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From: Dirk E. <ed...@de...> - 2005-04-05 03:54:46
|
(Sorry for the delay, but I was on vaction til Sunday.) On 1 April 2005 at 09:05, Luigi Ballabio wrote: | | Hi all, | near-final 0.3.9 tarballs are available in | <http://quantlib.org/prerelease/>. Please try them out and report any | problems. 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. Cheers, 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 |
|
From: SourceForge.net <no...@so...> - 2005-04-01 15:03:05
|
Bugs item #1173431, was opened at 2005-03-30 18:12 Message generated for change (Comment added) made by lballabio You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1173431&group_id=12740 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. ---------------------------------------------------------------------- Comment By: Luigi Ballabio (lballabio) Date: 2005-04-01 17:03 Message: Logged In: YES user_id=75450 The bug is now fixed in CVS. Thank you for the report. ---------------------------------------------------------------------- Comment By: Luigi Ballabio (lballabio) Date: 2005-04-01 12:54 Message: Logged In: YES user_id=75450 Daniele, I think you're right. Is there any other Libor in the library whose calendar should be fixed? Luigi ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1173431&group_id=12740 |
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From: SourceForge.net <no...@so...> - 2005-04-01 10:54:30
|
Bugs item #1173431, was opened at 2005-03-30 18:12 Message generated for change (Comment added) made by lballabio You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1173431&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: 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. ---------------------------------------------------------------------- >Comment By: Luigi Ballabio (lballabio) Date: 2005-04-01 12:54 Message: Logged In: YES user_id=75450 Daniele, I think you're right. Is there any other Libor in the library whose calendar should be fixed? Luigi ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1173431&group_id=12740 |
|
From: Luigi B. <lui...@gm...> - 2005-04-01 09:05:43
|
Hi all, near-final 0.3.9 tarballs are available in <http://quantlib.org/prerelease/>. Please try them out and report any problems. 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 |
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From: SourceForge.net <no...@so...> - 2005-03-30 16:12:43
|
Bugs item #1173431, was opened at 2005-03-30 11:12 Message generated for change (Tracker Item Submitted) made by Item Submitter You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1173431&group_id=12740 Category: None Group: None Status: Open Resolution: None Priority: 5 Submitted By: Daniele De Francesco (qq7te) Assigned to: Nobody/Anonymous (nobody) 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. ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1173431&group_id=12740 |
|
From: Ashish K. <ash...@3i...> - 2005-03-30 12:01:30
|
hello Adjriou, can't help you directly, but I'd suggest looking at these great articles: The Art and Science of Curve Building http://www.fincad.com/news/jun04/The%20Art%20of%20Curve%20Building.pdf David Cox: Yield Curves and how to build them http://tinyurl.com/7y5vb Excel/VBA of McCulloch's model http://tinyurl.com/5dpqz Hope this helps, ashish ------------------------------------------------------------------------ The great use of life is to spend it for something that will outlast it. -- William James Adjriou Belak wrote: > Hi Ashish, > thanks for your answer, > > I'm trying to solve non linear equations. Actually I want to find zero > rates which fit bond Prices but I would like to smooth the curve by > making a cubic interpolation. So I can't bootstrap because the current > bond needs the next bond with a maturity higher than itself. > > Thanks a lot. > I would like to integrate Newton-raphson algorithm to quantlib. -- Greetings! ICICI Infotech is now 3i Infotech. The e-mail addresses of the company's employees have been changed to <existing name>@3i-infotech.com. You are requested to take note of this new e-mail ID and make use of the same in future "This e-mail message may contain confidential, proprietary or legally privileged information. It should not be used by anyone who is not the original intended recipient. If you have erroneously received this message, please delete it immediately and notify the sender. The recipient acknowledges that 3i Infotech or its subsidiaries and associated companies, (collectively "3i Infotech"), are unable to exercise control or ensure or guarantee the integrity of/over the contents of the information contained in e-mail transmissions and further acknowledges that any views expressed in this message are those of the individual sender and no binding nature of the message shall be implied or assumed unless the sender does so expressly with due authority of 3i Infotech. Before opening any attachments please check them for viruses and defects." |
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From: Adjriou B. <bad...@ya...> - 2005-03-30 08:21:40
|
