quantlib-dev — Discussion of QuantLib development

[Quantlib-dev] [ quantlib-Bugs-1656248 ] Error in cashflowvectors if a single cash flow exists

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

Bugs item #1656248, was opened at 2007-02-09 08:59
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=1656248&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: Error in cashflowvectors if a single cash flow exists

Initial Comment:
Version: 0.3.14
File: cashflowvectors.cpp

Error if a forward starting bond is created and the start date is Saturday and the maturity date is on the following Monday. SCHEDULE only create one cash flow date. Routines ends with an error on row with
Date start = schedule.date(0), end = schedule.date(1);

My Fix:
int indxend = (schedule.size() <= 1) ? 0 : 1;
Date start = schedule.date(0), end = schedule.date(indxend);

Best regards

Thomas Karlström

EMAIL: tho...@fr...

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

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[Quantlib-dev] 0.4.0 candidate tarballs

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

Hi all,
	I've made candidate tarballs for next release---you can see them listed
at <http://quantlib.org/prerelease/>. Please try them and see if they
cause any problems on your machines; if nothing relevant is reported,
I'll make the release in a week or so.

Note: you can download the tarballs from the page above, but the http
connection is quite slow. If you have a Sourceforge account, you can
retrieve them via SSH instead; use the command (one single line if my
mailer or yours wraps it)

scp jr...@sh...://home/groups/q/qu/quantlib/htdocs/prerelease/QuantLib-0.4.0.tar.gz .

by replacing jrandom with your SF username and QuantLib-0.4.0.tar.gz
with whatever archive you want to retrieve. (I don't know if scp is
standard on Windows---it shouldn't be hard to find an SCP client anyway.
If not, use http.)

Thanks,
	Luigi


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

Steinbach's Guideline for Systems Programming: 
Never test for an error condition you don't know how to handle. 

[Quantlib-dev] [ quantlib-Feature Requests-1651713 ] Extension to ROOT

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

Feature Requests item #1651713, was opened at 2007-02-04 06:13
Message generated for change (Tracker Item Submitted) made by Item Submitter
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=1651713&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: Extension to ROOT

Initial Comment:
I´m a CERN ROOT user, but not very skilled on C++, so I thought it would be great to have a Quantlib extension to this environment. Just a suggestion...

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

You can respond by visiting: 
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Re: [Quantlib-dev] [Enthought-dev] Displaying asymmetric data / Integrating QuantLib and python

[Prabhu R. <pr...@ae...>]

>>>>> "Joseph" == Joseph Wang <jo...@gn...> writes:

    Joseph> 1) I'm trying to do a three dimension plot in which the x,
    Joseph> y, z axes are not symmetric (i.e. x and y are percentages
    Joseph> and z is in dollars).  What is the easiest way of doing
    Joseph> that.

Not sure how that works.  VTK is unit agnostic AFAICT.  You can change
the axes labels to reflect the units but thats the best *I* can think
of.  You could rescale the data or any actors you view or transform
the input data to scale things.  You can lie about the text that your
axes show etc.  So there is usually a way to do what you are looking
to do.  The best way is really domain dependent.

    Joseph> 2) I'm using vectorize to vectorize a python function that
    Joseph> makes a call to C++.  However it doesn't seem to have
    Joseph> function attributes available.  Thoughts on how to do
    Joseph> that?

No idea.  That is a numpy question.  Are you saying that your
vectorized function does not have function attributes available or
that your wrapped c++ function does not?

    Joseph> 3) I'd like to make the impedance mismatch between things
    Joseph> like QuantLib arrays and numpy arrays as seemless as
    Joseph> possible.  Any words of wisdom on how to do this?

I don't know anything about QuantLib arrays so will shoot in the dark
here.  If your arrays can take or provide a block of contiguous memory
that is interpreted according to a particular data type then I think
it is easily possible to get these two array types talking to each
other.  However doing this right and optimally will take a bit of
effort (I've done this for tvtk which lets VTK and numpy arrays talk
to each other seamlessly).  I think there is a fair bit of
documentation on the scipy wiki on the various ways to do this right.
The scipy-user list is a good place to ask for pointers since the
folks who actually develop numpy and do all sorts of things with numpy
arrays are on that list and will be happy to answer questions.

