quantlib-dev — Discussion of QuantLib development

[Quantlib-dev] [ quantlib-Bugs-1304830 ] Compiling on Mac OS X 10.4.2 fails

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Bugs item #1304830, was opened at 2005-09-26 15:20
Message generated for change (Settings changed) made by lballabio
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Category: None
Group: None
>Status: Closed
>Resolution: Fixed
Priority: 5
Submitted By: akesson (akesson)
Assigned to: Nobody/Anonymous (nobody)
Summary: Compiling on Mac OS X 10.4.2 fails

Initial Comment:
Hi there,

I am trying to compile QuantLib 3.10 on my Mac. I get the following
compiler error

ld: warning multiple definitions of symbol ___eprintf

and the compiler is complaining about some other multiple 
definitions. 
Anyone any idea what I am doing wrong ?

Logfile of the make is attached ...

Cheers

Fredrik

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

Comment By: akesson (akesson)
Date: 2005-10-10 14:41

Message:
Logged In: YES 
user_id=1351881

The --disable-shared part did it for me (thanks for the advice). This
solves the problem I had with multiple definitions of 'core' symbols
from libgcc.

The big question is why the linker tries to link both the static AND
dynamic libgcc when trying to compile the shared libs for QuantLib. 
This can not work ...




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

Comment By: Patrick Klein (paklein)
Date: 2005-10-08 23:59

Message:
Logged In: YES 
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After a little probing, I found that for some reason
calendar.o was being omitted from QuantLib libraries, though
I couldn't tell why from looking at the Makefile's.  The
ugly fix was to list it twice in ql/Makefile:

am_libQuantLib_la_OBJECTS = calendar.lo calendar.lo
currency.lo date.lo \

Don't know why, but that seems to fix it.

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

Comment By: Patrick Klein (paklein)
Date: 2005-10-08 19:44

Message:
Logged In: YES 
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It looks like the configure script is not picking up the
version of 10.4 correctly, and this was causing the wrong
linker flags to be used. I found that if I set

setenv MACOSX_DEPLOYMENT_TARGET 10.4

then re-ran configure, everything built -- except the
examples. I'm trying now with --disable-shared, but I'm
still getting some linker errors.

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

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[Quantlib-dev] [ quantlib-Bugs-1461368 ] cashflowvectors with act/act (isma)

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Bugs item #1461368, was opened at 2006-03-30 14:53
Message generated for change (Comment added) made by lballabio
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Category: None
Group: None
>Status: Closed
>Resolution: Rejected
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Luigi Ballabio (lballabio)
Summary: cashflowvectors  with act/act (isma)

Initial Comment:
Hi,

can it be that there's a mistake in the 
function 'FixedRateCouponVector', which is included in 
the file 'cashflowvectors.cpp'?
I wonder if the yearfractions were calculated 
correctly if the daycounter is set to act/act (isma). 
If this daycounter is used to calculate a 
yearfraction, one really needs the reference period, 
which is in general different from the accrued period. 
But the function 'FixedRateCouponVector' creates 
coupons á la
FixedRateCoupon(nominal, paymentdate, rate, 
dayCounter, start, end, start, end), so that the 
accrual period (args 5&6)and reference period (args 
7&8) are apparently identical.
Am I right?


Regards,
Christian Alpert, chr...@no...

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2006-04-19 11:44

Message:
Logged In: YES 
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Christian,
    the start,end,start,end arguments are passed for regular
coupons; in that context, the tenor of the coupon should be
the correct choice for the reference period. When the
coupons are not regular (i.e., when the first or last coupon
is a short or long one) the reference period is calculated
differently, so I don't think this needs to be fixed; you
can find the calculation in the initial and final part of
the function. Please go ahead and submit a patch if you
think this should be changed.

Thanks,
    Luigi


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Re: [Quantlib-dev] 64bit quantlib test suite

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

On 04/08/2006 03:15:53 AM, Tamas R Sashalmi wrote:
> Hello All,
> I've got the following error in the test suite for the stable 3.12 on =20
> 64bit.

Ok, it is fixed in CVS.

Thanks,
	Luigi


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

Within C++, there is a much smaller and cleaner language struggling to =20
get out.
-- Bjarne Stroustrup

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

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

Bugs item #1472546, was opened at 2006-04-18 12:25
Message generated for change (Tracker Item Submitted) made by Item Submitter
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including the initial issue submission, for this request,
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: Mac OS X 10.4. Configure fails

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

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Re: [Quantlib-dev] linux 64bit & Quantlib

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

On 4/15/06, Tamas R Sashalmi <ta...@gm...> wrote:
> I've compiled the cvs version on 64bit linux. The first problem what I ha=
d
> was some missing hpp file (garch.hpp) in VolatilityModels.

