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From: Peter C. <pca...@gm...> - 2016-07-28 13:15:06
|
Hi Ivan, this is not OK. Can you first check the following: You seem to run the 64bit executable, but the platform displayed in the test suite is Win32. Something seems to have got mixed here. Regards, Peter > On 28 Jul 2016, at 06:01, Cherkasov, Ivan <Iva...@ot...> wrote: > > Hello. > > I get two failing test cases for AdaptiveRungeKutta in vc14: > > 1> Testing adaptive Runge Kutta... > 1>unknown location : fatal error : in "QuantLib test suite/ode tests/QuantLib::detail::quantlib_test_case(&OdeTest::testAdaptiveRungeKutta)": class QuantLib::Error: Stepsize (3.1414) underflow in AdaptiveRungeKutta::rkqs > 1> c:\tmp\ql18_vc2015\quantlib-1.8\test-suite\utilities.hpp(74): last checkpoint > 1> Testing matrix exponential based on ode... > 1>unknown location : fatal error : in "QuantLib test suite/ode tests/QuantLib::detail::quantlib_test_case(&OdeTest::testMatrixExponential)": class QuantLib::Error: Too many steps (10000) in AdaptiveRungeKutta > > Testsuite output is attached. > > Please advise if this is OK. > > Thank you. > > Переданная информация предназначена только для человека или юридического лица, к которому обращаются, и может содержать конфиденциальный материал. Любой обзор, передача, распространение или другое использование информации людьми или объектами кроме намеченного получателя запрещены. Если Вы получили данное сообщение по ошибке, просьба сообщить об этом отправителю этого сообщения и удалить сообщение со всеми приложениями к нему. > > This e-mail message and any attachment are for the sole use of the intended recipient(s) and may contain confidential and privileged information. Any unauthorized review, use, disclosure or distribution is prohibited. If you are not the intended recipient, please contact the sender by reply and destroy all copies of the original message and any attachments thereto. > Unless specifically stated otherwise, this communication is for information purposes only and may not be considered as advice, is not an offer or solicitation with respect to any transaction or an advertisement, and does not form a fiduciary relationship. For details of the disseminating legal entity and terms relating to risks, other conditions, and your reliance on information contained herein, see http://www.capital.otkritie.com/en/disclaimer/ <http://www.capital.otkritie.com/en/disclaimer/>. If you cannot access the link, please notify the sender by reply message and you will be sent the full contents of this notice. Otkritie Capital International Limited, authorized and regulated by the Financial Conduct Authority (FCA). > > <testsuite.txt>------------------------------------------------------------------------------ > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... <mailto:Qua...@li...> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev <https://lists.sourceforge.net/lists/listinfo/quantlib-dev> |
|
From: Cherkasov, I. <Iva...@ot...> - 2016-07-28 05:38:03
|
1>------ Build started: Project: testsuite, Configuration: Release x64 ------ 1> testsuite.vcxproj -> C:\tmp\ql18_vc2015\QuantLib-1.8\test-suite\bin\QuantLib-test-suite-vc140-x64-mt.exe 1> testsuite.vcxproj -> bin\QuantLib-test-suite-vc140-x64-mt.pdb (Full PDB) 1> ========================================= 1> Testing QuantLib-vc140-x64-mt.lib 1> QL_NEGATIVE_RATES defined 1> QL_EXTRA_SAFETY_CHECKS undefined 1> QL_USE_INDEXED_COUPON undefined 1> evaluation date is September 16th, 2015, 1> reference date events are excluded, 1> today's cashflows are excluded, 1> today's historic fixings are not enforced 1> ========================================= 1> Running 646 test cases... 1> Platform: Win32 1> Compiler: Microsoft Visual C++ version 14.0 1> STL : Dinkumware standard library version 650 1> Boost : 1.61.0 1> Testing Barone-Adesi and Whaley approximation for American options... 1> Testing Bjerksund and Stensland approximation for American options... 1> Testing Ju approximation for American options... 1> Testing finite-difference engine for American options... 1> Testing finite-differences American option greeks... 1> Testing finite-differences shout option greeks... 1> Testing array construction... 1> Testing array functions... 1> Testing analytic continuous geometric average-price Asians... 1> Testing analytic continuous geometric average-price Asian greeks... 1> Testing analytic discrete geometric average-price Asians... 1> Testing analytic discrete geometric average-strike Asians... 1> Testing Monte Carlo discrete geometric average-price Asians... 1> Testing Monte Carlo discrete arithmetic average-price Asians... 1> Testing Monte Carlo discrete arithmetic average-strike Asians... 1> Testing discrete-averaging geometric Asian greeks... 1> Testing use of past fixings in Asian options... 1> Testing consistency between fair price and fair spread... 1> Testing implied bond value against asset-swap fair price with null spread... 1> Testing relationship between market asset swap and par asset swap... 1> Testing clean and dirty price with null Z-spread against theoretical prices... 1> Testing implied generic-bond value against asset-swap fair price with null spread... 1> Testing market asset swap against par asset swap with generic bond... 1> Testing clean and dirty price with null Z-spread against theoretical prices... 1> Testing clean and dirty prices for specialized bond against equivalent generic bond... 1> Testing asset-swap prices and spreads for specialized bond against equivalent generic bond... 1> Testing convolutions... 1> Testing auto-covariances... 1> Testing auto-correlations... 1> Testing barrier options against Haug's values... 1> Testing barrier options against Babsiri's values... 1> Testing barrier options against Beaglehole's values... 1> Testing local volatility and Heston FD engines for barrier options... 1> Testing two-asset European basket options... 1> Testing three-asset basket options against Barraquand's values... 1> Testing three-asset American basket options against Tavella's values... 1> Testing basket American options against 1-D case from 0 to 4... 1> Testing basket American options against 1-D case from 5 to 10... 1> Testing basket American options against 1-D case from 11 to 16... 1> Testing basket American options against 1-D case from 17 to 22... 1> Testing basket American options against 1-D case from 23 to 28... 1> Testing antithetic engine using odd sample number... 1> Testing analytic Bates engine against Black formula... 1> Testing analytic Bates engine against Merton-76 engine... 1> Testing analytic Bates engine against Monte-Carlo engine... 1> Testing Bates model calibration using DAX volatility data... 1> Testing Bermudan swaption against cached values... 1> Testing cash-or-nothing barrier options against Haug's values... 1> Testing asset-or-nothing barrier options against Haug's values... 1> Testing Bachelier implied vol... 1> Testing Chambers-Nawalkha implied vol approximation... 1> Testing consistency of bond price/yield calculation... 1> Testing consistency of bond price/ATM rate calculation... 1> Testing consistency of bond price/z-spread calculation... 1> Testing theoretical bond price/yield calculation... 1> Testing bond price/yield calculation against cached values... 1> Testing zero-coupon bond prices against cached values... 1> Testing fixed-coupon bond prices against cached values... 1> Testing floating-rate bond prices against cached values... 1> Testing Brazilian public bond prices against Andima cached values... 1> Testing ex-coupon UK Gilt price against market values... 1> Testing ex-coupon Australian bond price against market values... 1> Testing South African R2048 bond price using Schedule constructor with Date vector... 1> Testing Brownian-bridge variates... 1> Testing Brownian-bridge path generation... 1> Testing business day conventions... 1> Testing Brazil holiday list... 1> Testing Russia holiday list... 1> Testing Milan Stock Exchange holiday list... 1> Testing UK settlement holiday list... 1> Testing London Stock Exchange holiday list... 1> Testing London Metals Exchange holiday list... 1> Testing Frankfurt Stock Exchange holiday list... 1> Testing Xetra holiday list... 1> Testing Eurex holiday list... 1> Testing TARGET holiday list... 1> Testing US settlement holiday list... 1> Testing US government bond market holiday list... 1> Testing New York Stock Exchange holiday list... 1> Testing South-Korean settlement holiday list... 1> Testing Korea Stock Exchange holiday list... 1> Testing calendar modification... 1> Testing joint calendars... 1> Testing bespoke calendars... 1> Testing end-of-month calculation... 1> Testing calculation of business days between dates... 1> Testing cap/floor dependency on strike... 1> Testing consistency between cap, floor and collar... 1> Testing cap/floor parity... 1> Testing cap/floor vega... 1> Testing cap/floor ATM rate... 1> Testing implied term volatility for cap and floor... 1> Testing Black cap/floor price against cached values... 