    Joseph> 4) The thought occurs that we can get pretty nice
    Joseph> interactivity by somehow using Python traits with the
    Joseph> QuantLib quote object.  Python traits (which have nothing
    Joseph> to do with C++ traits) are extended attributes of a python
    Joseph> object which can be connected to a UI and take care of
    Joseph> things like notification processing.  The QuantLib quote
    Joseph> object is a container for a quantity that could change.

    Joseph> The idea would be to somehow wrapper the Quote object with
    Joseph> Python traits, which would allow one to interactively
    Joseph> control things like interest rates and see how that
    Joseph> affects surfaces.

Yes, in fact tvtk does just this.  It wraps *all* of VTK with a fancy
traits interface.  This is documented in tvtk/doc/README.txt and the
actual business of how this is automatically done for ~900 VTK classes
is documented in the devel.txt in the same directory.

HTH.
cheers,
prabhu

[Quantlib-dev] QuantLib/ObjectHandler usage in commercial appilcations v2...

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

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

[Quantlib-dev] Some thoughts on MC

[Gheury E. \(DBB\) <edm...@de...>]

Hi all,

I recently ran into some troubles using the quantlib MC pricing classes.


1. stochasticprocess: drift and diffusion are currently timestep
independent. For instance, providing the timestep could lead to a more
accurate drift, as already stated in blackscholesprocess.hpp. Is there
something preventing the implementation of this idea by adding a third
parameter "dt" in the drift and diffusion prototype in
stochasticprocess.hpp ?

Should I send a code submission for this ?

2. Use of historical data for path dependent pricing in MC. I read in
the TODO page that negative values usage in the TimeGrid class should be
investigated. While I thought of using negative values in the TimeGrid
at first for historical data, I finally decided not to do it because
TimeGrid seemed to be oriented toward the MC simulation process
involving the path *generators*. Therefore, I decided to take historical
data into account in the PathPricer class by merging the historical data
and generated path into a homemade class. The passing of historical data
to the path pricer is made through derived Instrument::arguments
classes. The solution I implemented is still a a very early devlopment
stage but could be separated as follows: the use of a historical class
for historical process values (already exists: TimeSeries) and the use
of a class that merge historical data and the generated Path/MultiPath
class at the object construction.

Does this seem to be a good idea (or at least not too bad idea) ? Are
there better ways to achieve this ?

Best regards,

Edmond

=09


--------------------------------------
Dexia Bank disclaimer :
http://www.dexia.be/maildisclaimer.htm
--------------------------------------=20
  =20

[Quantlib-dev] Displaying asymmetric data / Integrating QuantLib and python

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

I'm starting to get "hello world" results with mayavi.  I was able to 
calculate option prices in QuantLib and plot the surfaces using tvtk.

A few questions:

1) I'm trying to do a three dimension plot in which the x, y, z axes are not 
symmetric (i.e. x and y are percentages and z is in dollars).   What is the 
easiest way of doing that.

2) I'm using vectorize to vectorize a python function that makes a call to 
C++.  However it doesn't seem to have function attributes available.  
Thoughts on how to do that?

3) I'd like to make the impedance mismatch between things like QuantLib arrays 
and numpy arrays as seemless as possible.  Any words of wisdom on how to do 
this?

4) The thought occurs that we can get pretty nice interactivity by somehow 
using Python traits with the QuantLib quote object.  Python traits (which 
have nothing to do with C++ traits) are extended attributes of a python 
object which can be connected to a UI and take care of things like 
notification processing.   The QuantLib quote object is a container for a 
quantity that could change.  

The idea would be to somehow wrapper the Quote object with Python traits, 
which would allow one to interactively control things like interest rates and 
see how that affects surfaces.

I should have more neat plots in the next week or so.


