quantlib-dev — Discussion of QuantLib development

[Quantlib-dev] Re: [Quantlib-users] blackvariancecurve question - used by the LMM code...

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

Hi Nando,

you wrote
> BlackVarianceCurve is the wrong class for this task. ...
> If I got it right LmVolatilityModel is the LMM core dynamic. The class
> for caplet variance might be std::vector<Volatility> plus an
> interpolation method, without further constraints.
agreed. In order to allow Luigi to ship 0.3.12 I've send him a three line=20
patch, which allows - for this release only - to disable the constraint che=
ck=20
in BlackVarianceCurve using an additional parameter in the constructor.=20
Default is of course to check the constraint. Within the next release I'll=
=20
change CapletVarianceCurve towards replicating the interpolation=20
functionality.

cheers=20
=A0Klaus

[Quantlib-dev] log4cxx changes / OH & QLA tarballs

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

Hi All

Please follow the link below for the latest prerelease tarballs for
ObjectHandler and QuantLibAddin.

http://quantlib.org/prerelease/oh-qla.html

Also please note that we now provide a zip file for log4cxx, this
includes a complete copy of log4cxx, plus some customizations to
provide a boost-compliant build process and other minor bug fixes.=20
The ObjectHandler documentation has been updated to reflect the
changes.

Regards,
Eric

[Quantlib-dev] Candidate tarballs

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

Hi all,
	I've uploaded new tarballs to <http://quantlib.org/prerelease>.
Please try them out; if all goes well, the next tarballs will be the =20
final ones.

Thanks,
	Luigi


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

The shortest way to do many things is to do only one thing at once.
-- Samuel Smiles

Re: [Quantlib-dev] changing stochastic process object

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

On 2/3/06, Warren Chou <war...@al...> wrote:
> I would like to bump the implied vol value/curve/surface of a derived Sto=
chasticProcess1D object.

Warren,
    apologies for the late reply.  What are you trying to do? Can you
give me a bit of context?

Thanks,
    Luigi

[Quantlib-dev] Python / SWIG found

[Ryan M. <rya...@gm...>]

My bad, to save anyone the trouble of pointing me in the right direction, I
did find out that the extensions release is where the Python / SWIG stuff
went. If I get 0.3.11 up and going in Python, I will update my blog.

Ryan

[Quantlib-dev] re: enum problems and Python

[Ryan M. <rya...@gm...>]

Thanks for your response Luigi, and for the next release having the change
to quantlib-config.

The QuantLib.Weeks etc namespaces are indeed missing from the Python
0.3.10version. I would like to give
0.3.11 a try and see if they are there, but there does not seem to be a
0.3.11 version available for Python, or any of the other language bindings.
0.3.10 is the latest version listed on sourceforge.

I will give "weeks" or "annual" a try the next time around.

Ryan

Re: [Quantlib-dev] QuantLib Python enum problems

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

On Feb 25, 2006, at 10:38 AM, Ryan Mills wrote:
> I managed to install QuantLib-Python 0.3.10 on OS X 10.4.5, and to my 
> knowledge, this has not been widely done as fink still does not have 
> 10.4 support. I wrote a blog about it at: 
> http://mills.zapto.org/wordpress

Nice. I'll keep the link handy in case someone asks.

> Two things:
> First:
> the quantlib-config should include the location of the directories I 
> passed in to ./configure for the boost directories. It causes problems 
> for QuantLib-Python if quantlib-config is not in there, and modified 
> to include the boost directories. The --with-boost-lib and 
> --with-boost-include should be enough indication to put those 
> directories into quantlib-config.

Done. It will work in next release.


> Second:
> I am using python, and I am having some problems creating and using 
> the objects because many of them rely on various enums. 
> QuantLib::TimeUnit, and QuantLib::Frequency come to mind. Basically I 
> am just getting started by trying to use InterestRate to caluclate 
> some expected values. Any chance there is a Python FAQ for QuantLib 
> around anywhere with instructions on how to use the objects or where 
> the enums are stored in Python? I cannot find the enums anywhere. If I 
> do end up figuring it up, perhaps the examples can be added somewhere 
> for future python developers.