1> Testing degenerate collared coupon... 1> Testing collared coupon against its decomposition... 1> Testing cash-flow settings... 1> Testing dynamic cast of coupon in Black pricer... 1> Testing default evaluation date in cashflows methods... 1> Testing ibor leg construction with null fixing days... 1> Testing Cliquet option values... 1> Testing Cliquet option greeks... 1> Testing performance option greeks... 1> Testing Monte Carlo performance engine against analytic results... 1> Testing Hagan-pricer flat-vol equivalence for coupons... 1> Testing Hagan-pricer flat-vol equivalence for swaps... 1> Testing put-call parity for capped-floored CMS coupons... 1> Testing covariance and correlation calculations... 1> Testing positive semi-definiteness salvaging algorithms... 1> Testing matrix rank reduction salvaging algorithms... 1> Testing credit-default swap against cached values... 1> Testing credit-default swap against cached market values... 1> Testing implied hazard-rate for credit-default swaps... 1> Testing fair-spread calculation for credit-default swaps... 1> Testing fair-upfront calculation for credit-default swaps... 1> Testing constant-maturity-swap-market-model curve state... 1> Testing dates... 1> Testing ECB dates... 1> Testing IMM dates... 1> Testing ASX dates... 1> Testing ISO dates... 1> Testing parsing of dates... 1> Testing actual/actual day counters... 1> Testing simple day counter... 1> Testing 1/1 day counter... 1> Testing business/252 day counter... 1> Testing thirty/360 day counter (Bond Basis)... 1> Testing thirty/360 day counter (Eurobond Basis)... 1> Testing default-probability structure... 1> Testing flat hazard rate... 1> Testing piecewise-flat hazard-rate consistency... 1> Testing piecewise-flat default-density consistency... 1> Testing piecewise-linear default-density consistency... 1> Testing log-linear survival-probability consistency... 1> Testing single-instrument curve bootstrap... 1> Testing bootstrap on upfront quotes... 1> Testing European asset-or-nothing digital coupon... 1> Testing European deep in-the-money asset-or-nothing digital coupon... 1> Testing European deep out-the-money asset-or-nothing digital coupon... 1> Testing European cash-or-nothing digital coupon... 1> Testing European deep in-the-money cash-or-nothing digital coupon... 1> Testing European deep out-the-money cash-or-nothing digital coupon... 1> Testing call/put parity for European digital coupon... 1> Testing replication type for European digital coupon... 1> Testing European cash-or-nothing digital option... 1> Testing European asset-or-nothing digital option... 1> Testing European gap digital option... 1> Testing American cash-(at-hit)-or-nothing digital option... 1> Testing American cash-(at-hit)-or-nothing digital option greeks... 1> Testing American asset-(at-hit)-or-nothing digital option... 1> Testing American cash-(at-expiry)-or-nothing digital option... 1> Testing American asset-(at-expiry)-or-nothing digital option... 1> Testing Monte Carlo cash-(at-hit)-or-nothing American engine... 1> Testing normal distributions... 1> Testing bivariate cumulative normal distribution... 1> Testing Poisson distribution... 1> Testing cumulative Poisson distribution... 1> Testing inverse cumulative Poisson distribution... 1> Testing bivariate cumulative Student t distribution... 1> Testing bivariate cumulative Student t distribution for large N... 1> Testing dividend European option values with no dividends... 1> Testing dividend European option with a dividend on today's date... 1> Testing dividend European option greeks... 1> Testing finite-difference dividend European option values... 1> Testing finite-differences dividend European option greeks... 1> Testing finite-differences dividend American option greeks... 1> Testing degenerate finite-differences dividend European option... 1> Testing degenerate finite-differences dividend American option... 1> Testing European option values... 1> Testing European option greek values... 1> Testing analytic European option greeks... 1> Testing European option implied volatility... 1> Testing self-containment of implied volatility calculation... 1> Testing JR binomial European engines against analytic results... 1> Testing CRR binomial European engines against analytic results... 1> Testing EQP binomial European engines against analytic results... 1> Testing TGEO binomial European engines against analytic results... 1> Testing TIAN binomial European engines against analytic results... 1> Testing LR binomial European engines against analytic results... 1> Testing Joshi binomial European engines against analytic results... 1> Testing finite-difference European engines against analytic results... 1> Testing integral engines against analytic results... 1> Testing Monte Carlo European engines against analytic results... 1> Testing Quasi Monte Carlo European engines against analytic results... 1> Testing European price curves... 1> Testing finite-differences with local volatility... 1> Testing direct exchange rates... 1> Testing derived exchange rates... 1> Testing lookup of direct exchange rates... 1> Testing lookup of triangulated exchange rates... 1> Testing lookup of derived exchange rates... 1> Testing complex direct FFT... 1> Testing convolution via inverse FFT... 1> Testing FDM with barrier option for Heston model vs Black-Scholes model... 1> Testing FDM with barrier option in Heston model... 1> Testing FDM with American option in Heston model... 1> Testing FDM Heston for Ikonen and Toivanen tests... 1> Testing FDM Heston with Black Scholes model... 1> Testing FDM with European option with dividends in Heston model... 1> Testing FDM Heston convergence... 1> Testing indexing of a linear operator... 1> Testing uniform grid mesher... 1> Testing application of first-derivatives map... 1> Testing application of second-derivatives map... 1> Testing finite differences coefficients... 1> Testing application of second-order mixed-derivatives map... 1> Testing triple-band map solution... 1> Testing FDM with barrier option in Heston model... 1> Testing FDM with American option in Heston model... 1> Testing FDM with express certificate in Heston model... 1> Testing FDM with Heston Hull-White model... 1> Testing bi-conjugated gradient stabilized algorithm with Heston operator... 1> Testing Crank-Nicolson with initial implicit damping steps for a digital option... 1> Testing SparseMatrixReference type... 1> Testing assignment to zero in sparse matrix... 1> Testing integrals over meshers functions... 1> Testing forward option values... 1> Testing forward option greeks... 1> Testing forward performance option values... 1> Testing forward performance option greeks... 1> Testing forward option greeks initialization... 1> Testing factorial numbers... 1> Testing Gamma function... 1> Testing Gamma values... 1> Testing modified Bessel function of first and second kind... 1> Testing weighted modified Bessel functions... 1> Testing GARCH model calibration... 1> Testing GARCH model calculation... 1> Testing Gauss-Jacobi integration... 1> Testing Gauss-Laguerre integration... 1> Testing Gauss-Hermite integration... 1> Testing Gauss hyperbolic integration... 1> Testing tabulated Gauss-Laguerre integration... 1> Testing Monte Carlo GJR-GARCH engine against analytic GJR-GARCH engine... 1> Testing GJR-GARCH model calibration using DAX volatility data... 1> Testing GSR process... 1> Testing GSR model... 1> Testing Heston model calibration using a flat volatility surface... 1> Testing Heston model calibration using DAX volatility data... 1> Testing analytic Heston engine against Black formula... 1> Testing analytic Heston engine against cached values... 1> Testing MC and FD Heston engines for the Kahl-Jaeckel example... 1> Testing different numerical Heston integration algorithms... 1> Testing FD barrier Heston engine against cached values... 1> Testing FD vanilla Heston engine against cached values... 1> Testing FD vanilla Heston engine for discrete dividends... 1> Testing FD vanilla Heston engine for american exercise... 1> Testing multiple-strikes FD Heston engine... 1> Testing Monte Carlo Heston engine against cached values... 1> Testing analytic piecewise time dependent Heston prices... 1> Testing time-dependent Heston model calibration... 1> Testing Alan Lewis reference prices... 1> Testing expansion on Alan Lewis reference prices... 1> Testing expansion on Forde reference prices... 1> Testing European option pricing for a BSM process with one-factor Hull-White model... 1> Comparing European option pricing for a BSM process with one-factor Hull-White model... 1> Testing Monte-Carlo zero bond pricing... 1> Testing Monte-Carlo vanilla option pricing... 1> Testing Monte-Carlo Heston option pricing... 1> Testing analytic Heston Hull-White option pricing... 1> Testing the pricing of a callable equity product... 1> Testing the discretization error of the Heston Hull-White process... 1> Testing the FDM Heston Hull-White engine... 1> Testing the Heston Hull-White calibration... 1> Testing convergence speed of Heston-Hull-White engine... 