quantlib-dev — Discussion of QuantLib development

[Quantlib-dev] Plain Futures term structure class

[Amine I. <ami...@gm...>]

Dear Quantlib teams/users,

Currently looking to use the QL Python library for ETD contracts. Went to check the doc but couldn’t find any concrete class of a term structure that would take only a ref date, a list of anchor dates, and a list of corresponding quotes corresponding to each contract expiry. 

Grateful if someone could tell me if such impl exists. Many thanks. 

Amine Ifri

Re: [Quantlib-dev] Segmentation fault on 1.28 on MacOSX

[Andreas L. <and...@ca...>]

Hi!

My segmentation fault issues on 1.28 on MacOSX from homebrew, disappeared with version 1.29!

Thanks!
Andreas
________________________________
From: Luigi Ballabio <lui...@gm...>
Sent: Thursday, January 12, 2023 10:54
To: Andreas Lindh <and...@ca...>
Cc: qua...@li... <qua...@li...>
Subject: Re: [Quantlib-dev] Segmentation fault on 1.28 on MacOSX

Ok, please let me know how it goes.

Luigi

On Thu, Jan 12, 2023 at 10:34 AM Andreas Lindh <and...@ca...<mailto:and...@ca...>> wrote:
Hi Luigi!

Apparently my code demands c++17, but this have not been an issue in the past. The boost version that brew installs is
/usr/local/Cellar/boost/1.81.0

I decided to see if this works in 1.29 and ignore it until then.

/Andreas

________________________________
From: Luigi Ballabio <lui...@gm...<mailto:lui...@gm...>>
Sent: Wednesday, January 11, 2023 18:11
To: Andreas Lindh <and...@ca...<mailto:and...@ca...>>
Cc: qua...@li...<mailto:qua...@li...> <qua...@li...<mailto:qua...@li...>>
Subject: Re: [Quantlib-dev] Segmentation fault on 1.28 on MacOSX

Ok -- may you try again with `-std=c++14` instead of `-std=c++1z`? The idea would be to try to use the same compilation flags with which QuantLib itself was compiled, to avoid discrepancies in the compiled interfaces.  Another discrepancy might be the version of boost; did you install it from homebrew, too?

Hope this helps,
    Luigi


On Wed, Jan 11, 2023 at 5:45 PM Andreas Lindh <and...@ca...<mailto:and...@ca...>> wrote:
Hi Luigi!

Seems like it is installed.

~  > /usr/local/Cellar/quantlib/1.28/bin/quantlib-config --libs --cflags
-L/usr/local/Cellar/quantlib/1.28/lib -lQuantLib
-I/usr/local/Cellar/quantlib/1.28/include -std=c++14

/Andreas
________________________________
From: Luigi Ballabio <lui...@gm...<mailto:lui...@gm...>>
Sent: Wednesday, January 11, 2023 17:39
To: Andreas Lindh <and...@ca...<mailto:and...@ca...>>
Cc: qua...@li...<mailto:qua...@li...> <qua...@li...<mailto:qua...@li...>>
Subject: Re: [Quantlib-dev] Segmentation fault on 1.28 on MacOSX

Hello,
    I had it working, but I had compiled it myself -- I didn't try the version from homebrew.  Does `brew install quantlib` also install a `quantlib-config` executable?  If so, may you run `quantlib-config --libs --cflags` and see what it reports?

Luigi


On Wed, Jan 11, 2023 at 5:05 PM Andreas Lindh <and...@ca...<mailto:and...@ca...>> wrote:
Apologise if this is not the correct forum.

I was wondering is anyone else had issues with version 1.28 on MacOSX, or got it to work?


brew install quantlib

and

        g++ -Wall -g -std=c++1z -I/usr/local/include/ -I/usr/local/include/boost -L/usr/local/lib/ \
        mycode.cpp -o mycode.exe  -lQuantLib

./mycode.exe
gives  segmentation fault with 1.28 on MacOSX, but works fine on Linux and with WebAssembly. It worked fine with version 1.25 on MacOSX to.


I cannot get gdb to work on Mac, so have no further info.


/Andreas


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

[Quantlib-dev] QuantLib 1.29 released

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

QuantLib 1.29 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>.

If you have any problems with this release, please report them here on the
QuantLib mailing list (<qua...@li...>), or open a
GitHub issue at <https://github.com/lballabio/quantlib/issues>.

