quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] Surface interface

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

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. The only tricky thing for me there is that if code other than
the VTK one is needed in C++, then indeed SWIG is needed, but I
couldn't find a way to pass objects from the VTK bindings (which are
not exactly SWIG) and my own SWIG library. My solution in the past was
to write wrappers that would perform the data transfer in Python.

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

Thanks,

On 11/27/06, Joseph Wang <jo...@gn...> wrote:
> There is something that would be very useful would be if you could find or
> point me to an example using VTK or mayavi which draws a surface and a
> scatterplot using the python interface.
>
> VTK has a really steep learning curve, and if you can post "hello world" in
> VTK that would be very useful.
>
> Thinking though the design a bit.  What I was thinking of doing is to use the
> TimeSeries template and create a TimeSeries of sampled curves or a TimeSeries
> of functions.  This could then be inserted into an interpolator which would
> return a surface which could be plotted by an external function.
>
> There also may be a need for a Curve object that does the same thing as
> Surface (i.e. provide an external standard interface for 1-d objects).  Curve
> would require an Interval.
>
> The way that I was thinking of moving forward was to create a TestSurface
> object which just plots a 2-d sinusodial function.  Get the SWIG bindings
> working, and then try to use that Surface to plot a hello world surface.
> Once I can see what I'm doing, then we can attach the Surface object to the
> rest of QuantLib and start ploting volatility surfaces or interest rate yield
> curves.
>
> --
> -------------------------------------------------------------------------------
> 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...>]

There is something that would be very useful would be if you could find or 
point me to an example using VTK or mayavi which draws a surface and a 
scatterplot using the python interface.

VTK has a really steep learning curve, and if you can post "hello world" in 
VTK that would be very useful.

Thinking though the design a bit.  What I was thinking of doing is to use the 
TimeSeries template and create a TimeSeries of sampled curves or a TimeSeries 
of functions.  This could then be inserted into an interpolator which would 
return a surface which could be plotted by an external function.

There also may be a need for a Curve object that does the same thing as 
Surface (i.e. provide an external standard interface for 1-d objects).  Curve 
would require an Interval.

The way that I was thinking of moving forward was to create a TestSurface 
object which just plots a 2-d sinusodial function.  Get the SWIG bindings 
working, and then try to use that Surface to plot a hello world surface.  
Once I can see what I'm doing, then we can attach the Surface object to the 
rest of QuantLib and start ploting volatility surfaces or interest rate yield 
curves.

-- 
-------------------------------------------------------------------------------
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,

I have been thinking for a while to get back to doing some finance.
Right now I'm doing medical imaging and I am posting this because I
have already done a number of applications that follow the pattern
indicated by Joseph. If I can be of any help, I'd be glad to assist.

On 11/27/06, 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
>
>
>
>
>
> -------------------------------------------------------------------------
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-- 
Gheorghe Postelnicu, PhD
MGH, Harvard Medical School

[Quantlib-dev] Surface interface

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

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

[Quantlib-dev] [ quantlib-Bugs-1603024 ] ./configure fails on Mac OS X 10.4

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

Bugs item #1603024, was opened at 2006-11-25 22:45
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=1603024&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: ./configure fails on Mac OS X 10.4 

Initial Comment:
It is my first time to install Boost and Quantlib on my Mac OS X, but it is not successfull yet, so I wish I could get some help.

I have installed boost_1_33_1 in a directory:
~/Study/Programming/Boost/boost_1_33_1/
, which includes both /boost and /libs directories.