Yes, documentation is a sore spot of the project.  Anyway, in recent 
releases (let me check your blog again... hmm, you're using 0.3.10. I 
don't remember in which version we made the change)  most enumerations 
are exported in the module namespace (i.e., QuantLib.Weeks or 
QuantLib.Annual.) In earlier releases you had to pass them as strings 
("weeks" or "annual".) If 0.3.10 still has the string version, I 
suggest you jump on 0.3.11 before you write much code, or you'll have 
to change it down the road.

Later,
	Luigi

[Quantlib-dev] Prerelease Tarballs for ObjectHandler 0.1.3 and QuantLibAddin 0.3.12

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

Hi All

Here is the link to the prerelease tarballs for ObjectHandler 0.1.3
and QuantLibAddin 0.3.12:

    http://quantlib.org/prerelease/oh-qla.html

I'd be grateful to anyone who could test the files and let me know how it g=
oes.

Please make any prerelease fixes to the CVS branches:

    ObjectHandler - R000103f0
    QuantLibAddin - R000312f0

Regards,
Eric

Re: [Quantlib-dev] Suggestion for sobol generator

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

On 2/6/06, Richard Gould <Ric...@ma...> wrote:
> I've been looking at using the Sobol number generator class in QuantLib f=
or running parallel monte-carlo simulations across many CPUs. I've modified=
 the constructor to take an extra argument to the constructor to skip ahead=
 in the sequence and thought you might want to consider adding this an exte=
nsion to the interface.

Richard,
    apologies for the delay---it's been a busy month, besides one
marked by flu. I finally got around to look at your code. I'll check
it in the next few days and add it to the repository (unfortunately,
it might not get into the upcoming 0.3.12 release, as the latter is
being finalized.)

Thanks,
    Luigi

[Quantlib-dev] Advice regarding contribution to project

[Peter G. <gee...@ya...>]

To whom it may concern,

Having read through various pages on the 
QuantLib site, I would like to become a 
contributor. I have ca. 4 years experience 
coding with C++, have coded with some 
of the boost libraries and have used simple 
design patterns.

It seems best to start with a small task;
a provisional list is:

1) Add more bonds 
   (but which ones are required?)

2) Add tests for short-rate models
   (do developers have specific tests in mind?)
 
In the future, I might well be interested 
in adding code for credit derivatives.

I would be grateful for advice as to how 
best to proceed with a contribution.

Regards,

Peter Gee


		
___________________________________________________________ 
NEW Yahoo! Cars - sell your car and browse thousands of new and used cars online! http://uk.cars.yahoo.com/

[Quantlib-dev] QuantLib Python enum problems

[Ryan M. <rya...@gm...>]

Hi Guys,

I am new to QuantLib, but I am about to begin work at a financial company,
and likely I will use QuantLib for work and personal projects.

All in all, it looks like a lot of work, and I greatly appreciate it being
out there to give a solid financial framework.

I managed to install QuantLib-Python 0.3.10 on OS X 10.4.5, and to my
knowledge, this has not been widely done as fink still does not have
10.4support. I wrote a blog about it at:
http://mills.zapto.org/wordpress

Two things:
First:
the quantlib-config should include the location of the directories I passed
in to ./configure for the boost directories. It causes problems for
QuantLib-Python if quantlib-config is not in there, and modified to include
the boost directories. The --with-boost-lib and --with-boost-include should
be enough indication to put those directories into quantlib-config.