Re: [Quantlib-dev] Segmentation fault on 1.28 on MacOSX

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

Ok, please let me know how it goes.

Luigi

On Thu, Jan 12, 2023 at 10:34 AM Andreas Lindh <and...@ca...>
wrote:

> Hi Luigi!
>
> Apparently my code demands c++17, but this have not been an issue in the
> past. The boost version that brew installs is
> /usr/local/Cellar/boost/1.81.0
>
> I decided to see if this works in 1.29 and ignore it until then.
>
> /Andreas
>
> ------------------------------
> *From:* Luigi Ballabio <lui...@gm...>
> *Sent:* Wednesday, January 11, 2023 18:11
> *To:* Andreas Lindh <and...@ca...>
> *Cc:* qua...@li... <
> qua...@li...>
> *Subject:* Re: [Quantlib-dev] Segmentation fault on 1.28 on MacOSX
>
> Ok -- may you try again with `-std=c++14` instead of `-std=c++1z`? The
> idea would be to try to use the same compilation flags with which QuantLib
> itself was compiled, to avoid discrepancies in the compiled interfaces.
> Another discrepancy might be the version of boost; did you install it from
> homebrew, too?
>
> Hope this helps,
>     Luigi
>
>
> On Wed, Jan 11, 2023 at 5:45 PM Andreas Lindh <and...@ca...>
> wrote:
>
> Hi Luigi!
>
> Seems like it is installed.
>
> ~  > /usr/local/Cellar/quantlib/1.28/bin/quantlib-config --libs --cflags
> -L/usr/local/Cellar/quantlib/1.28/lib -lQuantLib
> -I/usr/local/Cellar/quantlib/1.28/include -std=c++14
>
> /Andreas
> ------------------------------
> *From:* Luigi Ballabio <lui...@gm...>
> *Sent:* Wednesday, January 11, 2023 17:39
> *To:* Andreas Lindh <and...@ca...>
> *Cc:* qua...@li... <
> qua...@li...>
> *Subject:* Re: [Quantlib-dev] Segmentation fault on 1.28 on MacOSX
>
> Hello,
>     I had it working, but I had compiled it myself -- I didn't try the
> version from homebrew.  Does `brew install quantlib` also install a
> `quantlib-config` executable?  If so, may you run `quantlib-config --libs
> --cflags` and see what it reports?
>
> Luigi
>
>
> On Wed, Jan 11, 2023 at 5:05 PM Andreas Lindh <and...@ca...>
> wrote:
>
> Apologise if this is not the correct forum.
>
> I was wondering is anyone else had issues with version 1.28 on MacOSX, or
> got it to work?
>
>
> brew install quantlib
>
> and
>
>         g++ -Wall -g -std=c++1z -I/usr/local/include/
> -I/usr/local/include/boost -L/usr/local/lib/ \
>         mycode.cpp -o mycode.exe  -lQuantLib
>
> ./mycode.exe
> gives  segmentation fault with 1.28 on MacOSX, but works fine on Linux and
> with WebAssembly. It worked fine with version 1.25 on MacOSX to.
>
>
> I cannot get gdb to work on Mac, so have no further info.
>
>
> /Andreas
>
>
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>

Re: [Quantlib-dev] Segmentation fault on 1.28 on MacOSX

[Andreas L. <and...@ca...>]

Hi Luigi!

Apparently my code demands c++17, but this have not been an issue in the past. The boost version that brew installs is
/usr/local/Cellar/boost/1.81.0

I decided to see if this works in 1.29 and ignore it until then.

/Andreas

________________________________
From: Luigi Ballabio <lui...@gm...>
Sent: Wednesday, January 11, 2023 18:11
To: Andreas Lindh <and...@ca...>
Cc: qua...@li... <qua...@li...>
Subject: Re: [Quantlib-dev] Segmentation fault on 1.28 on MacOSX

Ok -- may you try again with `-std=c++14` instead of `-std=c++1z`? The idea would be to try to use the same compilation flags with which QuantLib itself was compiled, to avoid discrepancies in the compiled interfaces.  Another discrepancy might be the version of boost; did you install it from homebrew, too?

Hope this helps,
    Luigi


On Wed, Jan 11, 2023 at 5:45 PM Andreas Lindh <and...@ca...<mailto:and...@ca...>> wrote:
Hi Luigi!

Seems like it is installed.

