quantlib-dev — Discussion of QuantLib development

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

[William S F. <ws...@fu...>]

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#Extending_prerequisites

Let me know when you are ready and I'll arrange cvs access.

William

Marcelo Matus wrote:
> nice, you are even using the Lib/std files.
> 
> William probably will give you instructions about how to use and/or 
> access the
> CVS swig repository,  and what is needed to add a new language module.
> 
> Marcelo
> 
> 
> 
> Joseph Wang wrote:
> 
>> I've started a wiki page that has some design notes for the R-Swig 
>> interface I'm working with.  The wiki page also attaches the file for 
>> the interface.
>>
>> http://wiki.quantlib.org/twiki/bin/view/Quantlib/RSwig
>>
>> I've gotten some basic functionality to work, and in the next week, 
>> I'm planning to be able to be able to write a test program that does 
>> some simple calculating (and more importantly plotting) of option values.
>> Once work starts on 1.3.29, I'd like to see what it would take to get 
>> this into the mainline R distribution.
>>
>> > s <- new_DoubleVector()
>> > s$append(x=1)
>> NULL
>> > s$append(x=2)
>> NULL
>> > s$append(x=3)
>> NULL
>> > s$append(x=4)
>> NULL
>> > s$size()
>> [1] 4
>> > s[0]
>> [1] 1
>> > s[1]
>> [1] 2
>>
>>
>>
>>
>>
>>
>> -------------------------------------------------------
>> This SF.net email is sponsored by: Splunk Inc. Do you grep through log 
>> files
>> for problems?  Stop!  Download the new AJAX search engine that makes
>> searching your log files as easy as surfing the  web.  DOWNLOAD SPLUNK!
>> http://sel.as-us.falkag.net/sel?cmd=lnk&kid=103432&bid=230486&dat=121642
>> _______________________________________________
>> Swig-devel mailing list
>> Swi...@li...
>> https://lists.sourceforge.net/lists/listinfo/swig-devel
> 
> 
> 
> 
> -------------------------------------------------------
> This SF.net email is sponsored by: Splunk Inc. Do you grep through log 
> files
> for problems?  Stop!  Download the new AJAX search engine that makes
> searching your log files as easy as surfing the  web.  DOWNLOAD SPLUNK!
> http://sel.as-us.falkag.net/sel?cmd=lnk&kid=103432&bid=230486&dat=121642
> _______________________________________________
> Swig-devel mailing list
> Swi...@li...
> https://lists.sourceforge.net/lists/listinfo/swig-devel
> 

[Quantlib-dev] 0.3.12 branch

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

Hi all,
	I've just created a branch for the 0.3.12 release; the tag is =20
R000312f0-branch. As usual, from now on bug-fixes are to be committed =20
on the branch while new developments go on the trunk.

I'll make available test tarballs shortly.

Later,
	Luigi


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

All generalizations are false, including this one.
-- Mark Twain

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

[Marcelo M. <mm...@ac...>]

nice, you are even using the Lib/std files.

William probably will give you instruccions about how to use and/or 
access the
CVS swig repository,  and what is needed to add a new language module.

Marcelo



Joseph Wang wrote:

> I've started a wiki page that has some design notes for the R-Swig 
> interface I'm working with.  The wiki page also attaches the file for 
> the interface.
>
> http://wiki.quantlib.org/twiki/bin/view/Quantlib/RSwig
>
> I've gotten some basic functionality to work, and in the next week, 
> I'm planning to be able to be able to write a test program that does 
> some simple calculating (and more importantly plotting) of option values.
> Once work starts on 1.3.29, I'd like to see what it would take to get 
> this into the mainline R distribution.
>
> > s <- new_DoubleVector()
> > s$append(x=1)
> NULL
> > s$append(x=2)
> NULL
> > s$append(x=3)
> NULL
> > s$append(x=4)
> NULL
> > s$size()
> [1] 4
> > s[0]
> [1] 1
> > s[1]
> [1] 2
>
>
>
>
>
>
> -------------------------------------------------------
> This SF.net email is sponsored by: Splunk Inc. Do you grep through log 
> files
> for problems?  Stop!  Download the new AJAX search engine that makes
> searching your log files as easy as surfing the  web.  DOWNLOAD SPLUNK!
> http://sel.as-us.falkag.net/sel?cmd=lnk&kid=103432&bid=230486&dat=121642
> _______________________________________________
> Swig-devel mailing list
> Swi...@li...
> https://lists.sourceforge.net/lists/listinfo/swig-devel

