quantlib-dev — Discussion of QuantLib development

[Quantlib-dev] Trouble getting QuantLibAddin to work with vc 7.1

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

Hi All,

I'm having considerable trouble to get the QuantLibAddin (the Excel add-in)=
 to=20
work. I'm using vc 7.1 and the add-in is crashing exactly as described in=20
Microsoft Knowledge Base Article ID 198477
( http://support.microsoft.com/kb/198477 ) It is crashing in TempStr as it=
=20
tries to change the first character of a string. I've for sure changed in a=
ll=20
projects the /ZI switch to /Zi and rempiled everything but still have the=20
same problem. Strange is that the add-in crashes also in the release config=
=20
(as by microsoft this should occur only with the debug config). Does anyone=
=20
know how to get this problem solved?

Thanks in advance
Plamen

[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 04:15
Message generated for change (Tracker Item Submitted) made by Item Submitter
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=1197179&group_id=12740

Category: None
Group: None
Status: Open
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

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=1197179&group_id=12740

[Quantlib-dev] Announce: QuantLib 0.3.9 released

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

QuantLib is a cross-platform, free/open-source quantitative finance C++
library for modeling, pricing, trading, and risk management in real-life.

Version 0.3.9 has been released and is available for download at
<http://quantlib.org/download.shtml>.
See <http://quantlib.org/reference/history.html> for a summary of the  
changes since version 0.3.8.

QuantLib depends on the Boost library (www.boost.org). You will need a  
working Boost installation in order to compile and use QuantLib.
Instructions for installing Boost from sources are available at
<http://www.boost.org/more/getting_started.html>.
Pre-packaged binaries might be available from other sources. Google is your
friend (or Debian, or Fink...)

Python, Ruby, Guile, and MzScheme bindings are available for QuantLib  
0.3.9;  an Excel add-in will be available shortly. Instructions for  
download are at <http://quantlib.org/download.shtml>.

Please log any problems you have with this release in the SourceForge bug
tracker at <http://sourceforge.net/tracker/?group_id=12740&atid=112740>
specifying that you're using QuantLib 0.3.9.

         The QuantLib group

Re: [Quantlib-dev] Contribution to the Project

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

On 04/14/05 17:39:19, Sin...@ne... wrote:
> I am a software developer in Chicago and have written and maintained
> various systems for pricing, risk management, and reporting in Java and
> C/C++. I have many years of experience working for investment banks,  
> hedge funds, and trading firms. My educational background is strong in  
> numerical methods and programming. I would like to contribute to this  
> project by writing programs and creating online tutorials/workshops.  
> Please let me know how I can be helpful.

Singh,
	thanks for the offer. Do you have anything particular in mind?

Later,
	Luigi

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

The economy depends about as much on economists as the weather does on
weather forecasters.
-- Jean-Paul Kauffmann

Re: [Quantlib-dev] hi from a new guy

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

On 04/17/05 10:34:50, Wei-i Wu wrote:
> 
> As I was looking through the low-level todo lists. I
> found that I could start with the following jobs:
> 
> * Test and check Class
> BivariateCumulativeNormalDistribution
> 
> * Add historical annualized volatility to Class
> GenericRiskStatistics
> 
> * Add running average Class to
> ContinuousAveragingAsianOption
> 
> Please let me know what I should do next.

Hi,
	Nando could answer this more precisely, as he wrote the above todo  
items. Unfortunately he's kind of busy these days. In my opinion, the third  
item (adding support for seasoned Asian options) might be more useful. Do  
write back if you need more explicit directions---it can take a while to  
get comfortable with the library...

Thanks,
	Luigi


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

The purpose of abstraction is not to be vague, but to create a new
semantic level in which one can be absolutely precise.
-- W.E. Dijkstra

Re: [Quantlib-dev] Remaks about 0.3.9 tarballs

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

On 04/18/05 08:23:34, Aurelien Chanudet wrote:
> Hi,
> 
> Building QuantLib 0.3.9 on MacOS X with
> --disable-deprecated highlighted the following issues

Fixed---thank you!