Hi Ashish, thanks for your answer, I'm trying to solve non linear equations. Actually I want to find zero rates which fit bond Prices but I would like to smooth the curve by making a cubic interpolation. So I can't bootstrap because the current bond needs the next bond with a maturity higher than itself. Thanks a lot. I would like to integrate Newton-raphson algorithm to quantlib. Ashish Kulkarni <ash...@3i...> wrote: AFAIK QuantLib doesn't have a N-dimensional solver. Building such a solver is a non-trivial task, to say the least :-)Section 9.6 and 9.7 of "Numerical Recipes in C" has very good and highly technical discussions regarding the problem (and some implementations, too).http://www.library.cornell.edu/nr/bookcpdf.htmlGSL has quite a few N-dimensional solvers also but it's GPL, so it might or might not fit your requirements.http://www.gnu.org/software/gsl/manual/gsl-ref_34.htmlHope this helps,Ashish------------------------------------------------------------------------Honest disagreement is often a good sign of progress. -- Gandhi> Hi,> > I would like to implement a method with cubic interpolation for an an > interest curve so I need to get> a newton Raphson algorithm to do that.> > Do you know if there is this algorithm in quantlib or a solver wich > takes my equations and my unknowns ?> > regards,> belak Greetings! ICICI Infotech is now 3i Infotech. The e-mail addresses of the company's employees have been changed to <existing name>@3i-infotech.com. You are requested to take note of this new e-mail ID and make use of the same in future "This e-mail message may contain confidential, proprietary or legally privileged information. It should not be used by anyone who is not the original intended recipient. If you have erroneously received this message, please delete it immediately and notify the sender. The recipient acknowledges that 3i Infotech or its subsidiaries and associated companies, (collectively "3i Infotech"), are unable to exercise control or ensure or guarantee the integrity of/over the contents of the information contained in e-mail transmissions and further acknowledges that any views expressed in this message are those of the individual sender and no binding nature of the message shall be implied or assumed unless the sender does so expressly with due authority of 3i Infotech. Before opening any attachments please check them for viruses and defects." --------------------------------- Découvrez le nouveau Yahoo! Mail : 250 Mo d'espace de stockage pour vos mails ! Créez votre Yahoo! Mail |
|
From: Adjriou B. <bad...@ya...> - 2005-03-29 12:43:15
|
Hi, I would like to implement a method with cubic interpolation for an an interest curve so I need to get a newton Raphson algorithm to do that. Do you know if there is this algorithm in quantlib or a solver wich takes my equations and my unknowns ? regards, belak --------------------------------- Découvrez le nouveau Yahoo! Mail : 250 Mo d'espace de stockage pour vos mails ! Créez votre Yahoo! Mail |
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From: Aurelien C. <ral...@ya...> - 2005-03-18 16:34:35
|
Hi Eric Thanks for your prompt reply and valuable instructions. It turned out that I was trying to link against log4cxx, project "static", configuration "Win 32 Unicode Release/Debug" instead of "Win32 Debug". Aurelien Découvrez nos promotions exclusives "destination de la Tunisie, du Maroc, des Baléares et la Rép. Dominicaine sur Yahoo! Voyages : http://fr.travel.yahoo.com/promotions/mar14.html |
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From: Penschke, W. <Wal...@co...> - 2005-03-15 13:46:23
|
There seems to be a problem with sourceforge.net: www.sourceforge.net => Status Page link. Sorry, I should have checked that first before pestering you. wpe > -----Original Message----- > From: Penschke, Walter > Sent: Tuesday, March 15, 2005 11:30 AM > To: 'qua...@li...' > Subject: RE: Development CVS down? > > > Hi, > > I'm still having problems accessing the CVS development repository. > > Here the error message I get when attempting to login via > anonymous CVS (using a simple return when getting prompted > for the password): > > --- SCHNIPP --- > [wpe@metallica quantlib_cvs_devel_2005_03_16]$ export > CVSROOT=:pserver:ano...@cv...:/cvsroot/quantlib > [wpe@metallica quantlib_cvs_devel_2005_03_16]$ echo $CVSROOT > :pserver:ano...@cv...:/cvsroot/quantlib > [wpe@metallica quantlib_cvs_devel_2005_03_16]$ cvs login > Logging in to > :pserver:ano...@cv...:2401/cvsroot/quantlib > CVS password: > cvs [login aborted]: unrecognized auth response from > cvs.quantlib.org: M PserverBackend::PserverBackend() Connect > (Connection refused) > [wpe@metallica quantlib_cvs_devel_2005_03_16]$ > --- SCHNAPP --- > > Any help would be highly appreciated. > > > wpe > > > > > > > Today's Topics: > > > > 1. Development CVS down? (Penschke, Walter) > > 2. log4cxx version (Aurelien Chanudet) > > 3. Re: log4cxx version (eric ehlers) > > > > --__--__-- > > > > Message: 1 > > From: "Penschke, Walter" <Wal...@co...> > > To: "'qua...@li...'" > > <qua...@li...> > > Date: Mon, 14 Mar 2005 13:25:49 +0100 > > Subject: [Quantlib-dev] Development CVS down? > > > > Hi, > > > > is it possible that the QL development cvs-repository is > > currently down? > > > > > > > > wpe > > > > > |
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From: Penschke, W. <Wal...@co...> - 2005-03-15 10:35:16
|
Hi, I'm still having problems accessing the CVS development repository. Here the error message I get when attempting to login via anonymous CVS (using a simple return when getting prompted for the password): --- SCHNIPP --- [wpe@metallica quantlib_cvs_devel_2005_03_16]$ export CVSROOT=:pserver:ano...@cv...:/cvsroot/quantlib [wpe@metallica quantlib_cvs_devel_2005_03_16]$ echo $CVSROOT :pserver:ano...@cv...:/cvsroot/quantlib [wpe@metallica quantlib_cvs_devel_2005_03_16]$ cvs login Logging in to :pserver:ano...@cv...:2401/cvsroot/quantlib CVS password: cvs [login aborted]: unrecognized auth response from cvs.quantlib.org: M PserverBackend::PserverBackend() Connect (Connection refused) [wpe@metallica quantlib_cvs_devel_2005_03_16]$ --- SCHNAPP --- Any help would be highly appreciated. wpe > > > Today's Topics: > > 1. Development CVS down? (Penschke, Walter) > 2. log4cxx version (Aurelien Chanudet) > 3. Re: log4cxx version (eric ehlers) > > --__--__-- > > Message: 1 > From: "Penschke, Walter" <Wal...@co...> > To: "'qua...@li...'" > <qua...@li...> > Date: Mon, 14 Mar 2005 13:25:49 +0100 > Subject: [Quantlib-dev] Development CVS down? > > Hi, > > is it possible that the QL development cvs-repository is > currently down? > > > > wpe > > |