~  > /usr/local/Cellar/quantlib/1.28/bin/quantlib-config --libs --cflags
-L/usr/local/Cellar/quantlib/1.28/lib -lQuantLib
-I/usr/local/Cellar/quantlib/1.28/include -std=c++14

/Andreas
________________________________
From: Luigi Ballabio <lui...@gm...<mailto:lui...@gm...>>
Sent: Wednesday, January 11, 2023 17:39
To: Andreas Lindh <and...@ca...<mailto:and...@ca...>>
Cc: qua...@li...<mailto:qua...@li...> <qua...@li...<mailto:qua...@li...>>
Subject: Re: [Quantlib-dev] Segmentation fault on 1.28 on MacOSX

Hello,
    I had it working, but I had compiled it myself -- I didn't try the version from homebrew.  Does `brew install quantlib` also install a `quantlib-config` executable?  If so, may you run `quantlib-config --libs --cflags` and see what it reports?

Luigi


On Wed, Jan 11, 2023 at 5:05 PM Andreas Lindh <and...@ca...<mailto:and...@ca...>> wrote:
Apologise if this is not the correct forum.

I was wondering is anyone else had issues with version 1.28 on MacOSX, or got it to work?


brew install quantlib

and

        g++ -Wall -g -std=c++1z -I/usr/local/include/ -I/usr/local/include/boost -L/usr/local/lib/ \
        mycode.cpp -o mycode.exe  -lQuantLib

./mycode.exe
gives  segmentation fault with 1.28 on MacOSX, but works fine on Linux and with WebAssembly. It worked fine with version 1.25 on MacOSX to.


I cannot get gdb to work on Mac, so have no further info.


/Andreas


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

Re: [Quantlib-dev] Segmentation fault on 1.28 on MacOSX

[Andreas L. <and...@ca...>]

Hi Luigi!

Seems like it is installed.

~  > /usr/local/Cellar/quantlib/1.28/bin/quantlib-config --libs --cflags
-L/usr/local/Cellar/quantlib/1.28/lib -lQuantLib
-I/usr/local/Cellar/quantlib/1.28/include -std=c++14

/Andreas
________________________________
From: Luigi Ballabio <lui...@gm...>
Sent: Wednesday, January 11, 2023 17:39
To: Andreas Lindh <and...@ca...>
Cc: qua...@li... <qua...@li...>
Subject: Re: [Quantlib-dev] Segmentation fault on 1.28 on MacOSX

Hello,
    I had it working, but I had compiled it myself -- I didn't try the version from homebrew.  Does `brew install quantlib` also install a `quantlib-config` executable?  If so, may you run `quantlib-config --libs --cflags` and see what it reports?

Luigi


On Wed, Jan 11, 2023 at 5:05 PM Andreas Lindh <and...@ca...<mailto:and...@ca...>> wrote:
Apologise if this is not the correct forum.

I was wondering is anyone else had issues with version 1.28 on MacOSX, or got it to work?


brew install quantlib

and

        g++ -Wall -g -std=c++1z -I/usr/local/include/ -I/usr/local/include/boost -L/usr/local/lib/ \
        mycode.cpp -o mycode.exe  -lQuantLib

./mycode.exe
gives  segmentation fault with 1.28 on MacOSX, but works fine on Linux and with WebAssembly. It worked fine with version 1.25 on MacOSX to.


I cannot get gdb to work on Mac, so have no further info.


/Andreas


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

Re: [Quantlib-dev] Segmentation fault on 1.28 on MacOSX

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

Ok -- may you try again with `-std=c++14` instead of `-std=c++1z`? The idea
would be to try to use the same compilation flags with which QuantLib
itself was compiled, to avoid discrepancies in the compiled interfaces.
Another discrepancy might be the version of boost; did you install it from
homebrew, too?

