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From: Peter C. <pca...@gm...> - 2022-10-08 07:49:47
|
Hi Ioannis we try to keep the diff between the original QL and our fork as small as possible. These particular differences refer to https://github.com/lballabio/QuantLib/pull/1222 which was needed to resolve major performance problems on our side. The discussion went a bit stale admittedly. I'll try to reignite it and flesh out the suggestions in the thread a bit more. Thank you Peter On Fri, 7 Oct 2022 at 19:29, Ioannis Rigopoulos <qua...@de...> wrote: > Hi Roland, > > I have managed to compile and build ORE using the forked QuantLib version > as suggested, but now I am stumbling on deep-rooted run time errors. > > It seems to me that the forked version of QuantLib deviates from the > original in quite deep and subtle ways to the point that the rest of my > code that used to work well with both ORE and QuantLib, now behaves in > unexpected ways. > > One example is the very important QuantLib class FloatingRateCoupon , of > which the original declaration > > class FloatingRateCoupon : public Coupon, public Observer > > has been changed to > > class FloatingRateCoupon : public Coupon, public LazyObject > > Another example that affected my run time behavior of OIS curve building > concerns the implementation of OISRateHelper::impliedQuote(). > > The original QuantLib implementation contains the statement > > swap_->recalculate(); > > The forked version has replaced the above with > > swap_->deepUpdate(); > > It thus seems that the ORE version 7 marks a significant break from its > previous versions as it requires a profoundly different underlying QuantLib > code. > > I am sure that the ORE developers had good reasons for doing so, but the > sad fact is that developers like me have to decide between using the > original lballabio QuantLib branch or the one forked and maintained by ORE. > > Until ORE version 6, such a dilemma did not exist! > > Best regards, > > Ioannis > On 10/4/2022 12:59 PM, Ioannis Rigopoulos wrote: > > Thanks for the quick turnaround. I have already extracted the code using > git, but it is nice to have this download option as well. > On 10/4/2022 12:46 PM, Roland Lichters wrote: > > Hi Ioannis, > > > > That’s a good point, we have added a release zip/tgz to the QuantLib repo > in ORE: > > > https://github.com/OpenSourceRisk/QuantLib/releases/tag/ORE-QuantLib-v1.27.1 > > I hope that works! > > > > Best regards, > > Roland > > > > *From: *Ioannis Rigopoulos <qua...@de...> > <qua...@de...> > *Date: *Tuesday, 4 October 2022 at 09:40 > *To: *Roland Lichters <rol...@ac...c> > <rol...@ac...c>, QuantLib users > <qua...@li...> > <qua...@li...>, QuantLib Mailing Lists > <qua...@li...> <qua...@li...> > *Subject: *Re: [Quantlib-dev] ORE 7 > > CAUTION: External email warning. This email originated from outside > acadia.inc. Beware of phishing attempts. Comply with all acadia.inc policy > to confirm sender identity before responding, forwarding, and especially > clicking links or opening attachments. > > > > Thanks for the quick reply Roland. > > I will certainly try your suggestion, although I am using GitHub Desktop > and I am not very familiar with the git dos commands. > > But since several people rely on the compressed forms (zip, tar) of the > ORE and QuantLib releases, I am wondering if it would be possible to also > provide the required QuantLib source code in compressed form, which is > anyway done for all the official ORE and QuantLib releases. > > For example, you will see at the page > https://github.com/OpenSourceRisk/Engine/releases/tag/v1.8.7.0 > <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk%2FEngine%2Freleases%2Ftag%2Fv1.8.7.0&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=3gnaMN97LTtKtZrRDG4GkT8op1tAABa%2BHjSWjvUZnz8%3D&reserved=0> > the compressed ORE code. It would be certainly helpful if the corresponding > QuantLib code could be similarly found somewhere, either as stand alone or > embedded in the ORE compressed file. > > Ioannis > > On 10/4/2022 9:03 AM, Roland Lichters wrote: > > Hi Ioannis, > > > > Ah, maybe that wasn’t clear in the mail, we use a fork of QuantLib 1.27.1 > with a few changes. > > So when you build ORE from sources on gihub, then please do a > > git submodule update --init > > That checks out our QuantLib 1.27.1 fork, and it should remove your build > errors. > > > > Best regards, > > Roland > > > > *From: *Ioannis Rigopoulos <qua...@de...> > <qua...@de...> > *Date: *Monday, 3 October 2022 at 17:47 > *To: *Roland Lichters <rol...@ac...c> > <rol...@ac...c>, QuantLib users > <qua...@li...> > <qua...@li...>, QuantLib Mailing Lists > <qua...@li...> <qua...@li...> > *Subject: *Re: [Quantlib-dev] ORE 7 > > CAUTION: External email warning. This email originated from outside > acadia.inc. Beware of phishing attempts. Comply with all acadia.inc policy > to confirm sender identity before responding, forwarding, and especially > clicking links or opening attachments. > > > > Thank you Roland for this new release, but I have experienced several > compilation errors when trying to build the QuantExt library. > > I am using the official release of the 1.27.1 version of the QuantLib > library as suggested in your email. > > One simple example of the several failures concerns the second CPICoupon > constructor implemented online in the header cpicoupon.hpp > > Its top part looks as below: > > > > *CPICoupon(Real baseCPI, const Date& baseDate, // user > provided, could be arbitrary const Date& paymentDate, Real > nominal, const Date& startDate, const Date& endDate,* > > * (... more input arguments here ...)* > > > * : QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal, > startDate, endDate, index, observationLag,* > > The compile-time error is caused by the implementation line: > > *QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal, startDate, > endDate, index,* > > The above line passes the argument *baseDate *to the constructor of the *QuantLib::CPICoupon > *class. > > But this fails because the CPICoupon class in QuantLib does not contain > any constructor that expects a second argument of type Date. > > Best regards, > > Ioannis Rigopoulos > > > > On 9/22/2022 5:29 PM, Roland Lichters via QuantLib-dev wrote: > > Dear all, > > > > we have just published the 7th release of ORE and ORE-SWIG, updating the > codebase at https://github.com/OpenSourceRisk > <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=E5qyW6bz6HQr%2F7oX8jjB6CapFKyvOT%2BGsG5yjmE8jgo%3D&reserved=0>. > ORE 7 depends on QuantLib 1.27.1 and QuantLib-SWIG 1.27. > > > > The release contains many fixes and improvements over the past year that > were triggered by our main sponsor’s (Acadia) use of ORE in their Initial > Margin Risk Generator services. The full release notes can be found in the > user guide under the DOCUMENTATION menu on https://opensourcerisk.org > <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fopensourcerisk.org%2F&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=0NJEv%2BU4J7%2BpBN8A0GiK47iTduCXRaGVnc5fQZcoHlU%3D&reserved=0> > . > > > > With this release we have started publishing a wide range of additional > financial instruments. You will see various Equity/FX Exotics in this > release. Commodity, Credit, Hybrids, Exotics with scripted payoffs will > follow in the next releases in quarterly steps, see also the Acadia press > release and roadmap here > <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.acadia.inc%2Fnews%2Facadia-announces-seventh-release-of-open-source-risk-engine-with-quarterly-releases-to-follow&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=F0Uj0LGndGDHUqM573QS2VPbSGKfv%2FSCAz1nMYxJztM%3D&reserved=0>. > > > > > If you want to hear from Acadia about latest ORE developments, then feel > free to sign up here > <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fshare.hsforms.com%2F1eqcUZ-9_QdSH__M7_YPSig43ul4&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=s5ye1RwJNE3OVVAPYeXyAaDyPI8iW7De8TE1lnVxuMI%3D&reserved=0> > to receive updates by email. > > Please explore ORE – download the release executable, or clone the > repositories and build. > > > > As usual, all feedback is welcome! > > > > Best regards, > > Roland > > > *The information contained in this e-mail, and any attachment, is > confidential and is intended solely for the use of the intended recipient. > Access, copying or re-use of the e-mail or any attachment, or any > information contained therein, by any other person is not authorized. 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If > you are not the intended recipient please return the e-mail to the sender > and delete it from your computer. The acadia.inc privacy policy is > available on our website. * > > > The information contained in this e-mail, and any attachment, is > confidential and is intended solely for the use of the intended recipient. > Access, copying or re-use of the e-mail or any attachment, or any > information contained therein, by any other person is not authorized. If > you are not the intended recipient please return the e-mail to the sender > and delete it from your computer. The acadia.inc privacy policy is > available on our website. > > > > _______________________________________________ > QuantLib-dev mailing lis...@li...https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > |
From: Ioannis R. <qua...@de...> - 2022-10-07 17:28:51
|
