quantlib-dev — Discussion of QuantLib development

[Quantlib-dev] FinancePack and The Mind of the Market

[Dominick S. <dsa...@De...>]

Sorry if this is appears more than once [ironing out
some problems with the posting process...]

The C++ and R code that is part of the R packages
FinancePack and FractalPack may be of some interest
to users of QuantLib and/or R-sig-finance. There you
will find open source implementations of implied tree
construction, volatility surface calibration, credit
modeling, time series generation using multifractals and
other methods, agent-based simulations, Mandelbrot
set exploration, scale-free and random network
simulations, and a few other functions.

The underlying C++ code is NOT copyleft, and can
be incorporated into systems like QuantLib (for example)
under the terms of an Open Source License.

Some of this software was designed to complement my
paper titled "The Mind of the Market", where I develop
a neuroscientific viewpoint on finance practice. It can be
downloaded from http://ssrn.com/abstract=955023.

Please send me any feedback on the software and/or the
paper that you might have (especially the paper).

These packages were designed to serve as examples for
researchers and practitioners who want to provide
software illustrations of their work along with
paper publications, something that seems to be fairly
common in statistics, but not common enough in
other disciplines like finance.  The idea is to provide
a complete framework including a GUI to illustrate
your results and permit the user to experiment. The
wide availability of the open source R system makes
this more feasible. (The importance of this
for computational science is discussed under the topic
"reproducible research" at
http://www-stat.stanford.edu/~wavelab, for example).

The packages and associated documentation can be
downloaded from http://www.DecisionSynergy.com.
The document FinancePack.pdf describes both packages
and elaborates on the philosophy mentioned above. The
package RcppTemplate may be helpful for building an R
package around C++ code that implements your ideas.

See FinancePack.pdf for more info, and please read
"The Mind of the Market" and send me your thoughts...

Thanks,
Dominick

[Quantlib-dev] 0.4.0 branch

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

Hi all,
	I've created a CVS branch for the 0.4.0 release (the tag is
'R000400f0-branch'.) As usual, bug fixes should be committed on the
branch, while new features should be added to the trunk.

Later,
	Luigi


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

Ogden's Law: 
The sooner you fall behind, the more time you have to catch up. 

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

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

Hi all,

We've started a training video series (with audio) on our web site that will 
hopefully demostrate prototyping financial structures via objects within an 
Excel spreadsheet environment.

We believe that this is the first step before jumping into actual coding. 
The benefit of avioding the compile/link step as well as visually 
constructing objects is very appealing.

Although the video series will be based on our Excel libraries, we fully 
intend to make many references to QuantLib (via QuantLib's documenttation) 
as to where our implementation is taken from.

The same experience obtained from these video series can easily be applied 
to QuantLib's Excel library as this is object based too.

The first video has already been posted (Introduction - 30 mins).

We hope to post between 2 to 3 videos a week.

In order to conserve bandwidth, the quality of the videos will not exactly 
be tip/top (approx 9MB for 30 mins of audio/video).

In addition we have updated our Excel libraries in order to counter an Excel 
bug that caused Excel to terminate within some Excel environments. If this 
has happened to you, uninstall any previous version, download the new and 
then install.

All the libraries function within a trial mode (no need to register for the 
trial version) until fully activated.

Thats it for now folks...

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

_________________________________________________________________
MSN Hotmail is evolving – check out the new Windows Live Mail 
http://ideas.live.com

Re: [Quantlib-dev] de solvers and richardson extrapolation

[Sashan G. <sa...@gm...>]

On 1/4/07, Luigi Ballabio <lui...@gm...> wrote:
> On Wed, 2007-01-03 at 15:10 +1300, Sashan Govender wrote:
> > I downloaded quantlib and had a look at the euler solver
> > (expliciteuler.hpp) but all I can find is the interface to the class.
> > I can't find the implementation, the code that does f(x + h) = h*f'(x)
> > + f(x).
>
> Hi Sashan,
>         explicit and implicit Euler schemes are degenerate cases of the mixed
> implicit/explicit scheme implemented in mixedscheme.hpp. The only thing
> that the explicit-Euler class does is inherit from MixedScheme and
> forward its parameters to the base class constructor.
>
>

Hi Luigi

Been looking at the code but I'm lost. How can I for example write
code that uses a forward euler method to approximate the solution the
ode y=y'. I've grepped the test-suite for an explicit euler example
but found none.

Thanks

Re: [Quantlib-dev] Use and contribution to quantlib

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

Greetings,
	Apologies for the delay---real work and the holiday season got in the
way.

On Wed, 2006-12-13 at 18:54 +0100, Francois Longin wrote:
> 1) Use of quantlib
> 
> I would like to implement pricers for standard and exoctic options on my 
> website. Instead of programming from scratch as I did for the existing 
> pricers on my website, a friend of mine suggested me to build on quantlib. 
> How could I do that in terms of copyright?