In the Quantlib directory (I'm using QuantLib-0.3.14), if I run
sh -x ./configure
then, a file 'config.log' is generated. Inside the log file, some of the error messages read
===========================================
conftest.c:10:28: error: ac_nonexistent.h: No such file or directory
conftest.cpp:21:28: error: ac_nonexistent.h: No such file or directory
configure; failed program was:
| /* confdefs.h. */
| #define PACKAGE_NAME "QuantLib"
...
| /* end confdefs.h. */
| #include <ac_nonexistent.h>
...
conftest.cpp:25: error: 'M_SQRT_2' was not declared in this scope
conftest.cpp:26: error: 'M_SQRTPI' was not declared in this scope
...
conftest.cpp:24:29: error: boost/version.hpp No such file or directory
conftest.cpp:25:37: error: boost/shared_ptr.hpp: No such file or directory
conftest.cpp:26:33: error: boost/assert.hpp: No such file or directlry
conftest.cpp:27:43: error: boost/current_function.hpp: No such file or directory
configure: failed program was:
| /* confdefs.h. */
| #define PACKAGE_NAME "QuantLib"
...
| /* end confdefs.h. */
| #include < boost/version.hpp >
| #include < boost/shared_ptr.hpp >
| #include < boost/assert.hpp >
| #include < boost/current_function.hpp >
...
configure:20272: result: no
configure:20274: error: Boost development files not found
===========================================

Currently, my .hpp files such as version.hpp etc. are located in ~/Study/Programming/Boost/boost_1_33_1/libs. I assume that the errors occurs owing to the incorrect PATH, but I do not know how to fix it. I will appreciate much if anybody help me out.

Many thanks.





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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1603024&group_id=12740

[Quantlib-dev] Market Models, TODOs, scripting

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

It would seem to me that the design for using things like muParser would be to 
create a function object wrapper, which QuantLib objects could understand and 
then subclass them for particular scripting languages.  Something like

class AbstractFunctionObject : public AdaptableUnaryFunction {
  virtual operator() (Real a) = 0;
}

class MuParserFunctionObject : public AbstractFunctionObject {
}

That way you can have

class PythonFunctionObject : public AbstractFunctionObject {
}

class RFunctionObject : public AbstractFunctionObject {
}

And then use your favorite scripting language to generate something that can 
be used for payoff functions.  Also, this would put all of the scripting 
dependent code into one single class, which would make it easy for the 
compilation in include or exclude different interfaces to different scripting 
languages.


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

Re: [Quantlib-dev] Market Models, TODOs, scripting

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

Hi,

The muParser is pretty good.

I have used it myself within my QuantTools libraries for MonteCarlo, Tree 
and PDE payoff constructions.

It's pretty fast and you have the option of converting the string expression 
to bytecode thus eliminating further string parsing...

Adding new functions is a snap.

The only thing to worry about is that during a function call, a lot of 
internal static structures are used and thus you cannot parse functions 
under a multi-user environment.

Toy out.
www.QuantTools.com



>From: "Ferdinando Ametrano" <na...@am...>
>To: rol...@gm...
>CC: pit...@ca..., qua...@li...
>Subject: Re: [Quantlib-dev] Market Models, TODOs, scripting
>Date: Wed, 22 Nov 2006 14:49:08 +0100
>
>On 11/20/06, Roland Lichters <rol...@go...> wrote:
> > The MIT license seems to me compatible with QuantLib's.
>there might be few details to check out, but yes, the MIT license is
>compatible with QuantLib's.
>Even better: they're (in) the same (family)
>
>ciao -- Nando
>
>-------------------------------------------------------------------------
>Take Surveys. Earn Cash. Influence the Future of IT
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>your
>opinions on IT & business topics through brief surveys - and earn cash
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Re: [Quantlib-dev] Market Models, TODOs, scripting

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

On 11/20/06, Roland Lichters <rol...@go...> wrote:
> The MIT license seems to me compatible with QuantLib's.
there might be few details to check out, but yes, the MIT license is
compatible with QuantLib's.
Even better: they're (in) the same (family)

ciao -- Nando

Re: [Quantlib-dev] Market Models, TODOs, scripting

[Roland L. <rol...@go...>]

Hi Peter,
I had not seen muParser so far, will check it out. The MIT license seems to
me compatible with QuantLib's.
Thanks for this interesting hint!
Roland

