS or EONIA rate calculations are now possible). We 
have also added quick implied volatility Cap/Floor/Swaption function calls.

Please see details on the site for a complete description for what has 
changed.

Enjoy,
Best Regards,
Toyin Akin.
CapeTools QuantTools.

>From: "Toyin Akin" <toy...@ho...>
>To: qua...@li...,qua...@li...
>Subject: [Quantlib-dev] QuantLib/ObjectHandler usage in 
>commercialappilcations v2...
>Date: Fri, 02 Feb 2007 16:26:15 +0000
>
>
>Hi All,
>
>I have uploaded 3 new training videos (over 2.5 hours of new video viewing 
>content) demostrating vanilla and exotic option pricing (including 
>building, sorting, grouping and pricing portfolios of vanilla and exotic 
>option deals within the CapeTools QuantTools XL library).
>
>I have also copied up a video that demostrates building stochatic process 
>objects as well as grouping stochastic objects within a correlated 
>stochastic array and conducting two types of montecarlo simulations using 
>the correlated stochastic array. Furthermore, once the simulation objects 
>has been created, there are further functions to query the object for the 
>simulated paths as well as applying custon payoffs within Excel.
>
>Finally, the simulation demo presents an introduction to the montecarlo 
>generic pricing framework.
>
>For those of you who are familiar with QuantLib's stochastic process and 
>simulation classes, you should find this particular video easy going as the 
>objects used are based directly on these quantLib classes. In fact within 
>the video, we make several references to QuantLib's documentation.
>
>You can view these free training videos from www.QuantTools.com.
>
>Simply navigate to the Download/Screenshot -> Training Videos link within 
>the menu.
>
>New videos are :
>
>Pricing (vanilla and exotic option pricing) : Duration 57 minutes
>Portfolio Pricing (vanilla and exotic option portfolio manipulation and 
>pricing) : Duration 43 minutes
>Simulation (for equity type underlyings) : Duration 57 minutes
>
>We have also updated the CapeTools QuantTools XL library to v2.0.5.
>
>Basically we have fixed quite a few bugs that we ourselves have found and 
>those found by some of our users.
>
>Please see details on the site for what has changed.
>
>Enjoy,
>Best Regards,
>Toyin Akin.
>CapeTools QuantTools.
>
>_________________________________________________________________
>MSN Hotmail is evolving – check out the new Windows Live Mail 
>http://ideas.live.com
>
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