[Quantlib-dev] Design notes for RSwig

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

I've started a wiki page that has some design notes for the R-Swig 
interface I'm working with.  The wiki page also attaches the file for 
the interface.

http://wiki.quantlib.org/twiki/bin/view/Quantlib/RSwig

I've gotten some basic functionality to work, and in the next week, I'm 
planning to be able to be able to write a test program that does some 
simple calculating (and more importantly plotting) of option values. 

Once work starts on 1.3.29, I'd like to see what it would take to get 
this into the mainline R distribution.

 > s <- new_DoubleVector()
 > s$append(x=1)
NULL
 > s$append(x=2)
NULL
 > s$append(x=3)
NULL
 > s$append(x=4)
NULL
 > s$size()
[1] 4
 > s[0]
[1] 1
 > s[1]
[1] 2

[Quantlib-dev] Suggestion for sobol generator

[Richard G. <Ric...@ma...>]

Hi

I've been looking at using the Sobol number generator class in QuantLib for=
 running parallel monte-carlo simulations across many CPUs. I've modified t=
he constructor to take an extra argument to the constructor to skip ahead i=
n the sequence and thought you might want to consider adding this an extens=
ion to the interface. The code I used is as follows and will scale as O[log=
_2(N)] where N is the number of events to skip at the start of the sequence:

        // initialize the Sobol integer/double vectors
        // first draw
        unsigned long N =3D skip+1;
        unsigned int ops =3D ((unsigned int)(log(N)/M_LN2))+1;

        // Convert to Gray code
        unsigned long G =3D N ^ (N>>1);
        for (k=3D0; k<dimensionality_; k++)
        {
            integerSequence_[k] =3D 0;
            for(index=3D0; index<ops; index++)
            {
                if(G>>index & 1)
                    integerSequence_[k] ^=3D directionIntegers_[k][index];
            }
        }

        sequenceCounter_ =3D skip;


Regards
Richard Gould


NOTICE=20
The information contained in this email is confidential. If you are not the=
 intended recipient, you must not disclose or use the information in this e=
mail in any way. If you received it in error, please tell us immediately by=
 return email and delete the document.  We do not guarantee the integrity o=
f any e-mails or attached files and are not responsible for any changes mad=
e to them by any other person.

[Quantlib-dev] changing stochastic process object

[Warren C. <war...@al...>]

Hello,

I would like to bump the implied vol value/curve/surface of a derived StochasticProcess1D object.

I'm considering:

1) bumping implied vol private data of existing stochastic process object (using new virtual bumpVol method implemented in each derived class of StochasticProcess1D) , perform calculation (calling evolve() method), then undoing bump, 

2) deep-copying derived StochasticProcess1D object by recursively typing (through dynamic casts) member pointers, then bumping new object's private implied vol value/curve/surface (using new bumpVol method as in 1), 

3) recursively typing, copying member data, then constructing derived StochasticProcess1D object from scratch (using a newly defined getVol method instead of bumpVol)

My questions are 

A) Which option would you choose, if any? Is there better way I'm missing? 

B) Is changing object then undoing change (as in 
1 above) acceptable practice? Is "getting" better than "setting"? How about making new methods friends of MCSimulation?

C) I don't see copy constructors defined in QuantLib. Why? Do default constructors perform deep copy?

