quantlib-dev — Discussion of QuantLib development

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Re: [Quantlib-dev] 5Year CDS Pricing "T_CreditdefaultSwap.cs"

[Francois B. <ig...@gm...>]

Zabed,

I help out with the QLNet development a bit. I mainly try to keep QLNet in
line with QuantLib. If you can reproduce your problem in QuantLib with C++
and get assistance here, then I will help you fix it in QLNet.

regards
Francois

Francois Botha

On 5 April 2016 at 15:45, Luigi Ballabio <lui...@gm...> wrote:

> Hello,
>     I'm not sure which features are available in QL.Net.  You can try
> contacting the developers on the Google+ page at <
> https://plus.google.com/100924855000638032994>, which seems active, or on
> GitHub at <https://github.com/amaggiulli/qlnet>.
>
> Luigi
>
>
> On Wed, Mar 30, 2016 at 11:19 AM Zabed <zah...@ho...> wrote:
>
>> Dear Users,
>>
>> I am trying to use the QLNet version(C#) to price a CDS Contract (please
>> see
>> below for the Deal Information) and I tried the examples
>> “T_CreditdefaultSwap.cs” but could not match Bloomberg results for my CDS
>> Pricing example.
>>
>> Can you please help me use the QLNet version(C#) to get similar results
>> as I
>> did on Bloomberg?
>> If you need further info or clarification, please get in touch. Your help
>> and guidance are greatly appreciated.
>> Kindest Regards
>> Z
>>
>> Example:
>> Inputs:
>> Credit Criteria: Buy 5Y CDS Contract
>> Notional: €10,000,000
>> CDS Coupon: 100 bps
>> Recovery Rate: 40%
>> Maturity: 20/12/2020
>> Pricing date: 31/12/2015
>> Day count Act/360
>> Freq: Quarterly
>> Swap rate: (used Flat 5Y rate): 0.331%
>> Actual Market CDS Curve:
>> 6month          25.450
>> 1yr             33.931
>> 2yr             53.060
>> 3yr             71.082
>> 4yr             97.430
>> 5yr             124.546
>> 7yr             166.480
>> 10yr            186.566
>>
>> Results
>>
>> Price:                  98.828
>> Principal:              117,124
>> Accrued (11days)        -3,0.56
>> Cash Amount (MtM)       114,068
>> SDV01 (CS01)            4,721.51
>> 5Yr_CDS_Pricing_Example.jpg
>> <
>> http://quantlib.10058.n7.nabble.com/file/n17368/5Yr_CDS_Pricing_Example.jpg
>> >
>>
>>
>>
>> --
>> View this message in context:
>> http://quantlib.10058.n7.nabble.com/5Year-CDS-Pricing-T-CreditdefaultSwap-cs-tp17368.html
>> Sent from the quantlib-dev mailing list archive at Nabble.com.
>>
>>
>> ------------------------------------------------------------------------------
>> Transform Data into Opportunity.
>> Accelerate data analysis in your applications with
>> Intel Data Analytics Acceleration Library.
>> Click to learn more.
>> http://pubads.g.doubleclick.net/gampad/clk?id=278785471&iu=/4140
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
>
>
> ------------------------------------------------------------------------------
>
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>

Re: [Quantlib-dev] 5Year CDS Pricing "T_CreditdefaultSwap.cs"

[Zabed <zah...@ho...>]

Hello,
Thanks for attaching the links, I will try them out as you suggested.

Kind regards
Z



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Re: [Quantlib-dev] 5Year CDS Pricing "T_CreditdefaultSwap.cs"

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

Hello,
    I'm not sure which features are available in QL.Net.  You can try
contacting the developers on the Google+ page at <
https://plus.google.com/100924855000638032994>, which seems active, or on
GitHub at <https://github.com/amaggiulli/qlnet>.

Luigi


On Wed, Mar 30, 2016 at 11:19 AM Zabed <zah...@ho...> wrote:

> Dear Users,
>
> I am trying to use the QLNet version(C#) to price a CDS Contract (please
> see
> below for the Deal Information) and I tried the examples
> “T_CreditdefaultSwap.cs” but could not match Bloomberg results for my CDS
> Pricing example.
>
> Can you please help me use the QLNet version(C#) to get similar results as
> I
> did on Bloomberg?
> If you need further info or clarification, please get in touch. Your help
> and guidance are greatly appreciated.
> Kindest Regards
> Z
>
> Example:
> Inputs:
> Credit Criteria: Buy 5Y CDS Contract
> Notional: €10,000,000
> CDS Coupon: 100 bps
> Recovery Rate: 40%
> Maturity: 20/12/2020
> Pricing date: 31/12/2015
> Day count Act/360
> Freq: Quarterly
> Swap rate: (used Flat 5Y rate): 0.331%
> Actual Market CDS Curve:
> 6month          25.450
> 1yr             33.931
> 2yr             53.060
> 3yr             71.082
> 4yr             97.430
> 5yr             124.546
> 7yr             166.480
> 10yr            186.566
>
> Results
>
> Price:                  98.828
> Principal:              117,124
> Accrued (11days)        -3,0.56
> Cash Amount (MtM)       114,068
> SDV01 (CS01)            4,721.51
> 5Yr_CDS_Pricing_Example.jpg
> <
> http://quantlib.10058.n7.nabble.com/file/n17368/5Yr_CDS_Pricing_Example.jpg
> >
>
>
>
> --
> View this message in context:
> http://quantlib.10058.n7.nabble.com/5Year-CDS-Pricing-T-CreditdefaultSwap-cs-tp17368.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
>
> ------------------------------------------------------------------------------
> Transform Data into Opportunity.
> Accelerate data analysis in your applications with
> Intel Data Analytics Acceleration Library.
> Click to learn more.
> http://pubads.g.doubleclick.net/gampad/clk?id=278785471&iu=/4140
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Re: [Quantlib-dev] Wondering about the purpose to announce ObservableSettings following Singleton

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

Right, coding it as a singleton makes it a global setting.  If you wanted
two groups, you'd have to change the patters (and also to find a way to
assign each observable to one of the two groups).

Luigi


On Sat, Mar 26, 2016 at 12:19 PM Schmidt <sar...@es...>
wrote:

> Hi all developers of Quantlib
> My name is Schmidt, and I'm working for an Asia local bank. I just stepped
> into studying Quantlib for weeks. and now having a question about Class
> ObservableSettings. I'm wondering the purpose to announce it following
> Singleton pattern. Is it because that we'll only have market-data type
> variables to be observable, then all these market-data must apply the same
> Enable & Deferred updates settings. Cos now I'm thinking about if I have
> two
> types of variable observable, and I want them to be under different
> ObservableSettings, it seems can't be applicable with ObeservableSettings'
> Singleton pattern right?
>
>
>
>
> --
> View this message in context:
> http://quantlib.10058.n7.nabble.com/Wondering-about-the-purpose-to-announce-ObservableSettings-following-Singleton-tp17359.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
>
> ------------------------------------------------------------------------------
> Transform Data into Opportunity.
> Accelerate data analysis in your applications with
> Intel Data Analytics Acceleration Library.
> Click to learn more.
> http://pubads.g.doubleclick.net/gampad/clk?id=278785351&iu=/4140
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

[Quantlib-dev] 5Year CDS Pricing “T_CreditdefaultSwap.cs”

[Zabed <zah...@ho...>]

Dear Users,

I am trying to use the QLNet version(C#) to price a CDS Contract (please see
below for the Deal Information) and I tried the examples
“T_CreditdefaultSwap.cs” but could not match Bloomberg results for my CDS
Pricing example.