On 11/19/06, Piter Dias <pit...@ma...> wrote:
>
> Guys,
>
> Roland=B4s idea is very interesting. I used myself a math expression pars=
er
> (Warp=B4s one) when I worked to Algorithmics in order to make a Balance
> Sheet
> simulator for some clients (pension funds).
>
> If you want the idea, could you please check this link
> http://muparser.sourceforge.net/mup_license.html in order to see if the
> license is in line with QuantLib?
>
> I know I can always use it myself while coding, but I think a standard wa=
t
> inside QuantLib would be better.
>
> Regards.
>
> ---- Mensagem Original ----
> From: "RolandLichters"<rol...@go...>
> To: "quantlib-dev"<qua...@li...>
> Sent: Dom, Novembro 19, 2006 5:23 pm
> Subject: [Quantlib-dev]MarketModels,TODOs,scripting
>
> Hello Market Model team,
>
> I have read the TODOs in the Market Models section and saw the item on
> scripting, specify new payoffs "without code recompilation".
>
> I am not sure whether this helps in this exercise - I came across a
> free/open mathematical expression parser written by Yann Ollivier
> (http://www.eleves.ens.fr/home/ollivier), wrapped and  used it with
> some minor extensions so that it understands max, min, step functions
> in addition to the bulk that Yann had already coded. For example, I
> evaluate formulas as follows:
>
> ...
>
> #define LENGTH(a) (sizeof(a)/sizeof(a[0]))
>
> string name[]  =3D { "a", "b", "c" };
> double value[] =3D {  1,   2,   3 };
>
> string formula =3D "sqrt (max (step(5a-10) + min(3b, 4c), 0)) * 15";
>
> vector<string> variableNames;
> vector<double> variableValues;
> for (int i =3D 0; i < LENGTH(name); i++) {
>    variableNames.push_back(name[i]);
>    variableValues.push_back(value[i]);
> }
>
> Formula form (formula, variableNames, variableValues);
>
> cout << "formula =3D " << formula << " =3D " << form.eval() << endl;
>
> ... and changing the variableValue vector after creating the formula
> object allows revaluing the formula with the amended variable input,
> calling form.eval() again. That might be useful, not only for the
> Market Models.
>
> Yann's license is currently not compatible with the QuantLib license,
> as far as I understand - he does not allow selling the code unless one
> contacts him. Maybe he is willing to change the license if you are
> interested in including his code or a modified version of it in the
> library?
>
> Regards,
> Roland
>
> -------------------------------------------------------------------------
> 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=3D=
DEVDEV
> _______________________________________________
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> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>
>
>
> -------------------------------------------------------------------------
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>

Re: [Quantlib-dev] Market Models, TODOs, scripting

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

Guys,

Roland´s idea is very interesting. I used myself a math expression parser
(Warp´s one) when I worked to Algorithmics in order to make a Balance Sheet
simulator for some clients (pension funds).

If you want the idea, could you please check this link
http://muparser.sourceforge.net/mup_license.html in order to see if the
license is in line with QuantLib?

I know I can always use it myself while coding, but I think a standard wat
inside QuantLib would be better.

Regards.

---- Mensagem Original ----
From: "Roland Lichters" <rol...@go...>
To: "quantlib-dev" <qua...@li...>
Sent: Dom, Novembro 19, 2006 5:23 pm
Subject: [Quantlib-dev] Market Models, TODOs, scripting

Hello Market Model team,

I have read the TODOs in the Market Models section and saw the item on
scripting, specify new payoffs "without code recompilation".

I am not sure whether this helps in this exercise - I came across a
free/open mathematical expression parser written by Yann Ollivier
(http://www.eleves.ens.fr/home/ollivier), wrapped and  used it with
some minor extensions so that it understands max, min, step functions
in addition to the bulk that Yann had already coded. For example, I
evaluate formulas as follows:

...

#define LENGTH(a) (sizeof(a)/sizeof(a[0]))

string name[]  = { "a", "b", "c" };
double value[] = {  1,   2,   3 };

string formula = "sqrt (max (step(5a-10) + min(3b, 4c), 0)) * 15";

 vector<string> variableNames;
 vector<double> variableValues;
 for (int i = 0; i < LENGTH(name); i++) {
    variableNames.push_back(name[i]);
    variableValues.push_back(value[i]);
  }

Formula form (formula, variableNames, variableValues);

cout << "formula = " << formula << " = " << form.eval() << endl;

... and changing the variableValue vector after creating the formula
object allows revaluing the formula with the amended variable input,
calling form.eval() again. That might be useful, not only for the
Market Models.

