quantlib-dev — Discussion of QuantLib development

[Quantlib-dev] Re: quote.hpp problem

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

>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.

[Quantlib-dev] 0.3.11 fails to compile under newest g++-4.0

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

QuantLib'ers,

I was updating the Debian packages of 0.3.11 ( for a C++ transition we're
undergoing relative to to libstd++ and the standard allocation, details at
http://article.gmane.org/gmane.linux.debian.devel.announce/763 ), and I ran
into

Making install in TermStructures
make[4]: Entering directory `/tmp/buildd/quantlib-0.3.11/ql/TermStructures'
if /bin/sh ../../libtool --tag=CXX --mode=compile g++-4.0 -DHAVE_CONFIG_H
-I. -I. -I../../ql  -I../.. -I../..   -O2 -D_REENTRANT -MT ratehelpers.lo -MD
-MP -MF ".deps/ratehelpers.Tpo" -c -o ratehelpers.lo ratehelpers.cpp; \
then mv -f ".deps/ratehelpers.Tpo" ".deps/ratehelpers.Plo"; else rm -f
".deps/ratehelpers.Tpo"; exit 1; fi
 g++-4.0 -DHAVE_CONFIG_H -I. -I. -I../../ql -I../.. -I../.. -O2 -D_REENTRANT
-MT ratehelpers.lo -MD -MP -MF .deps/ratehelpers.Tpo -c ratehelpers.cpp
-fPIC -DPIC -o .libs/ratehelpers.o
../../ql/quote.hpp: In member function 'QuantLib::Real
QuantLib::DerivedQuote<UnaryFunction>::value() const':
../../ql/quote.hpp:139: error: there are no arguments to 'QL_REQUIRE' that
depend on a template parameter, so a declaration of 'QL_REQUIRE' must be
available
../../ql/quote.hpp:139: error: (if you use '-fpermissive', G++ will accept
your code, but allowing the use of an undeclared name is deprecated)
../../ql/quote.hpp: In member function 'QuantLib::Real
QuantLib::CompositeQuote<BinaryFunction>::value() const':
../../ql/quote.hpp:164: error: there are no arguments to 'QL_REQUIRE' that
depend on a template parameter, so a declaration of 'QL_REQUIRE' must be
available

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 :)

Cheers, Dirk

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

[Quantlib-dev] Array and Sampled Curves

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

It occurs to me that it wouldn't be too difficult to change Array and 
Sampled Curve to templates that can handle anything.  The reason for 
doing that is that youcould change have two-d arrays being implemented 
as an array of arrays and have all of the math work out right.

In the case of SampledCurve, the idea would be

typedef IndexedRelation<Real, Real> SampledCurve;

Once you do that you can create a surface

IndexedRelation<Real, IndexedRelation<Real, Real> > or better yet

IndexedRelation<Date, IndexedRelation<Real, Real> >

or a dividend payment schedule

IndexedRelation<Date, DividendPayment>
IndexedRelation<Date, CallabilitySchedule>

Now the cool thing will be if you can interface IndexRelations with stat 
package like R and start plotting them.

Thoughts?

[Quantlib-dev] [ quantlib-Feature Requests-997288 ] Add Instrument Bond

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

Feature Requests item #997288, was opened at 2004-07-25 01:12
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=997288&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: Deleted
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: Add Instrument Bond

Initial Comment:
Please add bonds (fixed and floating) and callable bonds 
to Quantlib.

lot...@on...

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2005-11-17 13:31

Message:
Logged In: YES 
user_id=75450

Duplicate request

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=997288&group_id=12740

[Quantlib-dev] [ quantlib-Feature Requests-997298 ] Add bonds

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

Feature Requests item #997298, was opened at 2004-07-25 01:30
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=997298&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: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: Add bonds 

Initial Comment:
please add bonds (floating and fix coupon) and callable 
bonds to quantlib.
I recently discovered quantlib on the web and i think 
that it would be more useful if it also includes the 
instrument bond. 
Where in the class model of quantlib would be the most 
natural place to add bonds? If I intend to program it 
myself, from which class would you recommend to derive 
a class bond?

lot...@on...

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2005-11-17 13:30

Message:
Logged In: YES 
user_id=75450

Fixed-coupon and floating-rate bonds are now implemented.
Callable bonds are waiting for a volunteer.


