quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] List of QuantLibXL Functions

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

Hi Dave

I trust it's OK with you that I cc quantlib-dev in this response to
your attached message; the answers to your questions (some of which
were provided in Nando's earlier message) might be interesting for
others.

On Thu, 10 Feb 2005 09:22:41 -0500, David Brown <doc...@gm...> wrote:
> Eric-
> 
>    We want to do whatever can contribute to the project.  I saw the
> intent of QuantLibAddIn and it makes sense to me, we just thought that
> it wasn't coming along becuse it only had three functiosn listed in
> the webpages you sent us.  QuantLibXL appeared more developed, which
> it may be.

QuantLibXL is mature, QuantLibAddin is a few weeks old and just
getting ready for a first release which I would describe as a
prototype.  The QuantLibAddin design doc shows three functions in
order to illustrate the design; at the moment in the latest CVS
snapshot there are a dozen or so functions.

>    Just to get this straight:  QuantLibAddIn is going to do away with
> QuantLibXL by taking all of it's functionality.  

Yes, QuantLibAddin will be extended to support all functions currently
present in QuantLibXL and the goal will be complete backward
compatibility, so that a spreadsheet based on QuantLibXL can load
QuantLibAddin and see the same results.

> Moreover, your intent
> is to imbed all of the functions that QuantLibXL has and find a slick
> way of only having to write the functiosn once.  Instead of writing
> the functions multiple times, you are going to instead use multiple
> 'interfacing' formats which will achieve what you desire.

In the existing QuantLibAddin design, functions are defined once in a
core C++ library, which is further wrapped in platform-specific
functionality for target platforms.  The source code for these
platform-specific addins is generated automatically based on the
function definitions, so I'd say the 'slick way of only writing
functions once' is already implemented. :)

>    The list of interfaces given enough time wil  be:
>    1) Excel  2) OO Spreadsheet  3) GNUmeric  4)FpML  5) C++  6) C  etc
> 
>   Am I correct in my thinking here?

The existing prototype supports Excel, OO, C, and C++.  Gnumeric
support is in the works.  The design could be extended to support any
platform that understands C++, and isn't limited to spreadsheets.

I wouldn't list FpML among the target platforms for QuantLibAddin. 
QuantLibAddin clients on all target platforms - an Excel spreadsheet,
a standalone C++ executable, whatever - will all be able to
serialize/deserialize QuantLib objects to/from FpML using the design
already explained earlier in this thread.

>   In other words, FpML input would only be one of the many inputs that
> QuantLibAddIn handles.  (Is this correct?)

I'd say there are two ways QuantLibAddin could construct a
QuantLib::Instrument -
1) by calling its usual constructor
2) by calling the new constructor which accepts a TermSheet

>    I noticed that the QuantLibXL cell calls all started with QL.  Did
> the name QL get cut out when you compiled a list of all functions?

The method I used listed the function's name as it appears in the list
of symbols exported by the DLL - the spreadsheet addin gives each of
these symbols an alias which is the QL_xxx.

> Best Wishes,
> David Brown

Best Regards
Eric

Re: Fwd: [Quantlib-dev] FpML

[Fabrice C. <fab...@gm...>]

Hi all,

So I would sum up what I have understood concerning FpML / XML development.

- QuantLib-FpML would be a library implemented in QuantLibAddin
permitting one to import indirectly data described in FpML in QuantLib
(and to export a QuantLib object to FpML)

- FpML would be translated to and from QuantLib::TermSheet

- QuantLib-FpML abstract level would be implemented in ObjectHandler

- Modifications of some QuantLib classes would be needed to implement
a constructor taking a TermSheet as an argument

- There would be no direct link between FpML and QuantLib objects

- QuantLib-XML is QuantLib-FpML evil twin for classes not described in
the FpML standard, which development would follow the same path, BUT
the import / export language (based on XML)

a) needs to be chosen (if existing)
b) or needs to be created (if not)

Any mistake ?

Bonne soir=E9e,

Fabrice

Re: Fwd: [Quantlib-dev] FpML

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

Hi all

I will be declarative and redundant in the following only for the sake of 
clarity, while trying to make a summary so far of the discussion. Please 
feel free to disagree :) and/or blame my poor English.

