quantlib-dev — Discussion of QuantLib development

[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
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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: 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.

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

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[Quantlib-dev] Re: Bug: Excel add-in does not remove functions when un-loaded

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

Hi Lars,

>  The add-in source code need to handle the xlAutoClose
>  callback.

In theory you would implement the xlAutoClose function and there call
xlfUnregister for each of an XLL's functions.  However xlfUnregister
is broken so in practice Excel provides no mechanism to unregister
functions.  The only reason to implement xlAutoClose would be if there
were other resources that needed to be released which is not the case
for QuantLibAddin.

Regards,
Eric

[Quantlib-dev] Bug: Excel add-in does not remove functions when un-loaded

[Lars S. <sch...@ya...>]

    The add-in source code need to handle the xlAutoClose
 callback.
 
added to the bug reporting tool
http://sourceforge.net/tracker/index.php?func=detail&aid=1392393&group_id=12740&atid=112740


Regards
Lars


		
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Yahoo! for Good - Make a difference this year. 

[Quantlib-dev] [ quantlib-Bugs-979504 ] G2 gives wrong result.

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

Bugs item #979504, was opened at 2004-06-25 15:23
Message generated for change (Comment added) made by schouwla
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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: G2 gives wrong result.

Initial Comment:
I was trying to use the newest CVS version of the G2++
model and I realized that the ATM and OTM values of the
bermudan swaption example look much lower than for the
HW and BK models.

Actually, in my opinion for a 2 factor model the
results should be more accurate than for 1 factor. So I
guess there might be still a little bug?

 

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

Comment By: Lars Schouw (schouwla)
Date: 2005-12-29 09:37

Message:
Logged In: YES 
user_id=451604

Works not please but this bug to resolved.

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

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[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 (Tracker Item Submitted) made by Item Submitter
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

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

You can respond by visiting: 
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[Quantlib-dev] Re: Contribute some code

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

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 us=
e
> these
> as functions without having to export the Calendar/Day counter constructo=
r?
> If so, how do you do that?

In a metadata file having headerOnly=3D'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

[Quantlib-dev] Re: [Quantlib-users] Finite differences and discrete dividends

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

Hi Joseph

On 12/22/05, Joseph Wang <jo...@co...> wrote:
> I come across a paper by Haug that argues that the classic
> discrete dividend option formula is wrong.
which paper are you referring to? I remember something published on
Wilmott Magazine, but I don't have access to it right now.

as for right/wrong...
formulas (and models) in widespread usage are never right or wrong in
my book, they are just used properly or improperly. Every trader is
used to twist input parameters to obtain reliable results out of
less-than-perfect formulas (and models)
:-)

> One of the implications of the original quantlib algorithm is that an
> option that pays out $5 on an underlying spot price of 100 will be
> valued differently than an option that pays out 5% on underlying spot
> price of $100.

this seems perfect to me. it's different if you have an announced
official discrete dividend of 5$ or if you have a generic estimated
dividend of 5%.

> The original quantlib algorithm backward evolves the price curve and if
> it encounters a dividend payout of $N, it shifts the price curve by N.
>
> The new algorithm which matches the results in the analytic formula and
> the "classic dividend" formula, first calculates the discounted dividend
> payout and then it scales the price curve by a factor of (U+N)/U where U
> is the price of the underlying.

The classic analityc formula you are referring to only handles 5%
dividend, finite differences can handle both 5% and 5$. The key point
in both cases is which vol a trader will use.

I personally would love FD to handle both percentage and absolute
dividends. Anway for short dated options the discrete case is probably
the most relevant.

I'm sure that pratictioners might add insightful comments...

ciao -- Nando

PS Merry Christmas everyone

[Quantlib-dev] Contribute some code

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

Hi,
I've used QuantLibAddin to build a couple of spreadsheet for training
purposes.
I've added a handful of functions:
   + a function qlXiborFixing to retrieve the fixing of an index
   + two functions qlRateHelperImpliedQuote, qlRateHelperQuoteError to
     retrieve the implied quote and the error of a rate helper
   + a constructor qlForwardSpreadedTermStructure to build a curve with a 
given spread
   + a constructor qlForwardCurve for a piecewise-constant forward curve 
starting from
     the given forward rates

Should I commit these additions?

