quantlib-dev — Discussion of QuantLib development

[Quantlib-dev] ERROR:The file contains a character that cannot be represented in the current code page (936)

[Yulei G. <qua...@gm...>]

Hi All,
I am trying to Build Solution of QuantLib-0.3.13 in VC++ 2005 express ed.
while got the following errors repetitively:

y:\quant\quantlib-0.3.13\quantlib-0.3.13\ql\currency.hpp : warning C4819:
The file contains a character that cannot be represented in the current code
page (936). Save the file in Unicode format to prevent data loss

c:\program files\microsoft visual studio 8\vc\include\xutility(2282) :
warning C4996: 'std::_Copy_opt' was declared deprecated

c:\program files\microsoft visual studio 8\vc\include\algorithm(685) :
warning C4996: 'std::_Transform' was declared deprecated

Can someone tell me how to fix them?

THanks!

Yulei

Re: [Quantlib-dev] Want to be a developer and just submitted a patch

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

On Fri, 2006-10-13 at 09:43 -0400, Yiping Chen wrote:
> Oops, I didn't notice that this salvation also applies to covariance matrix.
> 
> Submitted the patches which works for covariance matrix now.
> also in this patch the Lower Diagonal salvation is added.

Ok, I'll take a look. Thanks. (Note: for organizational reasons, it
would be better to attach all files to a single patch.)

> Btw, could you please add me to the developer so i can access the CVS 
> easier?

Nothing personal, but we tend not to kiss on the first date :)
We're trying to keep the number of developers at a reasonable level, so
we preferably go by patches unless a developer tackles a large enough
project that patches become unfeasible.

Later,
	Luigi


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

There is no likelihood man can ever tap the power of the atom. 
-- Robert Millikan, Nobel Prize in Physics, 1923 

[Quantlib-dev] [ quantlib-Bugs-1472546 ] Mac OS X 10.4. Configure fails

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

Bugs item #1472546, was opened at 2006-04-18 12:25
Message generated for change (Comment added) made by nobody
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1472546&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
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: Mac OS X 10.4. Configure fails

Initial Comment:
I have installed boost libs in /usr/local/include and usr/local/bin dirs,
however running ./configure gives configure: error: Boost development 
files not found and quits. 

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

Comment By: Nobody/Anonymous (nobody)
Date: 2006-10-13 07:18

Message:
Logged In: NO 

You should try ln -s the boost directory that inside /usr/local/include/
boost-1_33_1/boost to /usr/local/include/boost _ 
PowerMike

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

Comment By: jsargent (j_sargent_99)
Date: 2006-04-19 19:22

Message:
Logged In: YES 
user_id=1264893

I experienced something similar.  When I built and installed boost (in /Users/
myName/dev/include), it creates an enclosing folder for the version of boost 
that was built, i.e. the header files end up in /Users/myName/dev/include/
boost-1_34/boost/.

For QuantLib to build I had to use the configure options to explicitly locate 
the boost install like so:
./configure --with-boost-include=/Users/myName/dev/include/boost-1_34 
--with-boost-lib=/Users/myName/dev/lib

There may be a more elegant way to resolve it, but everything built and ran 
fine after that.

Jeff



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

Comment By: Luigi Ballabio (lballabio)
Date: 2006-04-19 02:47

Message:
Logged In: YES 
user_id=75450

Please look at config.log and post the relevant error messages.