1> Testing spatial convergence speed of Heston engine... 1> Testing inflation period... 1> Testing zero inflation indices... 1> Testing zero inflation term structure... 1> Testing that zero inflation indices forecast future fixings... 1> Testing year-on-year inflation indices... 1> Testing year-on-year inflation term structure... 1> Testing consistency between yoy inflation cap, floor and collar... 1> Testing yoy inflation cap/floor parity... 1> Testing Black yoy inflation cap/floor price against cached values... 1> Testing collared coupon against its decomposition... 1> Testing inflation capped/floored coupon against inflation capfloor instrument... 1> Testing observability of instruments... 1> Testing segment integration... 1> Testing trapezoid integration... 1> Testing mid-point trapezoid integration... 1> Testing Simpson integration... 1> Testing adaptive Gauss-Kronrod integration... 1> Testing non-adaptive Gauss-Kronrod integration... 1> Testing adaptive Gauss-Lobatto integration... 1> Testing two dimensional adaptive Gauss-Lobatto integration... 1> Testing Folin's integral formulae... 1> Testing discrete integral formulae... 1> Testing piecewise integral... 1> Testing interest-rate conversions... 1> Testing spline interpolation on generic values... 1> Testing symmetry of spline interpolation end-conditions... 1> Testing derivative end-conditions for spline interpolation... 1> Testing non-restrictive Hyman filter... 1> Testing spline interpolation on RPN15A data set... 1> Testing spline interpolation on a Gaussian data set... 1> Testing spline approximation on Gaussian data sets... 1> Testing N-dimensional cubic spline... 1> Testing use of interpolations as functors... 1> Testing backward-flat interpolation... 1> Testing forward-flat interpolation... 1> Testing Sabr interpolation... 1> Testing kernel 1D interpolation... 1> Testing kernel 2D interpolation... 1> Testing bicubic spline derivatives... 1> Testing that bicubic splines actually update... 1> Testing Richardson extrapolation... 1> Testing no-arbitrage Sabr interpolation... 1> Testing Sabr calibration single cases... 1> Testing Sabr and no-arbitrage Sabr transformation functions... 1> Testing Merton 76 jump-diffusion model for European options... 1> Testing jump-diffusion option greeks... 1> Testing linear least-squares regression... 1> Testing multi-dimensional linear least-squares regression... 1> Testing 1D simple linear least-squares regression... 1> Testing analytic continuous floating-strike lookback options... 1> Testing analytic continuous fixed-strike lookback options... 1> Testing analytic continuous partial floating-strike lookback options... 1> Testing analytic continuous fixed-strike lookback options... 1> Testing randomized lattice sequences (A) up to dimension 30... 1> Testing randomized lattice sequences (B) up to dimension 30... 1> Testing randomized lattice sequences (C) up to dimension 30... 1> Testing randomized lattice sequences (D) up to dimension 30... 1> Testing random-seed generator... 1> Testing 21200 primitive polynomials modulo two... 1> Testing Sobol sequences up to dimension 21200... 1> Testing Halton sequences... 1> Testing Faure sequences... 1> Testing Mersenne-twister discrepancy... 1> Testing plain Halton discrepancy... 1> Testing random-start Halton discrepancy... 1> Testing random-shift Halton discrepancy... 1> Testing random-start, random-shift Halton discrepancy... 1> Testing unit Sobol discrepancy... 1> Testing Jaeckel-Sobol discrepancy... 1> Testing Levitan-Sobol discrepancy... 1> Testing Levitan-Lemieux-Sobol discrepancy... 1> Testing Sobol sequence skipping... 1> Testing randomized low-discrepancy sequences up to dimension 21200... 1> Testing exact repricing of inverse floater in forward rate market model... 1> Pricing callable swap with Longstaff-Schwartz exercise strategy in a LIBOR market model... 1> Testing pathwise vegas in a lognormal forward rate market model... 1> Testing pathwise market vegas in a lognormal forward rate market model... 1> Testing caplet deltas in a lognormal forward rate market model using pathwise method... 1> Testing exact repricing of forwards and optionlets in a stochastic vol displaced diffusion forward rate market model... 1> Testing exact repricing of all multi-step products in a lognormal forward rate market model... 1> Testing exact repricing of one-step forwards and optionlets in a lognormal forward rate market model... 1> Testing exact repricing of one-step forwards and optionlets in a normal forward rate market model... 1> Pricing callable swap with naif exercise strategy in a LIBOR market model... 1> Pricing callable swap with Anderson exercise strategy in a LIBOR market model for test factor 4 and model type Exp. Corr. Flat Vol.... 1> Pricing callable swap with Anderson exercise strategy in a LIBOR market model for test factor 8 and model type Exp. Corr. Flat Vol.... 1> Pricing callable swap with Anderson exercise strategy in a LIBOR market model for test factor 9 and model type Exp. Corr. Flat Vol.... 1> Pricing callable swap with Anderson exercise strategy in a LIBOR market model for test factor 4 and model type Exp. Corr. Abcd Vol.... 1> Pricing callable swap with Anderson exercise strategy in a LIBOR market model for test factor 8 and model type Exp. Corr. Abcd Vol.... 1> Pricing callable swap with Anderson exercise strategy in a LIBOR market model for test factor 9 and model type Exp. Corr. Abcd Vol.... 1> Testing caplet greeks in a lognormal forward rate market model using partial proxy simulation... 1> Testing Abcd-volatility integration... 1> Testing different implementations of Abcd-volatility... 1> Testing Abcd-volatility fit... 1> Testing period-adaptation routines in LIBOR market model... 1> Testing drift calculation... 1> Testing isInSubset function... 1> Testing abcd degenerate cases... 1> Testing market models covariance... 1> Testing exact repricing of multi-step constant maturity swaps and swaptions in a lognormal constant maturity swap market model... 1> Testing exact repricing of multi-step coterminal swaps and swaptions in a lognormal coterminal swap rate market model... 1> Testing alpha caplet calibration in a lognormal coterminal swap market model... 1> Testing GHLS caplet calibration in a lognormal coterminal swap market model... 1> Testing max homogeneity caplet calibration in a lognormal coterminal swap market model... 1> Testing max homogeneity periodic caplet calibration in a lognormal coterminal swap market model... 1> Testing sphere-cylinder optimization... 1> Testing Markov functional state process... 1> Testing Kahale smile section... 1> Testing Markov functional calibration to one instrument set... 1> Testing Markov functional vanilla engines... 1> Testing Markov functional calibration to two instrument sets... 1> Testing Markov functional Bermudan swaption engine... 1> Testing orthogonal projections... 1> Testing eigenvalues and eigenvectors calculation... 1> Testing matricial square root... 1> Testing singular value decomposition... 1> Testing Higham matricial square root... 1> Testing QR decomposition... 1> Testing QR solve... 1> Testing LU inverse calculation... 1> Testing LU determinant calculation... 1> Testing Cholesky Decomposition... 1> Testing Monte-Carlo pricing of American options... 1> Testing Monte-Carlo pricing of American max options... 1> Testing Mersenne twister... 1> Testing money arithmetic without conversions... 1> Testing money arithmetic with conversion to base currency... 1> Testing money arithmetic with automated conversion... 1> Testing observable settings... 1> Testing adaptive Runge Kutta... 1>unknown location : fatal error : in "QuantLib test suite/ode tests/QuantLib::detail::quantlib_test_case(&OdeTest::testAdaptiveRungeKutta)": class QuantLib::Error: Stepsize (3.1414) underflow in AdaptiveRungeKutta::rkqs 1> c:\tmp\ql18_vc2015\quantlib-1.8\test-suite\utilities.hpp(74): last checkpoint 1> Testing matrix exponential based on ode... 1>unknown location : fatal error : in "QuantLib test suite/ode tests/QuantLib::detail::quantlib_test_case(&OdeTest::testMatrixExponential)": class QuantLib::Error: Too many steps (10000) in AdaptiveRungeKutta 1> c:\tmp\ql18_vc2015\quantlib-1.8\test-suite\utilities.hpp(74): last checkpoint 1> Testing matrix exponential of a zero matrix based on ode... 1> Testing tridiagonal operator... 1> Testing differential operators... 1> Testing consistency of BSM operators... 1> Testing optimizers... 1> Testing nested optimizations... 1> Testing differential evolution... 1> Testing forward/forward vol stripping from flat term vol surface using OptionletStripper1 class... 1> Testing forward/forward vol stripping from non-flat term vol surface using OptionletStripper1 class... 1> Testing forward/forward vol stripping from flat term vol surface using OptionletStripper2 class... 1> Testing forward/forward vol stripping from non-flat term vol surface using OptionletStripper2 class... 1> Testing switch strike level and recalibration of level in case of curve relinking... 