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

Re: [Quantlib-dev] Changes to compile Java bindings in QuantLib-SWIG module

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

Turns out that I had a moment to check the patch the files and check them in 
to HEAD.

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

Re: [Quantlib-dev] Changes to compile Java bindings in QuantLib-SWIG module

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

Yikes.  That option problem is nasty.

I've fixed that in HEAD.  It may take me a few days to go through the other=
=20
patches.  Thanks!!!


=D4=DA Tuesday 30 January 2007 15:20=A3=AC=C4=FA=D0=B4=B5=C0=A3=BA
> Joe,
>
> In the course of playing with QuantLib we've found some problems with
> the Java compilation of the QuantLib-SWIG project.
>
> We've made some modifications to the configuration files, please see
> the attached patch.
> Would be great if this can be included into the HEAD of the
> QuantLib-SWIG project.
> The diffs are based on the QuantLib-SWIG-0.3.14 release, and i don't
> think there have been any changes to the relevant files since the
> release.
>
> The patch file expects there to be a directory QuantLib-SWIG-0.3.14
> and the changes to be made in a dir called
> QuantLib-SWIG-0.3.14_java_patch.  However, you can just run it with
> 'patch -p1 < quantlib-swig_java_ver_1.6-head.patch' in the HEAD of
> QuantLib-SWIG and it'll apply the changes.
>
> Also, it seems that there's a discrepancy with the SWIG/options.i file
> and the way the Option.Type enum is defined. I think the current file
> in the HEAD of SWiG/options.i has the values reversed - the
> Quantlib option.hpp file has it this way at
> http://quantlib.cvs.sourceforge.net/quantlib/QuantLib/ql/option.hpp?revis=
io
>n=3D1.41&view=3Dmarkup enum Type { Put =3D -1, Call =3D 1  };
> while the SWIG/options.i is
> enum Type { Call =3D -1, Put =3D 1};
> I took the liberty of flipping it to look like the option.hpp file in
> the patch as well.
>
> The patch file also contains a small test program Hello.java that does
> a basic sanity check to make sure the created Java library works.
> And it expects the variable JAVA_HOME to be declared and pointing to
> the location of the JDK, and tries to place the generated java wrapper
> library into the lib/ directory under the JRE.
>
> hope this helps. please let me know if you need me to change anything,
> or if things don't work for you.
>
> On 1/29/07, Joseph Wang <jo...@gn...> wrote:
> > The SWIG bindings usually lag the Quantlib libraries a bit, but since I
> > need to use them, I've been trying my best to sync them up.  I'm working
> > mainly with the Python and R binding, so if there is anything broken in
> > the other bindings, let me know and I'll try to fix them.

=2D-=20
=2D------------------------------------------------------------------------=
=2D-----
Joseph Wang Ph.D. - jo...@gn... =20
China Derivatives Researcher and Software Developer - QuantLib
http://en.wikiversity.org/wiki/User:Roadrunner

[Quantlib-dev] Hello world plot

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

I got a hello world plot that interfaces QuantLib with tvtk

I was wondering if there are any volumetric quantities in QuantLib that would 
be worth ploting?


Running with ipython -wthread


import scipy
import numpy
import QuantLib

# prepare some interesting function:
surface = QuantLib.TestSurface()

x = scipy.arange(-7., 7.05, 0.1)
y = scipy.arange(-5., 5.05, 0.1)

# 3D visualization of f:
from enthought.tvtk.tools import mlab
fig = mlab.figure()
s = mlab.SurfRegular(x, y, scipy.vectorize(lambda x, y:surface(x,y)))
fig.add(s)



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

[Quantlib-dev] Changes to compile Java bindings in QuantLib-SWIG module

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

Joe,

In the course of playing with QuantLib we've found some problems with
the Java compilation of the QuantLib-SWIG project.

We've made some modifications to the configuration files, please see
the attached patch.
Would be great if this can be included into the HEAD of the
QuantLib-SWIG project.
The diffs are based on the QuantLib-SWIG-0.3.14 release, and i don't
think there have been any changes to the relevant files since the
release.