Can you please help me use the QLNet version(C#) to get similar results as I
did on Bloomberg? 
If you need further info or clarification, please get in touch. Your help
and guidance are greatly appreciated.
Kindest Regards
Z

Example:
Inputs:
Credit Criteria: Buy 5Y CDS Contract
Notional: €10,000,000
CDS Coupon: 100 bps
Recovery Rate: 40%
Maturity: 20/12/2020
Pricing date: 31/12/2015
Day count Act/360
Freq: Quarterly
Swap rate: (used Flat 5Y rate): 0.331%
Actual Market CDS Curve:
6month		25.450
1yr		33.931
2yr		53.060
3yr		71.082
4yr		97.430
5yr		124.546
7yr		166.480
10yr		186.566

Results 

Price:			98.828
Principal:		117,124
Accrued (11days)	-3,0.56
Cash Amount (MtM)	114,068 
SDV01 (CS01)		4,721.51
5Yr_CDS_Pricing_Example.jpg
<http://quantlib.10058.n7.nabble.com/file/n17368/5Yr_CDS_Pricing_Example.jpg>  



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[Quantlib-dev] Wondering about the purpose to announce ObservableSettings following Singleton

[Schmidt <sar...@es...>]

Hi all developers of Quantlib
My name is Schmidt, and I'm working for an Asia local bank. I just stepped
into studying Quantlib for weeks. and now having a question about Class
ObservableSettings. I'm wondering the purpose to announce it following
Singleton pattern. Is it because that we'll only have market-data type
variables to be observable, then all these market-data must apply the same
Enable & Deferred updates settings. Cos now I'm thinking about if I have two
types of variable observable, and I want them to be under different
ObservableSettings, it seems can't be applicable with ObeservableSettings'
Singleton pattern right?




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Re: [Quantlib-dev] Multicurve discounting

[DirkJonkman <d.m...@st...>]

Hi Nando,

Where can if find some documentation on how to do this? Currently looking
into the curve construction approaches that were presented in "Everything
you always wanted to know about multiple interest rate curve bootstrapping
but were afraid to ask". Currently working with QuantLib in Python.

Thanks in advance.

Kind regards,

Dirk Jonkman



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Re: [Quantlib-dev] Quantlib port for pricing on GPU

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

I don't know what it provides, but did you try looking at Mark Joshi's
kooderive? (Not QuantLib-based, as far as I know.)

Luigi


On Sun, Mar 13, 2016 at 5:55 AM om.anand77 <om....@ou...> wrote:

> I came across a few old post mentioning quantlib port to run on CUDA.
>
> I am mainly interested in pricing of Equity Options.
>
> There seem to be a couple of open source projects utilizing quantlib that
> are cuda enabled. However they use basic pricing models. Dividend for most
> part is not supported and neither are american options.
>
> It would be helpful to get your answers in this regard.
>
>
>
>
> --
> View this message in context:
> http://quantlib.10058.n7.nabble.com/Quantlib-port-for-pricing-on-GPU-tp17344.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
>
> ------------------------------------------------------------------------------
> Transform Data into Opportunity.
> Accelerate data analysis in your applications with
> Intel Data Analytics Acceleration Library.
> Click to learn more.
> http://pubads.g.doubleclick.net/gampad/clk?id=278785111&iu=/4140
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Re: [Quantlib-dev] 答复: Binomial American Options with Discrete Dividends & Greeks

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

Hello,
    I don't think QL.NET provides intraday pricing (given that QuantLib
itself only did in the latest release, and as an optional feature) so
setting the time back one hour won't work.  One thing you can try: if you
have the price, delta and gamma (that is, P, dP/du and d^2P/du^2) you might
plug them in the Black-Scholes equation and get dP/dt (i.e., the theta).

Luigi


On Fri, Mar 11, 2016 at 12:12 PM jamesquant <jam...@ho...> wrote:

> Hi Luigi,
>
> Your solution worked well of bumping the data to calculate the greeks apart
> from theta, the issue is I was +1 day however when expiry was tomorrow then
> it would hit the expiry date and crash.
>
>  // perturb date and get theta
>
> Settings.setEvaluationDate(pToday.InnerDateTime.AddHours(1));
>                 value_p = option.NPV();
>                 Settings.setEvaluationDate(pToday);
>
>                 res[3, 0] = pHeaders ? "Theta" : res[3, 0] = value_p -
> option.NPV();
>                 if (pHeaders) res[3, 1] = value_p - option.NPV();
>
> I then tried to plus +1 hour but this wasnt successful, because even with 1
> hour before expiry then same issue would happen,
>
> Is the answer to Theta to use a closed formula instead of bumping the data?
> or is there a better way to manage the datetime issue in QLNET?
>
> Best Regards,
> James
>
>
>
>
>
> --
> View this message in context:
> http://quantlib.10058.n7.nabble.com/Binomial-American-Options-with-Discrete-Dividends-Greeks-tp17012p17343.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
>
> ------------------------------------------------------------------------------
> Transform Data into Opportunity.
> Accelerate data analysis in your applications with
> Intel Data Analytics Acceleration Library.
> Click to learn more.
> http://pubads.g.doubleclick.net/gampad/clk?id=278785111&iu=/4140
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

[Quantlib-dev] Quantlib port for pricing on GPU

[om.anand77 <om....@ou...>]

I came across a few old post mentioning quantlib port to run on CUDA.

I am mainly interested in pricing of Equity Options.

There seem to be a couple of open source projects utilizing quantlib that
are cuda enabled. However they use basic pricing models. Dividend for most
part is not supported and neither are american options.

It would be helpful to get your answers in this regard.




--
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Re: [Quantlib-dev] 答复: Binomial American Options with Discrete Dividends & Greeks

[jamesquant <jam...@ho...>]

Hi Luigi, 

Your solution worked well of bumping the data to calculate the greeks apart
from theta, the issue is I was +1 day however when expiry was tomorrow then
it would hit the expiry date and crash.

 // perturb date and get theta
               
Settings.setEvaluationDate(pToday.InnerDateTime.AddHours(1));
                value_p = option.NPV();
                Settings.setEvaluationDate(pToday);

                res[3, 0] = pHeaders ? "Theta" : res[3, 0] = value_p -
option.NPV();
                if (pHeaders) res[3, 1] = value_p - option.NPV();

I then tried to plus +1 hour but this wasnt successful, because even with 1
hour before expiry then same issue would happen,

Is the answer to Theta to use a closed formula instead of bumping the data?
or is there a better way to manage the datetime issue in QLNET?

Best Regards,
James





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Re: [Quantlib-dev] Maintaining gensrc-based QuantLibXL with updated QuantLib library

[<seb...@sc...>]

 

Hi Eric, 

thanks for looking into this. You say you might have to look into this
for the next release. Could you keep me posted on how you manage it? 