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From: eric e. <eri...@gm...> - 2005-03-14 20:06:29
|
Hi Aurelian I'm using log4cxx version 0.9.7 (and MSDEV version 6). Please could you check the items below: - log4cxx should be unzipped to a path containing no spaces as the library seems to complain otherwise - please build log4cxx, project "static", configuration "Win32 Debug". - you need to manually set environment variable LOG4CXX_DIR to the top level log4cxx directory e.g. C:\log4cxx-0.9.7 - if MSDEV is running you need to restart it to pick up the new environment variable. - build ObjectHandler and Example, configuration "Win32 Debug" If you're still having trouble please email the exact error message and we'll figure it out. I intend to tweak the way ObjectHandler links to log4cxx but I'll hold off on that for the moment so as not to create any further confusion. Regards, Eric On Mon, 14 Mar 2005 19:23:48 +0100 (CET), Aurelien Chanudet <ral...@ya...> wrote: > Hi Eric, >=20 > I'm having some difficulties building the example > coming with ObjectHandler (lastest cvs version) under > Windows using VC++ 6.0. The linker is complaining > about undefined symbols while linking against > log4cxx-0.9.7. (Linking against 0.9.7 works fine on > MacOS X.) >=20 > What version of log4cxx are you using on Windows ? >=20 > Thanks, > Aurelien >=20 > D=E9couvrez nos promotions exclusives "destination de la Tunisie, du Maro= c, des Bal=E9ares et la R=E9p. Dominicaine sur Yahoo! Voyages : > http://fr.travel.yahoo.com/promotions/mar14.html >=20 > ------------------------------------------------------- > SF email is sponsored by - The IT Product Guide > Read honest & candid reviews on hundreds of IT Products from real users. > Discover which products truly live up to the hype. Start reading now. > http://ads.osdn.com/?ad_id=3D6595&alloc_id=3D14396&op=3Dclick > _______________________________________________ > Quantlib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > |
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From: Aurelien C. <ral...@ya...> - 2005-03-14 18:24:05
|
Hi Eric, I'm having some difficulties building the example coming with ObjectHandler (lastest cvs version) under Windows using VC++ 6.0. The linker is complaining about undefined symbols while linking against log4cxx-0.9.7. (Linking against 0.9.7 works fine on MacOS X.) What version of log4cxx are you using on Windows ? Thanks, Aurelien Découvrez nos promotions exclusives "destination de la Tunisie, du Maroc, des Baléares et la Rép. Dominicaine sur Yahoo! Voyages : http://fr.travel.yahoo.com/promotions/mar14.html |
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From: Penschke, W. <Wal...@co...> - 2005-03-14 12:26:11
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Hi, is it possible that the QL development cvs-repository is currently down? wpe |
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From: Dirk E. <ed...@de...> - 2005-03-12 04:02:22
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Luigi, On 9 March 2005 at 14:08, Luigi Ballabio wrote: | | Hi all, | I've just uploaded preliminary tarballs of the 0.3.9 branch in =20 | <http://quantlib.org/prerelease/>. Please play with them and see whether =20 | there are any showstoppers. I get as far as [ ... snipping about 3300 lines of logged output ... ] Making install in test-suite make[3]: Entering directory `/tmp/buildd/quantlib-0.3.8.rc.20050309/test-suite' if g++ -DHAVE_CONFIG_H -I. -I. -I../ql -I.. -I../functions -I.. -O2 -D_REENTRANT -MT bonds.o -MD -MP -MF ".deps/bonds.Tpo" -c -o bonds.o bonds.cpp; \ then mv -f ".deps/bonds.Tpo" ".deps/bonds.Po"; else rm -f ".deps/bonds.Tpo"; exit 1; fi bonds.cpp: In static member function `static void BondTest::testCached()': bonds.cpp:271: error: no match for 'operator<<' in 'boost::operator<< [with CharT = char, T = char[35]]((+(&wrap_stringstream())->boost::basic_wrap_stringstream<CharT>::ref [with CharT = char]()), "failed to reproduce cached price:\n") << std::fixed ' ../ql/currency.hpp:108: error: candidates are: std::ostream& QuantLib::operator<<(std::ostream&, const QuantLib::Currency&) ../ql/interestrate.hpp:184: error: std::ostream& QuantLib::operator<<(std::ostream&, const QuantLib::InterestRate&) ../ql/option.hpp:116: error: std::ostream& QuantLib::operator<<(std::ostream&, QuantLib::Option::Type) ../ql/date.hpp:361: error: std::ostream& QuantLib::operator<<(std::ostream&, const QuantLib::Date&) ../ql/date.hpp:202: error: std::ostream& QuantLib::operator<<(std::ostream&, const QuantLib::Period&) ../ql/date.hpp:158: error: std::ostream& QuantLib::operator<<(std::ostream&, QuantLib::Frequency) ../ql/date.hpp:130: error: std::ostream& QuantLib::operator<<(std::ostream&, QuantLib::Month) ../ql/date.hpp:60: error: std::ostream& QuantLib::operator<<(std::ostream&, const QuantLib::Weekday&) That is on vanilla Debian unstable, in a pbuilder chroot. Boost packages were installed the requirement Build-Depends: debhelper (>= 3.0), autoconf, automake1.7, texinfo, g++ (>= 3.2.2), libboost-dev, libboost-regex-dev, libboost-test-dev and what we got was Selecting previously deselected package libboost-dev. Unpacking libboost-dev (from .../libboost-dev_1.32.0-2_i386.deb) ... Selecting previously deselected package libboost-regex1.32.0. Unpacking libboost-regex1.32.0 (from .../libboost-regex1.32.0_1.32.0-2_i386.deb) ... Selecting previously deselected package libboost-regex-dev. Unpacking libboost-regex-dev (from .../libboost-regex-dev_1.32.0-2_i386.deb) ... Selecting previously deselected package libboost-test1.32.0. Unpacking libboost-test1.32.0 (from .../libboost-test1.32.0_1.32.0-2_i386.deb) ... Selecting previously deselected package libboost-test-dev. Unpacking libboost-test-dev (from .../libboost-test-dev_1.32.0-2_i386.deb) ... As I recall, you are you also developing under Debian. Did you use a local (newer ?) copy of boost or the gcc toolchain? Cheers, 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 |