Second:
I am using python, and I am having some problems creating and using the
objects because many of them rely on various enums. QuantLib::TimeUnit, and
QuantLib::Frequency come to mind. Basically I am just getting started by
trying to use InterestRate to caluclate some expected values. Any chance
there is a Python FAQ for QuantLib around anywhere with instructions on how
to use the objects or where the enums are stored in Python? I cannot find
the enums anywhere. If I do end up figuring it up, perhaps the examples can
be added somewhere for future python developers.

http://www.quantlib.org/reference/group__datetime.html#g8b62b8023ffd8b289d4=
0e30c630977dd

Regards,
Ryan Mills

[Quantlib-dev] New tentative 0.3.12 tarballs

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

Hi all,
	I've uploaded new (non-final) tarballs for everybody to play =20
with; as usual, they're at <http://quantlib.org/prerelease>.

Thanks for any report,
	Luigi


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

I am extraordinarily patient, provided I get my own way in the end.
-- Margaret Thatcher

Re: Re: [Quantlib-dev] 0.3.12 test tarballs

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

Hi Klaus

> [...] I'll break this circularity in LfmHullWhiteParameterization and
> send you an updated version soon.

I've checked your updated version with VC8 Professional: it solves the
memory leak problem

thank you

ciao -- Nando

Re: Re: [Quantlib-dev] 0.3.12 test tarballs

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

Hi @all,

yes, Nando, Eric & Luigi you are right! Seems that I'm using Java & C# to o=
ften and sometimes forget that shared_ptr aren't fail-safe. Lugi, I'll brea=
k this circularity in LfmHullWhiteParameterization and send you an updated =
version soon.

thanks for the bug hunting!

cheers=20
 Klaus
----- original Nachricht --------

Betreff: Re: [Quantlib-dev] 0.3.12 test tarballs
Gesendet: Do 23 Feb 2006 13:47:37 CET
Von: "Luigi Ballabio"<lui...@gm...>

>=20
> On 02/23/2006 01:22:42 PM, eric ehlers wrote:
> > I don't know about VC8 Pro but valgrind detects the memory leak at
> > line 95 of libormarketmodelprocess.cpp, the full output is below.
> >=20
> > I haven't had time to investigate further but a first guess would be
> > that maybe the shared pointer to the LiborForwardModelProcess object
> > is used incorrectly such that the reference counting is circumvented
> > preventing the object from being deleted when the pointer goes out of
> > scope.
>=20
> Ok, I see. There's a circular reference. First the shared_ptr to =20
> process is passed to fct, which stores it. Then fct is passed to =20
> process through setCovarParam and stored in turn. As process and fct =20
> hold shared_ptrs to each other, neither reference count will ever reach =
=20
> 0 and the allocated memory will never be freed.
>=20
> Klaus, is the circularity necessary in the test---or in real life? If =20
> so, we'll have to think of a way to break the cycle; a weak_ptr would =20
> be the obvious choice.
>=20
> Later,
> =09Luigi
>=20
>=20
> ----------------------------------------
>=20
> A debugged program is one for which you have not yet found the
> conditions that make it fail.
> -- Jerry Ogdin
>=20

--- original Nachricht Ende ----
=0A=0A=0A=0A=0A=0A=0A=0A

Re: [Quantlib-dev] 0.3.12 test tarballs

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

On 02/23/2006 01:22:42 PM, eric ehlers wrote:
> I don't know about VC8 Pro but valgrind detects the memory leak at
> line 95 of libormarketmodelprocess.cpp, the full output is below.
>=20
> I haven't had time to investigate further but a first guess would be
> that maybe the shared pointer to the LiborForwardModelProcess object
> is used incorrectly such that the reference counting is circumvented
> preventing the object from being deleted when the pointer goes out of
> scope.

Ok, I see. There's a circular reference. First the shared_ptr to =20
process is passed to fct, which stores it. Then fct is passed to =20
process through setCovarParam and stored in turn. As process and fct =20
hold shared_ptrs to each other, neither reference count will ever reach =20
0 and the allocated memory will never be freed.

Klaus, is the circularity necessary in the test---or in real life? If =20
so, we'll have to think of a way to break the cycle; a weak_ptr would =20
be the obvious choice.