Thanks and regards 

Sebastian 

Am 2016-02-28 23:37, schrieb Eric Ehlers: 

> Hello,
> 
>> It seems a bit tedious to create individual repositories for each folder. I was thinking to keep quantlib-old and include QuantLib as a submodule. Are there any experiences with that?
> 
> My guess is that this would be your best bet but I'm not exactly sure
> how to make it work against the latest snapshot of QuantLib.
> 
> gensrc/ObjectHandler/QuantLibAddin/QuantLibXL rely on relative paths to
> find the QuantLib directory. The quantlib-old repo contains an obsolete
> snapshot of QuantLib. So you would have to do something such as one of
> the following?:
> 
> 1) Pull from the new QuantLib repo into the quantlib-old/QuantLib
> repo. Not sure if this is possible.
> 
> 2) Replace the quantlib-old/QuantLib directory with the new QuantLib
> repo (as a subdirectory?).
> 
> 3) Modify gensrc/ObjectHandler/QuantLibAddin/QuantLibXL to look for
> QuantLib in a different directory (e.g. ../../QuantLib instead
> of ../QuantLib).
> 
> I haven't thought about it yet, I guess I will have to solve this
> problem for the next release if we package the old build.
> 
> Regards,
> Eric
> 
> On Mon, 22 Feb 2016 07:33:16 +0100
> seb...@sc... wrote:
> 
>> Hi, I am struggling a bit with the reorganization of QuantLib and QuantLibXL projects. I would like to follow updates in the official QuantLib repo. Also, I have several ql developments which are exported to Excel via gensrc which I want to keep. Currently, I forked Luigi's quantlib-old repo and merged my stuff (available at https://github.com/sschlenkrich/quantlib-old.git [1]). I understand that I need to split up my repo into individual repos and then fork the new QuantLib repo. But what is the best practice for the remaining folders required to export QuantLib to Excel (via gensrc)? It seems a bit tedious to create individual repositories for each folder. I was thinking to keep quantlib-old and include QuantLib as a submodule. Are there any experiences with that? Alternatively, are there some official repos for the other folders (QuantLibAddin, QuantLibXL, etc.) which I can fork? I understand that for example Eric's QuantLibAddin repository is already based on reposit. So I
can't use this unless I port everything to reposit. Any advice and suggestions are appreciated. Thanks Sebastian ------------------------------------------------------------------------------ Site24x7 APM Insight: Get Deep Visibility into Application Performance APM + Mobile APM + RUM: Monitor 3 App instances at just $35/Month Monitor end-to-end web transactions and take corrective actions now Troubleshoot faster and improve end-user experience. Signup Now! http://pubads.g.doubleclick.net/gampad/clk?id=272487151&iu=/4140 [2] _______________________________________________ QuantLib-dev mailing list Qua...@li... https://lists.sourceforge.net/lists/listinfo/quantlib-dev [3]
 

Links:
------
[1] https://github.com/sschlenkrich/quantlib-old.git
[2] http://pubads.g.doubleclick.net/gampad/clk?id=272487151&iu=/4140
[3] https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] Maintaining gensrc-based QuantLibXL with updated QuantLib library

[Eric E. <eri...@re...>]

Hello,

> It seems a bit tedious to create individual repositories for each 
> folder. I was thinking to keep quantlib-old and include QuantLib as a 
> submodule. Are there any experiences with that?

My guess is that this would be your best bet but I'm not exactly sure
how to make it work against the latest snapshot of QuantLib.

gensrc/ObjectHandler/QuantLibAddin/QuantLibXL rely on relative paths to
find the QuantLib directory.  The quantlib-old repo contains an obsolete
snapshot of QuantLib.  So you would have to do something such as one of
the following?:

1) Pull from the new QuantLib repo into the quantlib-old/QuantLib
repo.  Not sure if this is possible.

2) Replace the quantlib-old/QuantLib directory with the new QuantLib
repo (as a subdirectory?).

3) Modify gensrc/ObjectHandler/QuantLibAddin/QuantLibXL to look for
QuantLib in a different directory (e.g. ../../QuantLib instead
of ../QuantLib).

I haven't thought about it yet, I guess I will have to solve this
problem for the next release if we package the old build.

Regards,
Eric

On Mon, 22 Feb 2016 07:33:16 +0100
seb...@sc... wrote:

> Hi,
> 
> I am struggling a bit with the reorganization of QuantLib and
> QuantLibXL projects.
> 
> I would like to follow updates in the official QuantLib repo. Also, I 
> have several ql developments which are exported to Excel via gensrc 
> which I want to keep. Currently, I forked Luigi's quantlib-old repo
> and merged my stuff (available at 
> https://github.com/sschlenkrich/quantlib-old.git).
> 
> I understand that I need to split up my repo into individual repos
> and then fork the new QuantLib repo. But what is the best practice
> for the remaining folders required to export QuantLib to Excel (via
> gensrc)?
> 
> It seems a bit tedious to create individual repositories for each 
> folder. I was thinking to keep quantlib-old and include QuantLib as a 
> submodule. Are there any experiences with that?
> 
> Alternatively, are there some official repos for the other folders 
> (QuantLibAddin, QuantLibXL, etc.) which I can fork? I understand that 
> for example Eric’s QuantLibAddin repository is already based on
> reposit. So I can’t use this unless I port everything to reposit.
> 
> Any advice and suggestions are appreciated.
> 
> Thanks
> 
> Sebastian
> 
> 
> ------------------------------------------------------------------------------
> Site24x7 APM Insight: Get Deep Visibility into Application Performance
> APM + Mobile APM + RUM: Monitor 3 App instances at just $35/Month
> Monitor end-to-end web transactions and take corrective actions now
> Troubleshoot faster and improve end-user experience. Signup Now!
> http://pubads.g.doubleclick.net/gampad/clk?id=272487151&iu=/4140
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Quantlib-dev] Maintaining gensrc-based QuantLibXL with updated QuantLib library

[<seb...@sc...>]

Hi,

I am struggling a bit with the reorganization of QuantLib and QuantLibXL 
projects.

I would like to follow updates in the official QuantLib repo. Also, I 
have several ql developments which are exported to Excel via gensrc 
which I want to keep. Currently, I forked Luigi's quantlib-old repo and 
merged my stuff (available at 
https://github.com/sschlenkrich/quantlib-old.git).

I understand that I need to split up my repo into individual repos and 
then fork the new QuantLib repo. But what is the best practice for the 
remaining folders required to export QuantLib to Excel (via gensrc)?

It seems a bit tedious to create individual repositories for each 
folder. I was thinking to keep quantlib-old and include QuantLib as a 
submodule. Are there any experiences with that?

Alternatively, are there some official repos for the other folders 
(QuantLibAddin, QuantLibXL, etc.) which I can fork? I understand that 
for example Eric’s QuantLibAddin repository is already based on reposit. 
So I can’t use this unless I port everything to reposit.

Any advice and suggestions are appreciated.