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

You can respond by visiting: 
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[Quantlib-dev] [ quantlib-Patches-1576564 ] test program for revised patch

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

Patches item #1576564, was opened at 2006-10-13 09:38
Message generated for change (Tracker Item Submitted) made by Item Submitter
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1576564&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,
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: Yiping Chen (champing)
Assigned to: Nobody/Anonymous (nobody)
Summary: test program for revised patch

Initial Comment:
Now the Hypersphere salvation also applies to
covariance matrix.
Added the Lowerdiagonal salvation.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1576564&group_id=12740

[Quantlib-dev] [ quantlib-Patches-1576562 ] revised psedosqrt.hpp patch

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

Patches item #1576562, was opened at 2006-10-13 09:37
Message generated for change (Tracker Item Submitted) made by Item Submitter
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1576562&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
Submitted By: Yiping Chen (champing)
Assigned to: Nobody/Anonymous (nobody)
Summary: revised psedosqrt.hpp patch

Initial Comment:
Now the Hypersphere salvation also applies to
covariance matrix.
Added the Lowerdiagonal salvation.
patch is diff from ver 1.12

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1576562&group_id=12740

[Quantlib-dev] [ quantlib-Patches-1576561 ] revised pseudosqrt.cpp patch

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

Patches item #1576561, was opened at 2006-10-13 09:36
Message generated for change (Tracker Item Submitted) made by Item Submitter
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1576561&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
Submitted By: Yiping Chen (champing)
Assigned to: Nobody/Anonymous (nobody)
Summary: revised pseudosqrt.cpp patch

Initial Comment:
Now the Hypersphere salvation also applies to
covariance matrix.
Added the Lowerdiagonal salvation.
patch is diff from ver 1.21

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1576561&group_id=12740

Re: [Quantlib-dev] Want to be a developer and just submitted a patch

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

On Thu, 2006-10-12 at 21:28 +0200, Ferdinando Ametrano wrote:
> >     Just submitted a patch adding HyperSphere salvage algorithm to
> > PseudoSqrt.
> 
> Luigi added your patch to the CVS, but I noticed it only works for
> correlation matrices, it fails with covariance matrices.

Ouch---I didn't notice this one. Yiping, since we're close to release,
would you mind if I temporarily remove your patch from the release
branch so that it will be included in next release when it's complete?

Later,
	Luigi


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

This gubblick contains many nonsklarkish English flutzpahs, but the 
overall pluggandisp can be glorked from context. 
-- David Moser 

Re: [Quantlib-dev] Want to be a developer and just submitted a patch

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

Hi Yiping,

>     Just submitted a patch adding HyperSphere salvage algorithm to
> PseudoSqrt.

Luigi added your patch to the CVS, but I noticed it only works for
correlation matrices, it fails with covariance matrices. The Spectral
alternative approach works in both cases.
It's probably just a normalization issue, would you consider looking into it?

Besides you might want to consider the lower diagonal parametrization
of the pseudo square root. This would make the optimization algorithm
much more efficient by reducing the parameter by a factor of 2.
Details about this approach can be found in "Monte Carlo methods in
finance" by P. Jackel, and/or the following papers:
http://www.quarchome.org/correlationmatrix.pdf
http://www.fabiomercurio.it/riskcorr.pdf#search=%22rapisarda%20correlation%20geometric%22

ciao -- Nando

[Quantlib-dev] Fwd: Traveling Salesman Problem (TSP)

[Tom B. <tom...@gm...>]

Marco suggested I send this to the dev list (and to Luigi).  It's a
link to an interesting article on a TSP solution.

---------- Forwarded message ----------
From: Tom Browder <tom...@gm...>
Date: Oct 12, 2006 9:56 AM
Subject: Re: [Quantlib-dev] Traveling Salesman Problem (TSP)
To: Bianchetti Marco <mar...@ca...>


See this link to the article on Dr. Dobbs Journal (Ant Colony Algorithms):

<http://www.ddj.com/dept/ai/191800178;jsessionid=OEYHP12I0NHIMQSNDLOSKH0CJUNN2JVN>

-Tom

Tom Browder
Niceville, Florida
USA

Re: [Quantlib-dev] Traveling Salesman Problem (TSP)

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

You mean a minimization/optimization algorithm tailored to the TSP (e.g. =
the simulated annealing of Kirkpatrick et al.) or whatever ?
Marco