Later,
	Luigi


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

A debugged program is one for which you have not yet found the
conditions that make it fail.
-- Jerry Ogdin

Re: [Quantlib-dev] 0.3.12 test tarballs

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

Hi Klaus

On 2/22/06, Klaus Spanderen <kla...@fr...> wrote:
> Hi Nando
>
> I checked testLambdaBootstrapping using VC 8 Express, Boost 1.33.1. My
> configuration does not report a memory leak;-(. Can you please send my th=
e
> line number of the memory leak as reported by VC 8 Professional?

I don't know about VC8 Pro but valgrind detects the memory leak at
line 95 of libormarketmodelprocess.cpp, the full output is below.

I haven't had time to investigate further but a first guess would be
that maybe the shared pointer to the LiborForwardModelProcess object
is used incorrectly such that the reference counting is circumvented
preventing the object from being deleted when the pointer goes out of
scope.

Regards,
Eric

=3D=3D13056=3D=3D Memcheck, a memory error detector.
=3D=3D13056=3D=3D Copyright (C) 2002-2005, and GNU GPL'd, by Julian Seward =
et al.
=3D=3D13056=3D=3D Using LibVEX rev 1471, a library for dynamic binary trans=
lation.
=3D=3D13056=3D=3D Copyright (C) 2004-2005, and GNU GPL'd, by OpenWorks LLP.
=3D=3D13056=3D=3D Using valgrind-3.1.0, a dynamic binary instrumentation fr=
amework.
=3D=3D13056=3D=3D Copyright (C) 2000-2005, and GNU GPL'd, by Julian Seward =
et al.
=3D=3D13056=3D=3D For more details, rerun with: -v
=3D=3D13056=3D=3D
=3D=3D13056=3D=3D My PID =3D 13056, parent PID =3D 3158.  Prog and args are=
:
=3D=3D13056=3D=3D    lt-quantlib-test-suite
=3D=3D13056=3D=3D
=3D=3D13056=3D=3D
=3D=3D13056=3D=3D ERROR SUMMARY: 0 errors from 0 contexts (suppressed: 21 f=
rom 1)
=3D=3D13056=3D=3D malloc/free: in use at exit: 52,152 bytes in 84 blocks.
=3D=3D13056=3D=3D malloc/free: 87,206,644 allocs, 87,206,560 frees,
3,900,805,716 bytes allocated.
=3D=3D13056=3D=3D For counts of detected errors, rerun with: -v
=3D=3D13056=3D=3D searching for pointers to 84 not-freed blocks.
=3D=3D13056=3D=3D checked 1,230,908 bytes.
=3D=3D13056=3D=3D
=3D=3D13056=3D=3D 1,680 bytes in 1 blocks are possibly lost in loss record =
15 of 28
=3D=3D13056=3D=3D    at 0x43CA7F8: operator new(unsigned) (vg_replace_mallo=
c.c:164)
=3D=3D13056=3D=3D    by 0x8A7A7A: std::__default_alloc_template<true,
0>::_S_chunk_alloc(unsigned, int&) (in /usr/lib/libstdc++.so.5.0.7)
=3D=3D13056=3D=3D    by 0x8A798C: std::__default_alloc_template<true,
0>::_S_refill(unsigned) (in /usr/lib/libstdc++.so.5.0.7)
=3D=3D13056=3D=3D    by 0x8A7687: std::__default_alloc_template<true,