Thank you,
Warren Chou

Re: [Quantlib-dev] R-SWIG-Quantlib status report

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

On 2/2/06, Joseph Wang <jo...@gn...> wrote:
> As of yesterday I was able to generate a C++ wrapper file from the SWIG
> interfaces in quantlib and was also able to get it it load into R.

good news!!

> Right now, I'm working on fixing up the S wrapper.

is it such a rainy day you bother about S?
;-)

ciao -- Nando

[Quantlib-dev] R-SWIG-Quantlib status report

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

I've added a lot of code to the work that Duncan Wald did on R-SWIG.  As 
of yesterday I was able to generate a C++ wrapper file from the SWIG 
interfaces in quantlib and was also able to get it it load into R.

Right now, I'm working on fixing up the S wrapper.  In particular, the S 
wrapper doesn't seem to deal with overloading functions, and I'm trying 
to figure out the syntax for R to do this.  I should have something more 
or less working by the end of next week.

[Quantlib-dev] [ quantlib-Bugs-1392393 ] Excel add-in does not remove functions when un-loaded

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

Bugs item #1392393, was opened at 2005-12-29 01:37
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1392393&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: Closed
>Resolution: Fixed
Priority: 5
Submitted By: Lars Schouw (schouwla)
>Assigned to: Eric Ehlers (ericehlers)
Summary: Excel add-in does not remove functions when un-loaded

Initial Comment:
The add-in source code need to handle the xlAutoClose
callback.

Regards
Lars Schouw

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

Comment By: Eric Ehlers (ericehlers)
Date: 2006-01-31 14:38

Message:
Logged In: YES 
user_id=1143221

Implemented in CVS - many thanks.

Regards
Eric

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

Comment By: Lars Schouw (schouwla)
Date: 2006-01-30 06:26

Message:
Logged In: YES 
user_id=451604

here is the attachment.

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

Comment By: Lars Schouw (schouwla)
Date: 2006-01-30 06:25

Message:
Logged In: YES 
user_id=451604

Yes, xlAutoClose is broker but the problem can still be 
solved.

I have created a small Visual Studio 2003 test project 
where a funcion is registered and deristered in Excel.

Regards
Lars Schouw

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

Comment By: Nobody/Anonymous (nobody)
Date: 2006-01-27 20:22

Message:
Logged In: NO 

can someone post a sample code on removing functions? i have
hard time to remove the existing xll and install a new
version. thanks.

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

Comment By: Nobody/Anonymous (nobody)
Date: 2005-12-30 11:30

Message:
Logged In: NO 

I have some add-ins that does that and works.
Send me a mail so we can discuss after new years.
Lars

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

Comment By: Eric Ehlers (ericehlers)
Date: 2005-12-30 10:51

Message:
Logged In: YES 
user_id=1143221

In theory you'd implement xlAutoClose calling
xlfUnregister for each XLL function, however xlfUnregister
is broken so in practice Excel provides no mechanism to
unregister functions.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1392393&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-1392393 ] Excel add-in does not remove functions when un-loaded

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

Bugs item #1392393, was opened at 2005-12-29 01:37
Message generated for change (Comment added) made by ericehlers
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1392393&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: Lars Schouw (schouwla)
Assigned to: Nobody/Anonymous (nobody)
Summary: Excel add-in does not remove functions when un-loaded

Initial Comment:
The add-in source code need to handle the xlAutoClose
callback.

Regards
Lars Schouw

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

Comment By: Eric Ehlers (ericehlers)
Date: 2006-01-31 14:38

Message:
Logged In: YES 
user_id=1143221

Implemented in CVS - many thanks.

Regards
Eric

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

Comment By: Lars Schouw (schouwla)
Date: 2006-01-30 06:26

Message:
Logged In: YES 
user_id=451604

here is the attachment.

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

Comment By: Lars Schouw (schouwla)
Date: 2006-01-30 06:25

Message:
Logged In: YES 
user_id=451604

Yes, xlAutoClose is broker but the problem can still be 
solved.

I have created a small Visual Studio 2003 test project 
where a funcion is registered and deristered in Excel.