Yann's license is currently not compatible with the QuantLib license,
as far as I understand - he does not allow selling the code unless one
contacts him. Maybe he is willing to change the license if you are
interested in including his code or a modified version of it in the
library?

Regards,
Roland

-------------------------------------------------------------------------
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Join SourceForge.net's Techsay panel and you'll get the chance to share your
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_______________________________________________
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[Quantlib-dev] Market Models, TODOs, scripting

[Roland L. <rol...@go...>]

Hello Market Model team,

I have read the TODOs in the Market Models section and saw the item on
scripting, specify new payoffs "without code recompilation".

I am not sure whether this helps in this exercise - I came across a
free/open mathematical expression parser written by Yann Ollivier
(http://www.eleves.ens.fr/home/ollivier), wrapped and  used it with
some minor extensions so that it understands max, min, step functions
in addition to the bulk that Yann had already coded. For example, I
evaluate formulas as follows:

...

#define LENGTH(a) (sizeof(a)/sizeof(a[0]))

string name[]  = { "a", "b", "c" };
double value[] = {  1,   2,   3 };

string formula = "sqrt (max (step(5a-10) + min(3b, 4c), 0)) * 15";

 vector<string> variableNames;
 vector<double> variableValues;
 for (int i = 0; i < LENGTH(name); i++) {
    variableNames.push_back(name[i]);
    variableValues.push_back(value[i]);
  }

Formula form (formula, variableNames, variableValues);

cout << "formula = " << formula << " = " << form.eval() << endl;

... and changing the variableValue vector after creating the formula
object allows revaluing the formula with the amended variable input,
calling form.eval() again. That might be useful, not only for the
Market Models.

Yann's license is currently not compatible with the QuantLib license,
as far as I understand - he does not allow selling the code unless one
contacts him. Maybe he is willing to change the license if you are
interested in including his code or a modified version of it in the
library?

Regards,
Roland

[Quantlib-dev] Undefined symbol linking using Forte 6.2 CC on Solaris 8

[Goldblatt, D. [CAI] <dan...@ci...>]

Hi,

Getting "Undefined symbol" when trying to link a simple executable. Any =
help would be appreciated.

I am compiling using Forte 6.2 CC on a Solaris 8 unix machine.

Here is main.c:

/////////////////////////////////////////////////////////////////////////=
////////
#include <ql/quantlib.hpp>

int main( int argc, char** argv )
{
QuantLib::DepositRateHelper rh( 5.04 / 100.0, 6, QuantLib::Months, 2,
                                QuantLib::Calendar( ), =
QuantLib::ModifiedFollowing, QuantLib::Actual360() );
}
/////////////////////////////////////////////////////////////////////////=
////////

It compiles fine, but when I link, I get the error:

Undefined                       first referenced
 symbol                             in file
boost::shared_ptr<QuantLib::Observable>::shared_ptr<QuantLib::Observable>=
#Nvariant 1(__type_1*) =
/home/src/quantlib/ql/SPARC_5.8_D/libquantlib.a(XVV6j7r3rNMoF5PSVDUH.o)
ld: fatal: Symbol referencing errors. No output written to =
SPARC_5.8_D/main

Here is the command line of my link command:

/Forte/sun4/6.2/5.8p2/WS6U2/bin/CC  -g SPARC_5.8_D/main.o -Bstatic =
-Bstatic -L/home/src/quantlib/ql/SPARC_5.8_D -lquantlib  =
-L/usr/lib/sparcv9 -Bstatic -lC -lCstd -Bdynamic -lnsl -ldl -lm -lsocket =
-library=3Dno%rwtools7 -o SPARC_5.8_D/main

Thanks,
Daniel

Re: [Quantlib-dev] INTERNAL COMPILER ERROR

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

Hi,

Try doing a rebuild all.

I sometimes get this message and doing a rebuld all sometimes fixes it.