Hi Roland, I have managed to compile and build ORE using the forked QuantLib version as suggested, but now I am stumbling on deep-rooted run time errors. It seems to me that the forked version of QuantLib deviates from the original in quite deep and subtle ways to the point that the rest of my code that used to work well with both ORE and QuantLib, now behaves in unexpected ways. One example is the very important QuantLib class FloatingRateCoupon , of which the original declaration class FloatingRateCoupon : public Coupon, public Observer has been changed to class FloatingRateCoupon : public Coupon, public LazyObject Another example that affected my run time behavior of OIS curve building concerns the implementation of OISRateHelper::impliedQuote(). The original QuantLib implementation contains the statement swap_->recalculate(); The forked version has replaced the above with swap_->deepUpdate(); It thus seems that the ORE version 7 marks a significant break from its previous versions as it requires a profoundly different underlying QuantLib code. I am sure that the ORE developers had good reasons for doing so, but the sad fact is that developers like me have to decide between using the original lballabio QuantLib branch or the one forked and maintained by ORE. Until ORE version 6, such a dilemma did not exist! Best regards, Ioannis On 10/4/2022 12:59 PM, Ioannis Rigopoulos wrote: > > Thanks for the quick turnaround. I have already extracted the code > using git, but it is nice to have this download option as well. > > On 10/4/2022 12:46 PM, Roland Lichters wrote: >> >> Hi Ioannis, >> >> That’s a good point, we have added a release zip/tgz to the QuantLib >> repo in ORE: >> >> https://github.com/OpenSourceRisk/QuantLib/releases/tag/ORE-QuantLib-v1.27.1 >> >> I hope that works! >> >> Best regards, >> >> Roland >> >> *From: *Ioannis Rigopoulos <qua...@de...> >> *Date: *Tuesday, 4 October 2022 at 09:40 >> *To: *Roland Lichters <rol...@ac...c>, QuantLib users >> <qua...@li...>, QuantLib Mailing Lists >> <qua...@li...> >> *Subject: *Re: [Quantlib-dev] ORE 7 >> >> CAUTION:External email warning. This email originated from outside >> acadia.inc. Beware of phishing attempts. Comply with all acadia.inc >> policy to confirm sender identity before responding, forwarding, and >> especially clicking links or opening attachments. >> >> Thanks for the quick reply Roland. >> >> I will certainly try your suggestion, although I am using GitHub >> Desktop and I am not very familiar with the git dos commands. >> >> But since several people rely on the compressed forms (zip, tar) of >> the ORE and QuantLib releases, I am wondering if it would be possible >> to also provide the required QuantLib source code in compressed form, >> which is anyway done for all the official ORE and QuantLib releases. >> >> For example, you will see at the page >> https://github.com/OpenSourceRisk/Engine/releases/tag/v1.8.7.0 >> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk%2FEngine%2Freleases%2Ftag%2Fv1.8.7.0&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=3gnaMN97LTtKtZrRDG4GkT8op1tAABa%2BHjSWjvUZnz8%3D&reserved=0> >> the compressed ORE code. It would be certainly helpful if the >> corresponding QuantLib code could be similarly found somewhere, >> either as stand alone or embedded in the ORE compressed file. >> >> Ioannis >> >> On 10/4/2022 9:03 AM, Roland Lichters wrote: >> >> Hi Ioannis, >> >> Ah, maybe that wasn’t clear in the mail, we use a fork of >> QuantLib 1.27.1 with a few changes. >> >> So when you build ORE from sources on gihub, then please do a >> >> git submodule update --init >> >> That checks out our QuantLib 1.27.1 fork, and it should remove >> your build errors. >> >> Best regards, >> >> Roland >> >> *From: *Ioannis Rigopoulos <qua...@de...> >> <mailto:qua...@de...> >> *Date: *Monday, 3 October 2022 at 17:47 >> *To: *Roland Lichters <rol...@ac...c> >> <mailto:rol...@ac...c>, QuantLib users >> <qua...@li...> >> <mailto:qua...@li...>, QuantLib Mailing >> Lists <qua...@li...> >> <mailto:qua...@li...> >> *Subject: *Re: [Quantlib-dev] ORE 7 >> >> CAUTION:External email warning. This email originated from >> outside acadia.inc. Beware of phishing attempts. Comply with all >> acadia.inc policy to confirm sender identity before responding, >> forwarding, and especially clicking links or opening attachments. >> >> Thank you Roland for this new release, but I have experienced >> several compilation errors when trying to build the QuantExt library. >> >> I am using the official release of the 1.27.1 version of the >> QuantLib library as suggested in your email. >> >> One simple example of the several failures concerns the second >> CPICoupon constructor implemented online in the header cpicoupon.hpp >> >> Its top part looks as below: >> >> */CPICoupon(Real baseCPI, >> const Date& baseDate, // user provided, could be >> arbitrary >> const Date& paymentDate, Real nominal, const Date& >> startDate, const Date& endDate,/* >> >> */ (... more input arguments here ...)/* >> >> */ : QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, >> nominal, startDate, endDate, index, >> observationLag,/* >> >> The compile-time error is caused by the implementation line: >> >> */QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal, >> startDate, endDate, index,/* >> >> The above line passes the argument */baseDate /*to the >> constructor of the */QuantLib::CPICoupon /*class. >> >> But this fails because the CPICoupon class in QuantLib does not >> contain any constructor that expects a second argument of type Date. >> >> Best regards, >> >> Ioannis Rigopoulos >> >> On 9/22/2022 5:29 PM, Roland Lichters via QuantLib-dev wrote: >> >> Dear all, >> >> we have just published the 7th release of ORE and ORE-SWIG, >> updating the codebase at https://github.com/OpenSourceRisk >> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=E5qyW6bz6HQr%2F7oX8jjB6CapFKyvOT%2BGsG5yjmE8jgo%3D&reserved=0>. >> ORE 7 depends on QuantLib 1.27.1 and QuantLib-SWIG 1.27. >> >> The release contains many fixes and improvements over the >> past year that were triggered by our main sponsor’s (Acadia) >> use of ORE in their Initial Margin Risk Generator services. >> The full release notes can be found in the user guide under >> the DOCUMENTATION menu on https://opensourcerisk.org >> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fopensourcerisk.org%2F&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=0NJEv%2BU4J7%2BpBN8A0GiK47iTduCXRaGVnc5fQZcoHlU%3D&reserved=0>. >> >> With this release we have started publishing a wide range of >> additional financial instruments. You will see various >> Equity/FX Exotics in this release. Commodity, Credit, >> Hybrids, Exotics with scripted payoffs will follow in the >> next releases in quarterly steps, see also the Acadia press >> release and roadmap here >> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.acadia.inc%2Fnews%2Facadia-announces-seventh-release-of-open-source-risk-engine-with-quarterly-releases-to-follow&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=F0Uj0LGndGDHUqM573QS2VPbSGKfv%2FSCAz1nMYxJztM%3D&reserved=0>. >> >> >> If you want to hear from Acadia about latest ORE >> developments, then feel free to sign up here >> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fshare.hsforms.com%2F1eqcUZ-9_QdSH__M7_YPSig43ul4&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=s5ye1RwJNE3OVVAPYeXyAaDyPI8iW7De8TE1lnVxuMI%3D&reserved=0> >> to receive updates by email. >> >> Please explore ORE – download the release executable, or >> clone the repositories and build. >> >> As usual, all feedback is welcome! >> >> Best regards, >> >> Roland >> >> >> /The information contained in this e-mail, and any >> attachment, is confidential and is intended solely for the >> use of the intended recipient. Access, copying or re-use of >> the e-mail or any attachment, or any information contained >> therein, by any other person is not authorized. If you are >> not the intended recipient please return the e-mail to the >> sender and delete it from your computer. The acadia.inc >> privacy policy is available on our website. / >> >> >> >> _______________________________________________ >> >> QuantLib-dev mailing list >> >> Qua...@li... >> >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Flists.sourceforge.net%2Flists%2Flistinfo%2Fquantlib-dev&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=TqiZ79kCKWOAYyYp5j9dsrhEATGPZJ6iCvM7RnPu0mE%3D&reserved=0> >> >> width= >> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.avast.com%2Fsig-email%3Futm_medium%3Demail%26utm_source%3Dlink%26utm_campaign%3Dsig-email%26utm_content%3Demailclient&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=wl6pCFww4PCCz7iUnlp2xPrNg6Wqa4MYzWZ5WCR1RaQ%3D&reserved=0> >> >> >> >> Virenfrei.www.avast.com >> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.avast.com%2Fsig-email%3Futm_medium%3Demail%26utm_source%3Dlink%26utm_campaign%3Dsig-email%26utm_content%3Demailclient&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=wl6pCFww4PCCz7iUnlp2xPrNg6Wqa4MYzWZ5WCR1RaQ%3D&reserved=0> >> >> >> /The information contained in this e-mail, and any attachment, is >> confidential and is intended solely for the use of the intended >> recipient. Access, copying or re-use of the e-mail or any >> attachment, or any information contained therein, by any other >> person is not authorized. If you are not the intended recipient >> please return the e-mail to the sender and delete it from your >> computer. The acadia.inc privacy policy is available on our >> website. / >> >> >> The information contained in this e-mail, and any attachment, is >> confidential and is intended solely for the use of the intended >> recipient. Access, copying or re-use of the e-mail or any attachment, >> or any information contained therein, by any other person is not >> authorized. If you are not the intended recipient please return the >> e-mail to the sender and delete it from your computer. The acadia.inc >> privacy policy is available on our website. > > > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev -- Diese E-Mail wurde von Avast-Antivirussoftware auf Viren geprüft. www.avast.com |
From: Ioannis R. <qua...@de...> - 2022-10-04 10:59:22
|