1> Testing forward/forward vol stripping from non-flat normal vol term vol surface for normal vol setup using OptionletStripper1 class... 1> Testing forward/forward vol stripping from non-flat normal vol term vol surface for normal vol setup using OptionletStripper1 class... 1> Testing Eonia-swap calculation of fair fixed rate... 1> Testing Eonia-swap calculation of fair floating spread... 1> Testing Eonia-swap calculation against cached value... 1> Testing Eonia-swap curve building... 1> Testing 1-D path generation against cached values... 1> Testing n-D path generation against cached values... 1> Testing period algebra on years/months... 1> Testing period algebra on weeks/days... 1> Testing consistency of piecewise-log-linear discount curve... 1> Testing consistency of piecewise-linear discount curve... 1> Testing consistency of piecewise-linear zero-yield curve... 1> Testing consistency of piecewise-cubic zero-yield curve... 1> Testing consistency of piecewise-linear forward-rate curve... 1> Testing consistency of piecewise-flat forward-rate curve... 1> Testing consistency of convex monotone forward-rate curve... 1> Testing consistency of local-bootstrap algorithm... 1> Testing observability of piecewise yield curve... 1> Testing use of today's LIBOR fixings in swap curve... 1> Testing bootstrap over JPY LIBOR swaps... 1> Testing copying of discount curve... 1> Testing copying of forward-rate curve... 1> Testing copying of zero-rate curve... 1> Testing flat interpolation before the first spreaded date... 1> Testing flat interpolation after the last spreaded date... 1> Testing linear interpolation with more than two spreaded dates... 1> Testing linear interpolation between two dates... 1> Testing backward flat interpolation between two dates... 1> Testing forward flat interpolation between two dates... 1> Testing default interpolation between two dates... 1> Testing factory constructor with additional parameters... 1> Testing term structure max date... 1> Testing quote update... 1> Testing quanto option values... 1> Testing quanto option greeks... 1> Testing quanto-forward option values... 1> Testing quanto-forward option greeks... 1> Testing quanto-forward-performance option values... 1> Testing quanto-barrier option values... 1> Testing observability of quotes... 1> Testing observability of quote handles... 1> Testing derived quotes... 1> Testing composite quotes... 1> Testing forward-value and implied-standard-deviation quotes... 1> Testing risk measures... 1> Testing Gaussian pseudo-random number generation... 1> Testing Poisson pseudo-random number generation... 1> Testing custom Poisson pseudo-random number generation... 1> Testing closest decimal rounding... 1> Testing upward decimal rounding... 1> Testing downward decimal rounding... 1> Testing floor decimal rounding... 1> Testing ceiling decimal rounding... 1> Testing sampled curve construction... 1> Testing schedule with daily frequency... 1> Testing end date for schedule with end-of-month adjustment... 1> Testing that no dates are past the end date with EOM adjustment... 1> Testing that the last date is not adjusted for EOM when termination date convention is unadjusted... 1> Testing that the first date is not adjusted for EOM going backward when termination date convention is unadjusted... 1> Testing that the first date is not duplicated due to EOM convention when going backwards... 1> Testing the constructor taking a vector of dates and possibly additional meta information... 1> Testing that a four-weeks tenor works... 1> Testing Hull-White calibration against cached values using swaptions with start delay... 1> Testing Hull-White calibration with fixed reversion against cached values... 1> Testing Hull-White calibration against cached values using swaptions without start delay... 1> Testing Hull-White swap pricing against known values... 1> Testing Hull-White futures convexity bias... 1> Testing Brent solver... 1> Testing bisection solver... 1> Testing false-position solver... 1> Testing Newton solver... 1> Testing Newton-safe solver... 1> Testing finite-difference Newton-safe solver... 1> Testing Ridder solver... 1> Testing secant solver... 1> Testing statistics... 1> Testing sequence statistics... 1> Testing convergence statistics... 1> Testing incremental statistics... 1> Testing vanilla-swap calculation of fair fixed rate... 1> Testing vanilla-swap calculation of fair floating spread... 1> Testing vanilla-swap dependency on fixed rate... 1> Testing vanilla-swap dependency on floating spread... 1> Testing in-arrears swap calculation... 1> Testing vanilla-swap calculation against cached value... 1> Testing implied swaption vol in LMM using HW approximation... 1> Testing forward-rate coinitial-swap Jacobian... 1> Testing forward-rate constant-maturity swap Jacobian... 1> Testing cash settled swaptions modified annuity... 1> Testing swaption dependency on strike... 1> Testing swaption dependency on spread... 1> Testing swaption treatment of spread... 1> Testing swaption value against cached value... 1> Testing implied volatility for swaptions... 1> Testing swaption vega... 1> Testing swaption volatility cube (atm vols)... 1> Testing swaption volatility cube (smile)... 1> Testing swaption volatility cube (sabr interpolation)... 1> Testing spreaded swaption volatility cube... 1> Testing volatility cube observability... 1> Testing swaption volatility matrix... 1> Testing swaption volatility matrix observability... 1> Testing term structure against evaluation date change... 1> Testing consistency of implied term structure... 1> Testing observability of implied term structure... 1> Testing consistency of forward-spreaded term structure... 1> Testing observability of forward-spreaded term structure... 1> Testing consistency of zero-spreaded term structure... 1> Testing observability of zero-spreaded term structure... 1> Testing that a zero-spreaded curve can be created with a null underlying curve... 1> Testing that an underlying curve can be relinked to a null underlying curve... 1> Testing time series construction... 1> Testing time series interval price... 1> Testing time series iterators... 1> Testing TQR eigenvalue decomposition... 1> Testing TQR zero-off-diagonal eigenvalues... 1> Testing TQR eigenvector decomposition... 1> Testing tracing... 1> Testing transformed grid construction... 1> Testing variance swap with replicating cost engine... 1> Testing variance swap with Monte Carlo engine... 1> Testing volatility model construction... 1> Testing amortizing fixed rate bond... 1> Testing Levy engine for Asians options... 1> Testing Vecer engine for Asian options... 1> Testing perturbative engine for barrier options... 1> Testing barrier FX options against Vanna/Volga values... 1> Testing double-barrier FX options against Vanna/Volga values... 1> Testing delta calculator values... 1> Testing premium-adjusted delta price consistency... 1> Testing put-call parity for deltas... 1> Testing delta-neutral ATM quotations... 1> Testing that catastrophe events are split correctly for periods of whole years... 1> Testing that catastrophe events are split correctly for irregular periods... 1> Testing that catastrophe events are split correctly when there are no simulated events... 1> Testing that beta risk gives correct terminal distribution... 1> Testing floating-rate cat bond against risk-free floating-rate bond... 1> Testing floating-rate cat bond in a doom scenario (certain default)... 1> Testing floating-rate cat bond in a doom once in 10 years scenario... 1> Testing floating-rate cat bond in a doom once in 10 years scenario with proportional notional reduction... 1> Testing floating-rate cat bond in a generated scenario with proportional notional reduction... 1> Testing CDO premiums against Hull-White values for data set 0... 1> Testing CDO premiums against Hull-White values for data set 1... 1> Testing CDO premiums against Hull-White values for data set 2... 1> Testing CDO premiums against Hull-White values for data set 3... 1> Testing CDO premiums against Hull-White values for data set 4... 1> Testing CDS-option value against cached values... 1> Testing analytic simple chooser option... 1> Testing analytic complex chooser option... 1> Testing direct commodity unit of measure conversions... 1> Testing compound-option values and greeks... 1> Testing compound-option put-call parity... 1> Testing out-of-the-money convertible bonds against vanilla bonds... 1> Testing zero-coupon convertible bonds against vanilla option... 1> Testing fixed-coupon convertible bond in known regression case... 1> Testing extended credit risk plus model against reference values... 1> Testing double barrier european options against Haug's values... 1> Testing cash-or-nothing double barrier options against Haug's values... 1> Testing FFT European engines against analytic results... 1> Testing Everest option against cached values... 1> Testing time-dependent JR binomial European engines against analytic results... 1> Testing time-dependent CRR binomial European engines against analytic results... 