Luigi

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

Don't say "yes" until I finish talking.
-- Darryl F. Zanuck

[Quantlib-dev] Remaks about 0.3.9 tarballs

[Aurelien C. <ral...@ya...>]

Hi,

Building QuantLib 0.3.9 on MacOS X with
--disable-deprecated highlighted the following issues
:

-
ql/PricingEngines/CapFloor/analyticcapfloorengine.cpp
QL_MAX might be replaced by std::max

- test-suite/compfoundforward.cpp
ZARLibor might be replaced by Jibar

Aurelien



	

	
		
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[Quantlib-dev] hi from a new guy

[Wei-i Wu <lit...@ya...>]

Hello, I have started using QuantLib recently and
liked it, so decided to contribute to it.

I am a physics Ph.D. student with quantitative finance
experiences. I am OK with subjects in stochastic
calculus, monte-carlo simulations, derivative pricing,
and fixed income pricing. 

As I was looking through the low-level todo lists. I
found that I could start with the following jobs:

* Test and check Class
BivariateCumulativeNormalDistribution

* Add historical annualized volatility to Class
GenericRiskStatistics 
 
* Add running average Class to
ContinuousAveragingAsianOption 

Please let me know what I should do next.

Sincerely,

Funing Song

Re: [Quantlib-dev] 0.3.9 tarballs

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

On 04/15/05 14:13:08, Dirk Eddelbuettel wrote:
> >
> | > Python builds and tests fine (once TermStructureTest
> | > is comemnted out, as has been required for a while).
> |
> | Did you try adding -DBOOST_DISABLE_THREADS to CXXFLAGS when compiling
> the
> | wrappers?
> 
> No, apparently not. Will try. Incidentally, ruby (1.8) adds that, may  
> come from the Debian compiler default configs for it.

No, it comes from me having added it :)
Curiously enough---as we had the opposite problem with Python---I had  
freezes with QL-Ruby on Sarge which you didn't have on Sid. Adding the  
define cured them.

Later,
	Luigi

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

Hanlon's Razor:
         Never attribute to malice that which is adequately explained
         by stupidity.

Re: [Quantlib-dev] 0.3.9 tarballs

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

On 15 April 2005 at 07:59, Luigi Ballabio wrote:
| 
| On 04/14/05 14:20:18, Dirk Eddelbuettel wrote:
| > 
| > So I had a go at rolling the Debian packages of QL forward (to the rc of
| > 2005-05-12, taken yesterday).  New packages have been uploaded,
| > autobuilders are busy.
| > 
| > But Ruby failed to built -- it croaks after the tests from setup.rb.
| > 
| > Luigi -- any idea?
| 
| Not really. It works on my Sarge box.

May have to do with running in a chroot. I could make it go away by not run
the test suite. Am in a hurry now so that will have to do...
 
| > Python builds and tests fine (once TermStructureTest
| > is comemnted out, as has been required for a while).
| 
| Did you try adding -DBOOST_DISABLE_THREADS to CXXFLAGS when compiling the  
| wrappers?

No, apparently not. Will try. Incidentally, ruby (1.8) adds that, may come
from the Debian compiler default configs for it.

Regards, Dirk

-- 
Better to have an approximate answer to the right question than a precise 
answer to the wrong question.  --  John Tukey as quoted by John Chambers

[Quantlib-dev] Re: [Quantlib-users] problem to get the yield to maturity for a zero coupon bond

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

On 04/14/05 11:02:57, Adjriou Belak wrote:
> Hi,
> 
> there is a problem when quantlib is trying to get the yield from the  
> price for zero coupon bond.

Adjriou,
	this should be fixed in the upcoming 0.3.9 release. Can you check  
that it actually works? (You can check it out from CVS using the  
'R000309f0-branch' tag.)

Later,
	Luigi

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

I have yet to see any problem, however complicated, which, when you
looked at it in the right way, did not become still more complicated.
-- Poul Anderson

Re: [Quantlib-dev] 0.3.9 tarballs

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

On 04/14/05 14:20:18, Dirk Eddelbuettel wrote:
> 
> So I had a go at rolling the Debian packages of QL forward (to the rc of
> 2005-05-12, taken yesterday).  New packages have been uploaded,
> autobuilders are busy.
> 
> But Ruby failed to built -- it croaks after the tests from setup.rb.
> 
> Luigi -- any idea?

Not really. It works on my Sarge box.


> Python builds and tests fine (once TermStructureTest
> is comemnted out, as has been required for a while).

Did you try adding -DBOOST_DISABLE_THREADS to CXXFLAGS when compiling the  
wrappers?