Thanks for the quick turnaround. I have already extracted the code using git, but it is nice to have this download option as well. On 10/4/2022 12:46 PM, Roland Lichters wrote: > > Hi Ioannis, > > That’s a good point, we have added a release zip/tgz to the QuantLib > repo in ORE: > > https://github.com/OpenSourceRisk/QuantLib/releases/tag/ORE-QuantLib-v1.27.1 > > I hope that works! > > Best regards, > > Roland > > *From: *Ioannis Rigopoulos <qua...@de...> > *Date: *Tuesday, 4 October 2022 at 09:40 > *To: *Roland Lichters <rol...@ac...c>, QuantLib users > <qua...@li...>, QuantLib Mailing Lists > <qua...@li...> > *Subject: *Re: [Quantlib-dev] ORE 7 > > CAUTION:External email warning. This email originated from outside > acadia.inc. Beware of phishing attempts. Comply with all acadia.inc > policy to confirm sender identity before responding, forwarding, and > especially clicking links or opening attachments. > > Thanks for the quick reply Roland. > > I will certainly try your suggestion, although I am using GitHub > Desktop and I am not very familiar with the git dos commands. > > But since several people rely on the compressed forms (zip, tar) of > the ORE and QuantLib releases, I am wondering if it would be possible > to also provide the required QuantLib source code in compressed form, > which is anyway done for all the official ORE and QuantLib releases. > > For example, you will see at the page > https://github.com/OpenSourceRisk/Engine/releases/tag/v1.8.7.0 > <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk%2FEngine%2Freleases%2Ftag%2Fv1.8.7.0&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=3gnaMN97LTtKtZrRDG4GkT8op1tAABa%2BHjSWjvUZnz8%3D&reserved=0> > the compressed ORE code. It would be certainly helpful if the > corresponding QuantLib code could be similarly found somewhere, either > as stand alone or embedded in the ORE compressed file. > > Ioannis > > On 10/4/2022 9:03 AM, Roland Lichters wrote: > > Hi Ioannis, > > Ah, maybe that wasn’t clear in the mail, we use a fork of QuantLib > 1.27.1 with a few changes. > > So when you build ORE from sources on gihub, then please do a > > git submodule update --init > > That checks out our QuantLib 1.27.1 fork, and it should remove > your build errors. > > Best regards, > > Roland > > *From: *Ioannis Rigopoulos <qua...@de...> > <mailto:qua...@de...> > *Date: *Monday, 3 October 2022 at 17:47 > *To: *Roland Lichters <rol...@ac...c> > <mailto:rol...@ac...c>, QuantLib users > <qua...@li...> > <mailto:qua...@li...>, QuantLib Mailing > Lists <qua...@li...> > <mailto:qua...@li...> > *Subject: *Re: [Quantlib-dev] ORE 7 > > CAUTION:External email warning. This email originated from outside > acadia.inc. Beware of phishing attempts. Comply with all > acadia.inc policy to confirm sender identity before responding, > forwarding, and especially clicking links or opening attachments. > > Thank you Roland for this new release, but I have experienced > several compilation errors when trying to build the QuantExt library. > > I am using the official release of the 1.27.1 version of the > QuantLib library as suggested in your email. > > One simple example of the several failures concerns the second > CPICoupon constructor implemented online in the header cpicoupon.hpp > > Its top part looks as below: > > */CPICoupon(Real baseCPI, > const Date& baseDate, // user provided, could be > arbitrary > const Date& paymentDate, Real nominal, const Date& > startDate, const Date& endDate,/* > > */ (... more input arguments here ...)/* > > */ : QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, > nominal, startDate, endDate, index, > observationLag,/* > > The compile-time error is caused by the implementation line: > > */QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal, > startDate, endDate, index,/* > > The above line passes the argument */baseDate /*to the constructor > of the */QuantLib::CPICoupon /*class. > > But this fails because the CPICoupon class in QuantLib does not > contain any constructor that expects a second argument of type Date. > > Best regards, > > Ioannis Rigopoulos > > On 9/22/2022 5:29 PM, Roland Lichters via QuantLib-dev wrote: > > Dear all, > > we have just published the 7th release of ORE and ORE-SWIG, > updating the codebase at https://github.com/OpenSourceRisk > <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=E5qyW6bz6HQr%2F7oX8jjB6CapFKyvOT%2BGsG5yjmE8jgo%3D&reserved=0>. > ORE 7 depends on QuantLib 1.27.1 and QuantLib-SWIG 1.27. > > The release contains many fixes and improvements over the past > year that were triggered by our main sponsor’s (Acadia) use of > ORE in their Initial Margin Risk Generator services. The full > release notes can be found in the user guide under the > DOCUMENTATION menu on https://opensourcerisk.org > <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fopensourcerisk.org%2F&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=0NJEv%2BU4J7%2BpBN8A0GiK47iTduCXRaGVnc5fQZcoHlU%3D&reserved=0>. > > With this release we have started publishing a wide range of > additional financial instruments. You will see various > Equity/FX Exotics in this release. Commodity, Credit, Hybrids, > Exotics with scripted payoffs will follow in the next releases > in quarterly steps, see also the Acadia press release and > roadmap here > <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.acadia.inc%2Fnews%2Facadia-announces-seventh-release-of-open-source-risk-engine-with-quarterly-releases-to-follow&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=F0Uj0LGndGDHUqM573QS2VPbSGKfv%2FSCAz1nMYxJztM%3D&reserved=0>. > > > If you want to hear from Acadia about latest ORE developments, > then feel free to sign up here > <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fshare.hsforms.com%2F1eqcUZ-9_QdSH__M7_YPSig43ul4&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=s5ye1RwJNE3OVVAPYeXyAaDyPI8iW7De8TE1lnVxuMI%3D&reserved=0> > to receive updates by email. > > Please explore ORE – download the release executable, or clone > the repositories and build. > > As usual, all feedback is welcome! > > Best regards, > > Roland > > > /The information contained in this e-mail, and any attachment, > is confidential and is intended solely for the use of the > intended recipient. Access, copying or re-use of the e-mail or > any attachment, or any information contained therein, by any > other person is not authorized. If you are not the intended > recipient please return the e-mail to the sender and delete it > from your computer. The acadia.inc privacy policy is available > on our website. / > > > > _______________________________________________ > > QuantLib-dev mailing list > > Qua...@li... > > https://lists.sourceforge.net/lists/listinfo/quantlib-dev <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Flists.sourceforge.net%2Flists%2Flistinfo%2Fquantlib-dev&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=TqiZ79kCKWOAYyYp5j9dsrhEATGPZJ6iCvM7RnPu0mE%3D&reserved=0> > > width= > <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.avast.com%2Fsig-email%3Futm_medium%3Demail%26utm_source%3Dlink%26utm_campaign%3Dsig-email%26utm_content%3Demailclient&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=wl6pCFww4PCCz7iUnlp2xPrNg6Wqa4MYzWZ5WCR1RaQ%3D&reserved=0> > > > > Virenfrei.www.avast.com > <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.avast.com%2Fsig-email%3Futm_medium%3Demail%26utm_source%3Dlink%26utm_campaign%3Dsig-email%26utm_content%3Demailclient&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=wl6pCFww4PCCz7iUnlp2xPrNg6Wqa4MYzWZ5WCR1RaQ%3D&reserved=0> > > > /The information contained in this e-mail, and any attachment, is > confidential and is intended solely for the use of the intended > recipient. Access, copying or re-use of the e-mail or any > attachment, or any information contained therein, by any other > person is not authorized. If you are not the intended recipient > please return the e-mail to the sender and delete it from your > computer. The acadia.inc privacy policy is available on our website. / > > > The information contained in this e-mail, and any attachment, is > confidential and is intended solely for the use of the intended > recipient. Access, copying or re-use of the e-mail or any attachment, > or any information contained therein, by any other person is not > authorized. If you are not the intended recipient please return the > e-mail to the sender and delete it from your computer. The acadia.inc > privacy policy is available on our website. -- Diese E-Mail wurde von Avast-Antivirussoftware auf Viren geprüft. www.avast.com |
From: Roland L. <rol...@ac...> - 2022-10-04 10:47:30
|
Hi Ioannis, That’s a good point, we have added a release zip/tgz to the QuantLib repo in ORE: https://github.com/OpenSourceRisk/QuantLib/releases/tag/ORE-QuantLib-v1.27.1 I hope that works! Best regards, Roland From: Ioannis Rigopoulos <qua...@de...> Date: Tuesday, 4 October 2022 at 09:40 To: Roland Lichters <rol...@ac...c>, QuantLib users <qua...@li...>, QuantLib Mailing Lists <qua...@li...> Subject: Re: [Quantlib-dev] ORE 7 CAUTION: External email warning. This email originated from outside acadia.inc. Beware of phishing attempts. Comply with all acadia.inc policy to confirm sender identity before responding, forwarding, and especially clicking links or opening attachments. Thanks for the quick reply Roland. I will certainly try your suggestion, although I am using GitHub Desktop and I am not very familiar with the git dos commands. But since several people rely on the compressed forms (zip, tar) of the ORE and QuantLib releases, I am wondering if it would be possible to also provide the required QuantLib source code in compressed form, which is anyway done for all the official ORE and QuantLib releases. For example, you will see at the page https://github.com/OpenSourceRisk/Engine/releases/tag/v1.8.7.0<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk%2FEngine%2Freleases%2Ftag%2Fv1.8.7.0&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=3gnaMN97LTtKtZrRDG4GkT8op1tAABa%2BHjSWjvUZnz8%3D&reserved=0> the compressed ORE code. It would be certainly helpful if the corresponding QuantLib code could be similarly found somewhere, either as stand alone or embedded in the ORE compressed file. Ioannis On 10/4/2022 9:03 AM, Roland Lichters wrote: Hi Ioannis, Ah, maybe that wasn’t clear in the mail, we use a fork of QuantLib 1.27.1 with a few changes. So when you build ORE from sources on gihub, then please do a git submodule update --init That checks out our QuantLib 1.27.1 fork, and it should remove your build errors. Best regards, Roland From: Ioannis Rigopoulos <qua...@de...><mailto:qua...@de...> Date: Monday, 3 October 2022 at 17:47 To: Roland Lichters <rol...@ac...c><mailto:rol...@ac...c>, QuantLib users <qua...@li...><mailto:qua...@li...>, QuantLib Mailing Lists <qua...@li...><mailto:qua...@li...