>a question about data export from QuantLib objects to FpML
I don't forecast any direct connection between the QuantLib C++ library and 
whatever XML layer

>which class or library would contain the method allowing one to transform a
>QuantLib object (Instrument or Termsheet) to a FpML file ?
the proposed QuantLib-FpML library should have features for bidirectional 
bridging between QuantLib::TermSheet <-> FpML file

QuantLib::Instrument shouldn't be involved at all in QuantLib-FpML, because 
an Instrument is a class outside the scope of the FpML specifications. A 
QuantLib::Instrument accepts a QuantLib::TermSheet as constructor input 
parameter and should a) copy it as internal data member b) provide a 
dedicated inspector method

>    How will we write back and resubstantiate in to FpML after QuantLib
>has calculated what it needs to do?  In other words, will the parser
>be bi-directional in the event that we want to output FpML after
>calculation?
Yes, the parser should be bi-directional

>Would it be an intermediate step, creating a Termsheet from an
>Instrument (for example) and then an export method implemented within
>the Termsheet class ?
No, in order to work with FpML an user should link QuantLib-FpML. He could then
a) access a QuantLib::TermSheet inside an instance of QuantLib::Instrument 
using the Instrument getTermSheet() method and serialize the TermSheet into 
a FpML file
b) de-serialize a QuantLib::TermSheet from a FpML file and use it to 
instantiate a QuantLib::Instrument

>So, QuantLib-FpML has not been written?
No, it hasn't. Hey David, that should be the assignment for you and your 
fellows! ;-)

>I was under the impression
>that Excel and OpenOffice Spreadsheet already have a semi-stable
>QuantLibAddIn.
A semi stable QuantLibAddin not using any kind of XML.

>   How are these currently working?
as Eric wrote: "In the simplest case QuantLib is
statically linked into QuantLibAddin to create, say, a single xll
binary which is loaded into Excel.  QuantLibAddin invokes QuantLib's
native C++ interface and objects are constructed directly from native
datatypes (captured by spreadsheet formulas)."

>  Would these need
>changing once QuantLib-FpML has been sorted out?  I'm assuming, yes,
>QuantLibAddIn will need modification to output FpML.  When everything
>is working, this FpML would be parsed and finally an instrument would
>be created; calculation ouput would be returned.
once again with Eric: "The existing framework will be extended to 
additionally support FpML.
So in addition to being able to construct objects from literal inputs, you 
will alternatively be able to type into the spreadsheet something like

QL_OBJECT_LOAD("path/to/object_definition.xml")

[...] this uses QuantLib-FpML to construct the TermSheet object from the 
file, and the TermSheet object is then passed as an input to the 
constructor of the corresponding QuantLib class, which is instantiated as 
an object on the spreadsheet."

>    In the process of writing up a formal proposal for the class Peter
>and I are enrolled in, we have started to understand the structure and
>history of QuantLib.
You're welcome, of course. Anyway please allow me to make clear that since 
the QuantLib::Termsheet class doesn't exist yet, no direct insight can be 
gained for the QuantLib-FpML project by inspecting the current QuantLib C++ 
library.
What we should strive for here is FpML compliance, and QuantLib will adapt 
to it through the usage of the QuantLib::TermSheet class

>   One question which is not obvious to us is where
>there is a list of the QuantLibXL functions.
Eric posted a list of the functions, and said that sooner or later 
QuantLibAddin will cover all those functions, superceding QuantLibXL. 
Anyway as for C++ QuantLib, the existing QuantLibXL functions have no 
direct relevance in the current XML thread.

>   My personal intution tells me that QuantLibXL is capable of using
>every function built in to QuantLib
No, C++ QuantLib is way larger than QuantLibXL


>   More importantly, we
>figured it is crucial to know which functions we want to implement to
>a GNUmericAddIn.  Could someone please clarify this for us?
We can export in QuantLibAddin whatever function is available in QuantLib 
and we feel compelled to export (QuantLibAddin will have a Gnumeric version 
along with Calc, Excel, etc.)
Anyway this discussion focus is XML.

As far as XML is concerned QuantLibAddin will have additional requirements 
non covered by QuantLib-FpML. QuantLibAddin will need to 
serialize/deserialize not just QuantLib::TermSheet (for which it will use 
QuantLib-FpML) but also QuantLib::StochasticProcess, 
QuantLib::TermStructure, etc.
A fully XML-enabled QuantLibAddin is a different project with respect to 
QuantLib-FpML, and there are no formal official specifications in this case 
we should adhere too. We can make up our own specs.
We could think about another library, let's call it QuantLib-XML, for the 
(de)serialization of all QuantLib objects but QuantLib::TermSheet: it could 
be tackled by a different team (Fabrice?), or it could be the second step 
after finishing QuantLib-FpML.
QuantLibAddin would be using both QuantLib-FpML and QuantLib-XML

It goes without saying that QuantLib-FpML and QuantLib-XML might be merged 
into one single library. Anyway I would prefer to start with 2 separate 
projects/libraries in order to enforce a better separation of concerns.

hope it help, I look forward to your feedback

ciao -- Nando

[Quantlib-dev] RE: [Quantlib-users] what do I need to make run an xll ?