Toy out.


>From: "Daqian Chen" <dq...@gm...>
>To: qua...@li...
>Subject: [Quantlib-dev] INTERNAL COMPILER ERROR
>Date: Tue, 14 Nov 2006 19:41:25 +0800
>
>My quantLib version is 0.3.13, and once I use visual c++6.0 to build
>quantlib-vc6-sgd-0_3_13.lib, there is an error as follows:
>
>blackcapfloorengine.cpp(34) : fatal error C1001: INTERNAL COMPILER ERROR
>        (compiler file 'msc1.cpp', line 1786)
>         Please choose the Technical Support command on the Visual C++
>         Help menu, or open the Technical Support help file for more
>information
>
>now how can I do and fix it? Thank you in advance!


>-------------------------------------------------------------------------
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>Get stuff done quickly with pre-integrated technology to make your job 
>easier
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>_______________________________________________
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[Quantlib-dev] INTERNAL COMPILER ERROR

[Daqian C. <dq...@gm...>]

My quantLib version is 0.3.13, and once I use visual c++6.0 to build
quantlib-vc6-sgd-0_3_13.lib, there is an error as follows:

blackcapfloorengine.cpp(34) : fatal error C1001: INTERNAL COMPILER ERROR
        (compiler file 'msc1.cpp', line 1786)
         Please choose the Technical Support command on the Visual C++
         Help menu, or open the Technical Support help file for more
information

now how can I do and fix it? Thank you in advance!

Re: [Quantlib-dev] QuantLibAddin / PostgreSQL integration

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

Hi Nicola,

You would need to add a new Addin to QuantLibAddin.  There's no
documentation on that specifically but you could have a look at the
existing Addins, the C Addin may give you ideas on how to link the C++
world of QuantLib to a C client.

The process of adding new functions and categories is documented here:
    http://www.quantlibaddin.org/extending.html
The document below describes the general structure of the gensrc
utility which is used to generate the source code for the Addins:
    http://www.gensrc.org/inherits.html

Regards,
Eric

On 11/13/06, Nicola Chiarini <il...@yo...> wrote:
>
>
> I'd like to export the QuantLibAddin functionality to PostgreSQL via
> C-Language Functions (as exposed in
> http://www.postgresql.org/docs/8.1/interactive/xfunc-c.html).
> Is it feasible?
> I haven't found any tutorials about how to extend QuantLibAddin: can someone
> help me?
>
> Thanks in advance,
> Nicola Chiarini
> -------------------------------------------------------------------------
> 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
>
> _______________________________________________
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> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>
>

[Quantlib-dev] QuantLibAddin / PostgreSQL integration

[Nicola C. <il...@yo...>]

I'd like to export the QuantLibAddin functionality to PostgreSQL via =
C-Language Functions (as exposed in =
http://www.postgresql.org/docs/8.1/interactive/xfunc-c.html). Is it =
feasible?
I haven't found any tutorials about how to extend QuantLibAddin: can =
someone help me?
=20
Thanks in advance,
Nicola Chiarini

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

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

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

_________________________________________________________________
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[Quantlib-dev] 0.3.14 tests failing on alpha and ia64

[Dirk E. <ed...@de...>]

[ I had not enabled 'make check' in the Debian builds as, being called before
the libraries are fully installed, the binaries didn't find the shared
library.  I finally figured that out and have enabled it now.  Secondly, I
build the packages with the version number in the library name which makes
the package name 'new and unique' -- which required manual ftpmaster
approval.  So the newly enabled tests finally ran for the first time
yesterday after 0.3.14 joined the archive. ]

Good news: clean build on
	x86 
	amd64
	s390
	hppa
	mipps
	powerpc
	mipsel
	sparc

Bad news 1 of 2: failure on alpha with
   Testing use of interpolations as functors...
   terminate called after throwing an instance of 'QuantLib::Error'
     what():  interpolation range is [0, 4]: extrapolation at -2 not allowed
   unknown location(0): fatal error in "InterpolationTest::testAsFunctor": signal: SIGABRT (application abort requested)
   Testing backward-flat interpolation...