The terms of use are in the LICENSE.txt included with the QuantLib
distribution. Basically, you can do whatever you want with the code as
long as you acknowledge its usage and distribute the LICENSE.txt file
together with your application.


> 2) Contribution
> 
> I also plan to develop an internet pricer for boom and crash options (see 
> my article in JAM). Would you be interested in the code?

Yes, we would (in the pricing part, of course, not the internet part.)

Later,
	Luigi


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

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

Re: [Quantlib-dev] de solvers and richardson extrapolation

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

On Wed, 2007-01-03 at 15:10 +1300, Sashan Govender wrote:
> I downloaded quantlib and had a look at the euler solver
> (expliciteuler.hpp) but all I can find is the interface to the class.
> I can't find the implementation, the code that does f(x + h) = h*f'(x)
> + f(x).

Hi Sashan,
	explicit and implicit Euler schemes are degenerate cases of the mixed
implicit/explicit scheme implemented in mixedscheme.hpp. The only thing
that the explicit-Euler class does is inherit from MixedScheme and
forward its parameters to the base class constructor.


> I had a look at the todo list and it mentioned richardson
> extrapolation. I have rough plan for implementing this so that it can
> handle any solver (ie. Euler, RK4 etc...).
[snipped]
> I can detail this approach with some C++ code hopefully sometime soon.

Yes, please do.

Later,
	Luigi


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

Prediction is very difficult, especially if it's about the future. 
-- Niels Bohr 

[Quantlib-dev] de solvers and richardson extrapolation

[Sashan G. <sa...@gm...>]

Hi

I downloaded quantlib and had a look at the euler solver
(expliciteuler.hpp) but all I can find is the interface to the class.
I can't find the implementation, the code that does f(x + h) = h*f'(x)
+ f(x). I've implemented some numercial ode solvers in some work I did at
university in physically based animation and am curious about applications in
financial mathematics.

I had a look at the todo list and it mentioned richardson
extrapolation. I have rough plan for implementing this so that it can
handle any solver (ie. Euler, RK4 etc...). The basic idea is that the
solver classes define methods that return the value of the
approximation A (see
http://en.wikipedia.org/wiki/Richardson_extrapolation for definition)
and the class that performs Richardson's extrapolation defines a
method to apply the recurrance relation (defined in the above link)
for a single time step. Since the approximation A differs depending on
the type of the solver used this approach will not constrict the class
that implements the Richardson extrapolation to a specific ODE solver.

I can detail this approach with some C++ code hopefully sometime soon.

--
sashan
http://sashang.orcon.net.nz

[Quantlib-dev] forward/explicit euler solver

[Sashan G. <sa...@gm...>]

Hi

I downloaded quantlib and had a look at the euler solver
(expliciteuler.hpp) but all I can find is the interface to the class.
I can't find the implementation, the code that does f(x + h) = h*f'(x)
+ f(x). I've implemented an euler solver class in some work I did at
university in physically based animation and am curious about
financial mathematics.

Thanks

[Quantlib-dev] [ quantlib-Bugs-1610233 ] Bug in HullWhiteProcess.cpp

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

Bugs item #1610233, was opened at 2006-12-06 07:59
Message generated for change (Comment added) made by nobody
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1610233&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: Bug in HullWhiteProcess.cpp

Initial Comment:
The calculation in HullWhiteProcess.cpp of alpha seems wrong to me?

Shouldn't the forwardRate-part in the alpha-formula be calculated from time 0 till time t, instead of calcualting the forwardRate from 0 to 0?

Sincerely,
Jeroen,
Jer...@ho...

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

Comment By: Nobody/Anonymous (nobody)
Date: 2006-12-22 02:54

Message:
Logged In: NO 

I would like to correct my previous statement:

the forwardRate-part in the alpha-formula should be calculated from time t
till time t, instead of calcualting the forwardRate from 0 to 0. We need
the instantaneous forwardRate in this case, at time t.




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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1610233&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-1618299 ] Xibor.fixing() does not work properly on some days

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

Bugs item #1618299, was opened at 2006-12-18 13:31
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=1618299&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: Jay Walters (jwalters)
Assigned to: Nobody/Anonymous (nobody)
Summary: Xibor.fixing() does not work properly on some days

Initial Comment:
I am trying to bootstrap a PiecewiseYieldCurve with a SwapRateHelper holding a 5y swap rate.  This is a USD curve.

The Upfrontindexedcoupon class contains a coupon period from 6/20/2011 to 12/19/2011. The unadjusted start date is 6/19/2011, which is a Sunday so it has been adjusted to be 6/20/2011.  Note this does not require any change in the end/maturity date.