[Daniele De F. <Dan...@br...>]

I have had this kind of problems in a lot of situations, and then I found a
tool that just shows you all the dependencies of a dll so that you quickly
find out what you're missing. 

http://www.dependencywalker.com/

It's free and it works.  :-) 

My guess is that you have a run-time dependency on a version of the C or C++
runtime library which versions are different on the two machines. 
But this is just speculation: start the dependency walker and you'll know
exactly.. :-)  

-Daniele



-----Original Message-----
From: eric ehlers [mailto:eri...@gm...] 
Sent: Wednesday, February 09, 2005 5:41 PM
To: Adjriou Belak
Cc: qua...@li...; qua...@li...
Subject: Re: [Quantlib-users] what do I need to make run an xll ?


> In my laptop , the xll works fine because I have Visual C++, but in my 
> desk, I just have Excel and and when I open the xll, i Have a message 
> error. What  libraries do I need to make it run without Visual C++ ?

In the simplest case an xll has no external dependencies - you start Excel,
load the xll, and away you go.

If your xll stops working when you install it on a non-development machine,
I'd suspect one of two problems
1) you've compiled the xll in such a way as to create a run-time dependency.
For example, you linked the xll to some lib such that the xll depends on the
corresponding dll at runtime
2) There's some other difference between your dev box and the box you
installed to - for example different versions of Excel - xlls can be flaky
about different versions of Excel and not all of the differences are
documented, debugging is the only way.

Regards
Eric

Re: [Quantlib-dev] List of QuantLibXL Functions

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

Hi David

> One question which is not obvious to us is where
> there is a list of the QuantLibXL functions.  

I list them below.  The code to register them is in source file
QuantLibXL\qlxl\xlAutoOpen.cpp.  I generated the list below by loading
QuantLibXL into Excel and running some VBA code to interrogate
Application.RegisteredFunctions.

NB QuantLibXL may be superceded by QuantLibAddin.     My thought is to
redesign QuantLibAddin to support separate modules, and then have one
module which is a port of QuantLibXL.

> More importantly, we
> figured it is crucial to know which functions we want to implement to
> a GNUmericAddIn.  

Are you thinking of writing a QuantLib Gnumeric plugin??  Jody, the
maintainer of Gnumeric, and I are talking about extending
QuantLibAddin to support Gnumeric - she's looking at the details now
and we're waiting to hear back from her.

Regards
Eric

mean	RR
variance	RR
standardDeviation	RR
skewness	RR
kurtosis	RR
min	RR
max	RR
semiDeviation	RR
semiVariance	RR
downsideDeviation	RR
downsideVariance	RR
percentile	RRR
valueAtRisk	RRR
topPercentile	RRR
potentialUpside	RRR
expectedShortfall	RRR
shortfall	RRR
averageShortfall	RRR
regret	RRR
gaussianDownsideDeviation	RRR
gaussianDownsideVariance	RRR
gaussianPercentile	RRRR
gaussianValueAtRisk	RRRR
gaussianTopPercentile	RRRR
gaussianPotentialUpside	RRRR
gaussianExpectedShortfall	RRRR
gaussianShortfall	RRRR
gaussianAverageShortfall	RRRR
gaussianRegret	RRRR
xlholidayList	RRRRR
xlaccrualDays	RRRR
xlaccrualFactor	RRRRRR
xlEuropeanOption	RRRRRRRRRR
xlEuropeanOption_FD	RRRRRRRRRRR
xlEuropeanOption_MC	RRRRRRRRRRR
xlCliquetOption	RRRRRRRRRR
xlCliquetOption_MC	RRRRRRRRRRRRRRRRRRR
xlPerformanceOption	RRRRRRRRRR
xlPerformanceOption_MC	RRRRRRRRRRR
xlAmericanOption_FD	RRRRRRRRRRR
xlQuantoEuropeanOption	RRRRRRRRRRRRR
xlForwardEuropeanOption	RRRRRRRRRRR
xlPerformanceEuropeanOption	RRRRRRRRRRR
xlinterpolate	RRRRRRRRRRRR
xlinterpolate2D	RRRRRRRR
xlprimeNumbers	RR
xleigenVectors	RR
xleigenValues	RR
xlpseudoSQRT	RRR
xlrankReducedSQRT	RRRRR
xlCholesky	RRR
xlmatrixProduct	RRR
xlmatrixTranspose	RR
xlrand	R!
xlrandomize	RR
xlRandomNumberGenerator	RRRRR
xlGaussianRandomNumberGenerator	RRRRR
xlPathGenerator	RRRRRRRRRRR
xlBrownianBridge	RRRRRRRRRRR
xlCovFromCorr	RRR
xlCorrFromCov	RR
xlVolsFromCov	RR
xlCombin	RRR
xlBinomDist	RRRRR
xlPeizerPratt	RRR
xlPoisson	RRRR
xlnormInv	RRRR
xlnormSInv	RR
xlnormDist	RRRRR
xlnormSDist	RR
xlBlackVol	RRRRRRRR
xlLocalVol	RRRRRRRRRR
xlDiscount	RRRRR
xlZero	RRRRR
xlForward	RRRRRR
xlQLversion	R!
xlQLhexversion	R!
xlXLWversion	R!
xlXLWhexversion	R!
xlQLXLversion	R!
xlQLXLhexversion	R!