0>::allocate(unsigned) (in /usr/lib/libstdc++.so.5.0.7)
=3D=3D13056=3D=3D    by 0x8AD017: std::string::_Rep::_S_create(unsigned,
std::allocator<char> const&) (in /usr/lib/libstdc++.so.5.0.7)
=3D=3D13056=3D=3D    by 0x4415094: char* std::string::_S_construct<char
const*>(char const*, char const*, std::allocator<char> const&,
std::forward_iterator_tag) (in
/usr/local/lib/libboost_unit_test_framework-gcc-1_31.so.1.31.0)
=3D=3D13056=3D=3D    by 0x44154C4:
boost::unit_test_framework::retrieve_framework_parameter(char const*,
int*, char**) (in
/usr/local/lib/libboost_unit_test_framework-gcc-1_31.so.1.31.0)
=3D=3D13056=3D=3D    by 0x441CC26: main (in
/usr/local/lib/libboost_unit_test_framework-gcc-1_31.so.1.31.0)
=3D=3D13056=3D=3D
=3D=3D13056=3D=3D
=3D=3D13056=3D=3D 2,192 (224 direct, 1,968 indirect) bytes in 2 blocks are
definitely lost in loss record 16 of 28
=3D=3D13056=3D=3D    at 0x43CA7F8: operator new(unsigned) (vg_replace_mallo=
c.c:164)
=3D=3D13056=3D=3D    by 0x821683D: (anonymous
namespace)::makeProcess(QuantLib::Matrix const&)
(libormarketmodelprocess.cpp:95)
=3D=3D13056=3D=3D    by 0x8217F33:
LiborMarketModelProcessTest::testMonteCarloCapletPricing()
(libormarketmodelprocess.cpp:226)
=3D=3D13056=3D=3D    by 0x80B7F35:
boost::unit_test_framework::function_test_case::do_run()
(unit_test_suite.hpp:138)
=3D=3D13056=3D=3D    by 0x441748C:
boost::unit_test_framework::detail::unit_test_monitor::function() (in
/usr/local/lib/libboost_unit_test_framework-gcc-1_31.so.1.31.0)
=3D=3D13056=3D=3D    by 0x44115EA: (within
/usr/local/lib/libboost_unit_test_framework-gcc-1_31.so.1.31.0)
=3D=3D13056=3D=3D    by 0x440FF30: boost::execution_monitor::execute(bool,
int) (in /usr/local/lib/libboost_unit_test_framework-gcc-1_31.so.1.31.0)
=3D=3D13056=3D=3D    by 0x4417317:
boost::unit_test_framework::detail::unit_test_monitor::execute_and_translat=
e(boost::unit_test_framework::test_case*,
void (boost::unit_test_framework::test_case::*)(), int) (in
/usr/local/lib/libboost_unit_test_framework-gcc-1_31.so.1.31.0)
=3D=3D13056=3D=3D    by 0x441B8FB:
boost::unit_test_framework::test_case::run() (in
/usr/local/lib/libboost_unit_test_framework-gcc-1_31.so.1.31.0)
=3D=3D13056=3D=3D    by 0x441C0B4:
boost::unit_test_framework::test_suite::do_run() (in
/usr/local/lib/libboost_unit_test_framework-gcc-1_31.so.1.31.0)
=3D=3D13056=3D=3D    by 0x441BA90:
boost::unit_test_framework::test_case::run() (in
/usr/local/lib/libboost_unit_test_framework-gcc-1_31.so.1.31.0)
=3D=3D13056=3D=3D    by 0x441C0B4:
boost::unit_test_framework::test_suite::do_run() (in
/usr/local/lib/libboost_unit_test_framework-gcc-1_31.so.1.31.0)