Thanks

Sebastian

Re: [Quantlib-dev] Interpolated ZeroInflationIndexes

[Francois B. <ig...@gm...>]

Long overdue, but here is the PR for this issue.

https://github.com/lballabio/QuantLib/pull/50

I had to add a new parameter to the ZeroInflationIndex class
(forecastWhenPossible). If you prefer a different parameter name, let me
know. I admit the current one feels a bit clumsy.

regards,

Francois Botha

On 20 November 2014 at 17:28, Francois Botha <ig...@gm...> wrote:

> No, it's still work in progress. Guess it's about time I finish it. :-)
> On 20 Nov 2014 4:57 PM, "Luigi Ballabio" <lui...@gm...> wrote:
>
>> Hi Francois,
>>     did you ever submit this fix? I don't seem to remember it.
>> Or was the problem fixed in another way?
>>
>> Luigi
>>
>> On Thu, Jul 10, 2014 at 4:36 PM, Francois Botha <ig...@gm...> wrote:
>>
>>> Peter,
>>>
>>> Here is my first attempt at solving this bug. Can you confirm whether it
>>> solves your problem?
>>> https://github.com/igitur/quantlib/tree/inflation_reference_period_fix
>>>
>>> Francois Botha
>>>
>>>
>>> On 18 June 2014 17:27, Francois Botha <ig...@gm...> wrote:
>>>
>>>> Haha. I actually did read your email the other day, but I didn't make
>>>> the connection when I discovered the issue now. No fix yet, but I'll see if
>>>> I can get something together. It will have to  involve passing the original
>>>> reference date through to the fixing algorithm.
>>>>
>>>> F
>>>>
>>>> Francois Botha
>>>>
>>>>
>>>> On 18 June 2014 17:17, Peter Caspers <pca...@gm...> wrote:
>>>>
>>>>> Hi Francois,
>>>>>
>>>>> yes, you have to use June's 30 days. This is corresponding to the
>>>>> question I sent earlier (see below), the second (Murex) way of doing
>>>>> the interpolation is the correct one.
>>>>>
>>>>> Do you have a fix for that ? This would be great.
>>>>>
>>>>> best
>>>>> Peter
>>>>>
>>>>> I am comparing Murex and QuantLib concerning Inflation Pricing. I
>>>>> observe a difference in the way an index fixing is interpolated
>>>>> between known (i.e. already fixed) values. Here is an example:
>>>>> Take the EUHICP XT index which has fixings
>>>>> 01.08.2012 (Aug 12) 115.10
>>>>> 01.09.2012 (Sep 12) 115.97
>>>>> Now I want to look up the fixing on 28.08.2012 belonging to an
>>>>> observation date on 28.11.2012 (3m observation lag). In QL the
>>>>> interpolation is done as follows:
>>>>> Days between 01.08. and 01.09. = 31, Days between 01.08. and 28.08. =
>>>>> 27, Interpolated Fixing = 115.10 + 27/31 * ( 115.97 - 115.10 )
>>>>> In Murex on the opposite:
>>>>> Days between 01.11. and 01.12. = 30, Days between 01.11. and 28.11. =
>>>>> 27, Interpolated Fixing = 115.10 + 27/30 * ( 115.97 - 115.10 )
>>>>>
>>>>> On 18 June 2014 16:50, Francois Botha <ig...@gm...> wrote:
>>>>> > Hi,
>>>>> >
>>>>> > I think the interpolation in ZeroInflationIndex::fixing isn't exactly
>>>>> > correctly.
>>>>> >
>>>>> > Consider a linearly interpolated Zero Inflation Index with
>>>>> observation lag
>>>>> > of 4 months. If the reference date is in June, the observation date
>>>>> will be
>>>>> > in February, which has only 28 days. I believe the interpolation
>>>>> should use
>>>>> > June's 30 days instead of February's 28 days. As it is, the
>>>>> interpolation
>>>>> > will be "maxed out" by 28 June and will remain flat until 30 June.
>>>>> Do you
>>>>> > guys agree?
>>>>> >
>>>>> > regards
>>>>> > Francois Botha
>>>>> >
>>>>> >
>>>>> ------------------------------------------------------------------------------
>>>>> > HPCC Systems Open Source Big Data Platform from LexisNexis Risk
>>>>> Solutions
>>>>> > Find What Matters Most in Your Big Data with HPCC Systems
>>>>> > Open Source. Fast. Scalable. Simple. Ideal for Dirty Data.
>>>>> > Leverages Graph Analysis for Fast Processing & Easy Data Exploration
>>>>> > http://p.sf.net/sfu/hpccsystems
>>>>> > _______________________________________________
>>>>> > QuantLib-dev mailing list
>>>>> > Qua...@li...
>>>>> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>>>> >
>>>>>
>>>>
>>>>
>>>
>>>
>>> ------------------------------------------------------------------------------
>>> Open source business process management suite built on Java and Eclipse
>>> Turn processes into business applications with Bonita BPM Community
>>> Edition
>>> Quickly connect people, data, and systems into organized workflows
>>> Winner of BOSSIE, CODIE, OW2 and Gartner awards
>>> http://p.sf.net/sfu/Bonitasoft
>>> _______________________________________________
>>> QuantLib-dev mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>>
>>>
>>
>>
>> --
>> <https://implementingquantlib.blogspot.com>
>> <https://twitter.com/lballabio>
>>
>

[Quantlib-dev] QuantLib 1.7.1 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 1.7.1 has been released and is available for download at <
http://quantlib.org/download.shtml>.

Please post any problems you have with this release to the QuantLib mailing
list (<qua...@li...>), or open a GitHub issue at <
https://github.com/lballabio/quantlib/issues>.

        The QuantLib group

Re: [Quantlib-dev] one factor GSR model in QuantLib

[Peter C. <pca...@gm...>]

Hi Yuhong,

thank you for your message. I cc in the dev list, since the topic might be
of broader interest. In the GSR model the zero bond price at t (maturity T)
conditional on x(t) is (as you can see in the code you copied below)

d * exp(-x * gtT - 0.5 * p->y(t) * gtT * gtT);

with d = today's forward discount factor P(0,t,T) = P(0,T) / P(0,t). Thus I
can "recalibrate" the model to another initial yield curve just by
exchanging d with the new forward discount factor. This is exactly what is
done in the mehod in case the optional parameter yts is non-empty
(otherwise the model's default curve is taken).

This is the same as saying that different curves in the model have a
deterministic instantaneous forward basis spread. This is clear, isn't it?

Now it does not really matter which curve exactly is modelled in the Gsr
class, because whenever a discount factor or a forward rate estimation is
needed, an appropriate curve should replace the model curve. For example,
if a forwarding curve is attached to an ibor index, this curve is taken to
estimate forward rates in swaption engines instead of the model's default
curve. If you look at Gaussian1dModel::forwardRate(...) you can see how it
works, the forwarding curve is extracted from the ibor index and then the
zerbond method (eventually calling the code you copied again) is used
together with this curve to estimate the forward rate.

Only in case, no "better" discounting or forwarding curve is known (i.e. no
curve is attached to an interest rate index or no discounting curve is
explicitly given in a pricing engine), we fall back on the model curve.

So basically you have to make sure, that appropriate curves are attached to
ibor and swap indices relevant for pricing and an appropriate discounting
curve is specified in the pricing engine. Or if no curve is attached to an
index or given in the pricing engine, the model curve should be appropriate
to take over.

This way you can do quite complex things, like estimating a CMS coupon on
an Euribor 6M forwarding curve with OIS (Eonia) flat discounting while
discounting back the flows on Eonia+10bp (because say the collateral
account behind has an interest rate of Eonia+10bp) in the float float
swaption engine (well, let's not discuss if the GSR model is the right
model for CMS in the first place, but you get my point ...).