Regards
Lars Schouw

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

Comment By: Nobody/Anonymous (nobody)
Date: 2006-01-27 20:22

Message:
Logged In: NO 

can someone post a sample code on removing functions? i have
hard time to remove the existing xll and install a new
version. thanks.

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

Comment By: Nobody/Anonymous (nobody)
Date: 2005-12-30 11:30

Message:
Logged In: NO 

I have some add-ins that does that and works.
Send me a mail so we can discuss after new years.
Lars

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

Comment By: Eric Ehlers (ericehlers)
Date: 2005-12-30 10:51

Message:
Logged In: YES 
user_id=1143221

In theory you'd implement xlAutoClose calling
xlfUnregister for each XLL function, however xlfUnregister
is broken so in practice Excel provides no mechanism to
unregister functions.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1392393&group_id=12740

[Quantlib-dev] Re: RSwig and Quantlib

[Dirk E. <ed...@de...>]

On 29 January 2006 at 20:50, Joseph Wang wrote:
| After a weekend of hacking, I've managed to convince myself that it is doable 
| to integrate Quantlib with R through the R-Swig interfaces.  I've ported the 

Nice one! Just this weekend, I was also wondering about the status of RSWIG
and had sent a ping to Duncan.

| files at OmegaHat to run with the latest CVS of R.  Fixed a few bugs in the 
| engine and managed to (almost) the swig to generate C++ wrappers and an S 
| file.  

So what exactly works and what doesn't? You get files generated, compiled,
linked? And these are callable from R?

| The main thing to get basic functionality at this point is to write some lib 
| files that allow the wrapping of STL templates.  I've already written a basic 
| file that identifies vectors as templates, and the next thing to do is to 
| write the wrappers that do string translations.

Are you aware of Dominick's RCpp package on CRAN that eases the R / C++
interface considerably?

| So what can I do to most effectively at getting this functionality out?

I'm sure we'll find some webspace to stick interim results on.

Dirk

-- 
Hell, there are no rules here - we're trying to accomplish something. 
                                                  -- Thomas A. Edison

[Quantlib-dev] [ quantlib-Bugs-1392393 ] Excel add-in does not remove functions when un-loaded

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

Bugs item #1392393, was opened at 2005-12-29 09:37
Message generated for change (Comment added) made by schouwla
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1392393&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: Lars Schouw (schouwla)
Assigned to: Nobody/Anonymous (nobody)
Summary: Excel add-in does not remove functions when un-loaded

Initial Comment:
The add-in source code need to handle the xlAutoClose
callback.

Regards
Lars Schouw

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

>Comment By: Lars Schouw (schouwla)
Date: 2006-01-30 14:26

Message:
Logged In: YES 
user_id=451604

here is the attachment.

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

Comment By: Lars Schouw (schouwla)
Date: 2006-01-30 14:25

Message:
Logged In: YES 
user_id=451604

Yes, xlAutoClose is broker but the problem can still be 
solved.

I have created a small Visual Studio 2003 test project 
where a funcion is registered and deristered in Excel.

Regards
Lars Schouw

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

Comment By: Nobody/Anonymous (nobody)
Date: 2006-01-28 04:22

Message:
Logged In: NO 

can someone post a sample code on removing functions? i have
hard time to remove the existing xll and install a new
version. thanks.

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

Comment By: Nobody/Anonymous (nobody)
Date: 2005-12-30 19:30

Message:
Logged In: NO 

I have some add-ins that does that and works.
Send me a mail so we can discuss after new years.
Lars

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

Comment By: Eric Ehlers (ericehlers)
Date: 2005-12-30 18:51

Message:
Logged In: YES 
user_id=1143221

In theory you'd implement xlAutoClose calling
xlfUnregister for each XLL function, however xlfUnregister
is broken so in practice Excel provides no mechanism to
unregister functions.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1392393&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-1392393 ] Excel add-in does not remove functions when un-loaded

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

Bugs item #1392393, was opened at 2005-12-29 09:37
Message generated for change (Comment added) made by schouwla
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1392393&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: Lars Schouw (schouwla)
Assigned to: Nobody/Anonymous (nobody)
Summary: Excel add-in does not remove functions when un-loaded

Initial Comment:
The add-in source code need to handle the xlAutoClose
callback.