Later,
	Luigi

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

Within C++, there is a much smaller and cleaner language struggling to get  
out.
-- Bjarne Stroustrup

Re: [Quantlib-dev] Contributing to the project

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

On 04/13/05 14:19:11, C R Whitmore wrote:
> 
> I recently installed QuantLib and am thoroughly impressed. I can see how
> much time this body of code is going to save me in the future and as
> "payback" am interested in contributing to QuantLib.
> 
> I would love to help out with say:
>   a.. IRR, Duration, Convexity etc for a sequence of cashflows or;
>   b.. Richardson Extrapolation for Finite Differences or;
>   c.. Testing of Vasicek and CIR or;
>   d.. A histogram class.
> I look forward to hearing from you.

Charles,
	thanks for the offer. Any of the above contributions would be  
welcome; I'd go for cashflows calculations first as they might be more  
appealing to users, but you can choose whatever you like best. Drop me a  
line when you take your pick, so I can give you a few hints on what  
existing class hierarchies you can build upon.

Later,
	Luigi

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

Ogden's Law:
         The sooner you fall behind, the more time you have to catch up.

[Quantlib-dev] Contribution to the Project

[<Sin...@ne...>]

After installing QuantLib on my Linux computer, I realize how powerful and well written it is. I would like to say thank you to all of you who have contributed and taken initiative in building this project and bringing it to open source. 

I am a software developer in Chicago and have written and maintained various systems for pricing, risk management, and reporting in Java and C/C++. I have many years of experience working for investment banks, hedge funds, and trading firms. My educational background is strong in numerical methods and programming. I would like to contribute to this project by writing programs and creating online tutorials/workshops. Please let me know how I can be helpful.

-Sincerely,
Singh T. Junior


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Re: [Quantlib-dev] 0.3.9 tarballs

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

So I had a go at rolling the Debian packages of QL forward (to the rc of
2005-05-12, taken yesterday).  New packages have been uploaded, autobuilders
are busy.  

But Ruby failed to built -- it croaks after the tests from setup.rb. From the
build log:

[...]
dpkg-source: building quantlib-ruby using existing quantlib-ruby_0.3.8.rc.20050407.orig.tar.gz
dpkg-source: building quantlib-ruby in quantlib-ruby_0.3.8.rc.20050407-1.diff.gz
dpkg-source: building quantlib-ruby in quantlib-ruby_0.3.8.rc.20050407-1.dsc
 debian/rules build
dpkg-architecture: warning: no utmp entry available and LOGNAME not defined; using uid of process (0)
dh_testdir
touch quantlib_wrap.cpp
CXX="g++" 		\
CFLAGS="-O2 " 	\
CXXFLAGS="-O2 " 	ruby setup.rb build  
Building extension...
creating Makefile
make[1]: Entering directory `/tmp/buildd/quantlib-ruby-0.3.8.rc.20050407'
g++ -fPIC -Wall -g -O2  -fPIC -O2    -I. -I/usr/lib/ruby/1.8/i386-linux -I/usr/lib/ruby/1.8/i386-linux -I.   -I/usr/include -Wno-uninitialized -Wno-unused -O2  -DBOOST_DISABLE_THREADS -c quantlib_wrap.cpp
g++ -shared  -L"/usr/lib" -o QuantLibc.so quantlib_wrap.o  -lruby1.8  -L/usr/lib -lQuantLib-0.3.9 -lpthread -ldl -lcrypt -lm   -lc
make[1]: Leaving directory `/tmp/buildd/quantlib-ruby-0.3.8.rc.20050407'
touch build-stamp
 debian/rules binary
dpkg-architecture: warning: no utmp entry available and LOGNAME not defined; using uid of process (0)
ruby setup.rb test
Building extension...
creating Makefile
make[1]: Entering directory `/tmp/buildd/quantlib-ruby-0.3.8.rc.20050407'
make[1]: Nothing to be done for `all'.
make[1]: Leaving directory `/tmp/buildd/quantlib-ruby-0.3.8.rc.20050407'
Testing QuantLib-Ruby...
Loaded suite QuantLib test suite
Started
Testing date ranges: .
Testing observability of stocks: .
Testing observability of market elements: .
Testing observability of market element handles: .
Testing segment integral: .
Testing 1-D solvers: .
Testing observability of forward-spreaded term structure: .
Testing observability of implied term structure: .
Testing observability of zero-spreaded term structure: .

Finished in 4.872506 seconds.