This is now fixed.


> The second problem is the quantlib libraries will be
> installed in /usr/local/lib/ instead of /usr/local/lib64 (even if I used
> the ./configure x86_64-suse-linux --enable-libsuffix=3D64) I guess the
> configure does not know about "--enable-libsuffix=3D64".

I guess so. You can cause the libraries to be installed in the right
place by running
./configure --libdir=3D/usr/local/lib64


> Third was reported already on version 0.3.12 :Heston engine's tolerance
> set is a little high, my error was 7.889232e-08.

Ok, I'll make the test a bit more tolerant.

Thanks,
    Luigi

Re: [Quantlib-dev] Bug in PayoffWrapper in ql/FiniteDifferences/stepcondition.hpp

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

On 04/11/2006 02:23:46 AM, Klaus Spanderen wrote:
> The corresponding constructors aren't used in QL test-suite or in
> Examples
> anymore. I therefore suggest to remove them from the QL
> (americanconstion.hpp, shoutcondition.hpp, stepcondition.hpp).

Klaus,
	as to the possible bug, I'll let Joseph step in. However, the =20
above classes are still used in =20
ql/PricingEngines/Vanilla/fdconditions.hpp.

Luigi



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

The first thing we do, let's kill all the lawyers.
-- W. Shakespeare, "King Henry VI, Part II"

Re: [Quantlib-dev] wanted to be quantlib developer

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

On 04/11/2006 06:16:14 PM, sur...@po... wrote:
> I am also interested in contributing Quntlib project.

Suraj,
	apologies for the delay, and thanks for the offer. Is there =20
anything in particular you'd be interested in working on?

Later,
	Luigi


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

The first thing we do, let's kill all the lawyers.
-- W. Shakespeare, "King Henry VI, Part II"

[Quantlib-dev] linux 64bit & Quantlib

[Tamas R S. <ta...@gm...>]

Hello all,

I would like to report some problems what I had on Suse 10 64bit Linux  =

with Quantlib CVS:

I've compiled the cvs version on 64bit linux. The first problem what I h=
ad  =

was some missing hpp file (garch.hpp) in VolatilityModels.
Removing its request in QuantLib/ql/VolatilityModels/Makefile.in solved =
 =

the problem. The second problem is the quantlib libraries will be  =

installed in /usr/local/lib/ instead of /usr/local/lib64 (even if I used=
  =

the ./configure x86_64-suse-linux --enable-libsuffix=3D64) I guess the  =

configure does not know about "--enable-libsuffix=3D64". Third was repor=
ted  =

already on version 0.3.12 :Heston engine's tolerance set is a little hig=
h,  =

my error was 7.889232e-08.

Please fix them if you have some free time (yes I know, neither do I  )

If you need more info please let me know

Thank You,

Tamas Sashalmi

[Quantlib-dev] [ quantlib-Feature Requests-1469488 ] Unadjusted month end business day convention

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

Feature Requests item #1469488, was opened at 2006-04-12 13:12
Message generated for change (Tracker Item Submitted) made by Item Submitter
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=1469488&group_id=12740

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including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: Unadjusted month end business day convention

Initial Comment:
There is no business day convention available that 
conforms to the convention of the US 2 year treasury 
note - which is the last day of the month unadjusted 
for weekends or holidays.

I corrected this for myself by adding 
UnadjustedMonthEnd to the BusinessDayConvention and 
changing the Calendar::adjust function by replacing:

  if (c == Unadjusted)
    return d;

with:

  if(c == UnadjustedMonthEnd && origin != Date() &&   
isEndOfMonth(origin))
    return Date::endOfMonth(d);

  if (c == Unadjusted || c == UnadjustedMonthEnd)
    return d;


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[Quantlib-dev] wanted to be quantlib developer

[<sur...@po...>]

Hi,

I am also interested in contributing Quntlib project.

I was invloved in derivatives project. I am a c++ developer on
linux/solaris.
Please let me know what I need to do.

regards,
Suraj


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[Quantlib-dev] Quanto LMM QuantLib developement

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

Hi Klaus,

Thanks for the pdf file.

Looks like it's not going to be as easy as I thought.