Also, I would like to use the advance method of calendars and the 
yearFraction method
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?

Marco


Marco Marchioro
StatPro Italia

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

[Quantlib-dev] Finite differences and discrete dividends

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

About two weeks ago, Luigi put in some unit tests for the finite 
difference method discrete dividend engine which failed the tests.  
After some work, I was able to modify the FD engine so that the results 
match the analytic formula which assumes that the value of the option is 
what it would be if the discounted values of the dividends were 
subtracted from the underlying.

So everything is good.....

Until I come across a paper by Haug that argues that the classic 
discrete dividend option formula is wrong.  This brings up the 
possibility that the original algorithm which failed the unit tests is 
actually the correct one.

The original quantlib algorithm backward evolves the price curve and if 
it encounters a dividend payout of $N, it shifts the price curve by N.

The new algorithm which matches the results in the analytic formula and 
the "classic dividend" formula, first calculates the discounted dividend 
payout and then it scales the price curve by a factor of (U+N)/U where U 
is the price of the underlying.

One of the implications of the original quantlib algorithm is that an 
option that pays out $5 on an underlying spot price of 100 will be 
valued differently than an option that pays out 5% on underlying spot 
price of $100.

So the question I have is does anyone have a reference to a recent paper 
talking about how to handle discrete dividends with finite differences.

[Quantlib-dev] Automation of Option Market Making ?

[Teo C. <teo...@ho...>]

Some years ago I wanted to write a dissertation about "Automation of Option 
Market Making". I stopped the project. Who is acually the leading researcher 
in this field ?
Can somebody recommend me some links ?

_________________________________________________________________
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Re: [Quantlib-dev] Multiple Version Control Software

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

On 12/13/2005 11:29:16 PM, David Brown wrote:
>    Does anyone know of a GUI-based program that keeps multiple CVS
> repositories up-to-date?

David,
	I'm not sure I follow. What I do is just running "cvs update" =20
in all checked-out modules, which is simple enough. What features are =20
you after exactly?

Later,
	Luigi


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

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

[Quantlib-dev] Multiple Version Control Software

[David B. <doc...@gm...>]

Hi-

   Does anyone know of a GUI-based program that keeps multiple CVS
repositories up-to-date?  I have just started playing with QuantLib SWIG an=
d
am having problems all over the place.  I know that the majority of these
problems are because of versioning.  Preferrably the program is for BSD or
Linux.



Best Wishes,
David Brown

[Quantlib-dev] [ quantlib-Patches-1378353 ] Brazilian banking calendar

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

Patches item #1378353, was opened at 2005-12-11 23:41
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1378353&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,
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Category: None
Group: None
>Status: Closed
>Resolution: Accepted
Priority: 5
Submitted By: Piter Dias (piterdias)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Brazilian banking calendar

Initial Comment:
These files are intended to include Brazlian banking 
calendar into QuantLib.
Holidays are provided by Andima and checked against 
Redoma (banking calendar vendor).


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

Comment By: Luigi Ballabio (lballabio)
Date: 2005-12-13 22:05

Message:
Logged In: YES 
user_id=75450

The patch was applied to the code in the cvs repository.
It will be included in next release.
Thank you.


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[Quantlib-dev] Re: Quantlib-dev digest, Vol 1 #390 - 1 msg

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

Try changing

typedef boost::shared_ptr<ZeroYieldStructure> ZeroYieldStructurePtr;

to

typedef boost::shared_ptr<YieldTermStructure> ZeroYieldStructurePtr;

and see if that helps.

RE: [Quantlib-dev] swig interface extension problem

[Tinus R. <tr...@ls...>]

Ok, so here I have an answer to my own question.  Don't think it's the best
answer but at least it is working.