> Subject: Re: [Quantlib-dev] ORE 7 CAUTION: External email warning. This email originated from outside acadia.inc. Beware of phishing attempts. Comply with all acadia.inc policy to confirm sender identity before responding, forwarding, and especially clicking links or opening attachments. Thank you Roland for this new release, but I have experienced several compilation errors when trying to build the QuantExt library. I am using the official release of the 1.27.1 version of the QuantLib library as suggested in your email. One simple example of the several failures concerns the second CPICoupon constructor implemented online in the header cpicoupon.hpp Its top part looks as below: CPICoupon(Real baseCPI, const Date& baseDate, // user provided, could be arbitrary const Date& paymentDate, Real nominal, const Date& startDate, const Date& endDate, (... more input arguments here ...) : QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal, startDate, endDate, index, observationLag, The compile-time error is caused by the implementation line: QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal, startDate, endDate, index, The above line passes the argument baseDate to the constructor of the QuantLib::CPICoupon class. But this fails because the CPICoupon class in QuantLib does not contain any constructor that expects a second argument of type Date. Best regards, Ioannis Rigopoulos On 9/22/2022 5:29 PM, Roland Lichters via QuantLib-dev wrote: Dear all, we have just published the 7th release of ORE and ORE-SWIG, updating the codebase at https://github.com/OpenSourceRisk<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=E5qyW6bz6HQr%2F7oX8jjB6CapFKyvOT%2BGsG5yjmE8jgo%3D&reserved=0>. ORE 7 depends on QuantLib 1.27.1 and QuantLib-SWIG 1.27. The release contains many fixes and improvements over the past year that were triggered by our main sponsor’s (Acadia) use of ORE in their Initial Margin Risk Generator services. The full release notes can be found in the user guide under the DOCUMENTATION menu on https://opensourcerisk.org<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fopensourcerisk.org%2F&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=0NJEv%2BU4J7%2BpBN8A0GiK47iTduCXRaGVnc5fQZcoHlU%3D&reserved=0>. With this release we have started publishing a wide range of additional financial instruments. You will see various Equity/FX Exotics in this release. Commodity, Credit, Hybrids, Exotics with scripted payoffs will follow in the next releases in quarterly steps, see also the Acadia press release and roadmap here<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.acadia.inc%2Fnews%2Facadia-announces-seventh-release-of-open-source-risk-engine-with-quarterly-releases-to-follow&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=F0Uj0LGndGDHUqM573QS2VPbSGKfv%2FSCAz1nMYxJztM%3D&reserved=0>. If you want to hear from Acadia about latest ORE developments, then feel free to sign up here<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fshare.hsforms.com%2F1eqcUZ-9_QdSH__M7_YPSig43ul4&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=s5ye1RwJNE3OVVAPYeXyAaDyPI8iW7De8TE1lnVxuMI%3D&reserved=0> to receive updates by email. Please explore ORE – download the release executable, or clone the repositories and build. As usual, all feedback is welcome! Best regards, Roland The information contained in this e-mail, and any attachment, is confidential and is intended solely for the use of the intended recipient. Access, copying or re-use of the e-mail or any attachment, or any information contained therein, by any other person is not authorized. If you are not the intended recipient please return the e-mail to the sender and delete it from your computer. The acadia.inc privacy policy is available on our website. _______________________________________________ QuantLib-dev mailing list Qua...@li...<mailto:Qua...@li...> https://lists.sourceforge.net/lists/listinfo/quantlib-dev<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Flists.sourceforge.net%2Flists%2Flistinfo%2Fquantlib-dev&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=TqiZ79kCKWOAYyYp5j9dsrhEATGPZJ6iCvM7RnPu0mE%3D&reserved=0> [width=]<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.avast.com%2Fsig-email%3Futm_medium%3Demail%26utm_source%3Dlink%26utm_campaign%3Dsig-email%26utm_content%3Demailclient&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=wl6pCFww4PCCz7iUnlp2xPrNg6Wqa4MYzWZ5WCR1RaQ%3D&reserved=0> Virenfrei.www.avast.com<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.avast.com%2Fsig-email%3Futm_medium%3Demail%26utm_source%3Dlink%26utm_campaign%3Dsig-email%26utm_content%3Demailclient&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=wl6pCFww4PCCz7iUnlp2xPrNg6Wqa4MYzWZ5WCR1RaQ%3D&reserved=0> The information contained in this e-mail, and any attachment, is confidential and is intended solely for the use of the intended recipient. Access, copying or re-use of the e-mail or any attachment, or any information contained therein, by any other person is not authorized. If you are not the intended recipient please return the e-mail to the sender and delete it from your computer. The acadia.inc privacy policy is available on our website. The information contained in this e-mail, and any attachment, is confidential and is intended solely for the use of the intended recipient. Access, copying or re-use of the e-mail or any attachment, or any information contained therein, by any other person is not authorized. If you are not the intended recipient please return the e-mail to the sender and delete it from your computer. The acadia.inc privacy policy is available on our website. |
From: Roland L. <rol...@ac...> - 2022-10-04 08:36:08
|
Hi Ioannis, Ah, maybe that wasn’t clear in the mail, we use a fork of QuantLib 1.27.1 with a few changes. So when you build ORE from sources on gihub, then please do a git submodule update --init That checks out our QuantLib 1.27.1 fork, and it should remove your build errors. Best regards, Roland From: Ioannis Rigopoulos <qua...@de...> Date: Monday, 3 October 2022 at 17:47 To: Roland Lichters <rol...@ac...c>, QuantLib users <qua...@li...>, QuantLib Mailing Lists <qua...@li...> Subject: Re: [Quantlib-dev] ORE 7 CAUTION: External email warning. This email originated from outside acadia.inc. Beware of phishing attempts. Comply with all acadia.inc policy to confirm sender identity before responding, forwarding, and especially clicking links or opening attachments. Thank you Roland for this new release, but I have experienced several compilation errors when trying to build the QuantExt library. I am using the official release of the 1.27.1 version of the QuantLib library as suggested in your email. One simple example of the several failures concerns the second CPICoupon constructor implemented online in the header cpicoupon.hpp Its top part looks as below: CPICoupon(Real baseCPI, const Date& baseDate, // user provided, could be arbitrary const Date& paymentDate, Real nominal, const Date& startDate, const Date& endDate, (... more input arguments here ...) : QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal, startDate, endDate, index, observationLag, The compile-time error is caused by the implementation line: QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal, startDate, endDate, index, The above line passes the argument baseDate to the constructor of the QuantLib::CPICoupon class. But this fails because the CPICoupon class in QuantLib does not contain any constructor that expects a second argument of type Date. Best regards, Ioannis Rigopoulos On 9/22/2022 5:29 PM, Roland Lichters via QuantLib-dev wrote: Dear all, we have just published the 7th release of ORE and ORE-SWIG, updating the codebase at https://github.com/OpenSourceRisk<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk&data=05%7C01%7Croland.lichters%40acadia.inc%7C48c1d386056e45ec62a508daa5569e42%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004088729420906%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=LPP0kOqdG9yckEO2fmzg76v%2BMFVj%2BTF8HubQJq4rPIg%3D&reserved=0>. ORE 7 depends on QuantLib 1.27.1 and QuantLib-SWIG 1.27. The release contains many fixes and improvements over the past year that were triggered by our main sponsor’s (Acadia) use of ORE in their Initial Margin Risk Generator services. The full release notes can be found in the user guide under the DOCUMENTATION menu on https://opensourcerisk.org<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fopensourcerisk.org%2F&data=05%7C01%7Croland.lichters%40acadia.inc%7C48c1d386056e45ec62a508daa5569e42%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004088729420906%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=8W9iOtukCvdP783S3HsM14B90Bsst9N8hLewa17k2H0%3D&reserved=0>. With this release we have started publishing a wide range of additional financial instruments. You will see various Equity/FX Exotics in this release. Commodity, Credit, Hybrids, Exotics with scripted payoffs will follow in the next releases in quarterly steps, see also the Acadia press release and roadmap here<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.acadia.inc%2Fnews%2Facadia-announces-seventh-release-of-open-source-risk-engine-with-quarterly-releases-to-follow&data=05%7C01%7Croland.lichters%40acadia.inc%7C48c1d386056e45ec62a508daa5569e42%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004088729420906%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=SHjyEn%2BwTT2sqbzhCjVeKNt0AiSysCNNja4fIUUEbbE%3D&reserved=0>. If you want to hear from Acadia about latest ORE developments, then feel free to sign up here<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fshare.hsforms.com%2F1eqcUZ-9_QdSH__M7_YPSig43ul4&data=05%7C01%7Croland.lichters%40acadia.inc%7C48c1d386056e45ec62a508daa5569e42%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004088729420906%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=qdkQ4IT3GNjLlDcdP4M%2FfAEwQd1kHryVWuam21s6csM%3D&reserved=0> to receive updates by email. Please explore ORE – download the release executable, or clone the repositories and build. As usual, all feedback is welcome! Best regards, Roland The information contained in this e-mail, and any attachment, is confidential and is intended solely for the use of the intended recipient. Access, copying or re-use of the e-mail or any attachment, or any information contained therein, by any other person is not authorized. If you are not the intended recipient please return the e-mail to the sender and delete it from your computer. The acadia.inc privacy policy is available on our website. _______________________________________________ QuantLib-dev mailing list Qua...@li...<mailto:Qua...@li...> https://lists.sourceforge.net/lists/listinfo/quantlib-dev<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Flists.sourceforge.net%2Flists%2Flistinfo%2Fquantlib-dev&data=05%7C01%7Croland.lichters%40acadia.inc%7C48c1d386056e45ec62a508daa5569e42%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004088729420906%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=YG85edsqS9wMLnQNoM6ncCiZ3jji%2FqXo3y96wLDi20Q%3D&reserved=0> [width=]<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.avast.com%2Fsig-email%3Futm_medium%3Demail%26utm_source%3Dlink%26utm_campaign%3Dsig-email%26utm_content%3Demailclient&data=05%7C01%7Croland.lichters%40acadia.inc%7C48c1d386056e45ec62a508daa5569e42%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004088729420906%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=x%2F7fB3hdubzj12Esa09LpTmIcJVvo7%2BTbx35n3ur638%3D&reserved=0> Virenfrei.www.avast.com<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.avast.com%2Fsig-email%3Futm_medium%3Demail%26utm_source%3Dlink%26utm_campaign%3Dsig-email%26utm_content%3Demailclient&data=05%7C01%7Croland.lichters%40acadia.inc%7C48c1d386056e45ec62a508daa5569e42%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004088729420906%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=x%2F7fB3hdubzj12Esa09LpTmIcJVvo7%2BTbx35n3ur638%3D&reserved=0> The information contained in this e-mail, and any attachment, is confidential and is intended solely for the use of the intended recipient. 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From: Ioannis R. <qua...@de...> - 2022-10-04 08:16:50