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From: Luigi B. <lui...@gm...> - 2005-03-09 14:08:22
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Hi all, I've just uploaded preliminary tarballs of the 0.3.9 branch in =20 <http://quantlib.org/prerelease/>. Please play with them and see whether =20 there are any showstoppers. Later, Luigi ---------------------------------------- There's no sense in being precise when you don't even know what you're talking about. -- John von Neumann |
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From: Luigi B. <lui...@gm...> - 2005-03-07 10:38:28
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Hi all, I just created a release branch for QuantLib 0.3.9---the CVS tag is =20 'R000309f0-branch'. As usual, all new developments are to be committed on =20 the trunk and will be included in 0.3.10; the only allowed commits on the =20 branch tag are bug fixes and such. Everybody is invited to check it out and give it a try to see whether =20 everything works. I'll create preliminary tarballs for packagers in a day =20 or two. Later, Luigi ---------------------------------------- There are two ways to write error-free programs; only the third one works. -- unknown |
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From: Luigi B. <lui...@gm...> - 2005-03-04 09:50:33
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On 03/04/05 10:39:01, Adjriou Belak wrote:
> there is a problem when I want to extrapolate a yield at one date which =20
> is not in the spreaded curve. The problem comes from :
>=20
> inline Rate ZeroSpreadedTermStructure::zeroYieldImpl(Time t) const {
> // return originalCurve_->zeroYield(t, true) + spread_->value();
> return originalCurve_->zeroRate(t, Continuous, NoFrequency) +
> spread_->value();
> }
>=20
> It should be used with a boolean extrapolate :
>=20
> return originalCurve_->zeroRate(t, Continuous,
> NoFrequency,extrapolate) +
> spread_->value();
>=20
> It's missing a parameter in the zeroYieldImpl function.
zeroYieldImpl is not missing a parameter as such: that method is called =20
internally, and by the time it is called the extrapolation check has been =20
performed already.
But your bug report is correct: we have to add a 'true' to the call to =20
zeroRate. I'll fix it in CVS presently.
Thanks,
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=20
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From: Adjriou B. <bad...@ya...> - 2005-03-04 09:39:25
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Hi,
there is a problem when I want to extrapolate a yield at one date which is not in the spreaded curve. The problem comes from :
inline Rate ZeroSpreadedTermStructure::zeroYieldImpl(Time t) const {
// return originalCurve_->zeroYield(t, true) + spread_->value();
return originalCurve_->zeroRate(t, Continuous, NoFrequency) +
spread_->value();
}
It should be used with a boolean extrapolate :
return originalCurve_->zeroRate(t, Continuous, NoFrequency,extrapolate) +
spread_->value();
It's missing a parameter in the zeroYieldImpl function.
regards
---------------------------------
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Créez votre Yahoo! Mail |
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From: Xiaofeng Z. <zhe...@gm...> - 2005-03-04 04:12:16
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Hi, Does anyone have an example copyright disclaimer that I might be able to get my employer signed, so that I can contribute code to QuantLib? Thanks. Xiaofeng |
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From: Andre L. <al...@ag...> - 2005-03-03 13:31:46
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Hi to everyone. I've been gone for a while but I'm back with a vengeance. I have not, for the last 4 months looked at the mailing lists, so what I'm asking might be a repeat, if so please tell me and I'll look for the answer I've updated to fedora core3 and are running the following versions: gcc version 3.4.2 GNU libtool version 1.5.6 swig version 1.3.21 GNU automake version 1.9.2 GNU autoconf version 2.59 GNU make version 3.80 I've updated my copy of QuantLib via CVS and have a problem. I started with just a straight ./configure which worked OK, running make resulted in the following error: [andre@mercury /QuantLib]$ make cd . && /bin/sh: -c: line 1: syntax error: unexpected end of file make: *** [configure] Error 2 So, then I ran ./autogen and it came up with the following: [andre@mercury /QuantLib]$ sh ./autogen.sh Can't locate object method "path" via package "Request" at /usr/share/autoconf/Autom4te/C4che.pm line 69, <GEN1> line 319. aclocal: autom4te failed with exit status: 1 autoreconf: aclocal failed with exit status: 1 What am I missing? Any suggestions please. Andre Louw |
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From: Xiaofeng Z. <zhe...@gm...> - 2005-03-03 08:46:00
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Adjriou,
I suppose you meant 2-dimensional array. I found a way after reading
the xlw code, not necessarily the best way.