What would you suggest would be the best method of integration of Quanto 
rates into the LMM model given that we already have a BlackScholesProcess 
object within quantLib.

Toy out.

>From: Klaus Spanderen <kla...@fr...>
>Reply-To: kla...@fr...
>To: "Toyin Akin" <toy...@ho...>
>CC: qua...@li...
>Subject: Re: [Quantlib-dev] QuantLib developement
>Date: Mon, 10 Apr 2006 08:36:23 +0200
>
>Hi Toy,
>
>I found the following slides on LMM and quanto structures quite good
>
>http://www.christian-fries.de/finmath/PDF/
>CrossCurrencyLIBORModels-MarkovFunctionalModel_Koeln2004.pdf
>
>cheers
>  Klaus
>
>

Re: [Quantlib-dev] QuantLib developement

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

On 4/4/06, TB...@ao... <TB...@ao...> wrote:
> Hi Luigi,
>
> I did not get your reply for some reason, so I have subscribed to develop=
ers
> mailing list and
> I am resending my previous e-mail.

Yes, the mail I'm sending to your AOL address keep bouncing back. The
developers' list is the preferred place for discussion anyway.



> I want to do some further Quantlib development on the following:
>
> 1) extend the convertible bond engine to include discrete dividends.   I
> have an idea which involves recursion...

It looks kind of computationally intensive. How are discrete dividends
managed in practice and/or literature? Anyone, any references?

> 2) extend the convertible bond engine to allow cater for partial recovery=
 of
> bond
> and stock price going to 0 or partial recovery of stock  if there is a
> default.

Ok.

> 3) price Mortgage Backed Security.  In the case of the MBS, I am trying t=
o
> work out
> how a hullwhite short rate model can be modelled using Monte Carlo in
> Quantlib.  Its not
> very clear how the dynamics of the short rate process can be passed to Mo=
nte
> Carlo class.

I'll be committing shortly a contribution I received. It provides
processes based on Hull-White that can be used in a Monte Carlo model.
I'll let you know when they're available.

Later,
    Luigi

Re: [Quantlib-dev] QuantLib developement

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

Hi Toy,

I found the following slides on LMM and quanto structures quite good

http://www.christian-fries.de/finmath/PDF/
CrossCurrencyLIBORModels-MarkovFunctionalModel_Koeln2004.pdf

cheers
 Klaus

[Quantlib-dev] [ quantlib-Bugs-1467845 ] Trending123.com

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

Bugs item #1467845, was opened at 2006-04-10 19:16
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1467845&group_id=12740

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including the initial issue submission, for this request,
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Category: None
Group: None
>Status: Deleted
>Resolution: Rejected
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: Trending123.com

Initial Comment:
Dear, Webmaster/Links Manager:

We are very interested in doing a link exchange with 
your company. As you know link exchanges are a great 
way of increasing your sites search engine 
placements/traffic. It would be beneficial for both 
of us to do a link exchange.  We are regularly ranked 
in the top 100,000 sites in alexa.com and have a very 
highly trafficked financial site.

Please click the link below and follow the 3 very 
easy steps to complete a link back to your site.  You 
can either email or call me at the contact 
information below.

http://www.trending123.com/links/exchange.html

Kind Regards,

David Gelfman
da...@tr...
212-355-3293


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

>Comment By: Luigi Ballabio (lballabio)
Date: 2006-04-10 21:58

Message:
Logged In: YES 
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Bug trackers---the new frontier of unsolicited offers.

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[Quantlib-dev] [ quantlib-Bugs-1467845 ] Trending123.com

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

Bugs item #1467845, was opened at 2006-04-10 10:16
Message generated for change (Tracker Item Submitted) made by Item Submitter
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1467845&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: Trending123.com

Initial Comment:
Dear, Webmaster/Links Manager:

We are very interested in doing a link exchange with 
your company. As you know link exchanges are a great 
way of increasing your sites search engine 
placements/traffic. It would be beneficial for both 
of us to do a link exchange.  We are regularly ranked 
in the top 100,000 sites in alexa.com and have a very 
highly trafficked financial site.

Please click the link below and follow the 3 very 
easy steps to complete a link back to your site.  You 
can either email or call me at the contact 
information below.

http://www.trending123.com/links/exchange.html

Kind Regards,

David Gelfman
da...@tr...
212-355-3293


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

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[Quantlib-dev] Bug in PayoffWrapper in ql/FiniteDifferences/stepcondition.hpp

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

Hi 

IMO there is a potential bug in the FD module, namely the usage of 
PayoffWrapper in CurveDependentStepCondition (or may be I don't get point;-).