9 tests, 0 assertions, 0 failures, 0 errors
setup.rb:229: [BUG] Segmentation fault
ruby 1.8.2 (2005-04-11) [i386-linux]

make: *** [test-stamp] Aborted (core dumped)
pbuilder: Failed autobuilding of package
 -> Aborting with an error
 -> unmounting dev/pts filesystem
 -> unmounting proc filesystem
 -> cleaning the build env 
    -> removing directory /var/local/cache/pbuilder/build//13139 and its subdirectories

This is on Debian unstable in a fresh chroot with the QL rc 2005-04-12.  

Luigi -- any idea?  Python builds and tests fine (once TermStructureTest is
comemnted out, as has been required for a while).

Thanks, Dirk

-- 
Better to have an approximate answer to the right question than a precise 
answer to the wrong question.  --  John Tukey as quoted by John Chambers

[Quantlib-dev] problem to get the yield to maturity for a zero coupon bond

[Adjriou B. <bad...@ya...>]

Hi,
 
there is a problem when quantlib is trying to get the yield from the price for zero coupon bond.
 
In the dirtyPriceFromYield() method, quantlib sets time t2 to ( CouponDate - LastCouponDate) but in Once frequency lastCouponDate is the issue Date so the t2 time is wrong in this case :
 
   Real price = 0.0;
            DiscountFactor discount = 1.0;
            Date lastDate = Date();
            for (Size i=0; i<cashflows.size(); ++i) {
                // discard expired coupons
                #if QL_TODAYS_PAYMENTS
                if (cashflows[i]->date() < settlement)
                #else
                if (cashflows[i]->date() <= settlement)
                #endif
                    continue;
                Date nextDate = cashflows[i]->date();
                Real amount = cashflows[i]->amount();
                if (i == cashflows.size()-1)
                    amount += redemption;
                Time t1, t2;
                if (lastDate == Date()) {
                    // first not-expired coupon
                    if (i > 0) {
                        lastDate = cashflows[i-1]->date();
                    } else {
                        boost::shared_ptr<Coupon> coupon =
                            boost::dynamic_pointer_cast<Coupon>(cashflows[i]);
                        if (coupon)
                            lastDate = coupon->accrualStartDate();
                        else
                            lastDate = nextDate - 1*Years;
                    }
                    t1 = dayCounter.yearFraction(settlement, nextDate,
                                                 lastDate, nextDate);
                    t2 = dayCounter.yearFraction(lastDate, nextDate);
                } else  {
                    t1 = dayCounter.yearFraction(lastDate, nextDate);
                    t2 = t1;
                }
                discount /= QL_POW(1 + yield*t2, t1/t2);
                price += amount * discount;
                lastDate = nextDate;
            }
            return price;
        }

 
regards.



		
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[Quantlib-dev] [ quantlib-Bugs-1177912 ] More Calendar problems on all Libors

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

Bugs item #1177912, was opened at 2005-04-06 12:31
Message generated for change (Comment added) made by qq7te
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1177912&group_id=12740

Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: Daniele De Francesco (qq7te)
Assigned to: Luigi Ballabio (lballabio)
Summary: More Calendar problems on all Libors

Initial Comment:
After looking for a proper definition of how the Libor
fixing works, 
I have finally found an authoritative source:
http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412

It seems that any calendar we pick will be wrong. 
Their method for determining the value date from the
fixing date is quite different from anything I've seen.
It's a strange combination of two calendars that is
explained fully in the above mentioned page. 

Picking the London calendar for ALL the libors will be
a very good first-order approximation that will make
all the libor classes much more accurate. 

Eventually a fix is needed to have an
"OddlyJoinedCalendar" or something like that :-)

I would fix it myself, but I will have to do it outside
of work because of my emplyment agreement, so it will
be a bit delayed. If anyone with access to CVS wants to
at least do a quick fix to move to London Calendar that
would be a great first step

-Daniele

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

>Comment By: Daniele De Francesco (qq7te)
Date: 2005-04-13 16:58

Message:
Logged In: YES 
user_id=288761

Careful using the JointCalendar. 
the actual day calculation would not be accurate using
either the London calendar alone or a joint one. We need to
come up with something that meets the specification
published at the link that I posted. 
I will contribute something as soon as I get a chance.. :-) 

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

Comment By: Luigi Ballabio (lballabio)
Date: 2005-04-08 03:17

Message:
Logged In: YES 
user_id=75450

Thanks for the link. The CVS version already uses the London
calendar for all LIBORs. We'll have to check whether we can
use JointCalendar, but that will have to wait for 0.3.10 as
0.3.9 is being released.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1177912&group_id=12740