Hope this helps,
    Luigi


On Wed, Jan 11, 2023 at 5:45 PM Andreas Lindh <and...@ca...>
wrote:

> Hi Luigi!
>
> Seems like it is installed.
>
> ~  > /usr/local/Cellar/quantlib/1.28/bin/quantlib-config --libs --cflags
> -L/usr/local/Cellar/quantlib/1.28/lib -lQuantLib
> -I/usr/local/Cellar/quantlib/1.28/include -std=c++14
>
> /Andreas
> ------------------------------
> *From:* Luigi Ballabio <lui...@gm...>
> *Sent:* Wednesday, January 11, 2023 17:39
> *To:* Andreas Lindh <and...@ca...>
> *Cc:* qua...@li... <
> qua...@li...>
> *Subject:* Re: [Quantlib-dev] Segmentation fault on 1.28 on MacOSX
>
> Hello,
>     I had it working, but I had compiled it myself -- I didn't try the
> version from homebrew.  Does `brew install quantlib` also install a
> `quantlib-config` executable?  If so, may you run `quantlib-config --libs
> --cflags` and see what it reports?
>
> Luigi
>
>
> On Wed, Jan 11, 2023 at 5:05 PM Andreas Lindh <and...@ca...>
> wrote:
>
> Apologise if this is not the correct forum.
>
> I was wondering is anyone else had issues with version 1.28 on MacOSX, or
> got it to work?
>
>
> brew install quantlib
>
> and
>
>         g++ -Wall -g -std=c++1z -I/usr/local/include/
> -I/usr/local/include/boost -L/usr/local/lib/ \
>         mycode.cpp -o mycode.exe  -lQuantLib
>
> ./mycode.exe
> gives  segmentation fault with 1.28 on MacOSX, but works fine on Linux and
> with WebAssembly. It worked fine with version 1.25 on MacOSX to.
>
>
> I cannot get gdb to work on Mac, so have no further info.
>
>
> /Andreas
>
>
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>

Re: [Quantlib-dev] Segmentation fault on 1.28 on MacOSX

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

Hello,
    I had it working, but I had compiled it myself -- I didn't try the
version from homebrew.  Does `brew install quantlib` also install a
`quantlib-config` executable?  If so, may you run `quantlib-config --libs
--cflags` and see what it reports?

Luigi


On Wed, Jan 11, 2023 at 5:05 PM Andreas Lindh <and...@ca...>
wrote:

> Apologise if this is not the correct forum.
>
> I was wondering is anyone else had issues with version 1.28 on MacOSX, or
> got it to work?
>
>
> brew install quantlib
>
> and
>
>         g++ -Wall -g -std=c++1z -I/usr/local/include/
> -I/usr/local/include/boost -L/usr/local/lib/ \
>         mycode.cpp -o mycode.exe  -lQuantLib
>
> ./mycode.exe
> gives  segmentation fault with 1.28 on MacOSX, but works fine on Linux and
> with WebAssembly. It worked fine with version 1.25 on MacOSX to.
>
>
> I cannot get gdb to work on Mac, so have no further info.
>
>
> /Andreas
>
>
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

[Quantlib-dev] Segmentation fault on 1.28 on MacOSX

[Andreas L. <and...@ca...>]

Apologise if this is not the correct forum.

I was wondering is anyone else had issues with version 1.28 on MacOSX, or got it to work?


brew install quantlib

and

        g++ -Wall -g -std=c++1z -I/usr/local/include/ -I/usr/local/include/boost -L/usr/local/lib/ \
        mycode.cpp -o mycode.exe  -lQuantLib

./mycode.exe
gives  segmentation fault with 1.28 on MacOSX, but works fine on Linux and with WebAssembly. It worked fine with version 1.25 on MacOSX to.


I cannot get gdb to work on Mac, so have no further info.


/Andreas

[Quantlib-dev] ORE v8 released

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

Dear all,

We have just published the 8th release of ORE and ORE-SWIG, updating the codebase at https://github.com/OpenSourceRisk. ORE 8 depends on QuantLib and QuantLib-SWIG 1.28.

As announced by Acadia in September, we are continuing the rollout of financial instruments this time with commodity derivatives adding

  *   Swaps
  *   Swaptions
  *   Digital Options
  *   Average Price Options
  *   Option Strips
and a few more exotic Equity/FX products.

Moreover, we are adding to the analytics to make ORE more widely usable

  *   Commodity simulation integrated into the Gaussian Cross Asset Model in ORE, so that we have coverage across six asset classes now in exposure simulation and XVA
  *   Multi-factor Hull-White / FX / Commodity simulation model
  *   American Monte Carlo components to allow quick exposure simulation including multi-callables
The full release notes can be found in the user guide under the DOCUMENTATION menu on https://opensourcerisk.org.

Credit derivatives, Bond derivatives, hybrids and scripted exotics will follow in the next releases in quarterly steps, see also the Acadia press release for the previous 7th 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] QuantLib 1.28 released

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

QuantLib 1.28 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>.