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

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[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 2005-05-07 13:15
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=1197179&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: Pending
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: Luigi Ballabio (lballabio)
Date: 2005-11-17 13:29

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] Jobs status and brain dump

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

Also, I should be starting second round interviews with a Wall Street 
firm next week.  One issue that will come up is how that meshes with my 
work on Quantlib.  Something that I will insist on is that my employment 
not prevent me from contributing code back to Quantlib if that code 
doesn't have any proprietary methods.  I don't have any problem with the 
employer keep secret stuff secret, but if the terms of my employment 
keep me from contributing *anything* to Quantlib, then its not a good 
deal for me long term.  (It's also not a good deal for my employer since 
it means that they are going to be constantly reinventing the wheel.  
Whether they realize this or not is one criteria for taking the job or not.)

If anyone has a similar situation let me know.  If no one has a similar 
situation, I'd also like to know that since it means that I might have 
to hire an IP lawyer to draft a "Quantlib clause" to any NDA that I 
sign, and other people might be able to use that clause with their 
employers.  I'm actually in a good position to negotiate something like 
this since I can and will reject a job offer if the employer is not 
willing to be flexible about this.

Also a general brain dump for stuff that I almost certainly will not be 
able to talk about if I get hired.

1) Hypothesis: The model that most people use to value RMB currency 
forwards is wrong.  RMB currency forwards are not valued by the future 
expectation of RMB appreciation, but rather by the current spot price of 
RMB and the interest rate parity equation.  One consequence of this that 
you ought to expect that the value of RMB forwards to appreciate in the 
next few months as the Chinese government loosens monetary policy and 
the Fed tightens monetary policy.  This will make absolutely no sense if 
you model currency forwards as a crystal ball.

2) Hypothesis: Once the RMB really starts to move, people will find that 
the world currency system is dynamically unstable.  RMB moves, East 
Asian currency follows, if this feeds back to the RMB basket, then you 
end up with a positive feedback loop.  This hasn't been much of an issue 
since the PBC is holding the value of the RMB constant.  Where this will 
bite is if you have a currency crisis. 

3) PRC markets are much more rational and amenable to quantitative 
methods than most people think.  Yes, you have issues with illiquidity, 
capital controls, fraud, corruption, information asymmetry, but that a 
mathematical model can take all of that into account.  You can 
mathematically model fraud and corruption, for example.

4) You can model a convertible model not only as call option with a bond 
but also like a put option with a stock.  The latter may be more useful 
if you have a CB whose value is above the conversion ratio, and would 
give you a reason *not* to convert a bond, even if you can.

5) The Fokker-Planck equation models the evolution of probability 
distributions of a stochastic differential equation.  If you try to 
write down the moments evolution of the FP equation, you end up with 
some very simple formulas.  One thing that happens is that the higher 
order moments don't seem to feedback on the lower order ones like they 
do in the Navier-Stokes. 

6) Information theory is underused in QF.  Given a certain about of 
information, one can derive some equations using information theory so 
figure out what can be figured out from that data.  This can tell you 
that you shouldn't bother making a more complex model because the data 
is too spotty for it to make a difference.  The basic way this would 
work is to calculate the number of bits of the information that you 
have, and then you should be able to calculate the number of bits (i.e. 
the precision) of the output that you are calculating.

7) You should be able to go straight from a stochastic differential 
equation to a FDM scheme *without* going through a PDE.  I've never seen 
someone do this or work out step by step the math for doing this, but it 
can be done.  Calculating a PDE is totally unnecessary in doing FDM.

8) You can bring in all of the good stuff in axiomatic probability 
theory if you realize that changing a measure is mathematically the same 
as changing the grid in an FDM calculation.  You can also relate this to 
topology since the zero points in a probability measure are your 
topological invariants.

9) Standard Wall Street hiring methods very much discourage creative 
thinking.  Basically you get the job based on how will you've mastered 
text book techniques, but spending time doing that discourages you from 
rewriting the textbook.

Anyway I haven't been hired yet, so if anyone wants to chat about these 
ideas I still can.  I'm also still in the market for other job offers.

Also, If anyone knows how to deal with this situation let me know.  I 
give resume to school recruiter for firm.  School recruiter is *very* 
busy, and I've gotten zero information from the recruiter or anyone else 
in the firm about status of resume.  If my understanding is correct, I 
can now longer use a head hunter to forward resume to said firm.  
Suggestions about what to do?  I've already spammed everyone I know in 
said firm, but I'm much too low of a priority to get anyone's attention.

This is actually a fun Alice and Bob-type problem.  I would like to get 
the attention of someone on this list from said firm, but I don't want 
to let anyone know else which firm it is.  Standard solution is a shared 
secret....  Hmmm....  Fun problem.....