Using the corresponding functionality the Payoff would be applied to the 
intrinsic value of the derivative within the step condition when doing the 
backwards propagation, which leads to wrong results. 

The corresponding constructors aren't used in QL test-suite or in Examples 
anymore. I therefore suggest to remove them from the QL 
(americanconstion.hpp, shoutcondition.hpp, stepcondition.hpp).

Thoughts?

cheers
_______________________________________________________
Klaus Spanderen
Hubertustal 13f
48734 Reken (Germany)
Email: kla...@NO...
(remove NOSPAM from the address)
http://www.spanderen.de

Re: [Quantlib-dev] Some suggestions

[Patrick C. <ch...@is...>]

Hi Luigi,

I will do that this week.

Patrick

Luigi Ballabio wrote:
> 
> On 03/27/2006 11:27:59 PM, Patrick Cheng wrote:
>> I'd like to help on this project, first by adding the cmake support. 
>> It won't require any refactoring. Just add a simple "CMakeLists.txt" 
>> in each directory.
> 
> Apologies for the delay. Please go ahead; you can send me the files at 
> my address.
> 
> Thanks,
>     Luigi
> 
> 
> ----------------------------------------
> 
> Weiler's Law:
>         Nothing is impossible for the man who doesn't have to
>         do it himself.
> 
> 

Re: [Quantlib-dev] Fwd: QuantLib developement

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

On Apr 8, 2006, at 11:54 AM, TB...@ao... wrote:
> I have not received any response to my e-mail.

It's because I still haven't answered---I'm a bit busy this week.

Later,
	Luigi

[Quantlib-dev] 64bit quantlib test suite

[Tamas R S. <ta...@gm...>]

Hello All,
I've got the following error in the test suite for the stable 3.12 on  
64bit.
I will check CVS and send the results as well.

Tamas

Testing analytic Heston engine against Black formula...
hestonmodel.cpp(296): fatal error in  
"HestonModelTest::testAnalyticVsBlack": failed to reproduce Black price
     calculated: 0.80067
     expected:   0.80067
     error:      7.889232e-08

Re: [Quantlib-dev] python binding(and SWIG interface in general)

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

On 03/25/2006 05:41:29 AM, gary ng wrote:
> I tried to use the python binding instead of C++ but it seems that if
> I want to do anything that is not in quantlib, I still need to =20
> program them in C++ then expose my implementation in SWIG, instead of =20
> implementing the logic in python. Is this the intended usage of the =20
> binding ?

It is not the intended usage, but the bindings often lag a bit behind =20
the library. In your case, the bindings should be extended so that =20
HullWhite public members are exposed. I'll try and do it for next =20
release---or you can modify shortratemodels.i and send me a patch. Feel =20
free to ask for advice if you undertake the task.

Later,
	Luigi


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

Hofstadter's Law:
         It always takes longer than you expect, even when you take
         Hofstadter's Law into account.

Re: [Quantlib-dev] Some suggestions

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

On 03/27/2006 11:27:59 PM, Patrick Cheng wrote:
> I'd like to help on this project, first by adding the cmake support. =20
> It won't require any refactoring. Just add a simple "CMakeLists.txt" =20
> in each directory.

Apologies for the delay. Please go ahead; you can send me the files at =20
my address.

Thanks,
	Luigi


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

Weiler's Law:
         Nothing is impossible for the man who doesn't have to
         do it himself.

RE: [Quantlib-dev] QuantLib developement

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

Hi Theo,

I too have not worked out how one can use the interest rate short rate 
models within a MonteCarlo
setting.

I'm even looking for how one can use two correlated short rate models.

All,

For the LMM model, there are several nice examples within the test files.

One question regarding the LMM model under the Monte Carlo setting, if one 
wanted to price a quanto structure (where the fixings thus need a quanto 
adjustment), is it the case that we simply multiply the initial libor rates 
by the convexity adjustment ( exp(- FXVol*Vol*Correlation) ) and then 
simulate?

Or do we apply this adjustment on the simulated libor rates at the end of 
each simulation?

Or do we require another model entirely?

Toy out.