> -----Original Message-----
> From: qua...@li...=20
> [mailto:qua...@li...] On Behalf=20
> Of Tom Browder
> Sent: gioved=EC 12 ottobre 2006 13.09
> To: qua...@li...
> Subject: [Quantlib-dev] Traveling Salesman Problem (TSP)
>=20
>=20
> Any interest in adding a TSP solver?
>=20
> -Tom
>=20
> Tom Browder
> Niceville, Florida
> USA
>=20
> --------------------------------------------------------------
> -----------
> Using Tomcat but need to do more? Need to support web=20
> services, security?
> Get stuff done quickly with pre-integrated technology to make=20
> your job easier
> Download IBM WebSphere Application Server v.1.0.1 based on=20
> Apache Geronimo
> http://sel.as-us.falkag.net/sel?cmd=3Dlnk&kid=3D120709&bid=3D263057&
dat=3D121642
_______________________________________________
QuantLib-dev mailing list
Qua...@li...
https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] Traveling Salesman Problem (TSP)

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

On Thu, 2006-10-12 at 06:08 -0500, Tom Browder wrote:
> Any interest in adding a TSP solver?

What for?

Luigi


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

The Feynman Problem Solving Algorithm: 
1) Write down the problem. 
2) Think very hard. 
3) Write down the solution. 

[Quantlib-dev] Traveling Salesman Problem (TSP)

[Tom B. <tom...@gm...>]

Any interest in adding a TSP solver?

-Tom

Tom Browder
Niceville, Florida
USA

Re: [Quantlib-dev] Want to be a developer and just submitted a patch

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

On Sun, 2006-10-01 at 11:59 -0400, Yiping Chen wrote:
>     This project is interesting and I want to participate as a developer.
>     I have PhD degree in computational physics and several years 
> experience in Monte Carlo programming.
>     Just submitted a patch adding HyperSphere salvage algorithm to 
> PseudoSqrt.

Yiping,
	thanks for the patch. I'll have a look at it as soon as I have a bit of
free time so that we can include it in next release.

Later,
	Luigi


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

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

Re: [Quantlib-dev] becoming a quantlib developer

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

On Sat, 2006-09-30 at 19:32 -0700, Alexandru Chitea wrote:
> my name is alexandru chitea and i'm a graduate student of computer
> science, going to school in Germany at Uni. Saarland. i'd be
> interested in joining your project and start developing for
> quantlib....i write both c++ and java.

Alexandru,
	glad to hear from you. I'm sorry I don't have much time to come up with
ideas right now, but I'll be back as soon as I can.

Later,
	Luigi


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

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

[Quantlib-dev] becoming a quantlib developer

[Alexandru C. <ale...@gm...>]

 hi all,

my name is alexandru chitea and i'm a graduate student of computer science,
going to school in Germany at Uni. Saarland. i'd be interested in joining
your project and start developing for quantlib....i write both c++ and java.

my primary interests are in statistical learning, data mining and applied
statistics...
for starters i was thinking that i might begin by contributing with a few
unit tests that will get me closer to your code base...if any one of you has
any ideas for a starter job, i'd be grateful to hear it! :)

i have a sourceforge account, and hence i'm reachable at:a_chitea@users.
sourceforge.net replying to this email will also do it!

looking forward to hearing from you!

thanks,

-alex

[Quantlib-dev] suggested project

[Mark j. <ma...@ma...>]

If anyone wants a suggestion for something to add to quantlib, I would suggest
that an implementation of

A new approximate swaption formula in the LIBOR
market model: an asymptotic expansion approach  by
Atsushi Kawai

would be very handy and stand alone.