The patch file expects there to be a directory QuantLib-SWIG-0.3.14
and the changes to be made in a dir called
QuantLib-SWIG-0.3.14_java_patch.  However, you can just run it with
'patch -p1 < quantlib-swig_java_ver_1.6-head.patch' in the HEAD of
QuantLib-SWIG and it'll apply the changes.

Also, it seems that there's a discrepancy with the SWIG/options.i file
and the way the Option.Type enum is defined. I think the current file
in the HEAD of SWiG/options.i has the values reversed - the
Quantlib option.hpp file has it this way at
http://quantlib.cvs.sourceforge.net/quantlib/QuantLib/ql/option.hpp?revision=1.41&view=markup
      enum Type { Put = -1, Call = 1  };
while the SWIG/options.i is
enum Type { Call = -1, Put = 1};
I took the liberty of flipping it to look like the option.hpp file in
the patch as well.

The patch file also contains a small test program Hello.java that does
a basic sanity check to make sure the created Java library works.
And it expects the variable JAVA_HOME to be declared and pointing to
the location of the JDK, and tries to place the generated java wrapper
library into the lib/ directory under the JRE.

hope this helps. please let me know if you need me to change anything,
or if things don't work for you.

On 1/29/07, Joseph Wang <jo...@gn...> wrote:
> The SWIG bindings usually lag the Quantlib libraries a bit, but since I need
> to use them, I've been trying my best to sync them up.  I'm working mainly
> with the Python and R binding, so if there is anything broken in the other
> bindings, let me know and I'll try to fix them.

[Quantlib-dev] Error building Guile bindings [SOLVED]

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

The SWIG bindings usually lag the Quantlib libraries a bit, but since I need 
to use them, I've been trying my best to sync them up.  I'm working mainly 
with the Python and R binding, so if there is anything broken in the other 
bindings, let me know and I'll try to fix them.

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

Re: [Quantlib-dev] Long compile times for QuantLib-SWIG Python

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

On Thu, 2007-01-25 at 15:38 -0600, Joseph Wang wrote:
> Has anyone else had problems with long compile times for QuantLib-SWIG python.  
> It's taken over a day for me on a AMD64 1 Gig machine.

Try modifying the compiler flags so that they do NOT include "-g".

Later,
	Luigi



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

What is written without effort is, in general, read without pleasure. 
-- Samuel Johnson 

[Quantlib-dev] Long compile times for QuantLib-SWIG Python

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

Has anyone else had problems with long compile times for QuantLib-SWIG python.  
It's taken over a day for me on a AMD64 1 Gig machine.

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

Re: [Quantlib-dev] ObjectHandler/QuantLibAddin branch

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

My opinion is that the set up "1 list + filters" allows a good balance
between speed of sub/unsub and information managing, and as such it
could be promoted in the community (mail + website).
Ciao
Marco

> -----Original Message-----
> From: qua...@li...=20
> [mailto:qua...@li...] On Behalf=20
> Of Ferdinando Ametrano
> Sent: 24 January 2007 19:23
> To: Luigi Ballabio
> Cc: eric ehlers; qua...@li...
> Subject: Re: [Quantlib-dev] ObjectHandler/QuantLibAddin branch
>=20
>=20
> I personally don't mind since I've setup my filters to split the
> traffic originating from different modules.
>=20
> I'm not against having different mailing lists, but having just one
> mailing list instead of 6 is better for sub/unsub.
>=20
> We could ask this question on QuantLib-CVS
>=20
> thank you
>=20
> ciao -- Nando
>=20
> On 1/24/07, Luigi Ballabio <lui...@gm...> wrote:
> > On Tue, 2007-01-16 at 01:00 +0100, eric ehlers wrote:
> > > previously ObjectHandler and related projects were migrated out of
> > > QuantLib into separate SourceForge projects, this led to=20
> some problems
> > > and it was agreed to migrate all the code back into the QL CVS
> > > repository.
> >
> > Hi all,
> >         with regard to this, do people (this means you!)=20
> prefer that commit
> > logs for all modules go into the QuantLib-cvs mailing list,=20
> or should we
> > direct the XL-related ones to another list? Should we ask on the
> > QuantLib-cvs mailing list?
> >
> > Later,
> >         Luigi
> >
> >
> > ----------------------------------------
> >
> > I hate quotations.
> > -- Ralph Waldo Emerson
> >
> >
> >
> >=20
> --------------------------------------------------------------
> -----------
> > Take Surveys. Earn Cash. Influence the Future of IT
> > Join SourceForge.net's Techsay panel and you'll get the=20
> chance to share your
> > opinions on IT & business topics through brief surveys -=20
> and earn cash
> >=20
> http://www.techsay.com/default.php?page=3Djoin.php&p=3Dsourceforge
&CID=3DDEVDEV
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