Cheers,
Xiaofeng
Integer numQuotes = rateVector.size();
XlfOper *output = new XlfOper[ 2 * numQuotes ];
// This is the way to output 2-dim data to XL.
for (Integer j = 0; j < numQuotes; ++j) {
boost::shared_ptr<RateHelper> node = rateVector[j];
Date tenor = node->latestDate();
output[j*2 + 0] = XlfOper(
DateFormatter::toString(
tenor, DateFormatter::Short ));
output[j*2 + 1] = XlfOper(
termStructure->discount(tenor) );
}
return XlfOper(numQuotes, 2, output );
|
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From: Penschke, W. <Wal...@co...> - 2005-03-01 10:15:55
|
Hi Eric, just got the current version of QuantLibAddin via anon-cvs. Could successfully compile (configure with --disable-calc)! Many thanks, wpe -----Original Message----- From: qua...@li... [mailto:qua...@li...]On Behalf Of qua...@li... Sent: Tuesday, March 01, 2005 7:52 AM To: qua...@li... Subject: Quantlib-dev digest, Vol 1 #292 - 5 msgs Send Quantlib-dev mailing list submissions to qua...@li... To subscribe or unsubscribe via the World Wide Web, visit https://lists.sourceforge.net/lists/listinfo/quantlib-dev or, via email, send a message with subject or body 'help' to qua...@li... You can reach the person managing the list at qua...@li... When replying, please edit your Subject line so it is more specific than "Re: Contents of Quantlib-dev digest..." Today's Topics: 1. Re: QL FpML Object Handler Modifications (eric ehlers) 2. Still problems compiling QuantLibAddIn under Linux (Penschke, Walter) 3. Re: QL FpML Object Handler Modifications (Fabrice Carrega) 4. Re: Still problems compiling QuantLibAddIn under Linux (eric ehlers) 5. Re: QL FpML Object Handler Modifications (eric ehlers) --__--__-- Message: 1 Date: Mon, 28 Feb 2005 12:35:03 +0000 From: eric ehlers <eri...@gm...> Reply-To: eric ehlers <eri...@gm...> To: qua...@li... Subject: Re: [Quantlib-dev] QL FpML Object Handler Modifications Hi David Welcome back, glad to hear that your negotiations are progressing, and looking forward to your project getting underway. > After discussing with out Professor the idea of assisting with > GNUmeric implementation to QuantLibAddIn we found that our project was > not suitable. I know you mentioned a Gnumeric plugin, I hadn't understood that you were considering that for your project. > He said that wrappers were not a good substitute for a > complete learning experience involving object oriented programming. I agree. Wrapping QuantLibAddin for any specific platform is a small technical exercise, mainly writing a Python script to autogenerate the source for the Addin. > Eric: We are not clear on whether you would be implementing FpML > if we built a modified object handler subclass that encoded / > unencoded FpML (or as Luigi called it: Serialized / Deserialized > FpML.) We are simply asking to make sure that no one is peforming > redundant work. I don't think there will be a subclass of ObjectHandler, nor any functionality in ObjectHandler for directly (De)Serializing FpML. Irrespective of who does what, let me first reiterate my current understanding of what needs to be done: In QuantLib: - implementation of TermSheet classes - extension of Instrument classes to support new constructors accepting TermSheet as input In new component QuantLib-FpML: - translation of FpML <-> TermSheet (note that QuantLib is now FpML-enabled - independent of ObjectHandler/QuantLibAddin) In ObjectHandler: - extend the abstract base class Object to include (De)Serialize member functions (which would be pure virtual) - extend class ObjectHandler to support (Un)Load functions (which in turn invoke Object->(De)Serialize). In QuantLibAddin: - for derived Object classes - override (De)Serialize to call the code in QuantLib-FpML appropriate for the underlying QuantLib object Back to the question of avoiding redundant work - I definitely agree that we need to clarify who does what - I haven't yet started to think about what I'd do personally and it depends a lot on what you would enjoy doing. > Luigi: Could you send us some links on the current structure of > the QL_Object_Handler that woudl require modification? Any advice is > appreciated. Hopefully the comments above clarify the changes required in ObjectHandler? There isn't much, with the main FpML-specific functionality implemented in QuantLib-FpML. Hope this clarifies things. Very much looking forward to hearing your project proposal, please let me know what I can do to help. Best Regards, Eric --__--__-- Message: 2 From: "Penschke, Walter" <Wal...@co...> To: "'qua...@li...'" <qua...@li...> Date: Mon, 28 Feb 2005 19:28:16 +0100 Subject: [Quantlib-dev] Still problems compiling QuantLibAddIn under Linux Hi Eric, hi Luigi, Sorry, to bother you again. I am still struggling with the compilation of QuantLibAddIn under Linux. Luigi, you mentioned that you added some "patches" to the current development branch (Linux). So I today retrieved the modules QuantLib, ObjectHandler and QuantLibAddin via anon-cvs and tried to compile and link the modules again (in the above order). As before there were no problems with QuantLib and ObjectHandler. When trying to compile the QuantLibAddin module in the same way as described previously (please see below), however, I encountered the following errors: --- SCHNIPP --- [wpe@metallica QuantLibAddin]$ make Making all in Autogen make[1]: Entering directory `/opt/projects/quantlib_cvs_devel/QuantLibAddin/Autogen' make[1]: Nothing to be done for `all'. make[1]: Leaving directory `/opt/projects/quantlib_cvs_devel/QuantLibAddin/Autogen' Making all in qla make[1]: Entering directory `/opt/projects/quantlib_cvs_devel/QuantLibAddin/qla' make all-am make[2]: Entering directory `/opt/projects/quantlib_cvs_devel/QuantLibAddin/qla' make[2]: Leaving directory `/opt/projects/quantlib_cvs_devel/QuantLibAddin/qla' make[1]: Leaving directory `/opt/projects/quantlib_cvs_devel/QuantLibAddin/qla' Making all in Addins/C make[1]: Entering directory `/opt/projects/quantlib_cvs_devel/QuantLibAddin/Addins/C' if /bin/sh ../../libtool --mode=compile g++ -DHAVE_CONFIG_H -I. -I. -I../../qla -I../.. -I/home/wpe/projects/quantlib_cvs_devel/ObjectHandler -I/home/wpe/projects/quantlib_cvs_devel/QuantLib/include/ -g -O2 -Wall -MT options.lo -MD -MP -MF ".deps/options.Tpo" -c -o options.lo options.cpp; \ then mv -f ".deps/options.Tpo" ".deps/options.Plo"; else rm -f ".deps/options.Tpo"; exit 1; fi g++ -DHAVE_CONFIG_H -I. -I. -I../../qla -I../.. -I/home/wpe/projects/quantlib_cvs_devel/ObjectHandler -I/home/wpe/projects/quantlib_cvs_devel/QuantLib/include/ -g -O2 -Wall -MT options.lo -MD -MP -MF .deps/options.Tpo -c options.cpp -fPIC -DPIC -o .libs/options.o options.cpp: In function `int QL_OPTION_ASIAN_D(char*, char*, char*, double, long int, long int, long int*, char*, char*, double, char*, long int, long int, char*, long int, VariesList*)': options.cpp:87: error: no matching function for call to `Conversion<long int>:: convertVector(long int*&, long int&)' ../../Addins/C/varies.hpp:28: error: candidates are: static std::vector<array_type, std::allocator<_CharT> > Conversion<T>::convertVector(const T*&, const long int&) [with T = long int] ../../Addins/C/varies.hpp:35: error: static std::vector<std::string, std::allocator<std::string> > Conversion<T>::convertVector(char**&, const long int&) [with T = long int] options.cpp: In function `int QL_OPTION_CLIQUET(char*, char*, long int, long int*, char*, double, long int, char*, long int, VariesList*)': options.cpp:212: error: no matching function for call to `Conversion<long int> ::convertVector(long int*&, long int&)' ../../Addins/C/varies.hpp:28: error: candidates are: static std::vector<array_type, std::allocator<_CharT> > Conversion<T>::convertVector(const T*&, const long int&) [with T = long int] ../../Addins/C/varies.hpp:35: error: static std::vector<std::string, std::allocator<std::string> > Conversion<T>::convertVector(char**&, const long int&) [with T = long int] options.cpp: In function `int QL_OPTION_DIVIDENDVANILLA(char*, char*, long int, long int*, long int, double*, char*, char*, double, char*, long int, long int, char*, long int, VariesList*)': options.cpp:251: error: no matching function for call to `Conversion<long int> ::convertVector(long int*&, long int&)' ../../Addins/C/varies.hpp:28: error: candidates are: static std::vector<array_type, std::allocator<_CharT> > Conversion<T>::convertVector(const T*&, const long int&) [with T = long int] ../../Addins/C/varies.hpp:35: error: static std::vector<std::string, std::allocator<std::string> > Conversion<T>::convertVector(char**&, const long int&) [with T = long int] options.cpp:253: error: no matching function for call to `Conversion<double>:: convertVector(double*&, long int&)' ../../Addins/C/varies.hpp:28: error: candidates are: static std::vector<array_type, std::allocator<_CharT> > Conversion<T>::convertVector(const T*&, const long int&) [with T = double] ../../Addins/C/varies.hpp:35: error: static std::vector<std::string, std::allocator<std::string> > Conversion<T>::convertVector(char**&, const long int&) [with T = double] make[1]: *** [options.lo] Error 1 make[1]: Leaving directory `/opt/projects/quantlib_cvs_devel/QuantLibAddin/Addins/C' make: *** [all-recursive] Error 1 [wpe@metallica QuantLibAddin]$ --- SCHNAPP --- Your help is (as always) highly appreciated, wpe -----Original Message----- From: qua...@li... [mailto:qua...@li...]On Behalf Of qua...@li... Sent: Saturday, February 19, 2005 5:33 AM To: qua...@li... Subject: Quantlib-dev digest, Vol 1 #285 - 5 msgs Send Quantlib-dev mailing list submissions to qua...@li... To subscribe or unsubscribe via the World Wide Web, visit https://lists.sourceforge.net/lists/listinfo/quantlib-dev or, via email, send a message with subject or body 'help' to qua...@li... You can reach the person managing the list at qua...@li... When replying, please edit your Subject line so it is more specific than "Re: Contents of Quantlib-dev digest..." Today's Topics: 1. [ quantlib-Bugs-1143732 ] VC6 Compliation Error (SourceForge.net) 2. ObjectHandler and QuantLibAddin (Penschke, Walter) 3. Re: ObjectHandler and QuantLibAddin (eric ehlers) 4. ObjectHandler and QuantLibAddin II (Penschke, Walter) 5. Re: ObjectHandler and QuantLibAddin (Luigi Ballabio) Message: 2 From: "Penschke, Walter" <Wal...@co...> To: "'qua...@li...'" <qua...@li...> Date: Fri, 18 Feb 2005 14:55:31 +0100 Subject: [Quantlib-dev] ObjectHandler and QuantLibAddin Hi Eric, sorry that I could not respong to you earlier. Before I get come to your response to my initial email I'd like to address that I have problems getting QuantLibAddIn compiled from the actual development backup tar-ball. With QL and ObjectHandler everything went fine. Here is what I did (Linux as OS): - Downloaded the development tar ball and extracted it locally. - Set CVSROOT to the just extracted local CVS repository and checked out the modules QuantLib, ObjectHandler and QuantLibAddin. - Compiled QuantLib and ObjectHandler successfully like that: $ ./autogen.sh $ ./configure --prefix=`pwd` $ make $ make install - Tried to compile QuantLibAddin like that: $ ./autogen.sh $ ./configure --prefix=`pwd` CPPFLAGS="-I<PATH_TO_OBJECTHANDLER> -I<PATH_TO_QUANTLIB>/include" LDFLAGS="-L<PATH_TO_OBJECTHANDLER>/lib -L<PATH_TO_QUANTLIB>/lib" $ make This make command seems to compile and link the directory QuantLibAddin/qla/objects successfully but runs into problems with the directory QuantLibAddin/qla/functions. Here