1> Testing time-dependent EQP binomial European engines against analytic results... 1> Testing time-dependent TGEO binomial European engines against analytic results... 1> Testing time-dependent TIAN binomial European engines against analytic results... 1> Testing time-dependent LR binomial European engines against analytic results... 1> Testing time-dependent Joshi binomial European engines against analytic results... 1> Testing analytic engine for holder-extensible option... 1> Testing analytic engine for writer-extensible option... 1> Testing analytic PDF Heston engine... 1> Testing Fokker-Planck forward equation for BS process... 1> Testing zero-flow BC for the square root process... 1> Testing zero-flow BC for transformed Fokker-Planck forward equation... 1> Testing Fokker-Planck forward equation for the square root process with stationary density... 1> Testing Fokker-Planck forward equation for the square root log process with stationary density... 1> Testing Fokker-Planck forward equation for the square root process with Dirac start... 1> Testing Fokker-Planck forward equation for the Heston process... 1> Testing Fokker-Planck forward equation for the Heston process Log Transformation with leverage LV limiting case... 1> Testing Fokker-Planck forward equation for BS Local Vol process... 1> Testing calibration via vanilla options... 1> Testing Monte-Carlo vs FDM Pricing for Heston SLV models... 1> Testing Monte-Carlo Calibration... 1> Testing double no touch pricing with SLV and mixing... 1> Testing Himalaya option against cached values... 1> Testing conversion from YoY cap-floor surface to YoY inflation term structure... 1> Testing conversion from YoY price surface to YoY volatility surface... 1> Testing European one-asset-for-another option... 1> Testing American one-asset-for-another option... 1> Testing analytic European exchange option greeks... 1> Testing no-arbitrage Sabr absorption matrix... 1> Testing consistency of noarb-sabr with Hagan et al (2002) 1> Testing nth-to-default against Hull-White values with Gaussian copula... 1> Testing nth-to-default against Hull-White values with Gaussian and Student copula... 1> Testing numerical differentiation using the central scheme... 1> Testing numerical differentiation using the backward scheme... 1> Testing numerical differentiation using the Forward scheme... 1> Testing numerical differentiation of first order using an irregular scheme... 1> Testing numerical differentiation of second order using an irregular scheme... 1> Testing numerical differentiation of sin function... 1> Testing coefficients from numerical differentiation by comparison with results from Vandermonde matrix inversion... 1> Testing pagoda option against cached values... 1> Testing analytic engine for partial-time barrier option... 1> Testing quanto-double-barrier option values... 1> Testing density against option prices... 1> Testing Black-Scholes-Merton and Heston densities... 1> Testing Fokker-Planck forward equation for local volatility process to calculate risk neutral densities... 1> Testing probability density for a square root process... 1> Testing Kirk approximation for spread options... 1> Testing extended Ornstein-Uhlenbeck process... 1> Testing Black-Scholes vanilla swing option pricing... 1> Testing finite difference mesher for the Kluge model... 1> Testing finite difference pricer for the Kluge model... 1> Testing simple swing option pricing for Kluge model... 1> Testing two-asset barrier options against Haug's values... 1> Testing analytic engine for two-asset correlation option... 1> Testing variance-gamma model for European options... 1> Testing variance option with integral Heston engine... 1> Testing Geman-Roncoroni process... 1> Testing simple-storage option based on ext. OU model... 1> Testing simple Kluge ext-Ornstein-Uhlenbeck spread option... 1> Testing VPP step condition... 1> Testing VPP pricing using perfect foresight or FDM... 1> Testing KlugeExtOU matrix decomposition... 1> Testing simple covariance models... 1> Testing caplet pricing... 1> Testing forward swap and swaption pricing... 1> Testing calibration of a Libor forward model... 1> Testing caplet LMM process initialisation... 1> Testing caplet LMM lambda bootstrapping... 1> Testing caplet LMM Monte-Carlo caplet pricing... 1> 1> Tests completed in 11 m 52 s 1> 1> 1> Test module "Master Test Suite" has failed with: 1> 644 test cases out of 646 passed 1> 2 test cases out of 646 failed 1> 2 test cases out of 646 aborted 1> 1002058 assertions out of 1002060 passed 1> 2 assertions out of 1002060 failed 1> 1>C:\Program Files (x86)\MSBuild\Microsoft.Cpp\v4.0\V140\Microsoft.CppCommon.targets(133,5): error MSB3073: The command ""C:\tmp\ql18_vc2015\QuantLib-1.8\test-suite\bin\QuantLib-test-suite-vc140-x64-mt.exe" --log_level=message --build_info=yes --result_code=no --report_level=short 1>C:\Program Files (x86)\MSBuild\Microsoft.Cpp\v4.0\V140\Microsoft.CppCommon.targets(133,5): error MSB3073: :VCEnd" exited with code -1. ========== Build: 0 succeeded, 1 failed, 1 up-to-date, 0 skipped ========== |
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From: Fabrice L. <fab...@gm...> - 2016-07-02 10:05:31
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Hi all, (email already sent as a non member, apologies if it creates a duplicate) I’ve been building QuantLib & QuantLib SWIG “as is” with VS14 for use with C# and came across an initial error when running in debug, where visual studio breaks giving a PInvoke stack imbalance error, as described in this old thread: https://sourceforge.net/p/quantlib/mailman/quantlib-users/thread/33276539.post%40talk.nabble.com/#msg28797382 I first tried the solution described in this thread (modifying the SWIG generated file to add calling convention = cdecl) and all seemed ok for a while. The next problem appeared when QuantLib C++ was throwing an error, the C# wasn’t catching it and instead crashing with a memory imbalance error. Again, this is described in the thread below, but this time without a solution. In order to catch the thrown C++ error, I’ve had to revert to the original SWIG generated C# source file, and instead build QuantLib C++ using the stdcall calling convention (default in VS14 proj files is cdecl). Now everything is good, but I just wanted to ask around to other C# users if this is a problem they have had, if they solved it this way that I’m safe to assume I won’t find another issue of the kind down the line, or if I’m unnecessarily complicating things. If this is indeed the best solution, would adding build configurations for stdcall be considered? Happy to provide the updated vcproj files if yes. Regards, Fabrice. |
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From: Luigi B. <lui...@gm...> - 2016-06-22 09:39:04
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The problem is the Visual C++ support for the features. According to https://msdn.microsoft.com/en-us/library/hh567368.aspx, the first version with support for a decent subset of C++11 features was Visual Studio 2013, and more or less complete support is only in Visual Studio 2015. Using features such as initializer lists (which is likely to be used in any C++11 code) would make it impossible to use any prior version, and use of constexpr (also not exoteric) would force one to use VS 2015. Now, I don't have precise statistics (I'll make a poll and try to get some) but the downloads of .zip releases are about twice as many as .tar.gz releases, so I'm guessing that the majority of users is on Windows. Depending on their IT deps, they might or might not have access to the latest Visual C++. My general feeling from talking to people is that C++11 would cut out a significant fraction of people, so I'd wait to introduce it in the code. A possibility could be to create a C++11 branch, but that would have to be kept in sync with master (and viceversa). I'm not sure that I have time for that, so it would depend on some good people contributing work on it. Later, Luigi On Wed, Jun 22, 2016 at 4:47 AM Joseph Wang <joe...@gm...> wrote: > Quick question. Are there plans to allow the use of C++11 syntax in > Quantlib? > > There's a lot of cool new stuff in C++11 that make the code a lot more > readable, and I was wondering when we can start using that? > |
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From: Joseph W. <joe...@gm...> - 2016-06-22 02:47:31
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Quick question. Are there plans to allow the use of C++11 syntax in Quantlib? There's a lot of cool new stuff in C++11 that make the code a lot more readable, and I was wondering when we can start using that? |
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From: Eric E. <eri...@re...> - 2016-05-29 20:57:45
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Hi All,
Here is an early prerelease snapshot of the QuantLibXL 1.8 binaries:
https://sourceforge.net/projects/quantlib/files/reposit/1.8-prerelease/
This is based on the new reposit build, and does not yet include the
Rate Curve Framework VBA application.