When the rate() method is called upon this object it calls indexFixing and it passes in the fixing date as the argument, with settlement days as 2, then the fixing date becomes 6/16/2011.  Now if we call into USDLibor to get the fixing, we notice this date is in the future so we must forecast the fixing.  The logic here computes the value date as fixing date + 2 adjusted to be a business day which is 6/20/2011 and the maturity date computed by adding a 6M tenor becomes 12/20/2011.  But the rate I really need is 6/20/2011 to 12/19/2011.

It seems to be (several classes of logic) to be depending on the relationship that adjusted start date + tenor = end date.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1618299&group_id=12740

Re: [Quantlib-dev] [Quantlib-users] Building the Java swig bindings to quantlib

[Cooperman, A. <ari...@le...>]

Sorry, that was not very 'community' of me. I had played with the Java
bindings sometime ago as I am also interested in using QuantLib this
way. I have not had more time to play with it since then nor time to
contribute any updates on the steps I had to go through to get it up and
running that Toli was facing (Although the skwash site does a good job,
I wanted to build from the command line). As well, the bindings for Java
were a bit lighter than for perl and pyhton and had to make some updates
to expose more pricing engines and some methods on other classes.
Overall it is great support for Java to start out with and hopefully
when I have more time I can contribute some of these updates.

-----Original Message-----
From: quantlib-users-bounces=40lists.sourceforge.net
=5Bmailto:quantlib-users-bounces=40lists.sourceforge.net=5D On Behalf Of =
Luigi
Ballabio
Sent: Friday, December 15, 2006 3:01 AM
To: Toli Kuznets
Cc: quantlib-dev=40lists.sourceforge.net;
quantlib-users=40lists.sourceforge.net
Subject: Re: =5BQuantlib-users=5D =5BQuantlib-dev=5D Building the Java swig
bindings to quantlib

On Thu, 2006-12-14 at 18:25 -0800, Toli Kuznets wrote:
> And if someone knows who I can to talk to  incorporate the changes=20
> into the distribution so as to avoid manual work in the future, please

> let me know.

That would be me. I'll try and follow the procedure myself so that I can
include it in the build process. Thanks for sharing Ari's insights (I
hadn't received the post myself.)

Later,
=09Luigi


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

The First Rule of Optimization: Don't do it.=20
The Second Rule of Optimization (For experts only): Don't do it yet.=20
-- Michael Jackson=20



------------------------------------------------------------------------
-
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=3Djoin.php&p=3Dsourceforge&CID=3DDE=
VDE
V
_______________________________________________
QuantLib-users mailing list
QuantLib-users=40lists.sourceforge.net
https://lists.sourceforge.net/lists/listinfo/quantlib-users


- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - =
- - - - - - -

This message is intended only for the personal and confidential use of the =
designated recipient(s) named above.  If you are not the intended =
recipient of this message you are hereby notified that any review, =
dissemination, distribution or copying of this message is strictly =
prohibited.  This communication is for information purposes only and =
should not be regarded as an offer to sell or as a solicitation of an =
offer to buy any financial product, an official confirmation of any =
transaction, or as an official statement of Lehman Brothers.  Email =
transmission cannot be guaranteed to be secure or error-free.  Therefore, =
we do not represent that this information is complete or accurate and it =
should not be relied upon as such.  All information is subject to change =
without notice.

--------
IRS Circular 230 Disclosure:
Please be advised that any discussion of U.S. tax matters contained within =
this communication (including any attachments) is not intended or written =
to be used and cannot be used for the purpose of (i) avoiding U.S. tax =
related penalties or (ii) promoting, marketing or recommending to another =
party any transaction or matter addressed herein.

Re: [Quantlib-dev] Building the Java swig bindings to quantlib

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

On Thu, 2006-12-14 at 18:25 -0800, Toli Kuznets wrote:
> And if someone knows who I can to talk to  incorporate the changes into the
> distribution so as to avoid manual work in the future, please let me
> know.

That would be me. I'll try and follow the procedure myself so that I can
include it in the build process. Thanks for sharing Ari's insights (I
hadn't received the post myself.)

Later,
	Luigi


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

The First Rule of Optimization: Don't do it. 
The Second Rule of Optimization (For experts only): Don't do it yet. 
-- Michael Jackson 

Re: [Quantlib-dev] Building the Java swig bindings to quantlib

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

All,

Thanks to the great help of Ari on this list, i've been able to get
the Java bindings to compile.
For otherws with similar questions in the future, here's the short
answer on what to run in the QuantLib-SWIG-xxx/Java library after
doing 'configure/make -C Java' in top-level:
---
g++ -c quantlib_wrap.cpp -I<platform specific JVM includes>
g++ -shared quantlib_wrap.o -Wl,--add-stdcall-alias -o quantlib_wrap.so
-lquantlib -L<path to quantlib lib>

That should build the wrapper shared lib. Then in you java program you
nead to load that lib and have it and the quantlib lib on the LD_LIBRARY_PATH
---
For the long version, see the attached writeup from our wiki.