I'd ask on Wilmott but I generally get side tracked there on discussion 
that keep me from coding quantlib. :-) :-) :-)

Re: [Quantlib-dev] Interpolator semantics

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

Hi Joseph,
	at work already? Aren't you a few hours west of here?

On 11/16/2005 01:00:57 PM, Joseph Wang wrote:
> I see your point.  You can go ahead and remove it.  You might have to =20
> fix some places where that is used.

Ok, no problem for the fixes.

> Also, what is your opinion about using transform in sampled curve.

I'm agnostic. As it seems to me it's still a class in progress, we =20
might postpone the judgment until the interface stabilizes.


> One other thing, has anyone ever done an interactive code review =20
> online?

It could be a nice event to hold for the QuantLib anniversary (the =20
library is going to turn 5-years old this December.) But I have no idea =20
of the software we might need to do something of this kind. Are you =20
aware of any such facility?

Later,
	Luigi


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

Academic: a term of opprobrium applied to those that do their job well
by those who cannot.
-- Sir Ernest Gowers

Re: [Quantlib-dev] Interpolator semantics

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

I see your point.  You can go ahead and remove it.  You might have to 
fix some places where that is used. 

Also, what is your opinion about using transform in sampled curve.

One other thing, has anyone ever done an interactive code review online? 


Luigi Ballabio wrote:

>
> On 11/15/2005 07:25:57 PM, Joseph Wang wrote:
>
>>>
>> It's because I want to set extrapolate to true.  At first I thought  
>> it would be easy to add it to C++ class, but that would break the  
>> bridge pattern.
>
>
> Joseph,
>     it's done. You can check out the modified code and look at the  
> relevant test case in test-suite/interpolations.cpp to see how to  
> enable extrapolation.
>
> On an unrelated note, I'm not sure that the transform() method you  
> added really belongs to Array, since a) it just wraps a call to  
> std::transform, b) it is less flexible, being only self-applied while  
> std::transform allows writing to a different output array, and c) I'd  
> like to keep class interfaces as lean as possible. Would it be a 
> major  inconvenience for you if I took it back?
>
> Later,
>     Luigi
>
> ----------------------------------------
>
> The shortest way to do many things is to do only one thing at once.
> -- Samuel Smiles

Re: [Quantlib-dev] Interpolator semantics

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

On 11/15/2005 07:25:57 PM, Joseph Wang wrote:
>>=20
> It's because I want to set extrapolate to true.  At first I thought =20
> it would be easy to add it to C++ class, but that would break the =20
> bridge pattern.

Joseph,
	it's done. You can check out the modified code and look at the =20
relevant test case in test-suite/interpolations.cpp to see how to =20
enable extrapolation.

On an unrelated note, I'm not sure that the transform() method you =20
added really belongs to Array, since a) it just wraps a call to =20
std::transform, b) it is less flexible, being only self-applied while =20
std::transform allows writing to a different output array, and c) I'd =20
like to keep class interfaces as lean as possible. Would it be a major =20
inconvenience for you if I took it back?

Later,
	Luigi

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

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

Re: [Quantlib-dev] Interpolator semantics

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

On Nov 15, 2005, at 7:25 PM, Joseph Wang wrote:
>>     the extrapolation parameter is optional, so the interpolations  
>> can be used as a unary function. In what way it doesn't work? Is it  
>> because you do want to pass the parameter?
>>
> It's because I want to set extrapolate to true.  At first I thought it 
> would be easy to add it to C++ class, but that would break the bridge 
> pattern.

I see. I think it can be done---I'll try and change it tomorrow.

Luigi

Re: [Quantlib-dev] Interpolator semantics

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

Luigi Ballabio wrote:

>
> On 11/15/2005 05:15:09 AM, Joseph Wang wrote:
>
>> I'd like to use the interpolation classes as functors, but it seems  
>> to be difficult because the operator takes both a the domain 
>> variable  and an allowExtrapolation.  I could try using bind2nd but I 
>> don't  think that there is an adaptable typedef there.
>
>
> Joe,
>     the extrapolation parameter is optional, so the interpolations  
> can be used as a unary function. In what way it doesn't work? Is it  
> because you do want to pass the parameter?
>
It's because I want to set extrapolate to true.  At first I thought it 
would be easy to add it to C++ class, but that would break the bridge 
pattern.

> Later,
>     Luigi
>
>
> ----------------------------------------
>
> Olmstead's Law:
>         After all is said and done, a hell of a lot more is said
>         than done.