First of all I realised it was of no use trying to wrap the abstract class
ZeroYieldStructure.  Secondly I could not get the template to work so I
created 2 instances of the class, if anyone know of a better way please let
me know.
%{
using QuantLib::InterpolatedZeroCurve;
using QuantLib::Linear;
typedef boost::shared_ptr<YieldTermStructure>
LinearInterpolatedZeroCurvePtr;
%}
%rename(LinearInterpolatedZeroCurve) LinearInterpolatedZeroCurvePtr;
class LinearInterpolatedZeroCurvePtr : public
boost::shared_ptr<YieldTermStructure> {
      public:
      %extend {
        LinearInterpolatedZeroCurvePtr(const std::vector<Date>& dates,
                              const std::vector<Rate>& yields,
                              const DayCounter& dayCounter){
            	return new LinearInterpolatedZeroCurvePtr(
            		new
InterpolatedZeroCurve<Linear>(dates,yields,dayCounter));               
        	}
        }
        
        
};

%{
using QuantLib::Cubic;
typedef boost::shared_ptr<YieldTermStructure> CubicInterpolatedZeroCurvePtr;
%}
%rename(CubicInterpolatedZeroCurve) CubicInterpolatedZeroCurvePtr;
class CubicInterpolatedZeroCurvePtr : public
boost::shared_ptr<YieldTermStructure> {
      public:
      %extend {
        CubicInterpolatedZeroCurvePtr(const std::vector<Date>& dates,
                              const std::vector<Rate>& yields,
                              const DayCounter& dayCounter,
                              const Cubic& cubic = Cubic()){
            	return new CubicInterpolatedZeroCurvePtr(
            		new
InterpolatedZeroCurve<Cubic>(dates,yields,dayCounter,cubic));               
        	}
        }
};


-----Original Message-----
From: qua...@li...
[mailto:qua...@li...] On Behalf Of Tinus
Rautenbach
Sent: 10 December 2005 16:51
To: qua...@li...
Subject: [Quantlib-dev] swig interface extension problem

Hi All
This is my first post, and hopefully not my last, I've been working with
quantlib for a while now, and want to use it from Java in a project.
 
The problem is that I have now spent 2 solid days trying to change the
termstructures.i interface to work for interpolatedzerocurve.
 
The problem is an intermediate class ZeroYieldStructure.  I can't seem to
get swig to generate this class because of it's virtual methods.

I was hoping that someone with a bit more experience with swig and quantlib
could give me some pointers.

Here is what I have at the moment (I have tried man different iterations of
this..) but it complains when trying to compile the cpp wrappers:

//%feature("notabstract") ZeroYieldStructure; %{ using
QuantLib::ZeroYieldStructure; typedef boost::shared_ptr<ZeroYieldStructure>
ZeroYieldStructurePtr; %}
%rename(ZeroYieldStructure) ZeroYieldStructurePtr; class
ZeroYieldStructurePtr : public boost::shared_ptr<YieldTermStructure> {
	public:
	//	ZeroYieldStructure();
 //       ZeroYieldStructure(const Date& referenceDate);
 //       ZeroYieldStructure(Integer settlementDays, const Calendar&);
//	   	Rate zeroYieldImpl(Time) const = 0;
//	   	Date maxDate() const;
//	   	DayCounter dayCounter() const = 0;
		
  };


// flat forward curve
%feature("notabstract") InterpolatedZeroCurve;

%{
using QuantLib::InterpolatedZeroCurve;
using QuantLib::Linear;
%}
 template <class Interpolator>
   class InterpolatedZeroCurve : public ZeroYieldStructure {
      public:
        InterpolatedZeroCurve(const std::vector<Date>& dates,
                              const std::vector<Rate>& yields,
                              const DayCounter& dayCounter,
                              const Interpolator& interpolator =
Interpolator());
        DayCounter dayCounter() const;
        Date maxDate() const;
        Time maxTime() const;
        const std::vector<Time>& times() const;
        const std::vector<Date>& dates() const; };

%template(LinearInterpolatedZeroCurve) InterpolatedZeroCurve<Linear>;


The erros is as follows:
../quantlib.cxx: In function `jlong
Java_org_quantlib_quantlibJNI_SWIGZeroYieldStructureUpcast(JNIEnv*,
_jclass*, long long int)':
../quantlib.cxx:70529: cannot convert `ZeroYieldStructurePtr*' to
`boost::shared_ptr<QuantLib::YieldTermStructure>*' in assignment


Any help would be appreciated, and hopefully I could get the swing of this
soon to start contributing back.
Regards
Tinus






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[Quantlib-dev] [ quantlib-Patches-1378353 ] Brazilian banking calendar

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

Patches item #1378353, was opened at 2005-12-11 20:41
Message generated for change (Settings changed) made by piterdias
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1378353&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: Piter Dias (piterdias)
>Assigned to: Ferdinando Ametrano (nando)
Summary: Brazilian banking calendar

Initial Comment:
These files are intended to include Brazlian banking 
calendar into QuantLib.
Holidays are provided by Andima and checked against 
Redoma (banking calendar vendor).