Re: [Quantlib-dev] Inflation index fixings in the future

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

Ciao Daniele,
    fixings are for the past, and term structures are for forecasts — it's
a deliberate choice for a number of reasons.  However, you can get what you
want by creating a term structure that gives you back the expected
fixings.  I don't have sample code right now, but the idea is as follows.

Let's say you have the last actual index fixing I_0 (i.e., not a
forecast).  For each of the future fixings at time T_i, you can calculate
the corresponding zero-rate R_i so that I_i = i_0 * (1 + R_i)^T_i.  Once
you've done the conversion, you can create
an InterpolatedZeroInflationCurve from the resulting rates and the
corresponding dates (you might have to play with the lag in order to get
the dates right).  If you pass the curve to the index instance, it should
return the fixings you started with.

Let me know if that works.  If not, post your code and we can try to get
there.

Hope this helps,
    Luigi




On Wed, Oct 12, 2022 at 1:51 PM Daniele Marconi <
dan...@gm...> wrote:

> Dear Luigi,
>
>
>
> the question is strictly on the file “inflationindex.cpp”.
>
>
>
> What I lack is the possibility to give use in the index a set of fixings
> in the future. That is, we have forecasted index values (so, future
> fixings) directly from the market data provider and we would like to use
> them in place of the forecasting function done by the
> zeroInflationTermStructure.
>
> Given the current version, I can load into IndexManager future fixings, no
> problem.
>
> The issue comes in the functionZeroInflationIndex::fixing and then
> ZeroInflationIndex::needsForecast.
>
> In the latter, latestNeededDate is basically evaluation date “minus”
> availabilityLag and it is assumed that everything coming after that date
> needs a forecast from term structure.
>
> Is there a way to obtain what I need, i.e. to use fixings from time-series
> also in case of future dates?
>
>
>
>         if (latestNeededDate <= historicalFixingKnown) {
>
>             // the fixing date is well before the availability lag, so
>
>             // we know that fixings were provided.
>
>             return false;
>
>         } else if (latestNeededDate > today) {
>
>             // the fixing can't be available, no matter what's in the
>
>             // time series
>
>             return true;
>
>         }
>
>
>
> Thank you
>
> Daniele marconi
> --
> Daniele Marconi
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

[Quantlib-dev] Inflation index fixings in the future

[Daniele M. <dan...@gm...>]

Dear Luigi,



the question is strictly on the file “inflationindex.cpp”.



What I lack is the possibility to give use in the index a set of fixings in
the future. That is, we have forecasted index values (so, future fixings)
directly from the market data provider and we would like to use them in
place of the forecasting function done by the zeroInflationTermStructure.

Given the current version, I can load into IndexManager future fixings, no
problem.

The issue comes in the functionZeroInflationIndex::fixing and then
ZeroInflationIndex::needsForecast.

In the latter, latestNeededDate is basically evaluation date “minus”
availabilityLag and it is assumed that everything coming after that date
needs a forecast from term structure.

Is there a way to obtain what I need, i.e. to use fixings from time-series
also in case of future dates?



        if (latestNeededDate <= historicalFixingKnown) {

            // the fixing date is well before the availability lag, so

            // we know that fixings were provided.

            return false;

        } else if (latestNeededDate > today) {

            // the fixing can't be available, no matter what's in the

            // time series

            return true;

        }



Thank you

Daniele marconi
-- 
Daniele Marconi

Re: [Quantlib-dev] Docker Windows container

[Alix L. <ali...@gm...>]

Hi Luigi,

Thanks a lot for your answer, this is likely what I am looking for!

Unfortunately, I cannot make a try right now as Docker Desktop is not
allowed to be installed on my pro machine, and I discovered that the
alternative solution Rancher Desktop does not support Windows containers at
this point.

I will be glad to share my findings once I will be able to test this.

Thanks for your help again,

Alix


Le mer. 28 sept. 2022 à 13:06, Luigi Ballabio <lui...@gm...> a
écrit :

> 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
>>
>

Re: [Quantlib-dev] ORE 7

[Ioannis R. <qua...@de...>]

Hi Peter,

I will explain my issue.

My Deriscope software consists of custom code that makes use of methods 
implemented either in ORE or QuantLib.

Until ORE release 6 I was able to upgrade to the latest QuantLib release 
without any problems.

But now with the current ORE release 7 I am stuck with the forked 
QuantLib code in the ORE repository.