Bad news 2 of 2: failure on ia64
   Testing volatility model construction...
   Testing old-style Monte Carlo single-factor pricers...
   Testing old-style Monte Carlo multi-factor pricers...
    
   Tests completed in 24 m 34 s
   
   
   *** No errors detected
   /bin/sh: line 4: 21535 Segmentation fault      BOOST_TEST_LOG_LEVEL=message ${dir}$tst
   FAIL: quantlib-test-suite
   ===================================================
   1 of 1 tests failed
   Please report to qua...@li...
   ===================================================
   make[3]: *** [check-TESTS] Error 1
   make[3]: Leaving directory `/build/buildd/quantlib-0.3.14/test-suite'


Full logs at the bottom of 
   http://buildd.debian.org/build.php?pkg=quantlib

I could run some additional tests if it helped.  I haven't had time to look
closely, and intend to cover the failure by having make not fail on these.

Cheers, Dirk

-- 
Hell, there are no rules here - we're trying to accomplish something. 
                                                  -- Thomas A. Edison

[Quantlib-dev] SciPy and NumPy

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

Is anyone using SciPy and NumPy with QuantLib (probably through the SWIG 
interface).

Just curious.

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

[Quantlib-dev] [ quantlib-Bugs-1592469 ] QuantLib-doc conflicts with man-pages

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

Bugs item #1592469, was opened at 2006-11-07 23:37
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=1592469&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: QuantLib-doc conflicts with man-pages

Initial Comment:
the 2 files in the package QuantLib-doc-0.3.13-4.fc6
/usr/share/man/man3/err.3.gz
/usr/share/man/man3/y0.3.gz

conflict with 2 files with the same name in the package
man-pages-2.39-5

Thank you

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1592469&group_id=12740

Re: [Quantlib-dev] 0.3.14 release candidate

[Georgy J. <geo...@gm...>]

Hello,

got two errors trying to compile quantlib release 0.3.14 in Release CRTDLL
configuratiion with Visual C++ 2005 Express Edition.

Regards,
Georgy




  Build Log


Build started: Project: QuantLib, Configuration: Release CRTDLL|Win32

  Command Lines

Creating temporary file
"d:\Archive\Gnu\QuantLib\QuantLib-0.3.14\build\vc80\Release
CRTDLL\RSP00003140523224.rsp" with contents
[
/O2 /Ob2 /Ot /I "." /D "NDEBUG" /D "WIN32" /D "_LIB" /D
"_SCL_SECURE_NO_DEPRECATE" /D "_CRT_SECURE_NO_DEPRECATE" /D "_MBCS"
/GF /FD /EHsc /MD /Gy /Za /Fp".\build\vc80\Release
CRTDLL/QuantLib.pch" /Fo".\build\vc80\Release CRTDLL/"
/Fd".\build\vc80\Release CRTDLL/" /FR".\build\vc80\Release CRTDLL/"
/W3 /c  /Oi-

]
Creating command line "bscmake.exe
@"d:\Archive\Gnu\QuantLib\QuantLib-0.3.14\build\vc80\Release
CRTDLL\RSP00003840523224.rsp" /nologo"

  Output Window       Compiling...timegrid.cpp

...

 .\ql\ShortRateModels\TwoFactorModels\batesmodel.cpp : fatal error C1033:
cannot open program database 'd:\archive\gnu\quantlib\quantlib-
0.3.14\build\vc80\release crtdll\vc80.idb'

...

Generating Code...Creating browse information file... Microsoft Browse
Information Maintenance Utility Version 8.00.50727 Copyright (C) Microsoft
Corporation. All rights reserved.

 BSCMAKE: error BK1506 : cannot open file '.\build\vc80\release
crtdll\cliquetoption.sbr': No such file or directory
  Results

Build log was saved at
"file://d:\Archive\Gnu\QuantLib\QuantLib-0.3.14\build\vc80\Release
CRTDLL\BuildLog.htm"
QuantLib - 2 error(s), 0 warning(s)

Re: [Quantlib-dev] Roadmap to QuantLib 1.0

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

Luigi,

I would a more powerful cash flow generation for Bonds (and other cash flow
instruments). This is something I could help you guys.

