quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] ruby wrapper issues

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

On 2004.05.26 17:42, Dirk Eddelbuettel wrote:
> > If --debian is not used, the "correct" behavior (that is, that
> > suggested by Mark) is triggered.
> 
> Got it -- debian/rules edited accordingly.
> 
> Thanks as always for being so accomdating!

You're welcome.

> [ OT: I was at useR! 2004 last week, where I had helped to put some
> Finance content together. Lots of visibility of QL, and in particular  
> the fellow who did www.rmetrics.org (which we will make Unix/Linux  
> compatible, currently Windoze only) is quite interested and aware of  
> QL.  Not sure how reciprocal that can get from the QL community as R  
> is presumably seen as a bit of fringe language. For empirically  
> minded souls, the R system is heavenly...
> But I digress :) ]

Cool. R is on the long list of things I'd like to take a good look at  
if I had time...

Later,
	Luigi

Re: [Quantlib-dev] ruby wrapper issues

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

On Wed, May 26, 2004 at 05:25:58PM +0200, Luigi Ballabio wrote:
> to be installed in the ruby lib. It's fixed now---and Dirk, if you're  
> reading this, from now on you'll have to install by using
> 
> ruby setup.rb install --prefix=/whatever --debian
> 
> If --debian is not used, the "correct" behavior (that is, that  
> suggested by Mark) is triggered.

Got it -- debian/rules edited accordingly.

Thanks as always for being so accomdating!

[ OT: I was at useR! 2004 last week, where I had helped to put some Finance
content together. Lots of visibility of QL, and in particular the fellow who
did www.rmetrics.org (which we will make Unix/Linux compatible, currently
Windoze only) is quite interested and aware of QL.  Not sure how reciprocal
that can get from the QL community as R is presumably seen as a bit of
fringe language. For empirically minded souls, the R system is heavenly...
But I digress :) ]

Dirk

-- 
The relationship between the computed price and reality is as yet unknown.  
                                             -- From the pac(8) manual page

Re: [Quantlib-dev] ruby wrapper issues

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

On 2004.05.21 04:16, Mark Treiber wrote:
> Two quick questions about the ruby compilation.

And two much less quick answers. My apologies.

> 1). When I'm compiling the ruby wrapper under darwin I get a lot of  
> warnings like:
> 
> /sw/include/ql/config.hpp:101:1: warning:
> "PACKAGE_BUGREPORT" redefined
> 
> where "PACKAGE_BUGREPORT" is defined in ruby.h but set to "".  I'm  
> assuming this is normal right?  Will this affect ruby in any way?

It's ok. The macro is defined by autoconf, which I guess is used by  
both Ruby and QuantLib. There's no harm in redefining it.

> 2). When "setup.rb install" is passed --prefix, the wrapper is  
> installed in the ruby lib directory (with the new prefix) but when  
> the --prefix is excluded, the wrapper is installed into the ruby site  
> lib directory.

Oh, yes, I remember. The asymmetry was introduced by me in order to  
make the life easier for the Debian maintainer, who wanted the module  
to be installed in the ruby lib. It's fixed now---and Dirk, if you're  
reading this, from now on you'll have to install by using

ruby setup.rb install --prefix=/whatever --debian

If --debian is not used, the "correct" behavior (that is, that  
suggested by Mark) is triggered.

Thanks,
	Luigi

[Quantlib-dev] [ quantlib-Feature Requests-824364 ] The Real typedef should be used throughout

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

Feature Requests item #824364, was opened at 2003-10-15 22:18
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=824364&group_id=12740

Category: None
Group: None
>Status: Closed
Priority: 5
Submitted By: Dann Corbit (danncorbit)
Assigned to: Nobody/Anonymous (nobody)
Summary: The Real typedef should be used throughout

Initial Comment:
You have a typedef of real like so:

typedef double Real;

but throughout the code, you use ordinary doubles all 
over the place.  Hence, the typedef is basically useless.

If (on the other hand) throughout the code you used 
Real parameters and Real automatic variables, then I 
would be able to use the system with other data types 
such as Moshier's Qfloat, Scott's MIRACL, etc. by making 
my own typedef as follows:

typedef qfloat Real;

or similar to that.

We need to compute with 100 digits of accuracy, so a 
double simply won't do.


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

>Comment By: Luigi Ballabio (lballabio)
Date: 2004-05-20 10:45

Message:
Logged In: YES 
user_id=75450

The Real typedef is now used throughout in CVS. The modified
code will appear in release 0.3.7. However, the only
officially supported type is still double. In order to use
another type, you'll have to customize a couple of files
yourself, namely, types.hpp in order to change the
definition, and null.hpp in order to define a unique null value.