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

You can respond by visiting: 
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[Quantlib-dev] [ quantlib-Patches-1378353 ] Brazilian banking calendar

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

Patches item #1378353, was opened at 2005-12-11 20:41
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=1378353&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: Piter Dias (piterdias)
Assigned to: Nobody/Anonymous (nobody)
Summary: Brazilian banking calendar

Initial Comment:
These files are intended to include Brazlian banking 
calendar into QuantLib.
Holidays are provided by Andima and checked against 
Redoma (banking calendar vendor).


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

You can respond by visiting: 
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[Quantlib-dev] [ quantlib-Patches-1378350 ] Header file of Brazilian calendar

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

Patches item #1378350, was opened at 2005-12-11 20:36
Message generated for change (Settings changed) made by piterdias
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1378350&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: None
Priority: 5
Submitted By: Piter Dias (piterdias)
Assigned to: Nobody/Anonymous (nobody)
Summary: Header file of Brazilian calendar

Initial Comment:
Header file of Brazilian calendar.

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

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[Quantlib-dev] [ quantlib-Patches-1378350 ] Header file of Brazilian calendar

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

Patches item #1378350, was opened at 2005-12-11 20:36
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=1378350&group_id=12740

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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: Piter Dias (piterdias)
Assigned to: Nobody/Anonymous (nobody)
Summary: Header file of Brazilian calendar

Initial Comment:
Header file of Brazilian calendar.

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

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[Quantlib-dev] [Quantlib-users] Brazilian instruments

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

Any code you might have can be posted either on the quantlib-dev mail 
list if it is short, or else uploaded to wiki.quantlib.org.  
Enhancements and additions are deeply appreciated.  Also, you probably 
should work against the latest CVS version if you are doing any major 
development.

I'd be very interested to know in a general sense what you need to do to 
make it work for the Brazilian market, since I'm interested in the 
mainland Chinese market, and I suspect that there are some general 
issues for QF in emerging markets.

The recent economic history of Brazil (i.e. the Real plan and the URV) 
is quite fascinating.  The method that Brazil used to kill 
hyperinflation seems somewhat similar to what was used to kill 
hyperinflation in 1950's China after the Civil War.  (Basically you get 
people to start using an alternate currency is pegged to stable values.) 

Are any of the issues involved in local markets the result of the Real plan?

[Quantlib-dev] swig interface extension problem

[Tinus R. <tr...@ls...>]

Hi All
This is my first post, and hopefully not my last, I've been working with
quantlib for a while now, and want to use it from Java in a project.
 
The problem is that I have now spent 2 solid days trying to change the
termstructures.i interface to work for interpolatedzerocurve.
 
The problem is an intermediate class ZeroYieldStructure.  I can't seem to
get swig to generate this class because of it's virtual methods.

I was hoping that someone with a bit more experience with swig and quantlib
could give me some pointers.

Here is what I have at the moment (I have tried man different iterations of
this..) but it complains when trying to compile the cpp wrappers:

//%feature("notabstract") ZeroYieldStructure;
%{
using QuantLib::ZeroYieldStructure;
typedef boost::shared_ptr<ZeroYieldStructure> ZeroYieldStructurePtr;
%}
%rename(ZeroYieldStructure) ZeroYieldStructurePtr;
class ZeroYieldStructurePtr : public boost::shared_ptr<YieldTermStructure> {
	public:
	//	ZeroYieldStructure();
 //       ZeroYieldStructure(const Date& referenceDate);
 //       ZeroYieldStructure(Integer settlementDays, const Calendar&);
//	   	Rate zeroYieldImpl(Time) const = 0;
//	   	Date maxDate() const;
//	   	DayCounter dayCounter() const = 0;
		
  };


// flat forward curve
%feature("notabstract") InterpolatedZeroCurve;