Again, huge thanks for the help on getting this to work. And if
someone knows who I can to talk to  incorporate the changes into the
distribution so as to avoid manual work in the future, please let me
know.

On 12/13/06, Toli Kuznets <to...@ma...> wrote:
> Hey everyone,
>
> This may be a newbie question - i'm new to QuantLib.
>
> I'm trying to build the Java SWIG bindings on Ubuntu.
> I have the binary version of quantlib-0.3.12 already installed, along with swig.
>
> In the QuantLib-SWIG-0.3.12 directory, i run ./configure and then make -C Java.
> That creates the org/quantlib/*.java files, along with quantlib_wrap.cpp
>
> however, it then exits with " Nothing to be done for `all-am'." and doesn't
> produce an actual C++ wrapper for quantlib.
>
> I can compile the Java files, but how do i create the C++ wrapper?
>
> running 'make' from top-level results in a different error, it fails somewhere
> in Python compilation.
>
> I have Ubuntu 6.10, quantlib-0.3.12, automake 1.9.6
>
> I've tried following the Eclipse-based instructions with Skwash, but that
> didin't work for me either.
>
> Is there no command-line way to build java swig bindings?
> Or is there something obvious that i'm missing?
>


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

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

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

Hi All,

As you may know, we at CapeTools QuantTools have used a large portion of the 
QuantLib library within our commercial software.

Very recently, we had many requests for a light weight version where the 
(2100+ functions) Excel Addin was to be broken up into several smaller 
addins.

Each addin should know how to handle it's own subset of calculations.

The difficulty though was that some addins depend on others and because our 
libraries construct objects, that meant passing financial objects from one 
addin to another.

I myself have never encounted an Excel addin (or if you like, Excel c++ dll 
library) before that allows you to pass objects between addins. Passing 
ranges, basic data types yes, but never passing references to objects where 
the original objects were created and reside within other addins.

Traditionally passing objects within C++, where the objects hold stl 
containers or stl data types is an absolute pain in the ar@e. STL may be an 
excellent toolkit within a library, but across dll boundaries it sucks.

This was the problem that we faced. How does one pass c++ objects across dll 
boundaries where some objects may not implement copy constructors, may not 
be copyable, may contain stl objects or even objects with static data 
members.

We toyed for weeks on this. Then I remembered Eric Ehlers (and his team's) 
ObjectHandler project.

Folks, this is quite an amazing library.

In just a few days, we were able to solve all of the above problems.

boost::any helps of course, but this is a nice little library.

We now have one library that functions as the repository of objects and any 
of our financial addin libraries that are loaded into Excel can now have 
access to objects created within another addin
(we used only a small subset of ObjectHandler's functionality).

For example, we have a curves addin which just builds yieldcurve objects, 
volatility curve objects, repo curve objects, bond curve objects etc...

For those users that simply want to interrogate the curves, the curve addin 
is enough.

For those users that wish to price an instrument and thus need access to the 
curves, they will then need to load the appropriate addin (into the same 
Excel instance). This other addin can then access these curve objects and 
use the curves for pricing.

As Eric states, this is not just an Excel solution, but for us it saved us a 
lot of hassle.

We have now released new libraries based on the new architecture.
Trial versions are avaliable (no need to register!!)