In order for the new reposit build to supercede the old gensrc build,
we would need:
- support for all 1,110 functions from the old build
- a solution to autogenerate the function documentation
- support for VC9-VC14
I am going to start working on these items now, let's see if I can get
those changes into a final 1.8 release of the new build.
Some other things that would be nice to have:
- use Boost.Log for logging instead of log4cxx
- re-enable the LibreOffice Calc addin
Here is the list of pull requests for 1.8:
1) QuantLibXL RateCurveFramework 64-bit Excel VBA patches
https://sourceforge.net/p/quantlib/patches/84/
2) Visual Studio 2015 files for QuantLibXL
https://github.com/eehlers/quantlib-old/pull/14
3) ExCouponPeriod not available in QuantLibXL function qFixedRateBond
https://sourceforge.net/p/quantlib/mailman/quantlib-users/thread/CA%2B8D6y_2P4VNySN_nesGtiF0gADFWc7JAPz_sJOVyW%2BAG76OBQ%40mail.gmail.com/#msg34882031
These items will be included in the 1.8 release of the old and/or new
builds as appropriate, let's keep in touch as things progress, and
please let me know if there is anything else.
Kind Regards,
Eric
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From: emanuele g. <e.g...@gm...> - 2016-05-25 13:49:43
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Hello i am Emanuele Garofalo and i'm a student of Economics in Rome at Lumsa University. I'm trying to price this swap through the utilization of the Quantlib but i'm having some troubles. Can you help me? Moreover, how the forward rates are calculated? Thank you Have a good journey |
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From: Klaus S. <kl...@sp...> - 2016-05-20 19:53:51
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Hi, well spotted. Line 708ff must be a left-over from some testing, Essentially 703ff and 708ff are doing the same thing because the schedule has a yearly reset frequency. I'd recommend to delete 708ff and not the transform statement. https://github.com/lballabio/QuantLib/pull/93 thanks Klaus On Friday, May 20, 2016 12:20:56 PM Francois Botha wrote: Hi, I'm looking at https://github.com/lballabio/QuantLib/blob/master/test-suite/hybridhestonhullwhiteprocess.cpp#L708[1] I'm trying to understand the purpose of that line. Just before that (line 703) the transform() function populates the times variable with year fractions from the input schedule. Then line 708 just sets the times equal to the indexes of the vector. I'm unsure whether this is intended or a bug, but currently the test passes. thanks Francois Botha -------- [1] https://github.com/lballabio/QuantLib/blob/master/test-suite/hybridhestonhullwhiteprocess.cpp#L708 |
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From: Francois B. <ig...@gm...> - 2016-05-20 10:21:24
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Hi, I'm looking at https://github.com/lballabio/QuantLib/blob/master/test-suite/hybridhestonhullwhiteprocess.cpp#L708 I'm trying to understand the purpose of that line. Just before that (line 703) the transform() function populates the times variable with year fractions from the input schedule. Then line 708 just sets the times equal to the indexes of the vector. I'm unsure whether this is intended or a bug, but currently the test passes. thanks Francois Botha |
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From: Zabed <zah...@ho...> - 2016-05-18 18:38:36
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Hi Peter, cool :) , that's great. I see what you mean, I will try and build it as you suggested and test it. it should work perfectly, thanks a lot! Kindest Regards Zahar -- View this message in context: http://quantlib.10058.n7.nabble.com/Calcualting-Bond-Price-from-The-ASW-asset-swap-spread-tp17428p17462.html Sent from the quantlib-dev mailing list archive at Nabble.com. |
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From: Luigi B. <lui...@gm...> - 2016-05-18 09:58:54
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QuantLib is a cross-platform, free/open-source quantitative finance C++ library for modeling, pricing, trading, and risk management in real-life. Version 1.8 has been released and is available for download at < http://quantlib.org/download.shtml>. Please post any problems you have with this release to the QuantLib mailing list (<qua...@li...>), or open a GitHub issue at < https://github.com/lballabio/quantlib/issues>. The QuantLib group |
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From: Peter C. <pca...@gm...> - 2016-05-14 11:20:51
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Hi Zahar, no worries, they are close :-) https://en.wikipedia.org/wiki/Feast_of_Saints_Peter_and_Paul As it stands, with QuantLib you can use FX Forwards to strip a FX curve, but not Cross Currency Swaps. If you have USD collateral you could bootstrap a USD OIS / FedFund curve and then use EUR-USD FX Swaps to build a EUR-USD FX curve that discounts EUR cashflows under USD collateral. However FX Forwards are usually only used out to 1 or 2 years maybe for this purpose, after that Cross Currency Swaps are more common. Since QuantLib doesn’t have them currently, you’d need to read FX Forward rates from a bootstrapped curve you get from another source (like Bloomberg or some other system you have access to) and feed them as artificial FX Forward quotes into the QuantLib FX swap rate helpers. Or you feed the whole curve as discount factors or zero yields directly into QuantLib without any bootstrap, of course. We really need to add the missing cross currency stuff to QuantLib soon I guess. Kind Regards Peter > On 13 May 2016, at 15:05, Zabed <zah...@ho...> wrote: > > my apologies Peter, sorry about writing the name wrong. > > Thanks in advance > Zahar > > > > > -- > View this message in context: http://quantlib.10058.n7.nabble.com/Calcualting-Bond-Price-from-The-ASW-asset-swap-spread-tp17428p17453.html > Sent from the quantlib-dev mailing list archive at Nabble.com. > > ------------------------------------------------------------------------------ > Mobile security can be enabling, not merely restricting. Employees who > bring their own devices (BYOD) to work are irked by the imposition of MDM > restrictions. Mobile Device Manager Plus allows you to control only the > apps on BYO-devices by containerizing them, leaving personal data untouched! > https://ad.doubleclick.net/ddm/clk/304595813;131938128;j > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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From: Zabed <zah...@ho...> - 2016-05-13 14:09:33
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my apologies Peter, sorry about writing the name wrong. Thanks in advance Zahar -- View this message in context: http://quantlib.10058.n7.nabble.com/Calcualting-Bond-Price-from-The-ASW-asset-swap-spread-tp17428p17453.html Sent from the quantlib-dev mailing list archive at Nabble.com. |
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From: Zabed <zah...@ho...> - 2016-05-13 14:02:52
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Hello Paul, Many thanks for your advise and guidance. It works perfectly. However I wanted also to ask you about dual currency (OIS) discounting (CSA agreement) with USD collateral. i.e. using EONIA (EUR) for the discounting and the EUR/USD Currency basis curve? Can you please advise which Qunatli function supports the dual currency discounting when using EUR OIS and USD collateral (with the EUR/USD basis curve) Kindest Regards Zahar -- View this message in context: http://quantlib.10058.n7.nabble.com/Calcualting-Bond-Price-from-The-ASW-asset-swap-spread-tp17428p17452.html Sent from the quantlib-dev mailing list archive at Nabble.com. |
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From: Peter C. <pca...@gm...> - 2016-04-30 13:05:47