>From: TB...@ao...
>To: qua...@li...
>Subject: [Quantlib-dev] QuantLib developement
>Date: Tue, 4 Apr 2006 06:36:15 EDT
>
>
>Hi Luigi,
>
>I did not get your reply for some reason, so I have subscribed to  
>developers
>mailing list and
>I am resending my previous e-mail.
>
>I want to do some further Quantlib development on the following:
>
>1) extend the convertible bond engine to include discrete  dividends.   I
>have an idea which involves recursion but which is  okay if you have 
>program in a
>non OO approach, but in Quantlib where its  strongly OO it may be a bit
>tricky but essentially we would need to construct a  separate tree for each
>dividend date work out the call values and compare with  early exercise of 
>(adjusted
>spot by divided -strike) and eventually all these  vector of call values
>become the call values of the previous dividend date which  in a way will 
>join the
>separate trees.  For each of the separate trees you  may need to store or
>apply call or putable features, coupon payments
>
>2) extend the convertible bond engine to allow cater for partial recovery  
>of
>bond
>and stock price going to 0 or partial recovery of stock  if there is a
>default.
>
>3) price Mortgage Backed Security.  In the case of the MBS, I am  trying to
>work out
>how a hullwhite short rate model can be modelled using Monte Carlo in
>Quantlib.  Its not
>very clear how the dynamics of the short rate process can be passed to  
>Monte
>Carlo class.
>If it was a stock process then fine.
>
>
>Regards
>
>Theo
>

[Quantlib-dev] QuantLib developement

[<TB...@ao...>]

 
Hi Luigi,
 
I did not get your reply for some reason, so I have subscribed to  developers 
mailing list and 
I am resending my previous e-mail.
 
I want to do some further Quantlib development on the following:
 
1) extend the convertible bond engine to include discrete  dividends.   I 
have an idea which involves recursion but which is  okay if you have program in a 
non OO approach, but in Quantlib where its  strongly OO it may be a bit 
tricky but essentially we would need to construct a  separate tree for each 
dividend date work out the call values and compare with  early exercise of (adjusted 
spot by divided -strike) and eventually all these  vector of call values 
become the call values of the previous dividend date which  in a way will join the 
separate trees.  For each of the separate trees you  may need to store or 
apply call or putable features, coupon payments 
 
2) extend the convertible bond engine to allow cater for partial recovery  of 
bond
and stock price going to 0 or partial recovery of stock  if there is a  
default.
 
3) price Mortgage Backed Security.  In the case of the MBS, I am  trying to 
work out
how a hullwhite short rate model can be modelled using Monte Carlo in  
Quantlib.  Its not
very clear how the dynamics of the short rate process can be passed to  Monte 
Carlo class.
If it was a stock process then fine.
 
 
Regards
 
Theo

[Quantlib-dev] [ quantlib-Bugs-1461368 ] cashflowvectors with act/act (isma)

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

Bugs item #1461368, was opened at 2006-03-30 04:53
Message generated for change (Tracker Item Submitted) made by Item Submitter
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1461368&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: cashflowvectors  with act/act (isma)

Initial Comment:
Hi,

can it be that there's a mistake in the 
function 'FixedRateCouponVector', which is included in 
the file 'cashflowvectors.cpp'?
I wonder if the yearfractions were calculated 
correctly if the daycounter is set to act/act (isma). 
If this daycounter is used to calculate a 
yearfraction, one really needs the reference period, 
which is in general different from the accrued period. 
But the function 'FixedRateCouponVector' creates 
coupons á la
FixedRateCoupon(nominal, paymentdate, rate, 
dayCounter, start, end, start, end), so that the 
accrual period (args 5&6)and reference period (args 
7&8) are apparently identical.
Am I right?


Regards,
Christian Alpert, chr...@no...

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Re: [Quantlib-dev] Heads up - Volatility model classes / Shanghai warrants

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

On 03/28/2006 08:09:22 AM, Joseph Wang wrote:
> Just a heads up.  I'm currently working on some C++ classes that =20
> convert quote time series information into a volatility time series.  =20
> I'm started with a dead simple model that does a constant weighting =20
> of terms, but eventually, I'm hoping to put in a GARCH model.

Joe,
	you might want to use the History class instead of your =20
TimeSeries structure. I don't think we need to duplicate the concept; =20
it is true that your structure is more generic in type, but using =20
Quotes is not going to give you any advantage over Reals unless the =20
client code registers as observer with all the contained quotes. =20
Moreover, History has more functionality.

Later,
	Luigi

P.S. On the other hand, I like your name better. If you decide to use =20
History, I think I'll rename it to TimeSeries...


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