In the Markov functional model the situation is a bit different, because
the curve tweaking doesn't work as smoothly as in the GSR case. Actually
here the recommendation is to use the "main risk curve" as the default
model curve, which usually is the most relevant forwarding curve for the
deal (like Euribor 6M for a swaption fix vs. Euribor 6M), and do the static
spread adjustment for the other curves relative to this curve (which is
then again an automatism in QuantLib).

Does that help?

Regards
Peter

On 6 January 2016 at 11:43, XU Yuhong <Xu....@uo...> wrote:

> Hi Peter,
>
>
>
> This is Xu Yuhong, a quant from UOB bank of Singapore. I am studying the
> code of one factor Gaussian short rate model in QuantLib, together with
> your short note on its implementation from SSRN. I am specifically
> interested in how you deal with multi-curve setup in the calibration.
>
>
>
> From the example code, I can see the implementation deals with
> multi-curves. I was trying to step through the code, but find it is
> difficult to follow. It seems the forward curve is main object of
> modelling, while the discounting curve is merely an input and is not
> associated to any stochastic dynamics. Particularly, I don’t understand the
> bond reconstruction formula below if discounting curve is provided
>
>
>
> const Real Gsr::zerobondImpl(const Time T, const Time t, const Real y,
>
>                              const Handle<YieldTermStructure> &yts) const
> {
>
>
>
>     calculate();
>
>
>
>     if (t == 0.0)
>
>         return yts.empty() ? this->termStructure()->discount(T, true)
>
>                            : yts->discount(T, true);
>
>
>
>     boost::shared_ptr<GsrProcess> p =
>
>         boost::dynamic_pointer_cast<GsrProcess>(stateProcess_);
>
>
>
>     Real x = y * stateProcess_->stdDeviation(0.0, 0.0, t) +
>
>              stateProcess_->expectation(0.0, 0.0, t);
>
>     Real gtT = p->G(t, T, x);
>
>
>
>     Real d = yts.empty()
>
>                  ? termStructure()->discount(T, true) /
>
>                        termStructure()->discount(t, true)
>
>                  : yts->discount(T, true) / yts->discount(t, true);
>
>
>
>     return d * exp(-x * gtT - 0.5 * p->y(t) * gtT * gtT);
>
> }
>
>
>
> My understanding is that the output of this function is the discounting
> zero bond from t to T, but  GsrProcess is a description of forward
> dynamics. How can a forward curve dynamics produce discounting zero bond?
> Any model assumption between the dynamics of forward curve and discounting
> curve, eg. constant spread, which leads to the above result in code?
> Generally I want to know how you deal with multi-curve setup in GSR model.
>
>
>
> Your reply on the above questions would be greatly appreciated.  If
> necessary, we may move the topic to QuantLib user group for large audience.
> Thank you.
>
>
>
> Regards,
>
> Yuhong
>
>
>
>
>
>
>
>
>
>
>
>
>
> UOB EMAIL DISCLAIMER
> Any person receiving this email and any attachment(s) contained,
> shall treat the information as confidential and not misuse, copy,
> disclose, distribute or retain the information in any way that
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> system. As the integrity of this message cannot be guaranteed,
> neither UOB nor any entity in the UOB Group shall be responsible for
> the contents. Any opinion in this email may not necessarily represent
> the opinion of UOB or any entity in the UOB Group.
>
>

Re: [Quantlib-dev] [Quantlib-users] ObjectHandler / QuantLibAddin / QuantLibXL 1.7 Released

[Paolo M. <maz...@li...>]

Hi All,
 A new version of QuantLibAddin / QuantLibXL version 1.7 (using gensrc) has been released.  Here is the link to the downloads page: http://sourceforge.net/projects/quantlib/files/ This release includes all missing files and correct project files for visual studio (VC12, VC11, VC10, VC9, VC8). Kind Regards,Paolo 		 	   		  

Re: [Quantlib-dev] Reorganization of Git repository

[Peter C. <pca...@gm...>]

Yes, it works, thank you. I had some self-inflicted difficulties due
to some long forgotten faulty commits. I accidentially commited a few
large binary files and deleted them again, but git keeps them in the
history forever and when trying to push my filtered master to the new
fork of your QuantLib repository, github complains about a file size
limit of 100M that would be violated by the push and therefore rejects
it as a whole. It seems that this file size limit was not in place
when I did the faulty commits back in June 2013 (or maybe these
commits were the reason to introduce the limit .... :-)).

Although it is not impossible that I am the only one dumb enough to do
such things, here is the recipe how to repair things in case somebody
else has similar problems (and doesn't dare to ask). It might be a
good opportunity to check the branches to migrate for unwanted large
files anyway.

Here is a nice blog on how to get a list of blobs in a repository,
sorted by size

http://naleid.com/blog/2012/01/17/finding-and-purging-big-files-from-git-history

In my case for example I got the top entries

6fb186ffdef398a7114b3396a460c439af86ebc6 243316004
QuantLib/ql/.libs/libQuantLib.so.0.0.0
b2a00d0d70f2b7face89d0bb663d2f3283e1b206 174158133
QuantLib/test-suite/.libs/quantlib-test-suite
a39d347bcc50972c50fb7cc6ce33ff277bf0afaf 82943858
QuantLib/Examples/LatentModel/LatentModel
6044c4006c0bee541eb40cc27ada49bca4f7534c 45307201
QuantLib/test-suite/.libs/quantlib-benchmark
b2b0e357c9b86637c0df36cfe28c7d2193f2dc05 17600512
QuantLibXL/Workbooks/Tests/YieldCurveBasisAdjustmentMonitor.xls
3fdf1707ab1b60f068b9c683ee80f50b169248a4 16226304
QuantLibXL/framework2/bin/QuantLibXL-vc90-mt-1_1_0.xll
e7db41194c71b8680522801b7bf99fb6eb6fb7bc 15711232
QuantLibXL/Workbooks/Tests/YieldCurveBasisAdjustmentMonitor.xls
1563a7dbcb98e6f21f01d2844993cd515f708f0a 14321664
QuantLibXL/Workbooks/Tests/YieldCurveBasisAdjustmentMonitor.xls
50c4e5a956bad7e2a95e30eb21cec0b310cdb2f2 13601280
QuantLibXL/Workbooks/Drafts/PairwiseProjections.xls
8d92f48cdf62e1a5d1bb4cec4840cef1f6d09eb7 13552128
QuantLibXL/Workbooks/Drafts/PairwiseProjections.xls
50a3e9b7e34fa96c7ba82e857028fb942d109c7b 13551104
QuantLibXL/Workbooks/PairwiseProjections.xls
d4318bbe3f626e37c4343ff774135adf56cc5f41 12685312
QuantLibXL/framework2/bin/QuantLibXL-vc80-mt-s-0_9_6.xll
1a7f0eef209097b60dacd23bcd247a0cfc451c64 11760815
QuantLib/ql/experimental/models/betaetatabulation.cpp
52c14c298212344fe8a5e9cd62d7244f62910c4e 10442532
QuantLib-site/slides/qlum15/kienitz.pdf

It were the first two files that github complained about, but
obviously number 3 and 4 should also not be part of the git
repository. I found a small script that identifies all commits that
contain the suspicious blobs

#!/bin/sh
obj_name="$1"
shift
git log "$@" --pretty=format:'%T %h %s' \
| while read tree commit subject ; do
    if git ls-tree -r $tree | grep -q "$obj_name" ; then
        echo $commit "$subject"
    fi
done

and that can be called e.g. like this

git-blob.sh 6fb186ff --all

to identify the commits for the first blob above. This gives the two commits

w7bf1f20 restructure directories
b4239ca restructure directories

which can be further investigated with git show. For example the first
four blobs were due to some late-night commits by myself in my master
long ago mid 2013, obviously not using a proper .gitignore file. The
xll looks also suspicious but this was commited by Eric in an official
branch, so ok.