is the end of the generated output: --- SCHNIPP --- g++ -DHAVE_CONFIG_H -I. -I. -I../../qla -I../.. -I/home/wpe/projects/quantlib_cvs_devel/ObjectHandler/ -I/home/wpe/projects/quantlib_cvs_devel/QuantLib/include -g -O2 -Wall -MT vanillaoption.lo -MD -MP -MF .deps/vanillaoption.Tpo -c vanillaoption.cpp -o vanillaoption.o >/dev/null 2>&1 /bin/sh ../../libtool --mode=link g++ -g -O2 -Wall -L/home/wpe/projects/quantlib_cvs_devel/ObjectHandler/lib -L/home/wpe/projects/quantlib_cvs_devel/QuantLib/lib -o libObjects.la asianoption.lo barrieroption.lo basketoption.lo cliquetoption.lo dividendvanillaoption.lo forwardvanillaoption.lo optionutils.lo stochasticprocess.lo vanillaoption.lo ar cru .libs/libObjects.a .libs/asianoption.o .libs/barrieroption.o .libs/basketoption.o .libs/cliquetoption.o .libs/dividendvanillaoption.o .libs/forwardvanillaoption.o .libs/optionutils.o .libs/stochasticprocess.o .libs/vanillaoption.o ranlib .libs/libObjects.a creating libObjects.la (cd .libs && rm -f libObjects.la && ln -s ../libObjects.la libObjects.la) make[3]: Leaving directory `/opt/projects/quantlib_cvs_devel/QuantLibAddin/qla/objects' Making all in functions make[3]: Entering directory `/opt/projects/quantlib_cvs_devel/QuantLibAddin/qla/functions' make[3]: *** No rule to make target `options.cpp', needed by `options.lo'. Stop. make[3]: Leaving directory `/opt/projects/quantlib_cvs_devel/QuantLibAddin/qla/functions' make[2]: *** [all-recursive] Error 1 make[2]: Leaving directory `/opt/projects/quantlib_cvs_devel/QuantLibAddin/qla' make[1]: *** [all] Error 2 make[1]: Leaving directory `/opt/projects/quantlib_cvs_devel/QuantLibAddin/qla' make: *** [all-recursive] Error 1 [wpe@metallica QuantLibAddin]$ --- SCHNAPP --- Having a look in the corresponding QuantLibAddin/qla/functions/Makefile it seems that it expects a source file options.cpp. However in the corresponding directory there is no such file. Any help would be highly appreciated. Thanks in advance. wpe -- __--__-- Message: 3 Date: Fri, 18 Feb 2005 14:32:25 +0000 From: eric ehlers <eri...@gm...> Reply-To: eric ehlers <eri...@gm...> To: qua...@li... Subject: Re: [Quantlib-dev] ObjectHandler and QuantLibAddin Hi Walter > Having a look in the corresponding QuantLibAddin/qla/functions/Makefile it > seems that it expects a source file options.cpp. However in the > corresponding directory there is no such file. Much of the QuantLibAddin source code is autogenerated, you need to cd to the Autogen directory and run autogen.py. Sorry for not mentioning that anywhere!, I'll add it to the readme file. Some other notes on recompiling ... - compiling the Calc Linux addin requires some extra steps which I haven't gotten around to documenting. If you need that please let me know. The Calc addin on Windows should compile as documented. - On Windows I use MSDEV6 and those project workspace files are always up to date. I try to propogate changes to the other IDEs with grep/sed but they may be broken. Very much looking forward to your feedback. Regards Eric -- __--__-- Message: 5 Date: Fri, 18 Feb 2005 16:09:07 +0000 From: Luigi Ballabio <lui...@gm...> Subject: Re: [Quantlib-dev] ObjectHandler and QuantLibAddin To: eric ehlers <eri...@gm...> Cc: qua...@li... On 02/18/05 15:32:25, eric ehlers wrote: > Much of the QuantLibAddin source code is autogenerated, you need to cd > to the Autogen directory and run autogen.py. Sorry for not mentioning > that anywhere!, I'll add it to the readme file. I just committed a couple of small patches---under Linux, 'make' will now =20 invoke autogen.py before building the addins. > Some other notes on recompiling ... > - compiling the Calc Linux addin requires some extra steps which I > haven't gotten around to documenting. If you need that please let me > know. Or if you don't have Calc installed, use ./configure --disable-calc to inhibit Calc-specific compilations. Later, Luigi ---------------------------------------- Every solution breeds new problems. -- unknown -- __--__-- _______________________________________________ Quantlib-dev mailing list Qua...@li... https://lists.sourceforge.net/lists/listinfo/quantlib-dev End of Quantlib-dev Digest --__--__-- Message: 3 Date: Mon, 28 Feb 2005 22:06:52 +0100 From: Fabrice Carrega <fab...@gm...> Reply-To: Fabrice Carrega <fab...@gm...> To: eric ehlers <eri...@gm...> Subject: Re: [Quantlib-dev] QL FpML Object Handler Modifications Cc: qua...@li... Hello there, I have started reading FpML specs (which is not the best book I have ever read, I must admit), and will need some more time to finish. Concerning my participation, I am still interested in coding part of the new QuantLib-FpML module, as described by Eric in his last post. I was also thinking of contacting one of the FpML development groups to ask them what will be the next steps in the development of this language. Bonne soir=E9e, Fabrice On Mon, 28 Feb 2005 12:35:03 +0000, eric ehlers <eri...@gm...