Best Regards,
Toyin Akin,
www.QuantTools.com

>From: "Toyin Akin" <toy...@ho...>
>To: qua...@li...,qua...@li...
>Subject: [Quantlib-dev] QuantLib usage in commercial appilcations...
>Date: Mon, 13 Nov 2006 15:47:01 +0000
>
>
>Hi all,
>
>Today I have posted up version #2 of my financial toolkit based largely 
>upon QuantLib.
>
>We, www.QuantTools.com, have tried to deliver a pricing platform, pretty 
>similar to FinancialCAD, MBRM and other such commercial financial 
>application frameworks. The main difference between the said systems and 
>our framework is that we use objects heavily within our functions (rather 
>than rectangular ranges of information).
>
>Thus we have been able to provide functionality that is not possible under 
>the said systems (ie - given an interest rate product, be able to compute 
>interest rate yieldcurve/volatility curve/SABR risk within the library 
>rather than within a spreadsheet).
>
>We used as much public domain code as possible so that our own costs were 
>low as well as allowing the users to have access to most of the algorithms.
>
>You may have remembered that version #1 of my library (3 years ago) was 
>based on .NET entirely and a free ASP.NET web site was created for the 
>pricing of structured products.
>
>Unfortunatly, our hosting company did not like the fact that the server was 
>running at 100% capacity and thus delivering poor performance for other web 
>sites also hosted on the same box.
>
>I was advised to move this system onto a dedicated box, but that meant 
>paying for one in which case the service would no longer be free.
>
>Version #2 is a complete rewrite in C++.
>
>The libraries can be downloaded and evaluated. There is an Excel Addin as 
>well as C++, java (via JNI), .NET (does not use COM interp),  Excel VBA 
>addin and an ActiveX (COM) component (for a small fee!!).
>
>The Excel Addin and the libraries all have the same interface and expose 
>over 2100 functions and practically exposes most of the functionality 
>within the QuantLib library.
>
>The library also boasts generic pricing routines via MonteCarlo, Tree and 
>PDE frameworks as well as reading FpML files into Excel and applying XPath 
>statement to display nodes.
>
>There are online code samples (in 8 languages) and object diagrams to help 
>understand the relationship between objects during a function call.
>
>In summary I would like to thank the entire QuantLib team for providing 
>such a wonderful framework.
>
>The last three years of coding this version was certainly stressful. 
>However without QuantLib we could have easily added three more years (as 
>well as hiring a lot of very expensive consultants/contractors!!).
>
>Check it out, I think you'll like it...
>
>Best Regards,
>Toyin Akin.
>www.QuantTools.com
>
>_________________________________________________________________
>Windows Live™ Messenger has arrived. Click here to download it for free! 
>http://imagine-msn.com/messenger/launch80/?locale=en-gb
>
>


>-------------------------------------------------------------------------
>Using Tomcat but need to do more? Need to support web services, security?
>Get stuff done quickly with pre-integrated technology to make your job 
>easier
>Download IBM WebSphere Application Server v.1.0.1 based on Apache Geronimo
>http://sel.as-us.falkag.net/sel?cmd=lnk&kid=120709&bid=263057&dat=121642


>_______________________________________________
>QuantLib-dev mailing list
>Qua...@li...
>https://lists.sourceforge.net/lists/listinfo/quantlib-dev

_________________________________________________________________
It's Hotmail's 10th Birthday! Come and play Pass the Parcel 
http://www.msnpasstheparcel.com

[Quantlib-dev] Building the Java swig bindings to quantlib

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

Hey everyone, 

This may be a newbie question - i'm new to QuantLib.

I'm trying to build the Java SWIG bindings on Ubuntu. 
I have the binary version of quantlib-0.3.12 already installed, along with swig.

In the QuantLib-SWIG-0.3.12 directory, i run ./configure and then make -C Java.
That creates the org/quantlib/*.java files, along with quantlib_wrap.cpp

however, it then exits with " Nothing to be done for `all-am'." and doesn't
produce an actual C++ wrapper for quantlib.

I can compile the Java files, but how do i create the C++ wrapper?

running 'make' from top-level results in a different error, it fails somewhere
in Python compilation.

I have Ubuntu 6.10, quantlib-0.3.12, automake 1.9.6

I've tried following the Eclipse-based instructions with Skwash, but that
didin't work for me either. 

Is there no command-line way to build java swig bindings? 
Or is there something obvious that i'm missing?

thanks.

[Quantlib-dev] Use and contribution to quantlib

[Francois L. <lo...@es...>]

Hi,

I'm Fran=E7ois Longin, porfessor of finance at Essec and consultant for=20
financial institutions. Feel free to visit my website for more information:=
=20
www.longin.fr

1) Use of quantlib

I would like to implement pricers for standard and exoctic options on my=20
website. Instead of programming from scratch as I did for the existing=20
pricers on my website, a friend of mine suggested me to build on quantlib.=
=20
How could I do that in terms of copyright?

2) Contribution

I also plan to develop an internet pricer for boom and crash options (see=20
my article in JAM). Would you be interested in the code?

Hope to hear from you.

Best regards,



Prof. Francois Longin
Department of Finance, Groupe ESSEC
Avenue Bernard Hirsch BP 105
95021 Cergy-Pontoise Cedex
FRANCE
E-mail: lo...@es...
Website: www.longin.fr
Tel: (+33) (0) 6 67 34 49 14

Re: [Quantlib-dev] unable to make install

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

On Dec 8, 2006, at 6:27 PM, Bond, Stephen wrote:
> Please, help with the installation issue reported below.
> make install stops due to a fatal error. I am also attaching the 
> config.log file which finished OK it seems.

Hi,
	try replacing line 29 of 
ql/MarketModels/Products/multiproductonestep.cpp (where the failure 
comes) with

relevanceRates[0] = std::make_pair<Size,Size>(0, rateTimes_.size()-1);

Out of curiosity, what compiler are you using? The ones we tested 
didn't seem to have problems with that line.