%{
using QuantLib::InterpolatedZeroCurve;
using QuantLib::Linear;
%}
 template <class Interpolator>
   class InterpolatedZeroCurve : public ZeroYieldStructure {
      public:
        InterpolatedZeroCurve(const std::vector<Date>& dates,
                              const std::vector<Rate>& yields,
                              const DayCounter& dayCounter,
                              const Interpolator& interpolator =
Interpolator());
        DayCounter dayCounter() const;
        Date maxDate() const;
        Time maxTime() const;
        const std::vector<Time>& times() const;
        const std::vector<Date>& dates() const;
};

%template(LinearInterpolatedZeroCurve) InterpolatedZeroCurve<Linear>;


The erros is as follows:
../quantlib.cxx: In function `jlong
Java_org_quantlib_quantlibJNI_SWIGZeroYieldStructureUpcast(JNIEnv*,
_jclass*, long long int)':
../quantlib.cxx:70529: cannot convert `ZeroYieldStructurePtr*' to
`boost::shared_ptr<QuantLib::YieldTermStructure>*' in assignment


Any help would be appreciated, and hopefully I could get the swing of this
soon to start contributing back.
Regards
Tinus

[Quantlib-dev] [ quantlib-Feature Requests-1197179 ] add bootstrap to construct zero curve from market bonds

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

Feature Requests item #1197179, was opened at 05/07/05 04:15
Message generated for change (Comment added) made by sf-robot
You can respond by visiting: 
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Category: None
Group: None
>Status: Closed
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: add bootstrap to construct zero curve from market bonds

Initial Comment:
add bootstrap to construct zero curve from market bonds

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

>Comment By: SourceForge Robot (sf-robot)
Date: 12/01/05 19:20

Message:
Logged In: YES 
user_id=1312539

This Tracker item was closed automatically by the system. It was
previously set to a Pending status, and the original submitter
did not respond within 14 days (the time period specified by
the administrator of this Tracker).

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

Comment By: Luigi Ballabio (lballabio)
Date: 11/17/05 04:29

Message:
Logged In: YES 
user_id=75450

The feature is now implemented in CVS and will be available in the 
next library release.


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[Quantlib-dev] Re: quote.hpp problem

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

On 18 November 2005 at 20:53, Joseph Wang wrote:
| just curious but I wonder if anyone has ever tried running quantlib from 
| R through the R-python or R-perl interface.

Not that I know of.

| it would look like
| 
| R <----RPython----> Python <----- SWIG ----> Quantlib

You have an alternative at the 2nd leg:

R <----RPy----> Python <----- SWIG ----> Quantlib

That could work, though the diagram would probably be more "V" shaped with
Python as a controller in the middle talking to R for stats and QL for
pricing --- so it doesn't really do "R from QuantLib" or "QuantLib from R". 

Dirk

-- 
Statistics: The (futile) attempt to offer certainty about uncertainty.
         -- Roger Koenker, 'Dictionary of Received Ideas of Statistics'

[Quantlib-dev] Re: quote.hpp problem

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

just curious but I wonder if anyone has ever tried running quantlib from 
R through the R-python or R-perl interface.

it would look like

R <----RPython----> Python <----- SWIG ----> Quantlib

[Quantlib-dev] Re: quote.hpp problem

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

On 17 November 2005 at 22:49, Joseph Wang wrote:
| 
| >It turns out that the suggested '-fpermissive' fixes it. From my build-logs,
| >it worked fine without it on Oct 21 with the then-current g++-4.0 (4.0.2-2,
| >judging from its changelog). The current one is 4.0.2-4 with the changed
| >allocator, and something must have changed along with it.
| >
| >But then given the speed with which things move around here, it probably has
| >long been updated in CVS anyway :)
| >
| >  
| >
| Yup....  The problem was that quote.hpp had a template with a #define 
| macro that was confusing the compiler.  The solution was to include 
| <ql/error.h> so that the macro gets expanded before the compiler sees it.

Dang. I remember that one from the discussion on the list.  

Thanks for the clue-bat.

Dirk

-- 
Statistics: The (futile) attempt to offer certainty about uncertainty.
         -- Roger Koenker, 'Dictionary of Received Ideas of Statistics'