[Quantlib-dev] Contributing to the project

[C R W. <cwh...@mi...>]

Hi QuantLib Developers,

I recently installed QuantLib and am thoroughly impressed. I can see how
much time this body of code is going to save me in the future and as
"payback" am interested in contributing to QuantLib. Your website suggests
that I describe my experience and interests so here goes:

My C++ programming skills are advanced, I have experience on various
incarnations of Windows, several flavours of Unix and numerous RDBM Systems.
By qualification, I am an Electronics Engineer but went straight into IT
after graduating 14 years ago. I have played the role of analyst/programmer,
architect, lead consultant, project manager and head of professional
services. During this time, I have delivered numerous commercial systems
into the Banking, Telco, Media and FMCG sectors.

Last year I decided that my career needed a change of direction and that
Quantitative Finance was my future.
I am really excited about this move because QF combines my passion for
finance with my talent for programming.

Since January I have been attending Paul Wilmott's CQF at 7city.
    Mathematically:     I am comfortable with stochastic calculus, SDEs,
PDEs, Taylor & Ito's Lemma.
    Financially:            I am familiar with Derivatives pricing theory,
Black-Scholes and the greeks, Vasicek, CIR, Hull&White.
    Modelling:             I have a good understanding of Binomial Trees,
Monte-Carlo simulation and Finite Difference methods.

I am currently between jobs and have some time on my hands. I would love to
help out with say:
  a.. IRR, Duration, Convexity etc for a sequence of cashflows or;
  b.. Richardson Extrapolation for Finite Differences or;
  c.. Testing of Vasicek and CIR or;
  d.. A histogram class.
I look forward to hearing from you.

Kind Regards
Charles Whitmore

Re: [Quantlib-dev] 0.3.9 tarballs

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

On 10 April 2005 at 11:11, Luigi Ballabio wrote:
| 
| On Apr 9, 2005, at 3:51 PM, Dirk Eddelbuettel wrote:
| 
| > That worked swimmingly -- the 0.3.9 release candidate was built on all
| > architectures within a day.
| 
| Good.
| 
| > Is there a time frame for when 0.3.9 will hit the limelight?
| 
| Well, that would depend on when Nando finds the time to build the 
| Windows installer :)

If we have otherwise frozen tarballs (esp. on the Unix side of things), maybe
Nando could issue call for attention so that us porters can get the binaries
ready prior to the announcement.

It would suit me greatly as the rc release would otherwise migrate into
testing, I'd rather replace it in unstable with a final 0.3.9.

Dirk

-- 
Better to have an approximate answer to the right question than a precise 
answer to the wrong question.  --  John Tukey as quoted by John Chambers

Re: [Quantlib-dev] 0.3.9 tarballs

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

On Apr 9, 2005, at 3:51 PM, Dirk Eddelbuettel wrote:

> That worked swimmingly -- the 0.3.9 release candidate was built on all
> architectures within a day.

Good.

> Is there a time frame for when 0.3.9 will hit the limelight?

Well, that would depend on when Nando finds the time to build the 
Windows installer :)

Later,
	Luigi

Re: [Quantlib-dev] 0.3.9 tarballs

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

On 4 April 2005 at 22:54, Dirk Eddelbuettel wrote:
| Ok, after having had to take a pass with the earlier golden master due to the
| missing Boost fix from their CVS in the corresponding Debian package (which
| was later corrected; thanks to Luigi for sending over the patch), I have
| prepare a release candidate for Debian's unstable flavour which is currently
| being uploaded. Given that QuantLib 0.3.8 is in Debian's testing
| distribution, we may as well try the new release candidate.

That worked swimmingly -- the 0.3.9 release candidate was built on all
architectures within a day.

Is there a time frame for when 0.3.9 will hit the limelight?