The blog also lists the filter commands that can be used to purge the
unwanted files from the git history. The drawback is that the commit
hashes will change by this, but as far as I can see only those in the
guilty branch are affected, so e.g. Luigi's commits in his master
which I mirror in a vendor branch stay the same. I guess I can live
with that, at least the full history of the branch is preserved.

The filter commands take quite a while to finish. There is also a java
tool bfg repo cleaner

https://rtyley.github.io/bfg-repo-cleaner/

which works much faster. I tried that too, because there was the small
hope that the commit hashes stay the same by a miracle, but they do
not. In the end I used the filter approach, and it seems to work, I
finally managed to migrate all my branches to the new repo. The size
is reasonable too, it takes 131M while Luigi's reference repo has 95M.

Best regards
Peter


On 18 December 2015 at 00:05, Luigi Ballabio <lui...@gm...> wrote:
> It's possible, with the only caveat that git filter-branch is a destructive
> operation so your local repo can be converted just once. It's ok if you have
> just one module to convert, but you'll need more than one clone if you want
> to convert several modules.
>
> Luigi
>
>
> On Thu, Dec 17, 2015 at 8:09 PM Peter Caspers <pca...@gm...>
> wrote:
>>
>> Hello Luigi,
>>
>> could one also do this "git filter-branch --prune-empty
>> --subdirectory-filter QuantLib -- --all" directly on (a copy of) one's
>> local repository, thus keeping *all* (local) branches, and then push
>> back some branches to a fresh fork of lballabio/QuantLib? This way it
>> would be easier to keep private branches in the local repo that should
>> not appear on the github repo. Or would that be unsafe for some
>> reason?
>>
>> Thanks a lot
>> Peter
>>
>>
>> On 17 December 2015 at 17:55, Luigi Ballabio <lui...@gm...>
>> wrote:
>> > Hi all,
>> >     Eric and I just finished splitting the QuantLib git repository in
>> > smaller modules. The main forks for the new, smaller repos are:
>> >
>> > QuantLib: https://github.com/lballabio/QuantLib
>> > QuantLib-SWIG: https://github.com/lballabio/QuantLib-SWIG
>> > reposit: https://github.com/eehlers/reposit
>> > QuantLibAddin: https://github.com/eehlers/QuantLibAddin
>> > QuantLibXL: https://github.com/eehlers/QuantLibXL
>> >
>> > Eric's modules refer to the new reposit build.  The old build is still
>> > hosted at https://github.com/eehlers/quantlib for the time being.
>> >
>> > For those of you that had forked the old repository, see the
>> > instructions at
>> > http://quantlib.org/forkmigration.shtml for migrating any modifications
>> > you
>> > want to keep.
>> >
>> > Thanks for your patience,
>> >     Luigi
>> >
>> >
>> >
>> > On Thu, Dec 10, 2015 at 5:36 PM Luigi Ballabio
>> > <lui...@gm...>
>> > wrote:
>> >>
>> >> Hi all,
>> >>     Eric and I will be splitting the QuantLib git repository in smaller
>> >> modules in the next few days (see my previous post, quoted below, for
>> >> more
>> >> details).  Once it's done, most of you that forked it on GitHub or
>> >> cloned it
>> >> locally can probably just fork or clone again the modules you're
>> >> interested
>> >> in. For those of you that have additional branches you want to keep,
>> >> I'll be
>> >> posting instructions for migrating them to the new modules.
>> >>
>> >> Later,
>> >>     Luigi
>> >>
>> >>
>> >> On Mon, Oct 26, 2015 at 3:09 PM Luigi Ballabio
>> >> <lui...@gm...>
>> >> wrote:
>> >>>
>> >>> [ cross-posted to quantlib-users and quantlib-dev; apologies for any
>> >>> duplicates. ]
>> >>>
>> >>> Hi all,
>> >>>     I'm currently 3 or 4 issues away from setting up the 1.7 release.
>> >>>
>> >>> Shortly after doing that, and in concert with the other maintainers,
>> >>> I'll
>> >>> reorganize the Git repository so that the current, monolithic one
>> >>> containing
>> >>> all the modules will be split into smaller ones, with one module per
>> >>> current
>> >>> directory; thus, there will be a repository for the core C++ library,
>> >>> one
>> >>> for the Excel addin and so on.
>> >>>
>> >>> This will make it more convenient for the maintainers to manage the
>> >>> modules for which they have responsibility, and will also make it a
>> >>> lot
>> >>> easier to add new modules.  We had considered doing this when we
>> >>> migrated
>> >>> from subversion to git, and in hindsight we should have gone ahead at
>> >>> that
>> >>> time.
>> >>>
>> >>> I'm aware this will cause inconveniences to the 500+ people that
>> >>> forked
>> >>> the repository on GitHub.  I am sorry for this, and I will try to
>> >>> minimize
>> >>> the pain: I'll migrate the open pull requests to the new repository,
>> >>> and
>> >>> I'll try to make some kind of guide to help those of you with local
>> >>> changes
>> >>> to move them to the new fork. In the meantime, your current forks are
>> >>> not
>> >>> going away.
>> >>>
>> >>> Thanks for the understanding. I'll post a timeline as soon as I have
>> >>> one.
>> >>>
>> >>> Luigi
>> >>>
>> >>> --
>> >>>
>> >>> <http://leanpub.com/implementingquantlib>
>> >>> <http://implementingquantlib.com>
>> >>> <http://twitter.com/lballabio>
>> >>
>> >> --
>> >>
>> >> <http://leanpub.com/implementingquantlib>
>> >> <http://implementingquantlib.com>
>> >> <http://twitter.com/lballabio>
>> >
>> > --
>> >
>> > <http://leanpub.com/implementingquantlib>
>> > <http://implementingquantlib.com>
>> > <http://twitter.com/lballabio>
>> >
>> >
>> >
>> > ------------------------------------------------------------------------------
>> >
>> > _______________________________________________
>> > QuantLib-dev mailing list
>> > Qua...@li...
>> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>> >
>
> --
>
> <http://leanpub.com/implementingquantlib>
> <http://implementingquantlib.com>
> <http://twitter.com/lballabio>

Re: [Quantlib-dev] How do I contribute?

[Prudhvi G. <pru...@gm...>]

Hello Luigi,

Thanks for getting back to me. I am just starting on this. I don't have
anything specific in my mind. I shall look at the current test coverage and
see if I can add some extra coverage there.