Later,
	Luigi

[Quantlib-dev] [ quantlib-Bugs-1610233 ] Bug in HullWhiteProcess.cpp

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

Bugs item #1610233, was opened at 2006-12-06 07:59
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=1610233&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: Bug in HullWhiteProcess.cpp

Initial Comment:
The calculation in HullWhiteProcess.cpp of alpha seems wrong to me?

Shouldn't the forwardRate-part in the alpha-formula be calculated from time 0 till time t, instead of calcualting the forwardRate from 0 to 0?

Sincerely,
Jeroen,
Jer...@ho...

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1610233&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-1608340 ] Chinese Calendars bug

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

Bugs item #1608340, was opened at 2006-12-04 01:02
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=1608340&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: Chinese Calendars bug

Initial Comment:
The y argument in SpringFestival() substract 1900 twice.  Thus the function references an illegal index of the array.

QuantLib-0.3.14\ql\Calendars:


    bool China::Impl::isBusinessDay(const Date& date) const {
        Weekday w = date.weekday();
        Day d = date.dayOfMonth();
        Month m = date.month();
        Year y = date.year();
        Day dd = date.dayOfYear();

        if (isWeekend(w)
            // New Year's Day
            || (d == 1 && m == January)
            // Labor Day
            || (d >= 1 && d <= 7 && m == May)
            // National Day
            || (d >= 1 && d <= 7 && m == October)
            // Lunar New Year 2004
            || (d >= 22 && d <= 28 && m == January && y==2004)
            // Spring Festival
            || (dd == springFestival(y-1900))
//                                    ^^^^^ once
            // Last day of Lunar Year
            || (dd == springFestival(y-1900)-1)
//                                    ^^^^^ once
            )
            return false;
        return true;
    }

    Day China::Impl::springFestival(Year y) {
        static const Day SpringFestival[] = {
            31,  51,  39,  29,  47,  36,  25,  44,  33,  22,   // 1900-1909
            41,  30,  49,  37,  26,  45,  34,  23,  42,  32,   // 1910-1919
            52,  39,  28,  47,  37,  24,  44,  33,  23,  41,   // 1920-1929
            30,  48,  37,  26,  45,  35,  24,  42,  31,  51,   // 1930-1939
            39,  27,  46,  37,  25,  44,  33,  22,  41,  29,   // 1940-1949
            48,  37,  27,  45,  34,  24,  43,  31,  49,  39,   // 1950-1959
            28,  46,  36,  25,  44,  33,  21,  40,  30,  48,   // 1960-1969
            37,  27,  46,  34,  23,  42,  31,  49,  38,  28,   // 1970-1979
            47,  36,  25,  44,  33,  51,  40,  29,  48,  37,   // 1980-1989
            27,  46,  36,  23,  41,  31,  51,  38,  28,  47,   // 1990-1999
            36,  24,  43,  32,  22,  40,  29,  49,  38,  26,   // 2000-2009
            45,  34,  23,  41,  31,  51,  39,  28,  47,  36,   // 2010-2019
            25,  43,  32,  22,  41,  29,  48,  37,  26,  44,   // 2020-2029
            34,  23,  42,  31,  50,  39,  28,  46,  36,  24,   // 2030-2039
            43,  32,  22,  41,  30,  48,  37,  26,  45,  33,   // 2040-2049
            23,  42,  32,  50,  39,  28,  46,  35,  24,  43,   // 2050-2059
            33,  21,  40,  29,  48,  36,  26,  45,  34,  23,   // 2060-2069
            42,  31,  51,  38,  27,  46,  36,  24,  43,  33,   // 2070-2079
            22,  40,  29,  48,  37,  26,  45,  35,  24,  41,   // 2080-2089
            30,  50,  38,  27,  46,  36,  25,  43,  32,  21,   // 2090-2099
        };
        return SpringFestival[y-1900];
//                             ^^^^^ twice
    }




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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1608340&group_id=12740

Re: [Quantlib-dev] Surface interface

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

I just realized that my e-mail didn't seem to have made it to the list.  
Apologies if this is a duplicate....

The idea is to recreate three classes that would abstract the details of 
quantlib from external plotting applications that would access things classes 
through SWIG or straight c++.

The three classes are

    class Curve : public std::unary_function<Real, Real> {
      public:
        virtual Real operator()(Real x) const = 0;
    };

    class Surface : public std::binary_function<Real, Real, Real> {
      public:
        virtual Real operator()(Real x, Real y) const = 0;
        virtual Domain* domain() const = 0;
        virtual ~Surface() {};
    };

    class Domain : public std::binary_function<Real, Real, bool>{
    public:
        virtual bool includes(Real x, Real y) const = 0;
        bool operator()(Real x, Real y) {return includes(x, y);}
        virtual ~Domain() {};
    };

The way that these classes would work is suppose I want to plot the result of 
a PDE calculation.  I create a class

   class TimeIndexedCurve : public TimeSeries <Curve>, public Surface {
    public:
	add(SampledCurve &c);
  }

In my code, I add curves to this structure as I'm calculating them, and then 
the plotting program takes a pointer to surface and they plots the surface.
If the curves and surfaces inherit this interface, then I just have to write 
one plotting routine in the external program and it will plot anything that 
implements the interface.