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_______________________________________________
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[Quantlib-dev] [ quantlib-Bugs-1643611 ] 30/360US Day Count Convention

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

Bugs item #1643611, was opened at 2007-01-24 16:03
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1643611&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
>Status: Closed
Resolution: Invalid
Priority: 1
Private: No
Submitted By: nom_de_plume (nom_de_plume)
Assigned to: Nobody/Anonymous (nobody)
Summary: 30/360US Day Count Convention

Initial Comment:
If Date1 = 30 Dec 2005
and Date2 = 31 Dec 2005

Then the day count fraction returns 0?

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2007-01-25 09:28

Message:
Logged In: YES 
user_id=75450
Originator: NO

Ok, I'm closing the report

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

Comment By: nom_de_plume (nom_de_plume)
Date: 2007-01-25 07:48

Message:
Logged In: YES 
user_id=1700464
Originator: YES

On seconds thought, this is not a bug.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1643611&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-1643611 ] 30/360US Day Count Convention

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

Bugs item #1643611, was opened at 2007-01-24 17:03
Message generated for change (Comment added) made by nom_de_plume
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1643611&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: Invalid
>Priority: 1
Private: No
Submitted By: nom_de_plume (nom_de_plume)
Assigned to: Nobody/Anonymous (nobody)
Summary: 30/360US Day Count Convention

Initial Comment:
If Date1 = 30 Dec 2005
and Date2 = 31 Dec 2005

Then the day count fraction returns 0?

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

>Comment By: nom_de_plume (nom_de_plume)
Date: 2007-01-25 08:48

Message:
Logged In: YES 
user_id=1700464
Originator: YES

On seconds thought, this is not a bug.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1643611&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-1643611 ] 30/360US Day Count Convention

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

Bugs item #1643611, was opened at 2007-01-24 17:03
Message generated for change (Settings changed) made by nom_de_plume
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1643611&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: Invalid
Priority: 5
Private: No
Submitted By: nom_de_plume (nom_de_plume)
Assigned to: Nobody/Anonymous (nobody)
Summary: 30/360US Day Count Convention

Initial Comment:
If Date1 = 30 Dec 2005
and Date2 = 31 Dec 2005

Then the day count fraction returns 0?

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1643611&group_id=12740

Re: [Quantlib-dev] ObjectHandler/QuantLibAddin branch

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

I personally don't mind since I've setup my filters to split the
traffic originating from different modules.

I'm not against having different mailing lists, but having just one
mailing list instead of 6 is better for sub/unsub.

We could ask this question on QuantLib-CVS

thank you

ciao -- Nando

On 1/24/07, Luigi Ballabio <lui...@gm...> wrote:
> On Tue, 2007-01-16 at 01:00 +0100, eric ehlers wrote:
> > previously ObjectHandler and related projects were migrated out of
> > QuantLib into separate SourceForge projects, this led to some problems
> > and it was agreed to migrate all the code back into the QL CVS
> > repository.
>
> Hi all,
>         with regard to this, do people (this means you!) prefer that commit
> logs for all modules go into the QuantLib-cvs mailing list, or should we
> direct the XL-related ones to another list? Should we ask on the
> QuantLib-cvs mailing list?
>
> Later,
>         Luigi
>
>
> ----------------------------------------
>
> I hate quotations.
> -- Ralph Waldo Emerson
>
>
>
> -------------------------------------------------------------------------
> Take Surveys. Earn Cash. Influence the Future of IT
> Join SourceForge.net's Techsay panel and you'll get the chance to share your
> opinions on IT & business topics through brief surveys - and earn cash
> http://www.techsay.com/default.php?page=join.php&p=sourceforge&CID=DEVDEV
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Re: [Quantlib-dev] ObjectHandler/QuantLibAddin branch