|
Thanks for the quick reply Roland. I will certainly try your suggestion, although I am using GitHub Desktop and I am not very familiar with the git dos commands. But since several people rely on the compressed forms (zip, tar) of the ORE and QuantLib releases, I am wondering if it would be possible to also provide the required QuantLib source code in compressed form, which is anyway done for all the official ORE and QuantLib releases. For example, you will see at the page https://github.com/OpenSourceRisk/Engine/releases/tag/v1.8.7.0 the compressed ORE code. It would be certainly helpful if the corresponding QuantLib code could be similarly found somewhere, either as stand alone or embedded in the ORE compressed file. Ioannis On 10/4/2022 9:03 AM, Roland Lichters wrote: > > Hi Ioannis, > > Ah, maybe that wasn’t clear in the mail, we use a fork of QuantLib > 1.27.1 with a few changes. > > So when you build ORE from sources on gihub, then please do a > > git submodule update --init > > That checks out our QuantLib 1.27.1 fork, and it should remove your > build errors. > > Best regards, > > Roland > > *From: *Ioannis Rigopoulos <qua...@de...> > *Date: *Monday, 3 October 2022 at 17:47 > *To: *Roland Lichters <rol...@ac...c>, QuantLib users > <qua...@li...>, QuantLib Mailing Lists > <qua...@li...> > *Subject: *Re: [Quantlib-dev] ORE 7 > > CAUTION:External email warning. This email originated from outside > acadia.inc. Beware of phishing attempts. Comply with all acadia.inc > policy to confirm sender identity before responding, forwarding, and > especially clicking links or opening attachments. > > Thank you Roland for this new release, but I have experienced several > compilation errors when trying to build the QuantExt library. > > I am using the official release of the 1.27.1 version of the QuantLib > library as suggested in your email. > > One simple example of the several failures concerns the second > CPICoupon constructor implemented online in the header cpicoupon.hpp > > Its top part looks as below: > > */CPICoupon(Real baseCPI, > const Date& baseDate, // user provided, could be arbitrary > const Date& paymentDate, Real nominal, const Date& > startDate, const Date& endDate,/* > > */ (... more input arguments here ...)/* > > */ : QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal, > startDate, endDate, index, > observationLag,/* > > The compile-time error is caused by the implementation line: > > */QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal, > startDate, endDate, index,/* > > The above line passes the argument */baseDate /*to the constructor of > the */QuantLib::CPICoupon /*class. > > But this fails because the CPICoupon class in QuantLib does not > contain any constructor that expects a second argument of type Date. > > Best regards, > > Ioannis Rigopoulos > > On 9/22/2022 5:29 PM, Roland Lichters via QuantLib-dev wrote: > > Dear all, > > we have just published the 7th release of ORE and ORE-SWIG, > updating the codebase at https://github.com/OpenSourceRisk > <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk&data=05%7C01%7Croland.lichters%40acadia.inc%7C48c1d386056e45ec62a508daa5569e42%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004088729420906%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=LPP0kOqdG9yckEO2fmzg76v%2BMFVj%2BTF8HubQJq4rPIg%3D&reserved=0>. > ORE 7 depends on QuantLib 1.27.1 and QuantLib-SWIG 1.27. > > The release contains many fixes and improvements over the past > year that were triggered by our main sponsor’s (Acadia) use of ORE > in their Initial Margin Risk Generator services. The full release > notes can be found in the user guide under the DOCUMENTATION menu > on https://opensourcerisk.org > <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fopensourcerisk.org%2F&data=05%7C01%7Croland.lichters%40acadia.inc%7C48c1d386056e45ec62a508daa5569e42%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004088729420906%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=8W9iOtukCvdP783S3HsM14B90Bsst9N8hLewa17k2H0%3D&reserved=0>. > > With this release we have started publishing a wide range of > additional financial instruments. You will see various Equity/FX > Exotics in this release. Commodity, Credit, Hybrids, Exotics with > scripted payoffs will follow in the next releases in quarterly > steps, see also the Acadia press release and roadmap here > <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.acadia.inc%2Fnews%2Facadia-announces-seventh-release-of-open-source-risk-engine-with-quarterly-releases-to-follow&data=05%7C01%7Croland.lichters%40acadia.inc%7C48c1d386056e45ec62a508daa5569e42%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004088729420906%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=SHjyEn%2BwTT2sqbzhCjVeKNt0AiSysCNNja4fIUUEbbE%3D&reserved=0>. > > > If you want to hear from Acadia about latest ORE developments, > then feel free to sign up here > <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fshare.hsforms.com%2F1eqcUZ-9_QdSH__M7_YPSig43ul4&data=05%7C01%7Croland.lichters%40acadia.inc%7C48c1d386056e45ec62a508daa5569e42%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004088729420906%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=qdkQ4IT3GNjLlDcdP4M%2FfAEwQd1kHryVWuam21s6csM%3D&reserved=0> > to receive updates by email. > > Please explore ORE – download the release executable, or clone the > repositories and build. > > As usual, all feedback is welcome! > > Best regards, > > Roland > > > /The information contained in this e-mail, and any attachment, is > confidential and is intended solely for the use of the intended > recipient. Access, copying or re-use of the e-mail or any > attachment, or any information contained therein, by any other > person is not authorized. If you are not the intended recipient > please return the e-mail to the sender and delete it from your > computer. The acadia.inc privacy policy is available on our website. / > > > _______________________________________________ > > QuantLib-dev mailing list > > Qua...@li... > > https://lists.sourceforge.net/lists/listinfo/quantlib-dev <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Flists.sourceforge.net%2Flists%2Flistinfo%2Fquantlib-dev&data=05%7C01%7Croland.lichters%40acadia.inc%7C48c1d386056e45ec62a508daa5569e42%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004088729420906%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=YG85edsqS9wMLnQNoM6ncCiZ3jji%2FqXo3y96wLDi20Q%3D&reserved=0> > > width= > <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.avast.com%2Fsig-email%3Futm_medium%3Demail%26utm_source%3Dlink%26utm_campaign%3Dsig-email%26utm_content%3Demailclient&data=05%7C01%7Croland.lichters%40acadia.inc%7C48c1d386056e45ec62a508daa5569e42%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004088729420906%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=x%2F7fB3hdubzj12Esa09LpTmIcJVvo7%2BTbx35n3ur638%3D&reserved=0> > > > > Virenfrei.www.avast.com > <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.avast.com%2Fsig-email%3Futm_medium%3Demail%26utm_source%3Dlink%26utm_campaign%3Dsig-email%26utm_content%3Demailclient&data=05%7C01%7Croland.lichters%40acadia.inc%7C48c1d386056e45ec62a508daa5569e42%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004088729420906%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=x%2F7fB3hdubzj12Esa09LpTmIcJVvo7%2BTbx35n3ur638%3D&reserved=0> > > > The information contained in this e-mail, and any attachment, is > confidential and is intended solely for the use of the intended > recipient. Access, copying or re-use of the e-mail or any attachment, > or any information contained therein, by any other person is not > authorized. If you are not the intended recipient please return the > e-mail to the sender and delete it from your computer. The acadia.inc > privacy policy is available on our website. -- Diese E-Mail wurde von Avast-Antivirussoftware auf Viren geprüft. www.avast.com |
From: Ioannis R. <qua...@de...> - 2022-10-03 17:11:04
|