Dirk

-- 
Better to have an approximate answer to the right question than a precise 
answer to the wrong question.  --  John Tukey as quoted by John Chambers

[Quantlib-dev] Help on trying to implement Nelson-Siegel in quant lib (problem with the simplex optimizatio)

[Adjriou B. <bad...@ya...>]

Hi,
 
I 'm trying to implement NesonSiegel in quantib but the simplex optimization does'nt give me satisfaction.
I'm using the simplex algo to get the Nelson Siegel parameters
In the cost function I put the error generated by the model (  the sum of  (the difference between the market prices and the Nelson Siegel prices generated by Nelson Siegel)^2 ) but what the simplex algo is checking to get out  is the Real rtol = 2.0*QL_FABS(high - low)/
                (QL_FABS(high) + QL_FABS(low) + QL_EPSILON);
with high the value of the highest error generated by a paramater 
and with low the value of the hlowest error generated by a paramater
 
And this is not reflecting the error I wanted ...
 
please Help !!
 
perhaps I'm wrong to use the simplex algo to minimize the sum of  (the difference between the market prices and the Nelson Siegel prices generated by Nelson Siegel )^2.
 

		
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[Quantlib-dev] [ quantlib-Bugs-1177912 ] More Calendar problems on all Libors

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

Bugs item #1177912, was opened at 2005-04-06 18:31
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1177912&group_id=12740

Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: Daniele De Francesco (qq7te)
>Assigned to: Luigi Ballabio (lballabio)
Summary: More Calendar problems on all Libors

Initial Comment:
After looking for a proper definition of how the Libor
fixing works, 
I have finally found an authoritative source:
http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412

It seems that any calendar we pick will be wrong. 
Their method for determining the value date from the
fixing date is quite different from anything I've seen.
It's a strange combination of two calendars that is
explained fully in the above mentioned page. 

Picking the London calendar for ALL the libors will be
a very good first-order approximation that will make
all the libor classes much more accurate. 

Eventually a fix is needed to have an
"OddlyJoinedCalendar" or something like that :-)

I would fix it myself, but I will have to do it outside
of work because of my emplyment agreement, so it will
be a bit delayed. If anyone with access to CVS wants to
at least do a quick fix to move to London Calendar that
would be a great first step

-Daniele

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2005-04-08 09:17

Message:
Logged In: YES 
user_id=75450

Thanks for the link. The CVS version already uses the London
calendar for all LIBORs. We'll have to check whether we can
use JointCalendar, but that will have to wait for 0.3.10 as
0.3.9 is being released.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1177912&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-1177912 ] More Calendar problems on all Libors

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Bugs item #1177912, was opened at 2005-04-06 12:31
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: Daniele De Francesco (qq7te)
Assigned to: Nobody/Anonymous (nobody)
Summary: More Calendar problems on all Libors

Initial Comment:
After looking for a proper definition of how the Libor
fixing works, 
I have finally found an authoritative source:
http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412

It seems that any calendar we pick will be wrong. 
Their method for determining the value date from the
fixing date is quite different from anything I've seen.
It's a strange combination of two calendars that is
explained fully in the above mentioned page. 

Picking the London calendar for ALL the libors will be
a very good first-order approximation that will make
all the libor classes much more accurate. 

Eventually a fix is needed to have an
"OddlyJoinedCalendar" or something like that :-)

I would fix it myself, but I will have to do it outside
of work because of my emplyment agreement, so it will
be a bit delayed. If anyone with access to CVS wants to
at least do a quick fix to move to London Calendar that
would be a great first step

-Daniele

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[Quantlib-dev] [ quantlib-Bugs-1173431 ] wrong calendar for USDLibor

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Bugs item #1173431, was opened at 2005-03-30 11:12
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Category: None
Group: None
Status: Closed
Resolution: Fixed
Priority: 5
Submitted By: Daniele De Francesco (qq7te)
Assigned to: Luigi Ballabio (lballabio)
Summary: wrong calendar for USDLibor

Initial Comment:
I have noticed that the USDLibor class, even in QL
0.3.8, has UnitedStates::Exchange as the calendar. 

I do believe that the correct calendar is the
UK::Exchange since the fixing happens in London and you
can see that the index is computed on thanksgiving,
labour day and so on, which I think is proof that it's
not on any US calendar. 


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>Comment By: Daniele De Francesco (qq7te)
Date: 2005-04-06 11:12

Message:
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I haven't looked in detail because we have been using
USDLibors, but If I will definitely alert you of anything
that seems suspicious... :-) 

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Comment By: Luigi Ballabio (lballabio)
Date: 2005-04-01 10:03

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The bug is now fixed in CVS.
Thank you for the report.


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Comment By: Luigi Ballabio (lballabio)
Date: 2005-04-01 05:54

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Daniele,
    I think you're right. Is there any other Libor in the
library whose calendar should be fixed?

Luigi


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