[Quantlib-dev] RE: [Quantlib-users] what do I need to make run an xll ?

[JOSHI, M. G. R. M. <Mar...@rb...>]

We've come across this problem with xlls built under visual C++ .net . There
are a couple of dlls that the xll requires and returns
a library not recognized error if you don't have them.=20
=20
the relevant ones may be mscvp70.dll
mscvi70.dll
msvcr70.dll
=20
regards
Mark
=20

-----Original Message-----
From: qua...@li...
[mailto:qua...@li...] On Behalf Of Adjriou
Belak
Sent: 09 February 2005 15:02
To: qua...@li...; qua...@li...
Subject: [Quantlib-users] what do I need to make run an xll ?


Hi,
=20
In my laptop , the xll works fine because I have Visual C++, but in my desk,
I just have Excel and=20
and when I open the xll, i Have a message error.
What  libraries do I need to make it run without Visual C++ ?
=20
regards
thanks for your help.



  _____ =20

D=E9couvrez le nouveau Yahoo! Mail : 250 Mo d'espace de stockage pour vos
mails !
Cr=E9ez
<http://fr.rd.yahoo.com/mail/taglines/*http://fr.rd.yahoo.com/evt=3D25917/*=
htt
p://fr.rd.yahoo.com/mail_fr/mail_campaigns/splash/taglines_250/default/*http
://fr.promotions.yahoo.com/mail/creer28.html> votre Yahoo! Mail



***************************************************************************=
********
The Royal Bank of Scotland plc. Registered in Scotland No 90312.  Registere=
d Office: 36 St Andrew Square, Edinburgh EH2 2YB.                          =
           =20
Authorised and regulated by the Financial Services Authority    =20
=20
This e-mail message is confidential and for use by the                     =
 addressee only. If the message is received by anyone other            =20
than the addressee, please return the message to the sender         =20
by replying to it and then delete the message from your                   =
 computer. Internet e-mails are not necessarily secure. The              =
 Royal Bank of Scotland plc does not accept responsibility for         =20
changes made to this message after it was sent.                            =
 =20
                                                                           =
                            =20
Whilst all reasonable care has been taken to avoid the                  =20
transmission of viruses, it is the responsibility of the recipient to      =
 =20
ensure that the onward transmission, opening or use of this            =20
message and any attachments will not adversely affect its              =20
systems or data.  No responsibility is accepted by The Royal          =20
Bank of Scotland plc in this regard and the recipient should carry  =20
out such virus and other checks as it considers appropriate.          =20
                                                                           =
                                    Visit our websites at:                 =
                                                        =20
http://www.rbs.co.uk/CBFM                                                  =
     =20
http://www.rbsmarkets.com                                                  =
      =20
                                                                           =
                            ***********************************************=
*********************************

[Quantlib-dev] List of QuantLibXL Functions

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

Hi Everyone-

   In the process of writing up a formal proposal for the class Peter
and I are enrolled in, we have started to understand the structure and
history of QuantLib.  One question which is not obvious to us is where
there is a list of the QuantLibXL functions.  More importantly, we
figured it is crucial to know which functions we want to implement to
a GNUmericAddIn.  Could someone please clarify this for us?
  My personal intution tells me that QuantLibXL is capable of using
every function built in to QuantLib, but I'm not completely certain on
this.  Thanks for all of your help!


Best Wishes,
David Brown

Re: [Quantlib-dev] FpML

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

Hi David

>> 4) QuantLibAddin will use QuantLib-FpML to instantiate a
>> QuantLib::TermSheet from a FpML file and then use it to instantiate a
>> QuantLib::Instrument

> So, QuantLib-FpML has not been written?  