Cheers,
          Luigi


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

Comment By: Dann Corbit (danncorbit)
Date: 2003-10-24 09:43

Message:
Logged In: YES 
user_id=887860

> Hi,
>     I have to admit that I even forgot about the Real 
typedef... 
> We'll see what we can do. Does a textual replace of all 
> "double" to "Real" work for you?

I think probably so.  If not, it would make it a heck of a lot 
easier for me.

> And just out of curiosity, 100 digits? What kind of financial 
> application needs that accuracy?

I write database systems.  Someone can be computing the 
interest on the national debt.  Someone might be doing a 
summation of a billion quadwords. (There is at least one 
application where this is a fact -- a database of all the road-
tolls ever taken in one of the states of the US).

We cannot anticipate what sort of data they may throw at 
the system.  But no matter what it is, we must compute the 
right answer.

We also handle exponents that are quite large.


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

Comment By: Luigi Ballabio (lballabio)
Date: 2003-10-24 09:32

Message:
Logged In: YES 
user_id=75450

Hi,
    I have to admit that I even forgot about the Real typedef... 
We'll see what we can do. Does a textual replace of all 
"double" to "Real" work for you?

And just out of curiosity, 100 digits? What kind of financial 
application needs that accuracy?

Bye,
        Luigi


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=824364&group_id=12740

[Quantlib-dev] [ quantlib-Feature Requests-683151 ] QuantLib Java Version

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

Feature Requests item #683151, was opened at 2003-02-09 00:30
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=683151&group_id=12740

Category: None
Group: None
>Status: Deleted
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: QuantLib Java Version

Initial Comment:
Please consider providing a Java version.
Thanks,


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

>Comment By: Luigi Ballabio (lballabio)
Date: 2004-05-20 10:41

Message:
Logged In: YES 
user_id=75450

We'll be happy if and when someone starts a QuantLib-Java
project. However, the C++ library is already taking all the
limited time we can give to the project.

Sorry,
         Luigi


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=683151&group_id=12740

[Quantlib-dev] Announce

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

Hi all,
	Sofia Ametrano was born April 30th. Baby and mother are both  
well. Nando will be somewhat less responsive in the next days :)
You know at which address to write if you want to congratulate them.

Bye,
	Luigi

[Quantlib-dev] new quantlib calendars 3

[<Xav...@fi...>]

Hi Luigi,
again another calendars.
Could you add that to CVS if you have the time?
Thank you
Xavier

(See attached file: beijing.hpp)(See attached file: beijing.cpp)(See
attached file: riyadh.hpp)(See attached file: riyadh.cpp)


                                                                                                                       
                    Luigi Ballabio                                                                                     
                    <luigi.ballabio@fast       To:     Xav...@fi...                                        
                    webnet.it>                 cc:     qua...@li...                              
                                               Subject:     Re: [Quantlib-dev] new quantlib calendars 2                
                    26/04/2004 18:12                                                                                   
                    Please respond to                                                                                  
                    luigi.ballabio                                                                                     
                                                                                                                       
                                                                                                                       




On 2004.04.23 12:00, Xav...@fi... wrote:
> I've added another new calendar in my quantlib and I'm wondering
> again if it could be included in the next release of QuantLib?

Xavier,
           I've just added your calendars to CVS.

Thanks,
           Luigi





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[Quantlib-dev] Shortish-term plans?

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

Hi all,
	while I'm happy with the recent trend of quarterly releases  
(with the addition of the occasional bug-fix release :) I've been  
thinking whether we should aim at increasing the minor version number  
as well.

As the Monte Carlo framework is the part that most looks like being  
near a decent status, I think it could be a good candidate for making  
its interface stable, wrapping it up and calling it 0.4.0.

However, the MC framework does have a number of open issues to be  
solved before calling it stable, such as:

- the fact that the Path class stores drift and diffusion instead of  
the asset value. Apart from the inconvenience of having to reconstruct  
prices, this has the shortcoming that it is currently hard-coded in the  
path generator (and the path) that the given stochastic process  
describes the evolution of log(s). Therefore, processes such as square  
root cannot be used.

- some sort of multi-diffusion process should be defined so that the  
single diffusion processes and their correlation could be stored  
together in one structure.