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Hi Zahar, I would say, compute the NPV p of the AssetSwap (using the DiscountingSwapEngine with an appropriate OIS curve reflecting the CSA of the asset swap), then the clean bond price as of settlement = first accrual start date of the swap's float leg is simply 100.0 - p. If you need the bond price as of a different date, discount / compound it using your bond discounting curve. Kind Regards, Peter On 28 April 2016 at 11:58, Zabed <zah...@ho...> wrote: > Hello Team Dev, > > Can someone please help me pricing a bullet maturity bond with fixed coupon > from the ASW spread using QuantLib? > I know how to get the ASW spread (over month Libor) from the bond price, but > would like to price the bond from the ASW spread (L +ASW) > Greatly appreciated. > > Kindest Regards > Zahar > > > > > -- > View this message in context: http://quantlib.10058.n7.nabble.com/Calcualting-Bond-Price-from-The-ASW-asset-swap-spread-tp17428.html > Sent from the quantlib-dev mailing list archive at Nabble.com. > > ------------------------------------------------------------------------------ > Find and fix application performance issues faster with Applications Manager > Applications Manager provides deep performance insights into multiple tiers of > your business applications. It resolves application problems quickly and > reduces your MTTR. Get your free trial! > https://ad.doubleclick.net/ddm/clk/302982198;130105516;z > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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From: Zabed <zah...@ho...> - 2016-04-28 11:01:09
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Hello Team Dev, Can someone please help me pricing a bullet maturity bond with fixed coupon from the ASW spread using QuantLib? I know how to get the ASW spread (over month Libor) from the bond price, but would like to price the bond from the ASW spread (L +ASW) Greatly appreciated. Kindest Regards Zahar -- View this message in context: http://quantlib.10058.n7.nabble.com/Calcualting-Bond-Price-from-The-ASW-asset-swap-spread-tp17428.html Sent from the quantlib-dev mailing list archive at Nabble.com. |
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From: Zabed <zah...@ho...> - 2016-04-20 09:53:30
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Hello Francois, Many thanks for your assistance and advises. I will look forward to further advises from other members and also check out the github link. Kindest Regards Zahar -- View this message in context: http://quantlib.10058.n7.nabble.com/OIS-with-cross-currency-basis-curve-Discounting-tp17414p17417.html Sent from the quantlib-dev mailing list archive at Nabble.com. |
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From: Francois B. <ig...@gm...> - 2016-04-20 09:36:45
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Hi Zabed, The T_OvernightIndexedSwap test is part of the QLNet project, which is an independent project written in C# and isn't supported in this mailing list. You can find support at https://github.com/amaggiulli/qlnet However, that part of the QLNet test suite seems to be a port of the overnightindexedswap.cpp tests in QuantLib, so somebody here might be able to help you. Francois Botha On 19 April 2016 at 11:16, Zabed <zah...@ho...> wrote: > Hello Team Dev, > > We are using the C# version of QuantLib and found a test called > T_OvernightIndexedSwap which uses OvernightIndexedSwap and MakeOIS classes > for discounting use. > But in the case of a CSA Agreement and collateral exchanged between > counterparties in a different currency to the OIS curve, can you please > advise which class and how do we use to account for the Basis Curve and > derive the discount factors needed? > Example: > I am using EUR OIS: EONIA curve together with the EUR/USD cross currency > basis curve. > > Can you please advise. > > Kindest Regards > Zahar > > > > > -- > View this message in context: > http://quantlib.10058.n7.nabble.com/OIS-with-cross-currency-basis-curve-Discounting-tp17414.html > Sent from the quantlib-dev mailing list archive at Nabble.com. > > > ------------------------------------------------------------------------------ > Find and fix application performance issues faster with Applications > Manager > Applications Manager provides deep performance insights into multiple > tiers of > your business applications. It resolves application problems quickly and > reduces your MTTR. Get your free trial! > https://ad.doubleclick.net/ddm/clk/302982198;130105516;z > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > |
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From: Zabed <zah...@ho...> - 2016-04-19 10:17:23
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Hello Team Dev, We are using the C# version of QuantLib and found a test called T_OvernightIndexedSwap which uses OvernightIndexedSwap and MakeOIS classes for discounting use. But in the case of a CSA Agreement and collateral exchanged between counterparties in a different currency to the OIS curve, can you please advise which class and how do we use to account for the Basis Curve and derive the discount factors needed? Example: I am using EUR OIS: EONIA curve together with the EUR/USD cross currency basis curve. Can you please advise. Kindest Regards Zahar -- View this message in context: http://quantlib.10058.n7.nabble.com/OIS-with-cross-currency-basis-curve-Discounting-tp17414.html Sent from the quantlib-dev mailing list archive at Nabble.com. |
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From: JeJu83 . <jen...@go...> - 2016-04-11 19:25:19
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Good evening, I resolved the issue by setting the runtime library settings to Multi-threaded Debug (/MTd) for my project, the quantlib which is in line with xll.lib's runtime library settings. Many thanks, Jens 2016-04-11 17:07 GMT+02:00 Luigi Ballabio <lui...@gm...>: > Hi, > aligning the properties as you did should work. Did you recompile your > xll after changing them? > > Luigi > > > On Mon, Apr 11, 2016 at 4:44 PM JeJu83 . <jen...@go...> > wrote: > >> Hi all, >> >> first of all thanks for providing the community with QuantLib. I spend >> many great hours having fun with the library. >> >> Lately I started creating a .xll, which is based upon a modified version >> of QuantLib. If I compile some of my routines in visual studio 2012 as a >> test.exe, everything runs perfectly well. >> >> Unfortunately if I try to compile the same routines as .xll, I come up >> with the following linker error. >> >> 1>LINK : fatal error LNK1104: cannot open file 'QuantLib-vc110-mt-sgd.lib' >> >> After doing some research on the net, I encountered as a possible source >> of that error, that QuantLib could be built in release mode and the xll is >> instead built in debug mode. Then the mismatch of these modes causes the >> linker error. >> >> So I tried a few combinations: >> >> The lib version of my QuantLib on hard drive is >> 'QuantLib-vc110-mt-gd.lib' >> >> Compilation of my xll project in debug mode => linker is looking for >> 'QuantLib-vc110-mt-sgd.lib' >> >> Compilation of my xll project in release mode => linker is looking for >> 'QuantLib-vc110-mt-s.lib' >> >> As you can see in any case there is no match at all. >> >> Honestly I am bit surprised by the problem and compared all my project >> properties to a running quantlib example, which compiles as an .exe, but I >> don't have a clue yet. >> >> >> In addition I alignedthe properties between QuantLib >> >> ( cf C/C++/Code Generation/Runtime Library = /MDd) >> >> and my little xll project. In doing so LNK1104 does not pop up again, but >> just another bunch of linker errors (e.g. >> >> >> >> >> xll.lib(dllmain.obj) : error LNK2038: mismatch detected for >> 'RuntimeLibrary': value 'MTd_StaticDebug' doesn't match value >> 'MDd_DynamicDebug' in function.obj >> >> >> Is there a simple solution to the problem(, which does not involve >> rebuilding the whole QuantLib in order to get the right lib name)? >> >> Many thanks, >> >> Jens >> >> ------------------------------------------------------------------------------ >> Find and fix application performance issues faster with Applications >> Manager >> Applications Manager provides deep performance insights into multiple >> tiers of >> your business applications. It resolves application problems quickly and >> reduces your MTTR. Get your free trial! http://pubads.g.doubleclick.net/ >> gampad/clk?id=1444514301&iu=/ca-pub-7940484522588532 >> <http://pubads.g.doubleclick.net/gampad/clk?id=1444514301&iu=/ca-pub-7940484522588532> >> _______________________________________________ >> QuantLib-dev mailing list >> Qua...@li... >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev >> > |
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From: Luigi B. <lui...@gm...> - 2016-04-11 15:07:22
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Hi,
aligning the properties as you did should work. Did you recompile your
xll after changing them?
Luigi
On Mon, Apr 11, 2016 at 4:44 PM JeJu83 . <jen...@go...> wrote:
> Hi all,
>
> first of all thanks for providing the community with QuantLib. I spend
> many great hours having fun with the library.