Correct.

> I was under the impression
> that Excel and OpenOffice Spreadsheet already have a semi-stable
> QuantLibAddIn.  How are these currently working?  
> Would these need
> changing once QuantLib-FpML has been sorted out?  I'm assuming, yes,
> QuantLibAddIn will need modification to output FpML.  When everything
> is working, this FpML would be parsed and finally an instrument would
> be created; calculation ouput would be returned.

You seem to be thinking in terms of QuantLibAddin and QuantLib
exclusively speaking FpML to each other in some kind of client-server
or peer-to-peer relationship.  In the simplest case QuantLib is
statically linked into QuantLibAddin to create, say, a single xll
binary which is loaded into Excel.  QuantLibAddin invokes QuantLib's
native C++ interface and objects are constructed directly from native
datatypes (captured by spreadsheet formulas).

The existing framework will be extended to additionally support FpML. 
So in addition to being able to construct objects from literal inputs,
you will alternatively be able to type into the spreadsheet something
like

QL_OBJECT_LOAD("path/to/object_definition.xml")

As Nando says this uses QuantLib-FpML to construct the TermSheet
object from the file, and the TermSheet object is then passed as an
input to the constructor of the corresponding QuantLib class, which is
instantiated as an object on the spreadsheet.

> Peace,
> DB

Harmony,
Eric

[Quantlib-dev] Re: [Quantlib-users] what do I need to make run an xll ?

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

> In my laptop , the xll works fine because I have Visual C++, but in my desk,
> I just have Excel and 
> and when I open the xll, i Have a message error. 
> What  libraries do I need to make it run without Visual C++ ? 

In the simplest case an xll has no external dependencies - you start
Excel, load the xll, and away you go.

If your xll stops working when you install it on a non-development
machine, I'd suspect one of two problems
1) you've compiled the xll in such a way as to create a run-time
dependency.  For example, you linked the xll to some lib such that the
xll depends on the corresponding dll at runtime
2) There's some other difference between your dev box and the box you
installed to - for example different versions of Excel - xlls can be
flaky about different versions of Excel and not all of the differences
are documented, debugging is the only way.

Regards
Eric

Re: [Quantlib-dev] FpML

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

Hi Everyone-   Just wanted to respond to Nando's fantastic points he
wrote earlier:

>>2) we create a new library QuantLib-FpML which allow the parsing of a FpML
file and instantiate  QuantLib::TermSheet objects

   How will we write back and resubstantiate in to FpML after QuantLib
has calculated what it needs to do?  In other words, will the parser
be bi-directional in the event that we want to output FpML after
calculation?

>>4) QuantLibAddin will use QuantLib-FpML to instantiate a
QuantLib::TermSheet from a FpML file and then use it to instantiate a
QuantLib::Instrument

So, QuantLib-FpML has not been written?  I was under the impression
that Excel and OpenOffice Spreadsheet already have a semi-stable
QuantLibAddIn.  How are these currently working?  Would these need
changing once QuantLib-FpML has been sorted out?  I'm assuming, yes,
QuantLibAddIn will need modification to output FpML.  When everything
is working, this FpML would be parsed and finally an instrument would
be created; calculation ouput would be returned.




Peace,
DB

Fwd: [Quantlib-dev] FpML

[Fabrice C. <fab...@gm...>]

Ooops, I didn't sent the message to the QuantLib-dev list

Hello,

Just a question about data export from QuantLib objects to FpML, which
class or library would contain the method allowing one to transform a
QuantLib object (Instrument or Termsheet) to a FpML file ?

Would it be an intermediate step, creating a Termsheet from an
Instrument (for example) and then an export method implemented within
the Termsheet class ?

Regards,

Fabrice

[Quantlib-dev] Re: [Quantlib-users] what do I need to make run an xll ?

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

Hi Adjriou


>In my laptop , the xll works fine because I have Visual C++, but in my 
>desk, I just have Excel and
>and when I open the xll, i Have a message error.

which error message. what is you xll? is it QuantLibXL?

>What  libraries do I need to make it run without Visual C++ ?
the error message might be telling you that.

ciao -- nando

Re: [Quantlib-dev] FpML

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

Hi all

Luigi and I exchanged few ideas yesterday, which I'll try to summarize 
here. I apologize in advance if my poor XML knowledge shows up :)

FpML describes a financial instrument, it is the electronic equivalent of a 
term sheet.