=3D=3D13056=3D=3D
=3D=3D13056=3D=3D
=3D=3D13056=3D=3D 1,240 (44 direct, 1,196 indirect) bytes in 1 blocks are
definitely lost in loss record 18 of 28
=3D=3D13056=3D=3D    at 0x43CA7F8: operator new(unsigned) (vg_replace_mallo=
c.c:164)
=3D=3D13056=3D=3D    by 0x82121BF:
boost::detail::shared_count::shared_count<QuantLib::LiborForwardModelProces=
s*,
boost::checked_deleter<QuantLib::LiborForwardModelProcess>
>(QuantLib::LiborForwardModelProcess*,
boost::checked_deleter<QuantLib::LiborForwardModelProcess>)
(shared_count.hpp:341)
=3D=3D13056=3D=3D    by 0x8210C1C:
boost::shared_ptr<QuantLib::LiborForwardModelProcess>::shared_ptr<QuantLib:=
:LiborForwardModelProcess>(QuantLib::LiborForwardModelProcess*)
(shared_ptr.hpp:126)
=3D=3D13056=3D=3D    by 0x8216884: (anonymous
namespace)::makeProcess(QuantLib::Matrix const&)
(libormarketmodelprocess.cpp:95)
=3D=3D13056=3D=3D    by 0x8217F80:
LiborMarketModelProcessTest::testMonteCarloCapletPricing()
(libormarketmodelprocess.cpp:228)
=3D=3D13056=3D=3D    by 0x80B7F35:
boost::unit_test_framework::function_test_case::do_run()
(unit_test_suite.hpp:138)
=3D=3D13056=3D=3D    by 0x441748C:
boost::unit_test_framework::detail::unit_test_monitor::function() (in
/usr/local/lib/libboost_unit_test_framework-gcc-1_31.so.1.31.0)
=3D=3D13056=3D=3D    by 0x44115EA: (within
/usr/local/lib/libboost_unit_test_framework-gcc-1_31.so.1.31.0)
=3D=3D13056=3D=3D    by 0x440FF30: boost::execution_monitor::execute(bool,
int) (in /usr/local/lib/libboost_unit_test_framework-gcc-1_31.so.1.31.0)
=3D=3D13056=3D=3D    by 0x4417317:
boost::unit_test_framework::detail::unit_test_monitor::execute_and_translat=
e(boost::unit_test_framework::test_case*,
void (boost::unit_test_framework::test_case::*)(), int) (in
/usr/local/lib/libboost_unit_test_framework-gcc-1_31.so.1.31.0)
=3D=3D13056=3D=3D    by 0x441B8FB:
boost::unit_test_framework::test_case::run() (in
/usr/local/lib/libboost_unit_test_framework-gcc-1_31.so.1.31.0)
=3D=3D13056=3D=3D    by 0x441C0B4:
boost::unit_test_framework::test_suite::do_run() (in
/usr/local/lib/libboost_unit_test_framework-gcc-1_31.so.1.31.0)
=3D=3D13056=3D=3D
=3D=3D13056=3D=3D LEAK SUMMARY:
=3D=3D13056=3D=3D    definitely lost: 268 bytes in 3 blocks.
=3D=3D13056=3D=3D    indirectly lost: 3,164 bytes in 24 blocks.
=3D=3D13056=3D=3D      possibly lost: 1,680 bytes in 1 blocks.
=3D=3D13056=3D=3D    still reachable: 47,040 bytes in 56 blocks.
=3D=3D13056=3D=3D         suppressed: 0 bytes in 0 blocks.
=3D=3D13056=3D=3D Reachable blocks (those to which a pointer was found) are=
 not shown.
=3D=3D13056=3D=3D To see them, rerun with: --show-reachable=3Dyes