Re: [Quantlib-dev] Interpolator semantics

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

On 11/15/2005 05:15:09 AM, Joseph Wang wrote:
> I'd like to use the interpolation classes as functors, but it seems =20
> to be difficult because the operator takes both a the domain variable =20
> and an allowExtrapolation.  I could try using bind2nd but I don't =20
> think that there is an adaptable typedef there.

Joe,
	the extrapolation parameter is optional, so the interpolations =20
can be used as a unary function. In what way it doesn't work? Is it =20
because you do want to pass the parameter?

Later,
	Luigi


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

Olmstead's Law:
         After all is said and done, a hell of a lot more is said
         than done.

[Quantlib-dev] Interpolator semantics

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

I'd like to use the interpolation classes as functors, but it seems to 
be difficult because the operator takes both a the domain variable and 
an allowExtrapolation.  I could try using bind2nd but I don't think that 
there is an adaptable typedef there.

Any ideas?

(The context is that I'm going through the finite differencing code and 
trying to replace for loops with STL transform functions.)

[Quantlib-dev] Problem running unit tests

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

I get

Entering test case "ShortRateModelTest::testSwaps"
Testing Hull-White swap pricing against known values...
Exception in "ShortRateModelTest::testSwaps": std::exception: Missing 
Euribor6m\ act/360 fixing for November 4th, 2005
Leaving test case "ShortRateModelTest::testSwaps"
Leaving test suite "Short-rate model tests"

I think the problem is that I'm running the tests on a weekend and so 
when the code tries to get the datum for a weekend date, it fails.  It 
might be a good idea to fix the date in the unit tests rather than using 
the current date.

[Quantlib-dev] development request

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

Two ideas:

1) There are a huge number of options and equations at

http://www.global-derivatives.com/

that aren't implemented in Quantlib.  You can find one that is of 
interest to you and design a pricing engine for it.

2) Try to create a system using Quantlib that is useful for something 
that you are trying to do.  If you find there is something in the API 
that is awkward, post that information and we can see how we can make 
the API more user friendly.

Also, if you do start working on something, it's a good idea to keep the 
list informed with periodic status updates so that we don't duplicate 
effort and you can get feedback.

[Quantlib-dev] development request

[Rathnam <rat...@ho...>]

Hi
I am new to the quant field but have become extremely interested in this =
field lately. I have experience as a Java, C# and some C++ programming =
experience. I have designed and architected multi-tier web applications =
and windows applications. I have a BE in Mechanical Engineering, MS in =
Industrial Engineering(Major in Information System) and MBA. As part of =
my research work I have designed algorithm to a knowledge network and =
implemented it in C++.=20

On the equities sitde, I have experience (at personal level) in options =
trading, stock trading and currency trading. I also have developed =
ranking systems for stocks and actively maintaining a portfolio based on =
the ranking system.=20

I would like to contribute to any of the following areas.
Monte Carlo , Black Scholes, Credit Derviatives, Options pricing, =
Currency

I would appreciate any suggestions as to where I can start and how I can =
contribute.

rathnam

Re: [Quantlib-dev] Observable class

[Nicolas Di <nic...@fr...>]

Selon Naoufel El Bachir <nao...@ya...>:

> Hi,
> I was looking at the Observable class and have a few
> questions:
>
> - Is there any reason this class is not abstract ?

Is there any reason to be abstract ;-)

> - What happens when Observable is deleted ? Does not
> it need to notify Observers in its destructor ?

Classes derived from Observers contain a "link" to Observable class using=
 Handle
  or shared_ptr. It ensure that observed classes are not destroyed since
Observer class observes.


>
> ___________________________________________________________
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--
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http://nicolas.dicesare.free.fr

[Quantlib-dev] Observable class

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

Hi,
I was looking at the Observable class and have a few
questions:

- Is there any reason this class is not abstract ?
- What happens when Observable is deleted ? Does not
it need to notify Observers in its destructor ?
- Why is Observable::notifyObservers() still public
and not protected as suggested in the Ehancement
Proposal ?

Thanks for any clarifications


		
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[Quantlib-dev] QuantLib users map

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

Hi all,
	being Friday afternoon, and having just been shown how cool
Frappr is, I just created a map for QuantLib. You can open it at
<http://www.frappr.com/quantlib>, add yourself, and see where other
QuantLib developers and users are based.

Cheers,
	Luigi

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

Westheimer's Discovery:
	A couple of months in the laboratory can frequently save a
	couple of hours in the library.