1) We might introduce QuantLib::TermSheet classes for the financial 
products we want to support. These classes (class hierarchy?) should be as 
near as possible to the FpML specifications, in the limit they could be 
automatically generated from the FpML Schema (xml-spy should be able to 
generate C++ code from a schema definition)
2) we create a new library QuantLib-FpML which allow the parsing of a FpML 
file and instantiate  QuantLib::TermSheet objects
3) gradually all QuantLib::Instrument classes will accept a TermSheet 
object as constructor parameter
4) QuantLibAddin will use QuantLib-FpML to instantiate a 
QuantLib::TermSheet from a FpML file and then use it to instantiate a 
QuantLib::Instrument

point 2 above could be the stand-alone project QuantLib-FpML, which is 
based only on the FpML specifications, mirrored with the TermSheet classes 
in QuantLib.

Another different project would be how to serialize/deserialize the 
QuantLibAddin objects which are not just termsheets. We will need to define 
XML serialization for stochastic process, pricing engines, etc.

Does this sound reasonable?


eric ehlers wrote:
>I'm lately thinking FpML *instead of* any more general XML?

FpML should be the standard for the term sheet details. All the rest should 
be our own XML specifications.

>where an FpML instrument definition calls for an
>attribute which is lacking from the corresponding QuantLib class, the
>QuantLib class is extended to support that attribute.
The QuantLib::TermSheet class will be extended, not the Instrument class. 
The Instrument class will accept a QuantLib::TermSheet object as 
constructor parameter.


>   I'm not sure we
>want the core QuantLib library to have any actual knowledge of FpML.
No, we don't

>It appears that
>many of the instruments in QuantLib are not yet represented in FpML,
I don't think so. FpML specifications are quite large and detailed, I would 
be surprised if Quantlib handles a financial instrument for which there 
isn't a FpML spec.


Luigi, please step in if I've misrepresented our conclusions.

ciao -- Nando 

Re: [Quantlib-dev] FpML

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

Hi David

[cc to quantlib-dev]

On Wed, 9 Feb 2005 10:34:06 -0500, David Brown <doc...@gm...> wrote:
> Eric-
> 
>    Everything here sounds great.  My questions regard the relative
> scopes of our programming intent.  Please assist me if my questions
> are, unbeknownst to me, very naive in nature.  In any event, we all
> agree that it would be good to:
> 
> 1)  Develop QuantLibAddIn to handle multiple applications:  Excel,
> OpenOffice, GnomeOffice, StatPro, Matlab, Maple, etc.

Yes.  The existing QuantLibAddin prototype already supports Excel and
OpenOffice Calc, but the idea is to support any platform for which
there is demand.

> 2)  Develop QuantLibAddIn to handle XML (and FpML).

Yes.  I'm lately thinking FpML *instead of* any more general XML?  The
main change would be to the QuantLibAddin classes descended from
Object to wrap QuantLib classes (the source files in
QuantLibAddin\qla\objects) - these classes would be extended to
support Serialize/Deserialize.  In addition the ObjectHandler would be
extended to support Load/Unload functions which could be called from
spreadsheets or other QuantLibAddin clients.

> 3)  Develop QuantLib to handle XML (and FpML).
>               2 and 3 will require redesiging parts of QuantLib to
>                  a)  handle XML type conventions
>                                OR
>                  b)  redesign the structure of QuantLib objects to be XML
>                        compliant and possibly over-featured versions of XML
>                        objects  (FpML)

I was assuming b) - where an FpML instrument definition calls for an
attribute which is lacking from the corresponding QuantLib class, the
QuantLib class is extended to support that attribute.  I'm not sure we
want the core QuantLib library to have any actual knowledge of FpML. 
Luigi and Nando are the people to comment on proposed enhancements to
QuantLib.

> 4)  Possibly consider becoming involved in FpML architect'ing, in
> order to assist in the future implementation of new XML/FpML features
> that are already in QuantLib.

That hadn't occurred to me but it's a great idea.  It appears that
many of the instruments in QuantLib are not yet represented in FpML,
so we need to cater for that somehow - wait until FpML catches up, or
make the appropriate extensions to FpML and try to get them included
in the standard?

>   This all becomes confusing when we consider where to add XML
> functionality.  It seems that the logical way to do this would be to
> add the functionals as in #3, straight to the core program or API.  I
> may not fully understand how QuantLibAddIn communicates with QuantLib,
> but it seems that it would be easy and natural for QuantLibAddIn to
> pass questions or queries to QuantLib sitting as a dll/vbx/ocx etc or
> sitting somewhere on a server, depending on the configuration.