regards

Mark



On 02/10/06, qua...@li...
<qua...@li...> wrote:
> Send QuantLib-dev mailing list submissions to
>         qua...@li...
>
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> When replying, please edit your Subject line so it is more specific
> than "Re: Contents of QuantLib-dev digest..."
>
>
> Today's Topics:
>
>    1. [ quantlib-Patches-1568794 ] Patch for PseudoSqrt
>       (SourceForge.net)
>    2. [ quantlib-Patches-1568795 ] Patch for PseudoSqrt 2
>       (SourceForge.net)
>    3. [ quantlib-Patches-1568796 ] test program of      PseudoSqrt
>       (SourceForge.net)
>    4. Want to be a developer and just submitted a patch (Yiping Chen)
>
>
> ----------------------------------------------------------------------
>
> Message: 1
> Date: Sun, 01 Oct 2006 08:49:10 -0700
> From: "SourceForge.net" <no...@so...>
> Subject: [Quantlib-dev] [ quantlib-Patches-1568794 ] Patch for
>         PseudoSqrt
> To: no...@so...
> Message-ID: <E1G...@sc...>
> Content-Type: text/plain; charset="UTF-8"
>
> Patches item #1568794, was opened at 2006-10-01 11:49
> Message generated for change (Tracker Item Submitted) made by Item Submitter
> You can respond by visiting:
> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1568794&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
> Submitted By: Yiping Chen (champing)
> Assigned to: Nobody/Anonymous (nobody)
> Summary: Patch for PseudoSqrt
>
> Initial Comment:
> Added HyperSphere salvage algorithm. A test program is
> attached.
>
> ----------------------------------------------------------------------
>
> You can respond by visiting:
> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1568794&group_id=12740
>
>
>
> ------------------------------
>
> Message: 2
> Date: Sun, 01 Oct 2006 08:50:14 -0700
> From: "SourceForge.net" <no...@so...>
> Subject: [Quantlib-dev] [ quantlib-Patches-1568795 ] Patch for
>         PseudoSqrt 2
> To: no...@so...
> Message-ID: <E1G...@sc...>
> Content-Type: text/plain; charset="UTF-8"
>
> Patches item #1568795, was opened at 2006-10-01 11:50
> Message generated for change (Tracker Item Submitted) made by Item Submitter
> You can respond by visiting:
> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1568795&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
> Submitted By: Yiping Chen (champing)
> Assigned to: Nobody/Anonymous (nobody)
> Summary: Patch for PseudoSqrt 2
>
> Initial Comment:
> Added HyperSphere salvage algorithm. A test program is
> attached.
>
> ----------------------------------------------------------------------
>
> You can respond by visiting:
> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1568795&group_id=12740
>
>
>
> ------------------------------
>
> Message: 3
> Date: Sun, 01 Oct 2006 08:51:23 -0700
> From: "SourceForge.net" <no...@so...>
> Subject: [Quantlib-dev] [ quantlib-Patches-1568796 ] test program of
>         PseudoSqrt
> To: no...@so...
> Message-ID: <E1G...@sc...>
> Content-Type: text/plain; charset="UTF-8"
>
> Patches item #1568796, was opened at 2006-10-01 11:51
> Message generated for change (Tracker Item Submitted) made by Item Submitter
> You can respond by visiting:
> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1568796&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
> Submitted By: Yiping Chen (champing)
> Assigned to: Nobody/Anonymous (nobody)
> Summary: test program of PseudoSqrt
>
> Initial Comment:
> Added HyperSphere salvage algorithm. A test program is
> attached.
>
> ----------------------------------------------------------------------
>
> You can respond by visiting:
> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1568796&group_id=12740
>
>
>
> ------------------------------
>
> Message: 4
> Date: Sun, 01 Oct 2006 11:59:21 -0400
> From: Yiping Chen <yp...@bu...>
> Subject: [Quantlib-dev] Want to be a developer and just submitted a
>         patch
> To: qua...@li...
> Message-ID: <451...@bu...>
> Content-Type: text/plain; charset=ISO-8859-1; format=flowed
>
> Hi guys,
>     This project is interesting and I want to participate as a developer.
>     I have PhD degree in computational physics and several years
> experience in Monte Carlo programming.
>     Just submitted a patch adding HyperSphere salvage algorithm to
> PseudoSqrt.
>
>     Best,
> Yiping
>
>
>
> ------------------------------
>
> -------------------------------------------------------------------------
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> _______________________________________________
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> End of QuantLib-dev Digest, Vol 5, Issue 1
> ******************************************
>