[Quantlib-dev] Re: Preliminary tarballs for 0.3.11 release

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

Hi,
Installed, run test-suite and all examples with no problems on Linux with gcc 3.3.6 and boost.0-1-32.
Will try other platforms later.
Naoufel

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Today's Topics:

1. Preliminary tarballs for 0.3.11 release (Luigi Ballabio)
2. Re: Preliminary tarballs for 0.3.11 release (Dominick Samperi)

--__--__--

Message: 1
Date: Fri, 14 Oct 2005 12:06:52 +0000
From: Luigi Ballabio 
To: QuantLib developers 
Subject: [Quantlib-dev] Preliminary tarballs for 0.3.11 release


Hi all,
preliminary tarballs for the 0.3.11 release are available at =20
. If you have some time (or if you can =20
leave your office computer running a compilation during the weekend) =20
please download them and check whether there are any problems.

Thanks,
Luigi

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

Testing can never demonstrate the absence of errors in software, only
their presence.
-- W.E. Dijkstra



--__--__--

Message: 2
Date: Fri, 14 Oct 2005 11:39:51 -0400
From: Dominick Samperi 
To: Luigi Ballabio 
CC: QuantLib developers 
Subject: Re: [Quantlib-dev] Preliminary tarballs for 0.3.11 release

Luigi Ballabio wrote:
>
> Hi all,
> preliminary tarballs for the 0.3.11 release are available at 
> . If you have some time (or if you 
> can leave your office computer running a compilation during the 
> weekend) please download them and check whether there are any problems.
>
> Thanks,
> Luigi
There are some problems with multiple definitions. For example, one 
version of
EuropeanHestonPathPricer::EuropeanHestonPathPricer is DEFINED in
the header file ql/PricingEngines/Vanilla/mceuropeanhestonengine.hpp, and it
is not a template.

There is also a strange problem under Windows when the Dev-Cpp project file
is used. When I select "rebuild all" I immediately get the message 
"Could not
create Makefile: "C:\QuantLib-0.3.11\Makefile.win" Invalid filename. 
Tried this
on two machines with the same result.

Dominick



--__--__--

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[Quantlib-dev] ObjectHandler and QuantLibAddin prerelease tarballs

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

Hi All

Below is the link to the prerelease tarballs for ObjectHandler 0.1.2
and QuantLibAddin 0.3.11.

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

I'd be grateful to anyone who would try out the files and let me know
of any problems.

The build procedure has changed slightly, the new procedure is
reflected in the docs.

The CVS branches are
ObjectHandler - R000102f0-branch
QuantLibAddin - R000311f0-branch

For info I'll be offline Tuesday.

Regards,
Eric

Re: [Quantlib-dev] Finite differences and sample curves

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

On 10/17/2005 01:27:24 AM, Joseph Wang wrote:
> In my personal CVS, I've made some modifications to the finite =20
> difference engines.
>=20
> Would it be a good idea for me to wait until after 0.3.11 has been =20
> branched to check this in?

Joe,
	don't worry---0.3.11 was branched out a couple of weeks ago.
Later,
	Luigi


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

All parts should go together without forcing.  You must remember that
the parts you are reassembling were disassembled by you.  Therefore, if
you can't get them together again, there must be a reason.  By all
means, do not use a hammer.
-- IBM maintenance manual, 1925

[Quantlib-dev] Finite differences and sample curves

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

Hello,

In my personal CVS, I've made some modifications to the finite 
difference engines so that you can grab the entire price curve at the 
end of the calculation.  This involved some changes in the base classes 
to allow for the return of price curve information and the creation of a 
SampledCurve class which includes a curve and its grid.

Would it be a good idea for me to wait until after 0.3.11 has been 
branched to check this in? 

Dr. Joseph Wang
Looking for quant work involving quantlib, China and/or petroleum
http://www.gnacademy.org/joe

Re: [Quantlib-dev] Preliminary tarballs for 0.3.11 release

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

Luigi Ballabio wrote:
>
> Hi all,
>     preliminary tarballs for the 0.3.11 release are available at 
> <http://quantlib.org/prerelease/>. If you have some time (or if you 
> can leave your office computer running a compilation during the 
> weekend) please download them and check whether there are any problems.
>
> Thanks,
>     Luigi
There are some problems with multiple definitions. For example, one 
version of
EuropeanHestonPathPricer::EuropeanHestonPathPricer is DEFINED in
the header file ql/PricingEngines/Vanilla/mceuropeanhestonengine.hpp, and it
is not a template.

There is also a strange problem under Windows when the Dev-Cpp project file
is used. When I select "rebuild all" I immediately get the message 
"Could not
create Makefile: "C:\QuantLib-0.3.11\Makefile.win" Invalid filename. 
Tried this
on two machines with the same result.

Dominick