My assumption so far is that the framework for FpML support appears in
ObjectHandler, with each QuantLibAddin Object-derived class
implementing the details appropriate for the corresponding QuantLib
class.  But this is very much open to discussion.

> Best Wishes,
> David Brown

David, many thanks for getting in touch, looking forward to getting this moving.

Best Regards,
Eric

Re: [Quantlib-dev] FpML

[Fabrice C. <fab...@gm...>]

Well, I think we do not have the choice.

First we must implement FpML within QL as far as possible, as there
are existing and compatible definitions of the same classes in QL &
FpML, this would imply maybe, as said, QL expansions.

Then, we would have no other choice than following FpML future growth
and make the FpML module available in QL as close as possible from
FpML new specs.


Regards,

Fabrice

> Sounds good.  I'm no FpML expert but I think the main questions are -
> - does QuantLib support FpML?  There may be cases where QuantLib
> classes lack the attributes that FpML expects, in which case we could
> make an argument for extending QuantLib.
> - does FpML support QuantLib?  It looks like there are products in
> QuantLib which don't yet have an FpML representation.

Re: [Quantlib-dev] FpML

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

> Well, I think we first should concentrate our efforts on FpML
> integration in ObjectHandler / QuantLibAddin, and particularly FpML
> Serialization / Deserialization.

Sounds good.  I'm no FpML expert but I think the main questions are -
- does QuantLib support FpML?  There may be cases where QuantLib
classes lack the attributes that FpML expects, in which case we could
make an argument for extending QuantLib.
- does FpML support QuantLib?  It looks like there are products in
QuantLib which don't yet have an FpML representation.

> There are some examples using different XSD files aivailable for
> download. I will study a bit theses docs during the next days.

Great.  I think the subsequent steps would be for us to agree here the
general scope of your contribution, and for you to follow up with a
design document describing your proposal.

> I have created a mailing list for QL-FpML developement, but we could
> maybe only use the QuantLib-Dev mailing list.

I personally prefer the latter.

> To finish, just a question for my personal curiosity, is there any
> project of a web service interface for QuantLib ?

I don't think so.  There are a several examples of web-based pricers
powered by QuantLib - some linked to from the main QuantLib website,
others independent.  It would be great to see a full-fledged web
service, for example a server accepting requests from spreadsheets or
other clients, we could talk about that longer term.

Regards
Eric

Re: [Quantlib-dev] FpML

[Fabrice C. <fab...@gm...>]

Hello,

Well, I think we first should concentrate our efforts on FpML
integration in ObjectHandler / QuantLibAddin, and particularly FpML
Serialization / Deserialization.

FpML Architecture 2.0 specs & FpML 4.0 recommandations can be found at
www.fpml.org.

There are some examples using different XSD files aivailable for
download. I will study a bit theses docs during the next days.

I have created a mailing list for QL-FpML developement, but we could
maybe only use the QuantLib-Dev mailing list.

To finish, just a question for my personal curiosity, is there any
project of a web service interface for QuantLib ?

Regards

Fabrice

Re: [Quantlib-dev] FpML

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

Hi Fabrice

Many thanks for your message.  You've seen my response to David,
perhaps you could look through that and see if any of it interests
you?  As to whether you and David collaborate, I'll leave that to the
two of you, but there's plenty of work to do on QuantLibAddin -
XML-related and otherwise - so if any of the outstanding tasks looks
interesting please just email quantlib-dev to get the ball rolling.

Regards
Eric

Re: [Quantlib-dev] FpML

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

Hi David

Many thanks for your message.  There is a requirement to XML-enable
the QuantLibAddin component that I'm working on - so perhaps you and
your fellow service providers would consider taking on QuantLibAddin
as your client?  (I don't believe in the myth of the man-month either
by the way :) ).

QuantLibAddin is a high level API for QuantLib, allowing QuantLib to
be loaded into end-user tools such as spreadsheets.  QuantLibAddin
depends on a separate ObjectHandler component for maintaining a
repository of objects (representing QuantLib classes).

Below are links to the design documents for QuantLibAddin and ObjectHandler:
http://www.quantlib.org/quep/quep011.html
http://www.quantlib.org/quep/quep012.html

The notes at the end of QuEP11 give a brief summary of the XML
requirement.  (I talk about XML but FpML might be more appropriate).

Maybe you could look that over and get back to me (here via
quantlib-dev) if it sounds interesting.  The first release of
QuantLibAddin is a couple of weeks away but the latest CVS snapshot is
working and you might want to download that to see QuantLibAddin in
action in Excel.