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

Re: [Quantlib-dev] Want to contribute a pricer

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

Hi Denny,

> Hi, quantlib implements Bjerksund & Stensland (1993)
> model,  I can implement their recent (2002)
> improvement to the formula (I have already done it for
> my own stuff) Can one of the developers contact me
> about this?

here I am. Go ahead and code the new formula, then just provide us
with a patch (or even just a copy of the new/modified files).
Have you a link to the paper with the improved formula? Does the paper
contain data which we could reproduce in our test-suite?

I look forward to your contribution

ciao -- Nando

Re: [Quantlib-dev] Fw: [Quantlib-users] QuantLib Benchmark Project?

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

On Tue, 2006-09-05 at 11:59 -0400, Alan King wrote:
> Yes I have run the Bermudan Swap pricer on various nodes.  For a
> benchmark we should run multiple instruments through the pricing
> portion of BSwap.  Also, it would be good to run instruments with a
> representative number of cashflows. 

Alan,
	Klaus Spanderen has recently contributed a benchmark for the library.
It will be included in next release, and you'll be able to run it with
`make benchmark`. However, it's a single executable---I don't know how
one could run it on different nodes...

Luigi



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

Just remember what ol' Jack Burton does when the earth quakes, the 
poison arrows fall from the sky, and the pillars of Heaven shake. Yeah, 
Jack Burton just looks that big old storm right in the eye and says, 
"Give me your best shot. I can take it." 
-- Jack Burton, "Big trouble in Little China" 

Re: [Quantlib-dev] complex array

[Mark j. <ma...@ma...>]

Numerical Recipes in C++ is good for algorithms but terrible for coding style.

What's wrong with std::vector<std::complex<double> > ?

>
> Looking over Numerical Recipes in C++, they suggest implementing a list of N
> complex numbers as an array of 2*N floats because they argue that you
> maintain control of how the complex number calculations are implemented.
>
> I'm thinking about creating a ComplexArray class that initially would use this
> implementation but like all classes should have interfaces that are generic
> enough so that the underlying implementation can be changed.
>
> Thoughts?
>

Re: [Quantlib-dev] Want to contribute a pricer

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

On Mon, 2006-10-02 at 12:52 -0700, Denny D wrote:
> Hi, quantlib implements Bjerksund & Stensland (1993)
> model,  I can implement their recent (2002)
> improvement to the formula (I have already done it for
> my own stuff) Can one of the developers contact me
> about this?

Here I am. You can contact me at this address.

Later,
	Luigi


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

I hate quotations. 
-- Ralph Waldo Emerson 

Re: [Quantlib-dev] Implementing ComplexArray class.

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

On Sun, 2006-10-01 at 18:44 -0500, Joseph Wang wrote:
> Looking over Numerical Recipes in C++, they suggest implementing a list of N 
> complex numbers as an array of 2*N floats because they argue that you 
> maintain control of how the complex number calculations are implemented.

That pretty much defeats the purpose of having a std::complex class in
the standard library, doesn't it?  It's like arguing that one should
implement his own containers to maintain control.

Mark's suggestion of using valarray and complex didn't sound bad to me.

Later,
	Luigi


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

Dealing with failure is easy: work hard to improve. Success is also 
easy to handle: you've solved the wrong problem. Work hard to improve. 
-- Alan Perlis 

Re: [Quantlib-dev] Implementing ComplexArray class.