Another example of using these items is to pass curves from an external 
program to QuantLib

  class RFunction : public Curve;
  class PythonFunction : public Curve;

These can then be used for things like payoff functions.


On Tuesday 28 November 2006 02:52, Ferdinando Ametrano wrote:
> Hi Joseph
>
> it would be nice if you could give us a more detailed idea about how
> this class would be used, especially from the financial point of view.
>
> we're in the middle of some major refactoring of interest rate
> volatility surfaces, and I would prefer to have a clear idea about
> overlapping, if any.
>
> ciao -- Nando
>
> On 11/28/06, Joseph Wang <jo...@gn...> wrote:
> > Unless someone objects, I'd like to check in a set of classes that
> > provide a standardized interface to surfaces in quantlib.  The basic
> > interface is a Surface class that returns a real in return to two real
> > inputs and provides information about the domain the Surface is valid. 
> > The idea behind this is to provide a standard interface for external
> > plotting packages.
> >
> > The goal in three or four months time is to make this work with Python
> > and VTK to provide the sort of visualization which is standard in CFD,
> > medical and petroleum, but which I haven't seen yet in QF.
> >
> > The other thing that we probably should look at before 1.0 is to look at
> > the classes and see if there are any that are redundant.
> >
> >
> > --
> > -------------------------------------------------------------------------
> >------ Joseph Wang Ph.D. - jo...@gn...
> > China Derivatives Researcher and Software Developer - QuantLib
> > http://en.wikiversity.org/wiki/User:Roadrunner
> >
> >
> >
> >
> >
> > -------------------------------------------------------------------------
> > 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

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

[Gheorghe P. <ghe...@gm...>]

Hi Joseph,

I added a first example on displaying a surface using a VTK Python
script on the page in question.

I seem to have a problem with the upload of the source surface used to
generate the display output I posted. Namely, I get a warning when I
try to load the .vtk file (not an error), but then the file doesn't
seem to exist.

Anyway, no SWIG just yet - I am not really sure on second thoughts
what I can contribute about SWIG, since you guys already use it in the
library.

Let me know if this helps at all,

On 11/28/06, Joseph Wang <jo...@gn...> wrote:
> > That sounds great. I have experienced a part of the VTK "steep" curve
> > and I already have applications using the SWIG bindings for VTK and
> > Python.
>
> If you can post information about this onto the wiki page at
>
> http://en.wikiversity.org/wiki/QuantLib/VtkIntegration
>
> that would be useful.  Also in general I'm trying to get more and more people
> onto Wikiversity to use that as a research hub for these sorts of things.
>
> > Just a question: why do you think SWIG would be needed in this case?
>
> Because there are already working bindings for QuantLib to SWIG.  Also, I
> think I can test the Surface interface through the R module before the VTK
> gets integrated.
>
>
>
> -------------------------------------------------------------------------------
> Joseph Wang Ph.D. - jo...@gn...
> China Derivatives Researcher and Software Developer - QuantLib
> http://en.wikiversity.org/wiki/User:Roadrunner
>
>
>
>
>


-- 
Gheorghe Postelnicu, PhD
MGH, Harvard Medical School

Re: [Quantlib-dev] Surface interface

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

The three abstract interfaces that I'd like to define are

    class Surface : public std::binary_function<Real, Real, Real> {
      public:
        virtual Real operator()(Real x, Real y) const =3D 0;
        virtual Domain* domain() const =3D 0;
        virtual ~Surface() {};
    };

    class Domain : public std::binary_function<Real, Real, bool>{
    public:
        virtual bool includes(Real x, Real y) const =3D 0;
        bool operator()(Real x, Real y) {return includes(x, y);}
        virtual ~Domain() {};
    };

    class Curve : public std::unary_function<Real, Real> {
      public:
        virtual Real operator()(Real x) const =3D 0;
    };

The rationale behind defining these classes is more computational than=20
finance.  Basically if these three classes exist, then when I write a=20
external plotting function, I need only have the function understand=20
surfaces, domains, and curves, and it doesn't need to know about any of the=
=20
details behind the class.

Also you can do things like:

class RFunction : public Curve {
public:
	RFunction(SEXP *);
}

class PythonFunction : public Curve {
public:
	PythonFunction(Handler *);
}

One subclass in particular is

class TimeIndexedSurface : public Surface, public TimeSeries <Curve> {
public:
	TimeIndexedSurface (Date referenceDate &);
	void addCurve(Date, const Curve &);
}

What this would do in combination with the PDE code is that as the PDE is=20
calculating, it can add results to this class, and from QuantLib's point of=
=20
view it is seeing a TimeSeries of curves.  An external plotting application=
=20
sees that this class is also of type Surface and can run through that=20
interface to plot the surface generated by a finite difference run.