>
> Lately I started creating a .xll, which is based upon a modified version
> of QuantLib. If I compile some of my routines in visual studio 2012 as a
> test.exe, everything runs perfectly well.
>
> Unfortunately if I try to compile the same routines as .xll, I come up
> with the following linker error.
>
> 1>LINK : fatal error LNK1104: cannot open file 'QuantLib-vc110-mt-sgd.lib'
>
> After doing some research on the net, I encountered as a possible source
> of that error, that QuantLib could be built in release mode and the xll is
> instead built in debug mode. Then the mismatch of these modes causes the
> linker error.
>
> So I tried a few combinations:
>
> The lib version of my QuantLib on hard drive is 'QuantLib-vc110-mt-gd.lib'
>
> Compilation of my xll project in debug mode => linker is looking for
> 'QuantLib-vc110-mt-sgd.lib'
>
> Compilation of my xll project in release mode => linker is looking for
> 'QuantLib-vc110-mt-s.lib'
>
> As you can see in any case there is no match at all.
>
> Honestly I am bit surprised by the problem and compared all my project
> properties to a running quantlib example, which compiles as an .exe, but I
> don't have a clue yet.
>
>
> In addition I alignedthe properties between QuantLib
>
> ( cf C/C++/Code Generation/Runtime Library = /MDd)
>
> and my little xll project. In doing so LNK1104 does not pop up again, but
> just another bunch of linker errors (e.g.
>
>
>
>
> xll.lib(dllmain.obj) : error LNK2038: mismatch detected for
> 'RuntimeLibrary': value 'MTd_StaticDebug' doesn't match value
> 'MDd_DynamicDebug' in function.obj
>
>
> Is there a simple solution to the problem(, which does not involve
> rebuilding the whole QuantLib in order to get the right lib name)?
>
> Many thanks,
>
> Jens
>
> ------------------------------------------------------------------------------
> Find and fix application performance issues faster with Applications
> Manager
> Applications Manager provides deep performance insights into multiple
> tiers of
> your business applications. It resolves application problems quickly and
> reduces your MTTR. Get your free trial! http://pubads.g.doubleclick.net/
> gampad/clk?id=1444514301&iu=/ca-pub-7940484522588532
> <http://pubads.g.doubleclick.net/gampad/clk?id=1444514301&iu=/ca-pub-7940484522588532>
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
|
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From: JeJu83 . <jen...@go...> - 2016-04-11 13:04:44
|
Hi all, first of all thanks for providing the community with QuantLib. I spend many great hours having fun with the library. Lately I started creating a .xll, which is based upon a modified version of QuantLib. If I compile some of my routines in visual studio 2012 as a test.exe, everything runs perfectly well. Unfortunately if I try to compile the same routines as .xll, I come up with the following linker error. 1>LINK : fatal error LNK1104: cannot open file 'QuantLib-vc110-mt-sgd.lib' After doing some research on the net, I encountered as a possible source of that error, that QuantLib could be built in release mode and the xll is instead built in debug mode. Then the mismatch of these modes causes the linker error. So I tried a few combinations: The lib version of my QuantLib on hard drive is 'QuantLib-vc110-mt-gd.lib' Compilation of my xll project in debug mode => linker is looking for 'QuantLib-vc110-mt-sgd.lib' Compilation of my xll project in release mode => linker is looking for 'QuantLib-vc110-mt-s.lib' As you can see in any case there is no match at all. Honestly I am bit surprised by the problem and compared all my project properties to a running quantlib example, which compiles as an .exe, but I don't have a clue yet. In addition I alignedthe properties between QuantLib ( cf C/C++/Code Generation/Runtime Library = /MDd) and my little xll project. In doing so LNK1104 does not pop up again, but just another bunch of linker errors (e.g. xll.lib(dllmain.obj) : error LNK2038: mismatch detected for 'RuntimeLibrary': value 'MTd_StaticDebug' doesn't match value 'MDd_DynamicDebug' in function.obj Is there a simple solution to the problem(, which does not involve rebuilding the whole QuantLib in order to get the right lib name)? Many thanks, Jens |
|
From: Peter C. <pca...@gm...> - 2016-04-11 04:53:36
|
Hi Eric, thanks. I think I have tried the 32-bit build only, but I will check this point again. Otherwise it will have to wait until summer. Kind Regards Peter On 11 April 2016 at 01:57, Eric Ehlers <eri...@re...> wrote: > Hi Peter, > > My first guess would be that there is a problem linking the file > xlcall32.lib in project xlsdk. There are two versions of that lib, one > 32-bit and one 64-bit (the latter confusingly also called xlcall32.lib) > with some logic in the project to switch between the two, maybe that´s > not working? > > I do have the 32- and 64-bit builds working in VC9 but I have noticed > that they use the same filenames at some point which causes a clash and > results in a linker error - so if you have switched between these two > builds then you would need to do a full rebuild. > > I am hoping to do a big push in July which would include cleaning these > things up and implementing support for VC9-14. > > Kind Regards, > Eric > > On Sat, 9 Apr 2016 21:29:32 +0200 > Peter Caspers <pca...@gm...> wrote: > >> Hi Eric, all, >> >> I am trying to follow the steps here >> >> http://quantlib.org/reposit/docs/latest/build_git_swig_windows.html >> >> In step 7 I get LNK2001 / unresolved external Symbol _Excel4. >> >> I am using MSVC 12. That's outside specification I know, but is it >> possible (after the obvious relabeling in the projects)? Or is the >> linker error coming from exactly the studio version? Any chance to get >> it run with 12? >> >> Thanks >> Peter >> >> ------------------------------------------------------------------------------ >> Find and fix application performance issues faster with Applications >> Manager Applications Manager provides deep performance insights into >> multiple tiers of your business applications. It resolves application >> problems quickly and reduces your MTTR. Get your free trial! >> http://pubads.g.doubleclick.net/ >> gampad/clk?id=1444514301&iu=/ca-pub-7940484522588532 >> _______________________________________________ QuantLib-dev mailing >> list Qua...@li... >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev > |
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From: Eric E. <eri...@re...> - 2016-04-10 22:57:26
|
Hi Peter, My first guess would be that there is a problem linking the file xlcall32.lib in project xlsdk. There are two versions of that lib, one 32-bit and one 64-bit (the latter confusingly also called xlcall32.lib) with some logic in the project to switch between the two, maybe that´s not working? I do have the 32- and 64-bit builds working in VC9 but I have noticed that they use the same filenames at some point which causes a clash and results in a linker error - so if you have switched between these two builds then you would need to do a full rebuild. I am hoping to do a big push in July which would include cleaning these things up and implementing support for VC9-14. Kind Regards, Eric On Sat, 9 Apr 2016 21:29:32 +0200 Peter Caspers <pca...@gm...> wrote: > Hi Eric, all, > > I am trying to follow the steps here > > http://quantlib.org/reposit/docs/latest/build_git_swig_windows.html > > In step 7 I get LNK2001 / unresolved external Symbol _Excel4. > > I am using MSVC 12. That's outside specification I know, but is it > possible (after the obvious relabeling in the projects)? Or is the > linker error coming from exactly the studio version? Any chance to get > it run with 12? > > Thanks > Peter > > ------------------------------------------------------------------------------ > Find and fix application performance issues faster with Applications > Manager Applications Manager provides deep performance insights into > multiple tiers of your business applications. It resolves application > problems quickly and reduces your MTTR. Get your free trial! > http://pubads.g.doubleclick.net/ > gampad/clk?id=1444514301&iu=/ca-pub-7940484522588532 > _______________________________________________ QuantLib-dev mailing > list Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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From: Peter C. <pca...@gm...> - 2016-04-09 19:29:39
|
Hi Eric, all, I am trying to follow the steps here http://quantlib.org/reposit/docs/latest/build_git_swig_windows.html In step 7 I get LNK2001 / unresolved external Symbol _Excel4. I am using MSVC 12. That's outside specification I know, but is it possible (after the obvious relabeling in the projects)? Or is the linker error coming from exactly the studio version? Any chance to get it run with 12? Thanks Peter |
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