Thanks again,
Prudhvi

On Fri, Dec 18, 2015 at 1:46 AM, Luigi Ballabio <lui...@gm...>
wrote:

> Hello,
>     thanks for participating! Do you have any particular part of the
> library you're interested in working on? (For example, because it would be
> useful to your work). If not, there are no particular development plans,
> but one way to help might be to look at the current test coverage (see
> http://quantlib.org/coverage/) and write some tests for functionality
> that it badly covered. You can familiarize yourself with the library by
> using the resources at http://quantlib.org/docs.shtml, and of course you
> can ask here any questions.
>
> Later,
>     Luigi
>
>
> On Wed, Dec 16, 2015 at 7:14 PM Prudhvi Ghanta <pru...@gm...>
> wrote:
>
>> I have experience in C++ programming and a Masters in Computer Science. I
>> am interested in moving to finance. This would be a great platform to learn
>> about and contribute to C++ in financial applications. Can someone please
>> let me know how can I contribute to Quantlib.
>>
>> Thanks in advance.
>>
>> ------------------------------------------------------------------------------
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
> --
>
> <http://leanpub.com/implementingquantlib>
> <http://implementingquantlib.com>
> <http://twitter.com/lballabio>
>



-- 
--prudhvi

Re: [Quantlib-dev] How do I contribute?

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

Hello,
    thanks for participating! Do you have any particular part of the
library you're interested in working on? (For example, because it would be
useful to your work). If not, there are no particular development plans,
but one way to help might be to look at the current test coverage (see
http://quantlib.org/coverage/) and write some tests for functionality that
it badly covered. You can familiarize yourself with the library by using
the resources at http://quantlib.org/docs.shtml, and of course you can ask
here any questions.

Later,
    Luigi


On Wed, Dec 16, 2015 at 7:14 PM Prudhvi Ghanta <pru...@gm...> wrote:

> I have experience in C++ programming and a Masters in Computer Science. I
> am interested in moving to finance. This would be a great platform to learn
> about and contribute to C++ in financial applications. Can someone please
> let me know how can I contribute to Quantlib.
>
> Thanks in advance.
>
> ------------------------------------------------------------------------------
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
-- 

<http://leanpub.com/implementingquantlib>
<http://implementingquantlib.com>
<http://twitter.com/lballabio>

Re: [Quantlib-dev] Reorganization of Git repository

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

It's possible, with the only caveat that git filter-branch is a destructive
operation so your local repo can be converted just once. It's ok if you
have just one module to convert, but you'll need more than one clone if you
want to convert several modules.

Luigi

On Thu, Dec 17, 2015 at 8:09 PM Peter Caspers <pca...@gm...>
wrote:

> Hello Luigi,
>
> could one also do this "git filter-branch --prune-empty
> --subdirectory-filter QuantLib -- --all" directly on (a copy of) one's
> local repository, thus keeping *all* (local) branches, and then push
> back some branches to a fresh fork of lballabio/QuantLib? This way it
> would be easier to keep private branches in the local repo that should
> not appear on the github repo. Or would that be unsafe for some
> reason?
>
> Thanks a lot
> Peter
>
>
> On 17 December 2015 at 17:55, Luigi Ballabio <lui...@gm...>
> wrote:
> > Hi all,
> >     Eric and I just finished splitting the QuantLib git repository in
> > smaller modules. The main forks for the new, smaller repos are:
> >
> > QuantLib: https://github.com/lballabio/QuantLib
> > QuantLib-SWIG: https://github.com/lballabio/QuantLib-SWIG
> > reposit: https://github.com/eehlers/reposit
> > QuantLibAddin: https://github.com/eehlers/QuantLibAddin
> > QuantLibXL: https://github.com/eehlers/QuantLibXL
> >
> > Eric's modules refer to the new reposit build.  The old build is still
> > hosted at https://github.com/eehlers/quantlib for the time being.
> >
> > For those of you that had forked the old repository, see the
> instructions at
> > http://quantlib.org/forkmigration.shtml for migrating any modifications
> you
> > want to keep.
> >
> > Thanks for your patience,
> >     Luigi
> >
> >
> >
> > On Thu, Dec 10, 2015 at 5:36 PM Luigi Ballabio <lui...@gm...
> >
> > wrote:
> >>
> >> Hi all,
> >>     Eric and I will be splitting the QuantLib git repository in smaller
> >> modules in the next few days (see my previous post, quoted below, for
> more
> >> details).  Once it's done, most of you that forked it on GitHub or
> cloned it
> >> locally can probably just fork or clone again the modules you're
> interested
> >> in. For those of you that have additional branches you want to keep,
> I'll be
> >> posting instructions for migrating them to the new modules.
> >>
> >> Later,
> >>     Luigi
> >>
> >>
> >> On Mon, Oct 26, 2015 at 3:09 PM Luigi Ballabio <
> lui...@gm...>
> >> wrote:
> >>>
> >>> [ cross-posted to quantlib-users and quantlib-dev; apologies for any
> >>> duplicates. ]
> >>>
> >>> Hi all,
> >>>     I'm currently 3 or 4 issues away from setting up the 1.7 release.
> >>>
> >>> Shortly after doing that, and in concert with the other maintainers,
> I'll
> >>> reorganize the Git repository so that the current, monolithic one
> containing
> >>> all the modules will be split into smaller ones, with one module per
> current
> >>> directory; thus, there will be a repository for the core C++ library,
> one
> >>> for the Excel addin and so on.
> >>>
> >>> This will make it more convenient for the maintainers to manage the
> >>> modules for which they have responsibility, and will also make it a lot
> >>> easier to add new modules.  We had considered doing this when we
> migrated
> >>> from subversion to git, and in hindsight we should have gone ahead at
> that
> >>> time.
> >>>
> >>> I'm aware this will cause inconveniences to the 500+ people that forked
> >>> the repository on GitHub.  I am sorry for this, and I will try to
> minimize
> >>> the pain: I'll migrate the open pull requests to the new repository,
> and
> >>> I'll try to make some kind of guide to help those of you with local
> changes
> >>> to move them to the new fork. In the meantime, your current forks are
> not
> >>> going away.
> >>>
> >>> Thanks for the understanding. I'll post a timeline as soon as I have
> one.
> >>>
> >>> Luigi
> >>>
> >>> --
> >>>
> >>> <http://leanpub.com/implementingquantlib>
> >>> <http://implementingquantlib.com>
> >>> <http://twitter.com/lballabio>
> >>
> >> --
> >>
> >> <http://leanpub.com/implementingquantlib>
> >> <http://implementingquantlib.com>
> >> <http://twitter.com/lballabio>
> >
> > --
> >
> > <http://leanpub.com/implementingquantlib>
> > <http://implementingquantlib.com>
> > <http://twitter.com/lballabio>
> >
> >
> >
> ------------------------------------------------------------------------------
> >
> > _______________________________________________
> > QuantLib-dev mailing list
> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> >
>
-- 

<http://leanpub.com/implementingquantlib>
<http://implementingquantlib.com>
<http://twitter.com/lballabio>

Re: [Quantlib-dev] Reorganization of Git repository

[Eric E. <eri...@re...>]

Hi All,

I updated the documentation for building
reposit/QuantLibAddin/QuantLibXL on Windows and Linux from a git clone:

http://quantlib.org/reposit/docs/latest/build_git_swig_windows.html

http://quantlib.org/reposit/docs/latest/build_git_swig_linux.html

Kind Regards,
Eric

On Thu, 17 Dec 2015 16:55:59 +0000
Luigi Ballabio <lui...@gm...> wrote:

> Hi all,
>     Eric and I just finished splitting the QuantLib git repository in
> smaller modules. The main forks for the new, smaller repos are:
> 
> QuantLib: https://github.com/lballabio/QuantLib
> QuantLib-SWIG: https://github.com/lballabio/QuantLib-SWIG
> reposit: https://github.com/eehlers/reposit
> QuantLibAddin: https://github.com/eehlers/QuantLibAddin
> QuantLibXL: https://github.com/eehlers/QuantLibXL
> 
> Eric's modules refer to the new reposit build.  The old build is still
> hosted at https://github.com/eehlers/quantlib for the time being.
> 
> For those of you that had forked the old repository, see the
> instructions at http://quantlib.org/forkmigration.shtml for migrating
> any modifications you want to keep.
> 
> Thanks for your patience,
>     Luigi
> 
> 
> 
> On Thu, Dec 10, 2015 at 5:36 PM Luigi Ballabio
> <lui...@gm...> wrote:
> 
> > Hi all,
> >     Eric and I will be splitting the QuantLib git repository in
> > smaller modules in the next few days (see my previous post, quoted
> > below, for more details).  Once it's done, most of you that forked
> > it on GitHub or cloned it locally can probably just fork or clone
> > again the modules you're interested in. For those of you that have
> > additional branches you want to keep, I'll be posting instructions
> > for migrating them to the new modules.
> >
> > Later,
> >     Luigi
> >
> >
> > On Mon, Oct 26, 2015 at 3:09 PM Luigi Ballabio
> > <lui...@gm...> wrote:
> >
> >> [ cross-posted to quantlib-users and quantlib-dev; apologies for
> >> any duplicates. ]
> >>
> >> Hi all,
> >>     I'm currently 3 or 4 issues away from setting up the 1.7
> >> release.
> >>
> >> Shortly after doing that, and in concert with the other
> >> maintainers, I'll reorganize the Git repository so that the
> >> current, monolithic one containing all the modules will be split
> >> into smaller ones, with one module per current directory; thus,
> >> there will be a repository for the core C++ library, one for the
> >> Excel addin and so on.
> >>
> >> This will make it more convenient for the maintainers to manage the
> >> modules for which they have responsibility, and will also make it
> >> a lot easier to add new modules.  We had considered doing this
> >> when we migrated from subversion to git, and in hindsight we
> >> should have gone ahead at that time.
> >>
> >> I'm aware this will cause inconveniences to the 500+ people that
> >> forked the repository on GitHub.  I am sorry for this, and I will
> >> try to minimize the pain: I'll migrate the open pull requests to
> >> the new repository, and I'll try to make some kind of guide to
> >> help those of you with local changes to move them to the new fork.
> >> In the meantime, your current forks are not going away.
> >>
> >> Thanks for the understanding. I'll post a timeline as soon as I
> >> have one.
> >>
> >> Luigi
> >>
> >> --
> >>
> >> <http://leanpub.com/implementingquantlib>
> >> <http://implementingquantlib.com>
> >> <http://twitter.com/lballabio>
> >>
> > --
> >
> > <http://leanpub.com/implementingquantlib>
> > <http://implementingquantlib.com>
> > <http://twitter.com/lballabio>
> >

Re: [Quantlib-dev] Reorganization of Git repository

[Peter C. <pca...@gm...>]

Hello Luigi,

could one also do this "git filter-branch --prune-empty
--subdirectory-filter QuantLib -- --all" directly on (a copy of) one's
local repository, thus keeping *all* (local) branches, and then push
back some branches to a fresh fork of lballabio/QuantLib? This way it
would be easier to keep private branches in the local repo that should
not appear on the github repo. Or would that be unsafe for some
reason?

Thanks a lot
Peter


On 17 December 2015 at 17:55, Luigi Ballabio <lui...@gm...> wrote:
> Hi all,
>     Eric and I just finished splitting the QuantLib git repository in
> smaller modules. The main forks for the new, smaller repos are:
>
> QuantLib: https://github.com/lballabio/QuantLib
> QuantLib-SWIG: https://github.com/lballabio/QuantLib-SWIG
> reposit: https://github.com/eehlers/reposit
> QuantLibAddin: https://github.com/eehlers/QuantLibAddin
> QuantLibXL: https://github.com/eehlers/QuantLibXL
>
> Eric's modules refer to the new reposit build.  The old build is still
> hosted at https://github.com/eehlers/quantlib for the time being.
>
> For those of you that had forked the old repository, see the instructions at
> http://quantlib.org/forkmigration.shtml for migrating any modifications you
> want to keep.
>
> Thanks for your patience,
>     Luigi
>
>
>
> On Thu, Dec 10, 2015 at 5:36 PM Luigi Ballabio <lui...@gm...>
> wrote:
>>
>> Hi all,
>>     Eric and I will be splitting the QuantLib git repository in smaller
>> modules in the next few days (see my previous post, quoted below, for more
>> details).  Once it's done, most of you that forked it on GitHub or cloned it
>> locally can probably just fork or clone again the modules you're interested
>> in. For those of you that have additional branches you want to keep, I'll be
>> posting instructions for migrating them to the new modules.
>>
>> Later,
>>     Luigi
>>
>>
>> On Mon, Oct 26, 2015 at 3:09 PM Luigi Ballabio <lui...@gm...>
>> wrote:
>>>
>>> [ cross-posted to quantlib-users and quantlib-dev; apologies for any
>>> duplicates. ]
>>>
>>> Hi all,
>>>     I'm currently 3 or 4 issues away from setting up the 1.7 release.
>>>
>>> Shortly after doing that, and in concert with the other maintainers, I'll
>>> reorganize the Git repository so that the current, monolithic one containing
>>> all the modules will be split into smaller ones, with one module per current
>>> directory; thus, there will be a repository for the core C++ library, one
>>> for the Excel addin and so on.
>>>
>>> This will make it more convenient for the maintainers to manage the
>>> modules for which they have responsibility, and will also make it a lot
>>> easier to add new modules.  We had considered doing this when we migrated
>>> from subversion to git, and in hindsight we should have gone ahead at that
>>> time.
>>>
>>> I'm aware this will cause inconveniences to the 500+ people that forked
>>> the repository on GitHub.  I am sorry for this, and I will try to minimize
>>> the pain: I'll migrate the open pull requests to the new repository, and
>>> I'll try to make some kind of guide to help those of you with local changes
>>> to move them to the new fork. In the meantime, your current forks are not
>>> going away.
>>>
>>> Thanks for the understanding. I'll post a timeline as soon as I have one.
>>>
>>> Luigi
>>>
>>> --
>>>
>>> <http://leanpub.com/implementingquantlib>
>>> <http://implementingquantlib.com>
>>> <http://twitter.com/lballabio>
>>
>> --
>>
>> <http://leanpub.com/implementingquantlib>
>> <http://implementingquantlib.com>
>> <http://twitter.com/lballabio>
>
> --
>
> <http://leanpub.com/implementingquantlib>
> <http://implementingquantlib.com>
> <http://twitter.com/lballabio>
>
>
> ------------------------------------------------------------------------------
>
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>