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

On Tue, 2007-01-16 at 01:00 +0100, eric ehlers wrote:
> previously ObjectHandler and related projects were migrated out of
> QuantLib into separate SourceForge projects, this led to some problems
> and it was agreed to migrate all the code back into the QL CVS
> repository.

Hi all,
	with regard to this, do people (this means you!) prefer that commit
logs for all modules go into the QuantLib-cvs mailing list, or should we
direct the XL-related ones to another list? Should we ask on the
QuantLib-cvs mailing list?

Later,
	Luigi


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

I hate quotations. 
-- Ralph Waldo Emerson 

[Quantlib-dev] [ quantlib-Bugs-1643611 ] 30/360US Day Count Convention

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

Bugs item #1643611, was opened at 2007-01-24 17:03
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=1643611&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: nom_de_plume (nom_de_plume)
Assigned to: Nobody/Anonymous (nobody)
Summary: 30/360US Day Count Convention

Initial Comment:
If Date1 = 30 Dec 2005
and Date2 = 31 Dec 2005

Then the day count fraction returns 0?

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1643611&group_id=12740

[Quantlib-dev] New training video content based on QuantLib...

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

Hi all,

Just a quick note.

I've copied up 2.5 hours of new free video training content based on my 
library which is derived from QuantLib.

There are three new videos (wmv video format, approx 12MB each). The first 
covers yieldcurve stripping, the second querying yieldcurve objects and the 
third volatility curve object creation and querying (including the SABR 
curve for both equity type products and interest rate underlyers).

Those who know the QuantLib object model already should feel at home with a 
lot of the objects created.

More videos are currently in development. Hope you enjoy them...

Best Regards,
Toyin Akin,
CapeTools QuantTools
www.QuantTools.com

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[Quantlib-dev] SWIG updated and problem with InArrearIndexedCouponVector

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

I've synced up QuantLib-SWIG to the latest changes in QuantLib, but there is a 
problem with InArrearIndexedCouponVector which I've commented out for now.

The problem is that InArrearIndexedCouponVector tries to use 

    return QuantLib::IndexedCouponVector<InArrearIndexedCoupon>(
                                                  schedule,paymentAdjustment,
                                                  nominals,fixingDays,libor,
                                                  gearings,spreads,dayCount,
                                                  isInArrears);

The trouble with that is the IndexedCouponVector expects the coupon to have an 
isInArrears parameter which InArrearIndexedCoupon doesn't have.

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

Re: [Quantlib-dev] Surface interface

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

Just to let you know where I am with this.  I'm trying to get tvtk and mayavi2 
installed before proceding further with trying to interface this all with 
quantlib.  tvtk and mayavi2 are open source enhancements made to vtk by the 
Austin company enthought, which you can read about at 
http://www.enthought.com/ 

I figure that it will be about a month before I get completely acclimated with 
the tools.  Right now a high priority for me is to figure out how to get 
these tools built with RPM.


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

[Quantlib-dev] ObjectHandler/QuantLibAddin branch

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

hello,

previously ObjectHandler and related projects were migrated out of
QuantLib into separate SourceForge projects, this led to some problems
and it was agreed to migrate all the code back into the QL CVS
repository.

and i have branched, so below is a complete list of projects and the
branch names.

regards,
eric

ObjectHandler R000200-branch
gensrc R000200-branch
QuantLibAddin R000400-branch
QuantLibXL R000400-branch
log4cxx - no branch and no change since the "0.9.7.b" build from the
previous release