Regards
Lars Schouw

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

>Comment By: Lars Schouw (schouwla)
Date: 2006-01-30 14:25

Message:
Logged In: YES 
user_id=451604

Yes, xlAutoClose is broker but the problem can still be 
solved.

I have created a small Visual Studio 2003 test project 
where a funcion is registered and deristered in Excel.

Regards
Lars Schouw

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

Comment By: Nobody/Anonymous (nobody)
Date: 2006-01-28 04:22

Message:
Logged In: NO 

can someone post a sample code on removing functions? i have
hard time to remove the existing xll and install a new
version. thanks.

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

Comment By: Nobody/Anonymous (nobody)
Date: 2005-12-30 19:30

Message:
Logged In: NO 

I have some add-ins that does that and works.
Send me a mail so we can discuss after new years.
Lars

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

Comment By: Eric Ehlers (ericehlers)
Date: 2005-12-30 18:51

Message:
Logged In: YES 
user_id=1143221

In theory you'd implement xlAutoClose calling
xlfUnregister for each XLL function, however xlfUnregister
is broken so in practice Excel provides no mechanism to
unregister functions.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1392393&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-1392393 ] Excel add-in does not remove functions when un-loaded

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

Bugs item #1392393, was opened at 2005-12-28 16:37
Message generated for change (Comment added) made by nobody
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1392393&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: Lars Schouw (schouwla)
Assigned to: Nobody/Anonymous (nobody)
Summary: Excel add-in does not remove functions when un-loaded

Initial Comment:
The add-in source code need to handle the xlAutoClose
callback.

Regards
Lars Schouw

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

Comment By: Nobody/Anonymous (nobody)
Date: 2006-01-27 11:22

Message:
Logged In: NO 

can someone post a sample code on removing functions? i have
hard time to remove the existing xll and install a new
version. thanks.

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

Comment By: Nobody/Anonymous (nobody)
Date: 2005-12-30 02:30

Message:
Logged In: NO 

I have some add-ins that does that and works.
Send me a mail so we can discuss after new years.
Lars

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

Comment By: Eric Ehlers (ericehlers)
Date: 2005-12-30 01:51

Message:
Logged In: YES 
user_id=1143221

In theory you'd implement xlAutoClose calling
xlfUnregister for each XLL function, however xlfUnregister
is broken so in practice Excel provides no mechanism to
unregister functions.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1392393&group_id=12740

[Quantlib-dev] Re: serialization layer for QuantLIbAddin objects

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

Hi All,

A couple of observations -

1) The existing ObjectHandler design attempted to anticipate
serialization, by providing the "property vector" and related
interface in the base Object class.  Effectively an object has two
states:

- "shallow" - the values in the property vector, and a generic
interface allowing these values to be interrogated with no knowledge
of the Object's implementation
- "deep" - the instantiation of the underlying QuantLib object

ValueObject supercedes and improves upon this idea by decoupling the
shallow state into a separate class which may be instantiated
independently of the QuantLib object.

2) The subject of serialization came up previously in this mailing
list (see the links below).  Nando and Luigi sketched out a design
using TermSheets to FpML-enable QuantLib  (independently of
ObjectHandler/QuantLibAddin).  The ValueObjects proposal is compatible
with the proposed design for TermSheets.

http://sourceforge.net/mailarchive/forum.php?thread_id=3D6507779&forum_id=
=3D4300
http://sourceforge.net/mailarchive/forum.php?thread_id=3D6539684&forum_id=
=3D4300
http://sourceforge.net/mailarchive/forum.php?thread_id=3D6540997&forum_id=
=3D4300
http://sourceforge.net/mailarchive/forum.php?thread_id=3D6543552&forum_id=
=3D4300
http://sourceforge.net/mailarchive/forum.php?thread_id=3D6700844&forum_id=
=3D4300