Re: [Quantlib-dev] 0.3.12 test tarballs

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

Also, it would be interesting to run the LMM tests repeatedly (in the =20
same process, of course) and see whether we can actually observe the =20
leak. This could be done both in release and debug mode, and for both =20
VC7 and VC8. Anybody has a box to spare?

Luigi


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

fix, n.,v.
         What one does when a problem has been reported too many times
         to be ignored.
-- the Jargon file

Re: [Quantlib-dev] 0.3.12 test tarballs

[Ferdinando A. <na...@am...>]
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Re: [Quantlib-dev] 0.3.12 test tarballs

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

Hi Nando

I checked testLambdaBootstrapping using VC 8 Express, Boost 1.33.1. My 
configuration does not report a memory leak;-(. Can you please send my the 
line number of the memory leak as reported by VC 8 Professional?

cheers 
 Klaus

On Wednesday 22 February 2006 2:29 pm, you wrote:
> Hi all,
>
> in all Debug configurations VC8 detects a memory leak in the test
> suite. I am using Window XP Professional, Boost 1.33.1, Visual Studio
> 2005 Professional.
>
> The leak problem is present in the LiborMarketModelProcessTest suite,
> namely in its unit tests testMonteCarloCapletPricing and
> testLambdaBootstrapping. I haven't finished checking all other tests
> and will report if other memory leakages surface.
>
> Klaus, could you take a look at your code? Any idea about the leak?
> Anyone better than me at hunting memory leaks?
>
> ciao -- Nando

[Quantlib-dev] [ quantlib-Patches-1436825 ] Lookback option

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

Patches item #1436825, was opened at 2006-02-22 08:44
Message generated for change (Settings changed) made by warrenchou
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1436825&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: Warren Chou (warrenchou)
>Assigned to: Ferdinando Ametrano (nando)
Summary: Lookback option

Initial Comment:
Continuous fixed and floating lookback option classes 
deriving from OneAssetOption. 

Analytical continuous fixed and floating lookback 
engine classes.

Floating payoff class deriving from TypePayoff.

Checked against Haug and Broadie, et al

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1436825&group_id=12740

[Quantlib-dev] [ quantlib-Patches-1436825 ] Lookback option

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

Patches item #1436825, was opened at 2006-02-22 08:44
Message generated for change (Tracker Item Submitted) made by Item Submitter
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1436825&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: Warren Chou (warrenchou)
Assigned to: Nobody/Anonymous (nobody)
Summary: Lookback option

Initial Comment:
Continuous fixed and floating lookback option classes 
deriving from OneAssetOption. 

Analytical continuous fixed and floating lookback 
engine classes.

Floating payoff class deriving from TypePayoff.

Checked against Haug and Broadie, et al

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1436825&group_id=12740

Re: [Quantlib-dev] 0.3.12 test tarballs

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

Hi all,

in all Debug configurations VC8 detects a memory leak in the test
suite. I am using Window XP Professional, Boost 1.33.1, Visual Studio
2005 Professional.

The leak problem is present in the LiborMarketModelProcessTest suite,
namely in its unit tests testMonteCarloCapletPricing and
testLambdaBootstrapping. I haven't finished checking all other tests
and will report if other memory leakages surface.

Klaus, could you take a look at your code? Any idea about the leak?
Anyone better than me at hunting memory leaks?

ciao -- Nando

Re: [Quantlib-dev] 0.3.12 test tarballs

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

On 2/21/06, Luigi Ballabio <lui...@gm...> wrote:
>         I've uploaded preliminary tarballs of the 0.3.12 release to
> <http://quantlib.org/prerelease/>. They're not final, but please do
> download them and give them a try on your platform so that we can iron
> out most problems before creating the final ones.

the Visual Studio 2005 (VC8) solution file includes the
ConvertibleBonds project whose project file is actually missing.

ciao -- Nando

[Quantlib-dev] 0.3.12 test tarballs

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

Hi all,
	I've uploaded preliminary tarballs of the 0.3.12 release to =20
<http://quantlib.org/prerelease/>. They're not final, but please do =20
download them and give them a try on your platform so that we can iron =20
out most problems before creating the final ones.

Thanks,
	Luigi


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

If you can't convince them, confuse them.
-- Harry S. Truman

[Quantlib-dev] Re: [Swig-devel] Design notes for RSwig

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

I think it's ready to be checked into CVS.  I've created some basic=20
documentation on how to run it, and I've ported both simple and class over =
to=20
R swig and they run.  My sourceforge username is drjoe.


On Tuesday 14 February 2006 13:58=EF=BC=8CWilliam S Fulton you wrote=EF=BC=
=9A
> I've written up what the prerequisites are for new language modules to
> be added to SWIG as this is turning into a common question. See it in
> the Extending.html documentation which should be viewable shortly in the
> cvs repository and online at:
> http://cvs.sourceforge.net/viewcvs.py/swig/SWIG/Doc/Manual/Extending.html=
#E
>xtending_prerequisites
>