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

=E5=9C=A8 Monday 02 October 2006 03:31=EF=BC=8CLuigi Ballabio =E5=86=99=E9=
=81=93=EF=BC=9A
> On Sun, 2006-10-01 at 18:44 -0500, Joseph Wang wrote:
> > Looking over Numerical Recipes in C++, they suggest implementing a list
> > of N complex numbers as an array of 2*N floats because they argue that
> > you maintain control of how the complex number calculations are
> > implemented.
>
> That pretty much defeats the purpose of having a std::complex class in
> the standard library, doesn't it?  It's like arguing that one should
> implement his own containers to maintain control.

That was my first reaction.

Any objections to creating an implementation agnostic ComplexArray class th=
at=20
using valarray and complex?  The reason for creating a separate class is th=
at=20
I'd like to have a nice interface that interoperates with the Array class.

[Quantlib-dev] Want to contribute a pricer

[Denny D <dd...@ya...>]

Hi, quantlib implements Bjerksund & Stensland (1993)
model,  I can implement their recent (2002)
improvement to the formula (I have already done it for
my own stuff) Can one of the developers contact me
about this?

Thank you all for excellent work!
Denny

__________________________________________________
Do You Yahoo!?
Tired of spam?  Yahoo! Mail has the best spam protection around 
http://mail.yahoo.com 

[Quantlib-dev] Implementing ComplexArray class.

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

Looking over Numerical Recipes in C++, they suggest implementing a list of N 
complex numbers as an array of 2*N floats because they argue that you 
maintain control of how the complex number calculations are implemented.

I'm thinking about creating a ComplexArray class that initially would use this 
implementation but like all classes should have interfaces that are generic 
enough so that the underlying implementation can be changed.

Thoughts?

[Quantlib-dev] Anyone else going to TCFA or FEA 2006?

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

Hi all,

I'll be travelling to Cambridge MA and NYC from 10/6 to 10/15.  I'll
be attending the Chinese Financial Association conference at MIT
followed by the Financial Engineering Applications conference there,
and then I'll be travelling to NYC for where I'll be attending the
nightly seminars at NYU and Columbia.

I was wondering if anyone on this list will also be present there.  

The things I'm working on right now are:

1) I'm trying to construct a model of Shanghai warrants using Levy
   processes, and this involves adding a fairly large chunk of code
   into QuantLib to handle PIDE's and FFT's.  One specific problem
   that I have right now is that I'm trying to figure out how to use
   period minimum and maximum information to calibrate an option
   model.

2) I'm also interested in finding out what is being done with models
   of CNY non-deliverable swaps and non-deliverable options.  In 
   particular, now that the renminbi is being gradually unpegged, I'm
   curious what work is being done in modelling RMB exchange rates.  In
   particular, I have a sense that the People's Bank of China is
   arranging the rates to make arbitrage intentionally difficult.  The
   other thing that I'm curious about is how the coorelation between
   interest rates and exchange rates is being handled.

3) I have some thoughts on the long term general direction of Chinese
   industrial reform.  In particular, I think one model for Chinese
   state ownership of industrial corporations is to move toward a
   "fund model" in which state agencies own and manage a portfolio of
   enterprises in much the same way that state in the United States
   pension funds manage their holdings.  The way to develop this would
   be swaps between government entities to diversify ownership, and
   also mergers and accquisitions in which small enterprises would be
   ammalgamated into larger ones.  Needless to say, this would call
   for expertise in fund management, mergers and accquisitions, which
   would present some opportunities for investment banks with that
   sort of experience.

4) On something completely different, if anyone has any ideas for how
   to develop wikis in Mainland China and deal with the wikipedia
   block, let me know.

5) Finally, I'd be interested in thoughts that anyone has on the
   market for quantitative analysts with interest/expertise in Chinese
   markets.

Other random bits of information that would be useful to me

a) a place in the United States to buy Chinese language books on PRC
law and securities or books in general 
b) good introductions to German industrial and securities law

Anyway if anyone is interested in these lets, just drop me an e-mail,
or if anyone is really interested, my cell phone is listed on my home
page......

Thanks

Joseph
http://www.gnacademy.org/joe
http://twofish.wordpress.com/