Regards,
Eric

[Quantlib-dev] serialization layer for QuantLIbAddin objects

[Plamen N. <Pla...@re...>]

Hi folks,

Eric and I have discussed a possible implementation of a serialization laye=
r=20
for QLA objects. The first step would be to implement so called=20
"ValueObjects" generated out of the xml description of the constructor=20
functions (The assumption here is that the data set supplied to the=20
constructor is sufficient to describe the object). The generated=20
"ValueObject" will then provide functions for serialization - multiple=20
sierialization methods are possible. In addition some generic method for=20
accessing properties may be also implemented. E.g. the generated class migh=
t=20
look something like this:

class VSimpleSwap : public ValueObject {
public:
  long StartDate;
  long MaturityDate;
=A0=A0// rest properties....

  void serialize(....) {
    //implements boost::serialize method
  }

  std::string toXML() const {
=A0=A0=A0=A0// implement some xml based export
=A0=A0}

  std::string getProperty(const std::string& name) const {
    if(name =3D=3D "StartDate") return lexical_cast<std::string>(StartDate);
=A0=A0=A0=A0else if(name =3D=3D "MaturityDate")=20
       return lexical_cast<std::string>(MaturityDate);=20
        .........................
=A0=A0}
 =20
  std::vector<std::string> getPropertyNames() const {
=A0=A0  std::vector<std::string> names;
=A0=A0=A0=A0names.push_back("StartDate");
=A0=A0=A0=A0names.push_back("MaturityDate");
=A0=A0=A0=A0// rest properties ...
=A0=A0=A0=A0return names;
=A0=A0}
};

Based on those ValueObjects generic layers for persistence and remoting for=
=20
QLA objects can be developed. Also a generic XSLT processing layer might be=
=20
also developed to convert the simple xml stream into FpML or any other xml=
=20
dialect.


I'll be very happy about comments and suggestions.

cheers,
Plamen

Re: [Quantlib-dev] Re: Contribute some code

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

Hi Marco

> I'll commit the code  and wait for comments.

All looks good to me.  Random thoughts -
- I confirmed that it all works under Calc/Linux
- Your "basic" stuff offers a new approach for direct access to
general QuantLib functionality and I'm sure this feature will prove
useful

Many thanks for your contribution.

Regards,
Eric

Re: [Quantlib-dev] Re: Contribute some code

[Marco M. <mar...@st...>]

Hi,
I finished the development of the few additional functions under QuantLibAddin.
I've modified the dsp for Visual Studio 6 and the makefiles.
I've added a new category "basic" with the function necessary to advance
a calendar and to compute an year fraction.
I'll commit the code  and wait for comments.

Ciao,
         Marco


At 08:27 PM 2005-12-23, eric ehlers wrote:
>Hi Marco,
>
> > I've used QuantLibAddin to build a couple of spreadsheet for training
> > purposes.
> > I've added a handful of functions:
>
>Fantastic.
>
> > Should I commit these additions?
>
>That would be much appreciated.  I've just completed a large batch of
>enhancements to the srcgen  script so unfortunately your code will
>probably need some updates to bring it in line with CVS.
>
> > of day counters. Is it possible, in the framework of QuantLibAddin, to use
> > these
> > as functions without having to export the Calendar/Day counter constructor?
> > If so, how do you do that?
>
>In a metadata file having headerOnly='true' you define your functions
>with class Procedure.  Then somewhere under qla you implement a
>wrapper for the QuantLib function.  For examples of this please see
>srcgen/utilities.xml
>qla/utilites.cpp
>
>Regards,
>Eric
>
>
>-------------------------------------------------------
>This SF.net email is sponsored by: Splunk Inc. Do you grep through log files
>for problems?  Stop!  Download the new AJAX search engine that makes
>searching your log files as easy as surfing the  web.  DOWNLOAD SPLUNK!
>http://ads.osdn.com/?ad_idv37&alloc_id865&opick
>_______________________________________________
>Quantlib-dev mailing list
>Qua...@li...
>https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Marco Marchioro
Head of Product Development
StatPro Italia