Thank you Roland for this new release, but I have experienced several compilation errors when trying to build the QuantExt library. I am using the official release of the 1.27.1 version of the QuantLib library as suggested in your email. One simple example of the several failures concerns the second CPICoupon constructor implemented online in the header cpicoupon.hpp Its top part looks as below: /*CPICoupon(Real baseCPI,*//* *//* const Date& baseDate, // user provided, could be arbitrary*//* *//* const Date& paymentDate, Real nominal, const Date& startDate, const Date& endDate,*/ /* (... more input arguments here ...)*//* */ /* : QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal, startDate, endDate, index,*//* *//* observationLag,*/ The compile-time error is caused by the implementation line: /*QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal, startDate, endDate, index,*/ The above line passes the argument /*baseDate */to the constructor of the /*QuantLib::CPICoupon */class. But this fails because the CPICoupon class in QuantLib does not contain any constructor that expects a second argument of type Date. Best regards, Ioannis Rigopoulos On 9/22/2022 5:29 PM, Roland Lichters via QuantLib-dev wrote: > > Dear all, > > we have just published the 7th release of ORE and ORE-SWIG, updating > the codebase at https://github.com/OpenSourceRisk. ORE 7 depends on > QuantLib 1.27.1 and QuantLib-SWIG 1.27. > > The release contains many fixes and improvements over the past year > that were triggered by our main sponsor’s (Acadia) use of ORE in their > Initial Margin Risk Generator services. The full release notes can be > found in the user guide under the DOCUMENTATION menu on > https://opensourcerisk.org. > > With this release we have started publishing a wide range of > additional financial instruments. You will see various Equity/FX > Exotics in this release. Commodity, Credit, Hybrids, Exotics with > scripted payoffs will follow in the next releases in quarterly steps, > see also the Acadia press release and roadmap here > <https://www.acadia.inc/news/acadia-announces-seventh-release-of-open-source-risk-engine-with-quarterly-releases-to-follow>. > > > If you want to hear from Acadia about latest ORE developments, then > feel free to sign up here > <https://share.hsforms.com/1eqcUZ-9_QdSH__M7_YPSig43ul4> to receive > updates by email. > > Please explore ORE – download the release executable, or clone the > repositories and build. > > As usual, all feedback is welcome! > > Best regards, > > Roland > > > The information contained in this e-mail, and any attachment, is > confidential and is intended solely for the use of the intended > recipient. Access, copying or re-use of the e-mail or any attachment, > or any information contained therein, by any other person is not > authorized. If you are not the intended recipient please return the > e-mail to the sender and delete it from your computer. The acadia.inc > privacy policy is available on our website. > > > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev -- Diese E-Mail wurde von Avast-Antivirussoftware auf Viren geprüft. www.avast.com |
From: Luigi B. <lui...@gm...> - 2022-09-28 11:06:52
|
Hello Alix, I don't have a Windows machine, so I haven't experimented with Docker Windows containers either. What you describe should be possible, though: when I generate wheels for Windows, I do it using a GitHub Actions workflow, and it's all command lines (see https://github.com/lballabio/quantlib-wheels/blob/master/.github/workflows/wheels.yml). The GitHub Action environment has a number of tools already installed, but in principle the same commands should work in a Docker container. Luigi On Tue, Sep 27, 2022 at 4:13 PM Alix Lassauzet <ali...@gm...> wrote: > Hi Luigi and QL-community, > > I was wondering if someone has already experimented with the generation of > a QuantLib-Python wheel from a Docker Windows container. > > At the moment, from the various work and contributions I found on the web, > I noticed most of the Docker Linux containers (from ubuntu, alpine, ...), > but none of them with Windows. > > I think it could be very helpful to be able to automate the compilation of > QuantLib and QuantLib-SWIG/Python on Windows through command lines > exclusively, and with Docker. I can see several advantages : > - first, Docker would propose an isolated environment > - then, we don't necessarily need to install Visual C++ on our machine > - finally, if the installation relies purely on command lines, this could > make it as tractable as it is already on Linux > > What do you think in terms of feasibility and has anyone already tried > this approach? > > Thanks for your feedbacks, > > Alix > > > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > |
From: Alix L. <ali...@gm...> - 2022-09-27 14:12:19
|
Hi Luigi and QL-community, I was wondering if someone has already experimented with the generation of a QuantLib-Python wheel from a Docker Windows container. At the moment, from the various work and contributions I found on the web, I noticed most of the Docker Linux containers (from ubuntu, alpine, ...), but none of them with Windows. I think it could be very helpful to be able to automate the compilation of QuantLib and QuantLib-SWIG/Python on Windows through command lines exclusively, and with Docker. I can see several advantages : - first, Docker would propose an isolated environment - then, we don't necessarily need to install Visual C++ on our machine - finally, if the installation relies purely on command lines, this could make it as tractable as it is already on Linux What do you think in terms of feasibility and has anyone already tried this approach? Thanks for your feedbacks, Alix |
From: Roland L. <rol...@ac...> - 2022-09-22 15:46:00
|
Dear all, we have just published the 7th release of ORE and ORE-SWIG, updating the codebase at https://github.com/OpenSourceRisk. ORE 7 depends on QuantLib 1.27.1 and QuantLib-SWIG 1.27. The release contains many fixes and improvements over the past year that were triggered by our main sponsor’s (Acadia) use of ORE in their Initial Margin Risk Generator services. The full release notes can be found in the user guide under the DOCUMENTATION menu on https://opensourcerisk.org. With this release we have started publishing a wide range of additional financial instruments. You will see various Equity/FX Exotics in this release. Commodity, Credit, Hybrids, Exotics with scripted payoffs will follow in the next releases in quarterly steps, see also the Acadia press release and roadmap here<https://www.acadia.inc/news/acadia-announces-seventh-release-of-open-source-risk-engine-with-quarterly-releases-to-follow>. If you want to hear from Acadia about latest ORE developments, then feel free to sign up here<https://share.hsforms.com/1eqcUZ-9_QdSH__M7_YPSig43ul4> to receive updates by email. Please explore ORE – download the release executable, or clone the repositories and build. As usual, all feedback is welcome! Best regards, Roland The information contained in this e-mail, and any attachment, is confidential and is intended solely for the use of the intended recipient. Access, copying or re-use of the e-mail or any attachment, or any information contained therein, by any other person is not authorized. If you are not the intended recipient please return the e-mail to the sender and delete it from your computer. The acadia.inc privacy policy is available on our website. |
From: Luigi B. <lui...@gm...> - 2022-08-30 07:29:39
|
QuantLib 1.27.1 has been released and is available for download at < https://www.quantlib.org/download.shtml>. The list of changes for this release is at < https://www.quantlib.org/reference/history.html>. Please report any problems you have with this release to the QuantLib mailing list (<qua...@li...>), or open a GitHub issue at <https://github.com/lballabio/quantlib/issues>. |
From: Dirk E. <ed...@de...> - 2022-08-26 23:03:31
|
On 26 August 2022 at 15:40, Wojciech Czernous via QuantLib-dev wrote: | We are considering a two-author contribution with a colleague. | It would be based on his Master’s thesis and his code prototype in Python. I would like to do the C++ implementation and tests, and commit it to the repository. | Is it possible for us both to become contributors to QuantLib in this process? Sure, why not? QuantLib has a long history of including such contributions. | What are the rules here? I am not a QuantLib admin but the common process for many open source projects is for you to fork, and to prepare a clean pull request that updates code, possibly adds tests, maybe adds an example, ... without affecting existing code and tests. | Is becoming a contributor tightly coupled with the git commit authorship? Pull requests are incremental and do not requirement commit authorship on your part but only on the part of the core maintainers with such commit rights who review the pull request contribution. Hope this helps, Dirk -- dirk.eddelbuettel.com | @eddelbuettel | ed...@de... |
From: Wojciech C. <woj...@ic...> - 2022-08-26 13:40:43
|
Good afternoon! We are considering a two-author contribution with a colleague. It would be based on his Master’s thesis and his code prototype in Python. I would like to do the C++ implementation and tests, and commit it to the repository. Is it possible for us both to become contributors to QuantLib in this process? What are the rules here? Is becoming a contributor tightly coupled with the git commit authorship? Kind regards, Wojciech Czernous |
From: Jonathan S. <sw...@gm...> - 2022-07-25 12:59:09
|
Hi Francesco, When you say you want to "build a SWIG interface", do you mean that you just want to compile QuantLib-SWIG? If so, then you can follow the instructions here: https://www.quantlib.org/install/linux-python.shtml Or if you're trying to do something different, would you mind sharing a few more details on how it's different from what's already provided in QuantLib-SWIG? On Sat, Jul 23, 2022 at 4:37 PM Francesco Catalano <cat...@gm...> wrote: > Dear Developers, > I have a configuration of this > ---- Folder > ---------- Quantlib (this at current master) > ---------- Quantlib-SWIG (this at current master) > I can compile easily quantlib with cmake and I can locate where object > files and the library are. I want to use Cmake. > I would like now to basically build a SWIG interface. I technically know > how to SWIG interface small projects. Clearly for a project like QuantLib > I have to use disutils. I see a Python folder with setup.py. > However I can not locate where I can specify the SWIGfiles folder to > generate the wrapper.cpp and the source code of quantlib and objects files > in setup.py. Can someone help ? > > > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > |
From: Francesco C. <cat...@gm...> - 2022-07-23 07:35:52
|
Dear Developers, I have a configuration of this ---- Folder ---------- Quantlib (this at current master) ---------- Quantlib-SWIG (this at current master) I can compile easily quantlib with cmake and I can locate where object files and the library are. I want to use Cmake. I would like now to basically build a SWIG interface. I technically know how to SWIG interface small projects. Clearly for a project like QuantLib I have to use disutils. I see a Python folder with setup.py. However I can not locate where I can specify the SWIGfiles folder to generate the wrapper.cpp and the source code of quantlib and objects files in setup.py. Can someone help ? |
From: Luigi B. <lui...@gm...> - 2022-07-22 07:40:31
|