QuantLibAddin is just a small addon to the core QuantLib library where
all the analytics are implemented.  If you prefer instead to work
directly on QuantLib, Luigi and Nando could give you better direction
there.

Regards
Eric

[Quantlib-dev] QuantLibAddin project plan

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

For general info I attach a project plan for QuantLibAddin.  I'm not
sure whether this mailing list allows attachments so I've also
uploaded the file to

http://www.quantlib.org/QLAplan.xls

The plan refers to more detailed notes which I have today added to the
Notes sections of QuEPs 11 and 12.

Please send any feedback to quantlib-dev.

Many Thanks,
Eric

[Quantlib-dev] Re: QuantLibAddin Gnumeric support

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

> I haven't been following the conversation, but our development tree
> has just reopened and it would be a good time to work on this.
> Where are the specs ?

At the links below are the design documents for QuantLibAddin and the
ObjectHandler component it depends on -

http://www.quantlib.org/quep/quep011.html
http://www.quantlib.org/quep/quep012.html 

I suggest you download the latest snapshot of the code from CVS and
have a look at that.  There's an addin for C, and some example
standalone executable clients in C, my assumption is that you can use
these as a basis for the Gnumeric addin.

Some of the source code is autogenerated by a script which is
supplemented by function metadata in XML files.  I gather that
Gnumeric's UI is much richer than Excel's so the metadata will have to
be extended for your purposes.

Regards
Eric

[Quantlib-dev] Re: QuantLibAddin Gnumeric support

[Jody G. <jo...@gn...>]

On Tue, Feb 08, 2005 at 12:27:55PM +0000, eric ehlers wrote:
> On Tue, 08 Feb 2005 12:19:52 +0100, Ferdinando Ametrano
> <na...@qu...> wrote:
> > Hi Eric,
> > 
> > what about Gnumeric support in QuantLibAddin? Will you personally take care
> > of it, or should we look for some Gnumeric developer to join us?
> 
> My approach so far has been -
> 1) to get Jody's feedback on the design, to ensure that what we do can
> be extended to support Gnumeric
> 2) to provide an Addin for C on the assumption that a Gnumeric expert
> could further wrap that for Gnumeric.
> 
> > I seem to remember that you've already got in touch with Jody Goldberg,
> > isn't it?
> 
> We haven't spoken recently - Jody, what are your thoughts?

I haven't been following the conversation, but our development tree
has just reopened and it would be a good time to work on this.
Where are the specs ?

[Quantlib-dev] Re: QuantLibAddin Gnumeric support

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

On Tue, 08 Feb 2005 12:19:52 +0100, Ferdinando Ametrano
<na...@qu...> wrote:
> Hi Eric,
> 
> what about Gnumeric support in QuantLibAddin? Will you personally take care
> of it, or should we look for some Gnumeric developer to join us?

My approach so far has been -
1) to get Jody's feedback on the design, to ensure that what we do can
be extended to support Gnumeric
2) to provide an Addin for C on the assumption that a Gnumeric expert
could further wrap that for Gnumeric.

> I seem to remember that you've already got in touch with Jody Goldberg,
> isn't it?

We haven't spoken recently - Jody, what are your thoughts?

Regards,
Eric

[Quantlib-dev] QuantLibAddin Gnumeric support

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

Hi Eric,

what about Gnumeric support in QuantLibAddin? Will you personally take care 
of it, or should we look for some Gnumeric developer to join us?

I seem to remember that you've already got in touch with Jody Goldberg, 
isn't it?

ciao -- Nando

[Quantlib-dev] [ quantlib-Bugs-1116937 ] M_PI is redefined blindly for MSVC

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

Bugs item #1116937, was opened at 2005-02-05 19:09
Message generated for change (Comment added) made by nando
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1116937&group_id=12740

Category: None
Group: None
>Status: Closed
Resolution: None
Priority: 5
Submitted By: Philip Craig (philipcraig)
Assigned to: Nobody/Anonymous (nobody)
Summary: M_PI is redefined blindly for MSVC

Initial Comment:
In config.msvc.hpp, M_PI is #defined.

This is all well and good, except if another library is
used that also included. In that case, they fight.
RogueWave is such a library.

The code #define ing M_PI should read like:

#  ifndef M_PI
#    define M_PI 3.141592653589793238462643383280
#  endif

This way, it will compile without warnings even if M_PI
has been defined already.

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

>Comment By: Ferdinando Ametrano (nando)
Date: 2005-02-07 15:21

Message:
Logged In: YES 
user_id=34616

Fixed in CVS. Thank you

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1116937&group_id=12740