Phone: +39 02 4331 7497
Fax:   +39 02 4391 1424
www.StatPro.com

[Quantlib-dev] [ quantlib-Feature Requests-1398900 ] libboost_unit_test_framework-vc80-mt-gd-1_33_1.lib

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

Feature Requests item #1398900, was opened at 2006-01-07 00:09
Message generated for change (Comment added) made by nando
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=1398900&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
Priority: 5
Submitted By: pravinster (pravinster)
Assigned to: Nobody/Anonymous (nobody)
Summary: libboost_unit_test_framework-vc80-mt-gd-1_33_1.lib

Initial Comment:
Hi,

I am relatively new to Quantlib and Microsoft C++ IDEs.
So, kindly bear with me.

I built the Boost libraries and included the libraries
at proper places within the VC-2005 IDE. However, when
I try to compile the test-suite project, I receive an
error that,

1>LINK : fatal error LNK1104: cannot open file
'libboost_unit_test_framework-vc80-mt-gd-1_33_1.lib'

Apparently, this file was not built when I built boost
using bjam, since this file is nowhere on my computer.
I cannot find any documentation regarding this type of
error from Boost.org website. Does anyone have this
file? Or, do you know how to build it, or where to get
it from? I would really appreciate any advice/help. Thanks.

-Pravin

PS: If anyone would be so kind, you could e-mail this
file to me at pc...@ho.... Thanks.


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

>Comment By: Ferdinando Ametrano (nando)
Date: 2006-01-07 10:54

Message:
Logged In: YES 
user_id=34616

You have to download and properly "install" the Microsoft
platform SDK along with VC-2005. Then build the Boost
libraries again and
libboost_unit_test_framework-vc80-mt-gd-1_33_1.lib will be
built.

hope it helps

ciao -- Nando

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=1398900&group_id=12740

[Quantlib-dev] [ quantlib-Feature Requests-1398900 ] libboost_unit_test_framework-vc80-mt-gd-1_33_1.lib

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

Feature Requests item #1398900, was opened at 2006-01-06 18:09
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=1398900&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
Priority: 5
Submitted By: pravinster (pravinster)
Assigned to: Nobody/Anonymous (nobody)
Summary: libboost_unit_test_framework-vc80-mt-gd-1_33_1.lib

Initial Comment:
Hi,

I am relatively new to Quantlib and Microsoft C++ IDEs.
So, kindly bear with me.

I built the Boost libraries and included the libraries
at proper places within the VC-2005 IDE. However, when
I try to compile the test-suite project, I receive an
error that,

1>LINK : fatal error LNK1104: cannot open file
'libboost_unit_test_framework-vc80-mt-gd-1_33_1.lib'

Apparently, this file was not built when I built boost
using bjam, since this file is nowhere on my computer.
I cannot find any documentation regarding this type of
error from Boost.org website. Does anyone have this
file? Or, do you know how to build it, or where to get
it from? I would really appreciate any advice/help. Thanks.

-Pravin

PS: If anyone would be so kind, you could e-mail this
file to me at pc...@ho.... Thanks.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=1398900&group_id=12740

[Quantlib-dev] Rcpp R/C++ interface library

[Dominick S. <dsa...@De...>]

The Rcpp R/C++ interface library was uploaded to CRAN today. It
should be available at http://cran.r-project.org shortly.

Rcpp facilitates the process of using a C++ library (like QuantLib)
from the R statistical software system. It is a "bare bones" solution.
It is currently used by RQuantLib to expose a couple of QuantLib
fixed income functions.

The PDF file Rcpp.pdf (part of the package) provides details.

Dominick

Re: [Quantlib-dev] Credit reference names implementation question

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

On 01/04/2006 06:07:40 PM, Naoufel El Bachir wrote:
>  First I wish you a Happy new year.