For example, if tomorrow Luigi makes a new QuantLib release, I will not 
be able to incorporate it into my code as it would be incompatible with 
what ORE expects.

So, right now everything seems to work, but I am mostly concerned about 
the future. Optimally, the next ORE release 8 will link to a main branch 
(official) QuantLib version rather than a forked one. I can only hope 
this will be technically possible.

Regards,

Ioannis

On 10/8/2022 5:07 PM, Peter Caspers wrote:
> Hi Ioannis
>
> there is definitely no such thing as a "divorce from QuantLib" or any 
> other change in our dev strategy with release 7. That would be rather 
> silly indeed. Quite on the contrary I mentioned in a recent post that 
> it would make a lot of sense to consolidate some QuantExt classes with 
> QuantLib to reduce redundancies in (for example) the short rate models 
> (in the discussion around the Hull White 1F / GSR / LGM models, which 
> are all essentially the same).
>
> What is the concrete issue you have? Can you elaborate a bit, maybe we 
> can help mitigating it until the libraries are more in line again. I 
> am actually aware of a breaking change in the inflation framework, 
> this was reported on github recently. This is something we should 
> surely try to straighten out relatively soon.
>
> Thanks
> Peter
>
>
> On Sat, 8 Oct 2022 at 10:42, Ioannis Rigopoulos 
> <qua...@de...> wrote:
>
>     Hi Roland, Peter,
>
>     I am personally very keen on the continuous success of both
>     QuantLib and ORE as I am using both in my Deriscope application,
>     which is currently deployed successfully to a few bank clients,
>     including trading desks.
>
>     I have opted to link to both QuantLib and ORE because of their
>     distinct competencies.
>
>     Through the interaction with my clients, I often feel the need to
>     edit certain code segments. In the past I tried to add my edits to
>     the QuantLib and ORE main branches, but I have now refrained from
>     this practice due to a) QuantLib team's "less-than-enthusiastic"
>     response on issues I was raising and b) ORE's recent "disappearance".
>
>     I felt very glad with ORE's comeback with release 7, its new
>     Acadia venture and its commitment to regular quarterly releases to
>     the point that I thought of transferring all my own code edits to
>     the ORE main branch.
>
>     But I see now that the ORE release 7 marks a kind of "divorce"
>     from QuantLib, which is not good news for developers like me.
>
>     To put it simply, I am now forced to choose one or the other:
>
>     If I choose ORE, I will be distancing myself from the original
>     QuantLib branch, which would be dangerous if tomorrow ORE stops
>     being developed and also prohibit me from using recent additions
>     to QuantLib that are not yet incorporated in the ORE releases.
>
>     If I choose QuantLib, I will not be able to use ORE, which
>     admittedly has very important stuff!
>
>     A bit of an unfortunate deadlock really, which was not there until
>     release 6.
>
>     Ioannis
>
>     On 10/8/2022 9:49 AM, Peter Caspers wrote:
>>     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...>
>>>>         <mailto:qua...@de...>
>>>>         *Date: *Tuesday, 4 October 2022 at 09:40
>>>>         *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.
>>>>
>>>>         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
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>>>>
>>>>
>>>>
>>>>                 _______________________________________________
>>>>
>>>>                 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>
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>>>>             available on our website. /
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>>>>         The information contained in this e-mail, and any
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>>>>         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
>>         _______________________________________________
>>         QuantLib-dev mailing list
>>         Qua...@li...
>>         https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>

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Re: [Quantlib-dev] ORE 7

[Peter C. <pca...@gm...>]

Hi Ioannis

there is definitely no such thing as a "divorce from QuantLib" or any other
change in our dev strategy with release 7. That would be rather silly
indeed. Quite on the contrary I mentioned in a recent post that it would
make a lot of sense to consolidate some QuantExt classes with QuantLib to
reduce redundancies in (for example) the short rate models (in the
discussion around the Hull White 1F / GSR / LGM models, which are all
essentially the same).

What is the concrete issue you have? Can you elaborate a bit, maybe we can
help mitigating it until the libraries are more in line again. I am
actually aware of a breaking change in the inflation framework, this was
reported on github recently. This is something we should surely try to
straighten out relatively soon.