Regards.


---- Mensagem Original ----
From: "Luigi Ballabio" <lui...@gm...>
To: "QuantLib developers" <qua...@li...>
Sent: Ter, Novembro 7, 2006 9:48 am
Subject: [Quantlib-dev] Roadmap to QuantLib 1.0


Hi all,
	now that 0.3.14 is out, I'd like to float around a couple of ideas on
how to get to a 1.0 release during 2007. Feel free to throw in your
comments.

First: next release will complete the implementation of the Libor market
model we're developing with Mark Joshi.  I'd use this occasion to leave
the 0.3 series and go to 0.4.0. This one might act as a stable release
until 1.0 comes out (which means that depending on request and on the
number of bugs we find, we might think of getting out a bug-fix only
0.4.1 based on the 0.4.0 branch.)

Second: After a stable 0.4.0 is out, I'd grab the chance to make any
non-backward-compatible change we might need before 1.0 (I can think of
a few.)  I'd also switch the repository to Subversion, which would make
it easier to move stuff around.  The resulting release would be a
candidate for 1.0---I'm open to suggestions as to whether to call it
0.9.0 or 1.0b1, i.e., as to which version number would possibly lure
more people into downloading it and trying it out.

Shortly thereafter, I would put out the actual 1.0 release.

Thoughts?

	Luigi


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

Quote me as saying I was misquoted.
-- Groucho Marx



-------------------------------------------------------------------------
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_______________________________________________
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Qua...@li...
https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] Roadmap to QuantLib 1.0

[Klaus S. <kla...@fr...>]

Hi Luigi,

from what I've heart from some friends of mine is that they would appreciate 
to have more documentation. Doesn't need to be a complete text book;-) What 
about setting up a documentation plan for 1.0?

cheers
 Klaus

On Tuesday 07 November 2006 12:48 pm, Luigi Ballabio wrote:
> Hi all,
> 	now that 0.3.14 is out, I'd like to float around a couple of ideas on
> how to get to a 1.0 release during 2007. Feel free to throw in your
> comments.
>
> First: next release will complete the implementation of the Libor market
> model we're developing with Mark Joshi.  I'd use this occasion to leave
> the 0.3 series and go to 0.4.0. This one might act as a stable release
> until 1.0 comes out (which means that depending on request and on the
> number of bugs we find, we might think of getting out a bug-fix only
> 0.4.1 based on the 0.4.0 branch.)
>
> Second: After a stable 0.4.0 is out, I'd grab the chance to make any
> non-backward-compatible change we might need before 1.0 (I can think of
> a few.)  I'd also switch the repository to Subversion, which would make
> it easier to move stuff around.  The resulting release would be a
> candidate for 1.0---I'm open to suggestions as to whether to call it
> 0.9.0 or 1.0b1, i.e., as to which version number would possibly lure
> more people into downloading it and trying it out.
>
> Shortly thereafter, I would put out the actual 1.0 release.
>
> Thoughts?
>
> 	Luigi
>
>
> ----------------------------------------
>
> Quote me as saying I was misquoted.
> -- Groucho Marx
>
>
>
> -------------------------------------------------------------------------
> 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

Re: [Quantlib-dev] Roadmap to QuantLib 1.0

[Alan K. <ki...@us...>]