Thank you.

>  Question: I am coding a hierarchy of classes for representing credit
> reference names, and I am hesitating between two alternatives. I need
> your opinions.
>=20
>  Both alternatives start with this common structure implemented using
> the composite pattern:
>  Abstract base at the root of the hierarchy: CreditReference
>  Derived from it are SingleReference and BasketReference, where
> BasketReference is the composite.
>=20
>  Now the question, would you have SingleReference as a concrete =20
> class, and every new name would be an instance of it, or would you go =20
> with an abstract class with every new name being a concrete class as =20
> it is done with currencies. Of course, in the second case I would =20
> provide some macros allowing to automate the generation of the code =20
> for new names.

Hmm. It might depend. What would the interface of CreditReference look =20
like?

Later,
	Luigi


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

There are no rules of architecture for a castle in the clouds.
-- Gilbert K. Chesterton

[Quantlib-dev] Credit reference names implementation question

[Naoufel El B. <nao...@ya...>]

Hi All,
 First I wish you a Happy new year.
 
 Question: I am coding a hierarchy of classes for representing credit reference names, and I am hesitating between two alternatives. I need your opinions. 
 
 Both alternatives start with this common structure implemented using the composite pattern:
 Abstract base at the root of the hierarchy: CreditReference
 Derived from it are SingleReference and BasketReference, where BasketReference is the composite.
 
 Now the question, would you have SingleReference as a concrete class, and every new name would be an instance of it, or would you go with an abstract class with every new name being a concrete class as it is done with currencies. Of course, in the second case I would provide some macros allowing to automate the generation of the code for new names. 
 
 Or any other suggestion.
 Thanks


		
---------------------------------
To help you stay safe and secure online, we've developed the all new Yahoo! Security Centre.

[Quantlib-dev] log4cxx static link

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

Happy New Year all

The dynamic link from ObjectHandler to log4cxx has caused some
problems so in CVS I put this back to a static link.  See below for
more detail.

Regards,
Eric

log4cxx link
=3D=3D=3D=3D=3D=3D=3D=3D=3D

The last release of ObjectHandler introduced a dynamic link to
log4cxx, intended to make things more convenient - a user could
install log4cxx.dll once and forget about it, possibly across multiple
ObjectHandler releases.  But it turns out there's a design flaw in
log4cxx whereby a smart pointer allocated in the client goes out of
scope in the DLL.  In other words an address allocated by "new" in
ObjectHandler is passed to "delete" in log4cxx.dll.  This crashes the
app unless log4cxx.dll and its client(s) share the same stack - they
must be compiled against the same runtime library, which must be a DLL
runtime library.

So any time you rebuild ObjectHandler etc. with a different
configuration you have to rebuild and reinstall log4cxx.dll.  This
cancels out much of the convenience that would normally be gained by
using a dll so we've gone back to a static link.

I updated VC6 and VC8, the VC7 workspaces are out of date for the moment.

[Quantlib-dev] [ quantlib-Bugs-1392393 ] Excel add-in does not remove functions when un-loaded

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

Bugs item #1392393, was opened at 2005-12-28 16:37
Message generated for change (Comment added) made by nobody
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1392393&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: Lars Schouw (schouwla)
Assigned to: Nobody/Anonymous (nobody)
Summary: Excel add-in does not remove functions when un-loaded

Initial Comment:
The add-in source code need to handle the xlAutoClose
callback.

Regards
Lars Schouw

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

Comment By: Nobody/Anonymous (nobody)
Date: 2005-12-30 02:30

Message:
Logged In: NO 

I have some add-ins that does that and works.
Send me a mail so we can discuss after new years.
Lars

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

Comment By: Eric Ehlers (ericehlers)
Date: 2005-12-30 01:51

Message:
Logged In: YES 
user_id=1143221

In theory you'd implement xlAutoClose calling
xlfUnregister for each XLL function, however xlfUnregister
is broken so in practice Excel provides no mechanism to
unregister functions.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1392393&group_id=12740