QuantLib 1.27 has been released and is available for download at < https://www.quantlib.org/download.shtml>. The list of changes for this release is at < https://www.quantlib.org/reference/history.html>. Please report any problems you have with this release to the QuantLib mailing list (<qua...@li...>), or open a GitHub issue at <https://github.com/lballabio/quantlib/issues>. |
From: Jonathan S. <sw...@gm...> - 2022-06-21 07:55:46
|
Someone recently started experimenting with it on GitHub[1] but not sure how far they have gotten. Personally I think it’s a very worthwhile topic to pursue and something that a lot of other users would find useful as well. [1] https://github.com/lballabio/QuantLib/issues/1376 2022년 6월 21일 (화) 16:41, Wojciech Czernous via QuantLib-dev < qua...@li...>님이 작성: > Good morning, > > I wonder, is there any sense in pursuing the subject of rough volatility > in the context of QuantLib? > Thank you very much in advance for your answers! > > Kind regards, > Wojciech Czernous > > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > |
From: Wojciech C. <woj...@ic...> - 2022-06-21 07:40:22
|
Good morning, I wonder, is there any sense in pursuing the subject of rough volatility in the context of QuantLib? Thank you very much in advance for your answers! Kind regards, Wojciech Czernous |
From: Peter C. <pca...@gm...> - 2022-06-05 14:26:59
|
Hi friendly reminder / am I right in interpreting the silence as consent? Thanks Peter On Wed, 11 May 2022 at 09:55, Peter Caspers <pca...@gm...> wrote: > > Hi all > > When QuantLib is built with enabled QL_ENABLE_SESSIONS, users have to > provide an implementation of sessionId(). Usually the sessions are > used to enable thread-local singleton instances and consequently > sessionId() will be implemented such that the current thread id is > returned. More recent versions of QuantLib require C++11 as the > minimum language standard and with that we are able to simplify the > singleton implementation while always ensuring a thread-safe > initialization of singleton instances. The proposed change is this > > https://github.com/lballabio/QuantLib/pull/1377 > > and comes with a removal of the sessionId() and a hard-wired > assumption that there is a 1:1 relation between sessions and threads. > The question for you is whether there are other uses of sessions out > there which wouldn't be supported after the above change, i.e. where > you use sessions differently from what I described above. > > Thanks > Peter |
From: Peter C. <pca...@gm...> - 2022-05-11 07:55:49
|
Hi all When QuantLib is built with enabled QL_ENABLE_SESSIONS, users have to provide an implementation of sessionId(). Usually the sessions are used to enable thread-local singleton instances and consequently sessionId() will be implemented such that the current thread id is returned. More recent versions of QuantLib require C++11 as the minimum language standard and with that we are able to simplify the singleton implementation while always ensuring a thread-safe initialization of singleton instances. The proposed change is this https://github.com/lballabio/QuantLib/pull/1377 and comes with a removal of the sessionId() and a hard-wired assumption that there is a 1:1 relation between sessions and threads. The question for you is whether there are other uses of sessions out there which wouldn't be supported after the above change, i.e. where you use sessions differently from what I described above. Thanks Peter |
From: Peter C. <pca...@gm...> - 2022-05-02 06:14:49
|
Hi Jonathan, agreed! Thanks again Peter On Mon, 2 May 2022 at 00:47, Jonathan Sweemer <sw...@gm...> wrote: > > Hi Peter, > > This part of the CMake build settings was added by @pkovacs. I think the intention may have been to expose QL_HAVE_CONFIG_H as a CMake option with a default of ON instead of always hardcoding it to ON. But as I mentioned, there’s no real compelling use case (in my opinion) for setting it to OFF so I agree that it would be much cleaner to just define HAVE_CONFIG_H in CMakeLists.txt and thereby eliminate the need for configuring qldefines.hpp. > > I actually didn’t realize there were two versions of qldefines.hpp - the configured one and the non-configured one. That does indeed seem like a recipe for inconsistency and is reason enough to try and consolidate the two. > > Looks like there’s one other inconsistency between the two qldefines.hpp - the define for QL_USE_STD_UNIQUE_PTR was only added to the non-configured one. This should be added to the configured one as well for consistency until a decision is made about whether to configure or not. > > Jonathan > > > 2022년 5월 2일 (월) 03:12, Peter Caspers <pca...@gm...>님이 작성: >> >> Hi, >> >> thanks. I get how it works. My question is if the code duplication in >> qldefines.hpp / qldefines.hpp.cfg can be avoided by defining the macro >> HAVE_CONFIG_H in the cmake build, just as we do in the autoconf build. >> As far as I can see this would have the same effect as hardcoding >> "set(QL_HAVE_CONFIG_H ON)" and configuring qldefines.hpp. Apologies if >> you are not the right person to ask, I somehow connect your name with >> the recent cmake changes, but maybe there are more contributors behind >> that. >> >> Apart from the code duplication in qldefines.hpp and >> qldefines.hpp.cfg, I think this approach would also be more >> transparent: We build QuantLib as a cmake subproject of another cmake >> project ("ORE"). I recently noticed that this build uses >> userconfig.hpp instead of config.hpp, because we missed adding >> "build/QuantLib" as the first include path. Therefore, the original >> qldefines.hpp instead of the configured one was used and subsequently >> userconfig.hpp was included since HAVE_CONFIG_H is not defined as a >> C++ macro by cmake. All this goes through without any error or warning >> message and led to some confusion on our side. Without configuring >> qldefines.hpp we would have just gotten an error message that >> config.hpp isn't found, which obviously is a much better behaviour. >> >> For the version file: we now seem to maintain a manual version.hpp >> (for autoconf or windows builds) and a configured version.hpp that is >> populated from cmake variables, so we might get different version >> infos in a windows / autoconf and cmake build. >> >> Thanks >> Peter >> >> On Sun, 1 May 2022 at 09:10, Jonathan Sweemer <sw...@gm...> wrote: >> > >> > Hi Peter, >> > >> > I can’t claim to 100% understand the way that the configuration works on all the various platforms, but as far as I can tell the main reason for still configuring qldefines.hpp in the CMake build is to let the user choose between config.hpp and userconfig.hpp. When the QL_HAVE_CONFIG_H CMake variable is set to true (which it is by default) then qldefines.hpp is configured to include config.hpp, but when it is set to false then qldefines.hpp is configured to include one of the platform-specific files like config.msvc.hpp. >> > >> > As far as I understand the history, the various config.*.hpp files along with userconfig.hpp were basically a mechanism for enabling and disabling different features before the CMake build came into existence. With CMake, those features can be turned on and off more easily through build options. On that basis, I’m not sure it makes much sense to expose QL_HAVE_CONFIG_H to “opt-in” to the old way of configuring the build, but again I might be missing some nuance. >> > >> > My own opinion is that the CMake build should not overlap with any of the older mechanisms like userconfig.hpp and should instead be implemented in clean, standard, idiomatic CMake as much as possible. >> > >> > Not sure if that answers the question but hope it helps. >> > >> > Regarding the version, where is the other place it is maintained? I see another version in configure.ac - is this the one you are referring to? Not sure whether autoconf allows for reading a version from a file, but if it does, then perhaps CMake could configure the version from the same file as well. >> > >> > Jonathan >> > >> > >> > 2022년 5월 1일 (일) 01:14, Peter Caspers <pca...@gm...>님이 작성: >> >> >> >> Hey Luigi, Jonathan, >> >> >> >> I didn't follow all the cmake updates in detail so apologies if that >> >> was discussed before: Is there a reason why cmake configures >> >> qldefines.hpp? Couldn't we just define HAVE_CONFIG_H instead of >> >> QL_CONFIG_H in the top CMakeLists.txt and it would "just work" with >> >> the standard qldefines.hpp? >> >> >> >> Not directly related: We also configure version.hpp now. I have the >> >> slight feeling this could do more harm than good, since the version >> >> info has to be maintained at two places now? >> >> >> >> Thanks >> >> Peter >> >> >> >> >> >> _______________________________________________ >> >> QuantLib-dev mailing list >> >> Qua...@li... >> >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
From: Jonathan S. <sw...@gm...> - 2022-05-01 22:47:55
|
Hi Peter, This part of the CMake build settings was added by @pkovacs. I think the intention may have been to expose QL_HAVE_CONFIG_H as a CMake option with a default of ON instead of always hardcoding it to ON. But as I mentioned, there’s no real compelling use case (in my opinion) for setting it to OFF so I agree that it would be much cleaner to just define HAVE_CONFIG_H in CMakeLists.txt and thereby eliminate the need for configuring qldefines.hpp. I actually didn’t realize there were two versions of qldefines.hpp - the configured one and the non-configured one. That does indeed seem like a recipe for inconsistency and is reason enough to try and consolidate the two. Looks like there’s one other inconsistency between the two qldefines.hpp - the define for QL_USE_STD_UNIQUE_PTR was only added to the non-configured one. This should be added to the configured one as well for consistency until a decision is made about whether to configure or not. Jonathan 2022년 5월 2일 (월) 03:12, Peter Caspers <pca...@gm...