<br><font size=2 face="sans-serif">Would it be possible to include benchmarking
in 1.0? &nbsp;I'm thinking of data set + parameter settings that go beyond
the simple functional tests.</font>
<br><font size=2 face="sans-serif"><br>
Alan King<br>
Math Sciences<br>
IBM Thomas J Watson Research Center<br>
914-945-1236<br>
http://www.research.ibm.com/people/k/kingaj/</font>
<br>
<br>
<br>
<table width=100%>
<tr valign=top>
<td width=40%><font size=1 face="sans-serif"><b>Luigi Ballabio &lt;lui...@gm...&gt;</b>
</font>
<br><font size=1 face="sans-serif">Sent by: qua...@li...</font>
<p><font size=1 face="sans-serif">11/07/2006 06:48 AM</font>
<td width=59%>
<table width=100%>
<tr valign=top>
<td>
<div align=right><font size=1 face="sans-serif">To</font></div>
<td><font size=1 face="sans-serif">QuantLib developers &lt;qua...@li...&gt;</font>
<tr valign=top>
<td>
<div align=right><font size=1 face="sans-serif">cc</font></div>
<td>
<tr valign=top>
<td>
<div align=right><font size=1 face="sans-serif">Subject</font></div>
<td><font size=1 face="sans-serif">[Quantlib-dev] Roadmap to QuantLib 1.0</font></table>
<br>
<table>
<tr valign=top>
<td>
<td></table>
<br></table>
<br>
<br>
<br><tt><font size=2><br>
Hi all,<br>
 &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;
now that 0.3.14 is out, I'd like to float around a couple of ideas on<br>
how to get to a 1.0 release during 2007. Feel free to throw in your<br>
comments.<br>
<br>
First: next release will complete the implementation of the Libor market<br>
model we're developing with Mark Joshi. &nbsp;I'd use this occasion to
leave<br>
the 0.3 series and go to 0.4.0. This one might act as a stable release<br>
until 1.0 comes out (which means that depending on request and on the<br>
number of bugs we find, we might think of getting out a bug-fix only<br>
0.4.1 based on the 0.4.0 branch.)<br>
<br>
Second: After a stable 0.4.0 is out, I'd grab the chance to make any<br>
non-backward-compatible change we might need before 1.0 (I can think of<br>
a few.) &nbsp;I'd also switch the repository to Subversion, which would
make<br>
it easier to move stuff around. &nbsp;The resulting release would be a<br>
candidate for 1.0---I'm open to suggestions as to whether to call it<br>
0.9.0 or 1.0b1, i.e., as to which version number would possibly lure<br>
more people into downloading it and trying it out.<br>
<br>
Shortly thereafter, I would put out the actual 1.0 release.<br>
<br>
Thoughts?<br>
<br>
 &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;
Luigi<br>
<br>
<br>
---------------------------------------- <br>
<br>
Quote me as saying I was misquoted. <br>
-- Groucho Marx <br>
<br>
<br>
<br>
-------------------------------------------------------------------------<br>
Using Tomcat but need to do more? Need to support web services, security?<br>
Get stuff done quickly with pre-integrated technology to make your job
easier<br>
Download IBM WebSphere Application Server v.1.0.1 based on Apache Geronimo<br>
http://sel.as-us.falkag.net/sel?cmd=lnk&amp;kid=120709&amp;bid=263057&amp;dat=121642<br>
_______________________________________________<br>
QuantLib-dev mailing list<br>
Qua...@li...<br>
https://lists.sourceforge.net/lists/listinfo/quantlib-dev<br>
</font></tt>
<br>

[Quantlib-dev] Roadmap to QuantLib 1.0

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

Hi all,
	now that 0.3.14 is out, I'd like to float around a couple of ideas on
how to get to a 1.0 release during 2007. Feel free to throw in your
comments.

First: next release will complete the implementation of the Libor market
model we're developing with Mark Joshi.  I'd use this occasion to leave
the 0.3 series and go to 0.4.0. This one might act as a stable release
until 1.0 comes out (which means that depending on request and on the
number of bugs we find, we might think of getting out a bug-fix only
0.4.1 based on the 0.4.0 branch.)

Second: After a stable 0.4.0 is out, I'd grab the chance to make any
non-backward-compatible change we might need before 1.0 (I can think of
a few.)  I'd also switch the repository to Subversion, which would make
it easier to move stuff around.  The resulting release would be a
candidate for 1.0---I'm open to suggestions as to whether to call it
0.9.0 or 1.0b1, i.e., as to which version number would possibly lure
more people into downloading it and trying it out.

Shortly thereafter, I would put out the actual 1.0 release.

Thoughts?

	Luigi


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

Quote me as saying I was misquoted. 
-- Groucho Marx