Thanks
Peter


On Sat, 8 Oct 2022 at 10:42, Ioannis Rigopoulos <qua...@de...>
wrote:

> Hi Roland, Peter,
>
> I am personally very keen on the continuous success of both QuantLib and
> ORE as I am using both in my Deriscope application, which is currently
> deployed successfully to a few bank clients, including trading desks.
>
> I have opted to link to both QuantLib and ORE because of their distinct
> competencies.
>
> Through the interaction with my clients, I often feel the need to edit
> certain code segments. In the past I tried to add my edits to the QuantLib
> and ORE main branches, but I have now refrained from this practice due to
> a) QuantLib team's "less-than-enthusiastic" response on issues I was
> raising and b) ORE's recent "disappearance".
>
> I felt very glad with ORE's comeback with release 7, its new Acadia
> venture and its commitment to regular quarterly releases to the point that
> I thought of transferring all my own code edits to the ORE main branch.
>
> But I see now that the ORE release 7 marks a kind of "divorce" from
> QuantLib, which is not good news for developers like me.
>
> To put it simply, I am now forced to choose one or the other:
>
> If I choose ORE, I will be distancing myself from the original QuantLib
> branch, which would be dangerous if tomorrow ORE stops being developed and
> also prohibit me from using recent additions to QuantLib that are not yet
> incorporated in the ORE releases.
>
> If I choose QuantLib, I will not be able to use ORE, which admittedly has
> very important stuff!
>
> A bit of an unfortunate deadlock really, which was not there until release
> 6.
>
> Ioannis
> On 10/8/2022 9:49 AM, Peter Caspers wrote:
>
> 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
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>>
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>>
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>> available on our website. *
>>
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>> 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.
>>
>>
>>
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>>
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>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
>

Re: [Quantlib-dev] ORE 7

[Ioannis R. <qua...@de...>]

Hi Roland, Peter,

I am personally very keen on the continuous success of both QuantLib and 
ORE as I am using both in my Deriscope application, which is currently 
deployed successfully to a few bank clients, including trading desks.

I have opted to link to both QuantLib and ORE because of their distinct 
competencies.

Through the interaction with my clients, I often feel the need to edit 
certain code segments. In the past I tried to add my edits to the 
QuantLib and ORE main branches, but I have now refrained from this 
practice due to a) QuantLib team's "less-than-enthusiastic" response on 
issues I was raising and b) ORE's recent "disappearance".

I felt very glad with ORE's comeback with release 7, its new Acadia 
venture and its commitment to regular quarterly releases to the point 
that I thought of transferring all my own code edits to the ORE main branch.

But I see now that the ORE release 7 marks a kind of "divorce" from 
QuantLib, which is not good news for developers like me.

To put it simply, I am now forced to choose one or the other:

If I choose ORE, I will be distancing myself from the original QuantLib 
branch, which would be dangerous if tomorrow ORE stops being developed 
and also prohibit me from using recent additions to QuantLib that are 
not yet incorporated in the ORE releases.

If I choose QuantLib, I will not be able to use ORE, which admittedly 
has very important stuff!

A bit of an unfortunate deadlock really, which was not there until 
release 6.

Ioannis

On 10/8/2022 9:49 AM, Peter Caspers wrote:
> 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...>
>>>     <mailto:qua...@de...>
>>>     *Date: *Tuesday, 4 October 2022 at 09:40
>>>     *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.
>>>
>>>     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
>>>
>>>
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Re: [Quantlib-dev] ORE 7

[Peter C. <pca...@gm...>]

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
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> and delete it from your computer. The acadia.inc privacy policy is
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>
>
>
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>
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> available on our website. *
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> 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
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> and delete it from your computer. The acadia.inc privacy policy is
> available on our website.
>
>
>
> _______________________________________________
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>

Re: [Quantlib-dev] ORE 7

[Ioannis R. <qua...@de...>]

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=
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>>
>>     	
>>
>>     Virenfrei.www.avast.com
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>>
>>     /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
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>>     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

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Re: [Quantlib-dev] ORE 7

[Ioannis R. <qua...@de...>]

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
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>         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>
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>
> 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 
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Re: [Quantlib-dev] ORE 7

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

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.




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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.

Re: [Quantlib-dev] ORE 7

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

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...>

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Re: [Quantlib-dev] ORE 7

[Ioannis R. <qua...@de...>]

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
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Re: [Quantlib-dev] ORE 7

[Ioannis R. <qua...@de...>]

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

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Re: [Quantlib-dev] Docker Windows container

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

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
>