> wro= te: > Hi David >=20 > Welcome back, glad to hear that your negotiations are progressing, and > looking forward to your project getting underway. >=20 > > After discussing with out Professor the idea of assisting with > > GNUmeric implementation to QuantLibAddIn we found that our project was > > not suitable. >=20 > I know you mentioned a Gnumeric plugin, I hadn't understood that you > were considering that for your project. >=20 > > He said that wrappers were not a good substitute for a > > complete learning experience involving object oriented programming. >=20 > I agree. Wrapping QuantLibAddin for any specific platform is a small > technical exercise, mainly writing a Python script to autogenerate the > source for the Addin. >=20 > > Eric: We are not clear on whether you would be implementing FpML > > if we built a modified object handler subclass that encoded / > > unencoded FpML (or as Luigi called it: Serialized / Deserialized > > FpML.) We are simply asking to make sure that no one is peforming > > redundant work. >=20 > I don't think there will be a subclass of ObjectHandler, nor any > functionality in ObjectHandler for directly (De)Serializing FpML. >=20 > Irrespective of who does what, let me first reiterate my current > understanding of what needs to be done: >=20 > In QuantLib: > - implementation of TermSheet classes > - extension of Instrument classes to support new constructors > accepting TermSheet as input >=20 > In new component QuantLib-FpML: > - translation of FpML <-> TermSheet >=20 > (note that QuantLib is now FpML-enabled - independent of > ObjectHandler/QuantLibAddin) >=20 > In ObjectHandler: > - extend the abstract base class Object to include (De)Serialize > member functions (which would be pure virtual) > - extend class ObjectHandler to support (Un)Load functions (which in > turn invoke Object->(De)Serialize). >=20 > In QuantLibAddin: > - for derived Object classes - override (De)Serialize to call the code > in QuantLib-FpML appropriate for the underlying QuantLib object >=20 > Back to the question of avoiding redundant work - I definitely agree > that we need to clarify who does what - I haven't yet started to think > about what I'd do personally and it depends a lot on what you would > enjoy doing. >=20 > > Luigi: Could you send us some links on the current structure of > > the QL_Object_Handler that woudl require modification? Any advice is > > appreciated. >=20 > Hopefully the comments above clarify the changes required in > ObjectHandler? There isn't much, with the main FpML-specific > functionality implemented in QuantLib-FpML. >=20 > Hope this clarifies things. Very much looking forward to hearing your > project proposal, please let me know what I can do to help. >=20 > Best Regards, > Eric >=20 >=20 > ------------------------------------------------------- > SF email is sponsored by - The IT Product Guide > Read honest & candid reviews on hundreds of IT Products from real users. > Discover which products truly live up to the hype. Start reading now. > http://ads.osdn.com/?ad_id=3D6595&alloc_id=3D14396&op=3Dclick > _______________________________________________ > Quantlib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > --__--__-- Message: 4 Date: Mon, 28 Feb 2005 21:37:34 +0000 From: eric ehlers <eri...@gm...> Reply-To: eric ehlers <eri...@gm...> To: qua...@li... Subject: Re: [Quantlib-dev] Still problems compiling QuantLibAddIn under Linux Hi Walter > Sorry, to bother you again. > I am still struggling with the compilation of QuantLibAddIn under Linux. No bother - the problem is due to an error on my part so apologies to you for the hassle. It's fixed now so if you refresh QuantLibAddin from CVS and try again it should be OK. Many Thanks Eric --__--__-- Message: 5 Date: Mon, 28 Feb 2005 21:59:55 +0000 From: eric ehlers <eri...@gm...> Reply-To: eric ehlers <eri...@gm...> To: Fabrice Carrega <fab...@gm...> Subject: Re: [Quantlib-dev] QL FpML Object Handler Modifications Cc: qua...@li... Salut Fabrice > Concerning my participation, I am still interested in coding part of > the new QuantLib-FpML module, as described by Eric in his last post. Sounds good. Once we hear back from David on his preferences maybe there will be a clear picture of how best to divide the work. There is also the QuantLib-XML module to be written. > I was also thinking of contacting one of the FpML development groups > to ask them what will be the next steps in the development of this > language. Of course you're welcome to do that but is it necessary? Earlier in this forum it's been clarified that any instrument in QuantLib is already represented in FpML. Separately there are non-instrument classes such as StochasticProcess which are not and never will be represented in FpML, for those we write QuantLib-XML. Bonne soir=E9e Eric --__--__-- _______________________________________________ Quantlib-dev mailing list Qua...@li... https://lists.sourceforge.net/lists/listinfo/quantlib-dev End of Quantlib-dev Digest |
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From: eric e. <eri...@gm...> - 2005-02-28 22:00:06
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Salut Fabrice > Concerning my participation, I am still interested in coding part of > the new QuantLib-FpML module, as described by Eric in his last post. Sounds good. Once we hear back from David on his preferences maybe there will be a clear picture of how best to divide the work. There is also the QuantLib-XML module to be written. > I was also thinking of contacting one of the FpML development groups > to ask them what will be the next steps in the development of this > language. Of course you're welcome to do that but is it necessary? Earlier in this forum it's been clarified that any instrument in QuantLib is already represented in FpML. Separately there are non-instrument classes such as StochasticProcess which are not and never will be represented in FpML, for those we write QuantLib-XML. Bonne soir=E9e Eric |
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From: eric e. <eri...@gm...> - 2005-02-28 21:37:42
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Hi Walter > Sorry, to bother you again. > I am still struggling with the compilation of QuantLibAddIn under Linux. No bother - the problem is due to an error on my part so apologies to you for the hassle. It's fixed now so if you refresh QuantLibAddin from CVS and try again it should be OK. Many Thanks Eric |
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