The other use for this is that I have data from Shanghai warrants and I wan=
t=20
to see if the volatility smile evolves.  So I want to slice up the data int=
o=20
time bins, do a regression on each bin, and then plot the surface.  For thi=
s=20
I need an object that could store the regressions.  Most scripting language=
s=20
don't have data structures that are flexible enough (or are too flexible) t=
o=20
do this.









=E5=9C=A8 Tuesday 28 November 2006 02:52=EF=BC=8C=E6=82=A8=E5=86=99=E9=81=
=93=EF=BC=9A
> Hi Joseph
>
> it would be nice if you could give us a more detailed idea about how
> this class would be used, especially from the financial point of view.
>
> we're in the middle of some major refactoring of interest rate
> volatility surfaces, and I would prefer to have a clear idea about
> overlapping, if any.
>
> ciao -- Nando
>
> On 11/28/06, Joseph Wang <jo...@gn...> wrote:
> > Unless someone objects, I'd like to check in a set of classes that
> > provide a standardized interface to surfaces in quantlib.  The basic
> > interface is a Surface class that returns a real in return to two real
> > inputs and provides information about the domain the Surface is valid.=
=20
> > The idea behind this is to provide a standard interface for external
> > plotting packages.
> >
> > The goal in three or four months time is to make this work with Python
> > and VTK to provide the sort of visualization which is standard in CFD,
> > medical and petroleum, but which I haven't seen yet in QF.
> >
> > The other thing that we probably should look at before 1.0 is to look at
> > the classes and see if there are any that are redundant.
> >
> >
> > --
> > -----------------------------------------------------------------------=
=2D-
> >------ Joseph Wang Ph.D. - jo...@gn...
> > China Derivatives Researcher and Software Developer - QuantLib
> > http://en.wikiversity.org/wiki/User:Roadrunner
> >
> >
> >
> >
> >
> > -----------------------------------------------------------------------=
=2D-
> > 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=3Djoin.php&p=3Dsourceforge&CID=
=3DDEVDEV
> > _______________________________________________
> > QuantLib-dev mailing list
> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev

=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] I'd like to get involved in QuantLib

[Mingqiang Z. <min...@gm...>]

Dear QuantLib Developers,

I would like to get involved in the QuantLib Project.  I am currently a PhD
student in applied math at UCLA with specialization in computational
finance.  I have 6+ years programming experience in C++.   I have taken
classes such at mathematical finance, option markets, fixed-income markets
and risk management.

After reviewing the project overview and the to do list,  I found myself
particular interested in the categories or libraries like Math, Finite
Difference, Optimization, Yield Term Structure and Credit Derivatives.

Thanks a lot.

Best,
Mingqiang

Re: [Quantlib-dev] Surface interface

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

Hi Joseph

it would be nice if you could give us a more detailed idea about how
this class would be used, especially from the financial point of view.

we're in the middle of some major refactoring of interest rate
volatility surfaces, and I would prefer to have a clear idea about
overlapping, if any.

ciao -- Nando

On 11/28/06, Joseph Wang <jo...@gn...> wrote:
> Unless someone objects, I'd like to check in a set of classes that provide a
> standardized interface to surfaces in quantlib.  The basic interface is a
> Surface class that returns a real in return to two real inputs and provides
> information about the domain the Surface is valid.  The idea behind this is
> to provide a standard interface for external plotting packages.
>
> The goal in three or four months time is to make this work with Python and VTK
> to provide the sort of visualization which is standard in CFD, medical and
> petroleum, but which I haven't seen yet in QF.
>
> The other thing that we probably should look at before 1.0 is to look at the
> classes and see if there are any that are redundant.
>
>
> --
> -------------------------------------------------------------------------------
> Joseph Wang Ph.D. - jo...@gn...
> China Derivatives Researcher and Software Developer - QuantLib
> http://en.wikiversity.org/wiki/User:Roadrunner
>
>
>
>
>
> -------------------------------------------------------------------------
> 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] Surface interface

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

> That sounds great. I have experienced a part of the VTK "steep" curve
> and I already have applications using the SWIG bindings for VTK and
> Python.

If you can post information about this onto the wiki page at

http://en.wikiversity.org/wiki/QuantLib/VtkIntegration

that would be useful.  Also in general I'm trying to get more and more people 
onto Wikiversity to use that as a research hub for these sorts of things.

> Just a question: why do you think SWIG would be needed in this case?

Because there are already working bindings for QuantLib to SWIG.  Also, I 
think I can test the Surface interface through the R module before the VTK 
gets integrated.



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