>님이 작성: > Hi, > > thanks. I get how it works. My question is if the code duplication in > qldefines.hpp / qldefines.hpp.cfg can be avoided by defining the macro > HAVE_CONFIG_H in the cmake build, just as we do in the autoconf build. > As far as I can see this would have the same effect as hardcoding > "set(QL_HAVE_CONFIG_H ON)" and configuring qldefines.hpp. Apologies if > you are not the right person to ask, I somehow connect your name with > the recent cmake changes, but maybe there are more contributors behind > that. > > Apart from the code duplication in qldefines.hpp and > qldefines.hpp.cfg, I think this approach would also be more > transparent: We build QuantLib as a cmake subproject of another cmake > project ("ORE"). I recently noticed that this build uses > userconfig.hpp instead of config.hpp, because we missed adding > "build/QuantLib" as the first include path. Therefore, the original > qldefines.hpp instead of the configured one was used and subsequently > userconfig.hpp was included since HAVE_CONFIG_H is not defined as a > C++ macro by cmake. All this goes through without any error or warning > message and led to some confusion on our side. Without configuring > qldefines.hpp we would have just gotten an error message that > config.hpp isn't found, which obviously is a much better behaviour. > > For the version file: we now seem to maintain a manual version.hpp > (for autoconf or windows builds) and a configured version.hpp that is > populated from cmake variables, so we might get different version > infos in a windows / autoconf and cmake build. > > Thanks > Peter > > On Sun, 1 May 2022 at 09:10, Jonathan Sweemer <sw...@gm...> wrote: > > > > Hi Peter, > > > > I can’t claim to 100% understand the way that the configuration works on > all the various platforms, but as far as I can tell the main reason for > still configuring qldefines.hpp in the CMake build is to let the user > choose between config.hpp and userconfig.hpp. When the QL_HAVE_CONFIG_H > CMake variable is set to true (which it is by default) then qldefines.hpp > is configured to include config.hpp, but when it is set to false then > qldefines.hpp is configured to include one of the platform-specific files > like config.msvc.hpp. > > > > As far as I understand the history, the various config.*.hpp files along > with userconfig.hpp were basically a mechanism for enabling and disabling > different features before the CMake build came into existence. With CMake, > those features can be turned on and off more easily through build options. > On that basis, I’m not sure it makes much sense to expose QL_HAVE_CONFIG_H > to “opt-in” to the old way of configuring the build, but again I might be > missing some nuance. > > > > My own opinion is that the CMake build should not overlap with any of > the older mechanisms like userconfig.hpp and should instead be implemented > in clean, standard, idiomatic CMake as much as possible. > > > > Not sure if that answers the question but hope it helps. > > > > Regarding the version, where is the other place it is maintained? I see > another version in configure.ac - is this the one you are referring to? > Not sure whether autoconf allows for reading a version from a file, but if > it does, then perhaps CMake could configure the version from the same file > as well. > > > > Jonathan > > > > > > 2022년 5월 1일 (일) 01:14, Peter Caspers <pca...@gm...>님이 작성: > >> > >> Hey Luigi, Jonathan, > >> > >> I didn't follow all the cmake updates in detail so apologies if that > >> was discussed before: Is there a reason why cmake configures > >> qldefines.hpp? Couldn't we just define HAVE_CONFIG_H instead of > >> QL_CONFIG_H in the top CMakeLists.txt and it would "just work" with > >> the standard qldefines.hpp? > >> > >> Not directly related: We also configure version.hpp now. I have the > >> slight feeling this could do more harm than good, since the version > >> info has to be maintained at two places now? > >> > >> Thanks > >> Peter > >> > >> > >> _______________________________________________ > >> QuantLib-dev mailing list > >> Qua...@li... > >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev > |
From: Peter C. <pca...@gm...> - 2022-05-01 18:12:51
|
Hi, thanks. I get how it works. My question is if the code duplication in qldefines.hpp / qldefines.hpp.cfg can be avoided by defining the macro HAVE_CONFIG_H in the cmake build, just as we do in the autoconf build. As far as I can see this would have the same effect as hardcoding "set(QL_HAVE_CONFIG_H ON)" and configuring qldefines.hpp. Apologies if you are not the right person to ask, I somehow connect your name with the recent cmake changes, but maybe there are more contributors behind that. Apart from the code duplication in qldefines.hpp and qldefines.hpp.cfg, I think this approach would also be more transparent: We build QuantLib as a cmake subproject of another cmake project ("ORE"). I recently noticed that this build uses userconfig.hpp instead of config.hpp, because we missed adding "build/QuantLib" as the first include path. Therefore, the original qldefines.hpp instead of the configured one was used and subsequently userconfig.hpp was included since HAVE_CONFIG_H is not defined as a C++ macro by cmake. All this goes through without any error or warning message and led to some confusion on our side. Without configuring qldefines.hpp we would have just gotten an error message that config.hpp isn't found, which obviously is a much better behaviour. For the version file: we now seem to maintain a manual version.hpp (for autoconf or windows builds) and a configured version.hpp that is populated from cmake variables, so we might get different version infos in a windows / autoconf and cmake build. Thanks Peter On Sun, 1 May 2022 at 09:10, Jonathan Sweemer <sw...@gm...> wrote: > > Hi Peter, > > I can’t claim to 100% understand the way that the configuration works on all the various platforms, but as far as I can tell the main reason for still configuring qldefines.hpp in the CMake build is to let the user choose between config.hpp and userconfig.hpp. When the QL_HAVE_CONFIG_H CMake variable is set to true (which it is by default) then qldefines.hpp is configured to include config.hpp, but when it is set to false then qldefines.hpp is configured to include one of the platform-specific files like config.msvc.hpp. > > As far as I understand the history, the various config.*.hpp files along with userconfig.hpp were basically a mechanism for enabling and disabling different features before the CMake build came into existence. With CMake, those features can be turned on and off more easily through build options. On that basis, I’m not sure it makes much sense to expose QL_HAVE_CONFIG_H to “opt-in” to the old way of configuring the build, but again I might be missing some nuance. > > My own opinion is that the CMake build should not overlap with any of the older mechanisms like userconfig.hpp and should instead be implemented in clean, standard, idiomatic CMake as much as possible. > > Not sure if that answers the question but hope it helps. > > Regarding the version, where is the other place it is maintained? I see another version in configure.ac - is this the one you are referring to? Not sure whether autoconf allows for reading a version from a file, but if it does, then perhaps CMake could configure the version from the same file as well. > > Jonathan > > > 2022년 5월 1일 (일) 01:14, Peter Caspers <pca...@gm...>님이 작성: >> >> Hey Luigi, Jonathan, >> >> I didn't follow all the cmake updates in detail so apologies if that >> was discussed before: Is there a reason why cmake configures >> qldefines.hpp? Couldn't we just define HAVE_CONFIG_H instead of >> QL_CONFIG_H in the top CMakeLists.txt and it would "just work" with >> the standard qldefines.hpp? >> >> Not directly related: We also configure version.hpp now. I have the >> slight feeling this could do more harm than good, since the version >> info has to be maintained at two places now? >> >> Thanks >> Peter >> >> >> _______________________________________________ >> QuantLib-dev mailing list >> Qua...@li... >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
From: Jonathan S. <sw...@gm...> - 2022-05-01 07:10:43
|
Hi Peter, I can’t claim to 100% understand the way that the configuration works on all the various platforms, but as far as I can tell the main reason for still configuring qldefines.hpp in the CMake build is to let the user choose between config.hpp and userconfig.hpp. When the QL_HAVE_CONFIG_H CMake variable is set to true (which it is by default) then qldefines.hpp is configured to include config.hpp, but when it is set to false then qldefines.hpp is configured to include one of the platform-specific files like config.msvc.hpp. As far as I understand the history, the various config.*.hpp files along with userconfig.hpp were basically a mechanism for enabling and disabling different features before the CMake build came into existence. With CMake, those features can be turned on and off more easily through build options. On that basis, I’m not sure it makes much sense to expose QL_HAVE_CONFIG_H to “opt-in” to the old way of configuring the build, but again I might be missing some nuance. My own opinion is that the CMake build should not overlap with any of the older mechanisms like userconfig.hpp and should instead be implemented in clean, standard, idiomatic CMake as much as possible. Not sure if that answers the question but hope it helps. Regarding the version, where is the other place it is maintained? I see another version in configure.ac - is this the one you are referring to? Not sure whether autoconf allows for reading a version from a file, but if it does, then perhaps CMake could configure the version from the same file as well. Jonathan 2022년 5월 1일 (일) 01:14, Peter Caspers <pca...@gm...>님이 작성: > Hey Luigi, Jonathan, > > I didn't follow all the cmake updates in detail so apologies if that > was discussed before: Is there a reason why cmake configures > qldefines.hpp? Couldn't we just define HAVE_CONFIG_H instead of > QL_CONFIG_H in the top CMakeLists.txt and it would "just work" with > the standard qldefines.hpp? > > Not directly related: We also configure version.hpp now. I have the > slight feeling this could do more harm than good, since the version > info has to be maintained at two places now? > > Thanks > Peter > > > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > |
From: Peter C. <pca...@gm...> - 2022-04-30 16:13:05
|
Hey Luigi, Jonathan, I didn't follow all the cmake updates in detail so apologies if that was discussed before: Is there a reason why cmake configures qldefines.hpp? Couldn't we just define HAVE_CONFIG_H instead of QL_CONFIG_H in the top CMakeLists.txt and it would "just work" with the standard qldefines.hpp? Not directly related: We also configure version.hpp now. I have the slight feeling this could do more harm than good, since the version info has to be maintained at two places now? Thanks Peter |