- I'm sure Nando will have quite a few suggestion for further  
additions. The ones that imply an interface change should be singled  
out from the ones that can simply be implemented later on top of the  
basic framework, so that we don't set outselves a nice but impossible  
goal for the milestone :) This might also apply to Neil's least-square  
Monte Carlo, whose stabilization could be postponed.

Toughts?

Later,
	Luigi

Re: [Quantlib-dev] new quantlib calendars 2

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

On 2004.04.23 12:00, Xav...@fi... wrote:
> I've added another new calendar in my quantlib and I'm wondering  
> again if it could be included in the next release of QuantLib?

Xavier,
	I've just added your calendars to CVS.

Thanks,
	Luigi

Re: [Quantlib-dev] new quantlib calendars

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

On 2004.04.26 14:40, Jeff Yu wrote:
> I back away from touching the Calendar object because it is one of  
> the building blocks of this toolkit.

Yes, I understand that.

However, I have no such scruples :)
I modified your code and integrated it with the Calendar class. The  
changes are being committed in CVS as I write.

Thanks,
	Luigi

Re: [Quantlib-dev] new quantlib calendars

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

On 2004.04.23 14:01, Jeff Yu wrote:
> I am the owner of the code so it is ok to have them covered under the
> QuantLib license.

Ok.

> "... You can't pass a CalendarLoader where the library expects a
> Calendar."?  Well, you need to instantiate a Calendar first, let's  
> say you want to use NewYork's holiday schedule, so you will have a  
> NewYork ny created before passing it to
> 
> CalendarLoader loader(ny, "the_external_holiday_schedule","=");
> 
> It should work right away.

Yes, this works in the sense that after the above, you can write:

loader.isBusineddDay(date);

However, the added holiday information is stored into the  
CalendarLoader instance, not into the NewYork calendar.
If you want to use it to instantiate, say, a Scheduler (whose signature  
is

Schedule(const Calendar& calendar,
                 const Date& startDate, const Date& endDate,
                 int frequency, RollingConvention rollingConvention,
                 bool isAdjusted, const Date& stubDate = Date(),
                 bool startFromEnd = false, bool longFinal = false);

you're out of luck as the compiler won't accept a CalendarLoader as the  
first argument.

I'm integrating your code into Calendar so that the above issue is  
solved.

Later,
	Luigi

RE: [Quantlib-dev] new quantlib calendars

[Jeff Y. <jj...@md...>]

Luigi,

I am the owner of the code so it is ok to have them covered under the
QuantLib license.

"... You can't pass a CalendarLoader where the library expects a
Calendar."?  Well, you need to instantiate a Calendar first, let's say
you want to use NewYork's holiday schedule, so you will have a NewYork
ny created before passing it to 

CalendarLoader loader(ny, "the_external_holiday_schedule","=");

It should work right away.  In fact, I was able to integrate them into
0.36 on both Linux and XP last night.

Please let me know if there is any question I can answer so to save your
time on this.


Cheers,

Jeff


-----Original Message-----
From: Luigi Ballabio [mailto:lui...@fa...] 
Sent: Friday, April 23, 2004 3:45 AM
To: jj...@md...
Cc: qua...@li...
Subject: Re: [Quantlib-dev] new quantlib calendars

On 2004.04.22 23:20, Jeff Yu wrote:
> Attached are the codes I use to load the holiday schedule from an
> external file.

Jeff,
	thanks for the contribution--I'll integrate it in the library  
as soon as I find some time (possibly reworking it a bit so that it  
integrates more seamlessly with the library---right now you can't pass  
a CalendarLoader where the library expects a Calendar.)

The usual questions:
1) who owns the copyright of the code?
2) in case it's your employer, can you get a statement that it's ok for

you to contribute code under the QuantLib license?

Thanks,
	Luigi

[Quantlib-dev] new quantlib calendars 2

[<Xav...@fi...>]

Dear QuantLib,

I've added another new calendar in my quantlib and I'm wondering again if
it could be included in the next release of QuantLib?
These data are coming from the official source www.asx.com.au and Singapore
Exchange (SGX) www.ses.com.sg.
Xavier

(See attached file: singapore.hpp)(See attached file: singapore.cpp)



                                                                                                                 
                    Xavier ABULKER                                                                               
                                         To:     qua...@li...,                           
                    21/04/2004            qua...@li...                                     
                    14:52                cc:                                                                     
                                         Subject:     new quantlib calendars                                     
                                                                                                                 



Dear QuantLib,

I've added new calendars in my quantlib and I'm wondering if it could be
included in the next release of QuantLib.
These data are coming from an official source.
Regards

Xavier Abulker
(See attached file: hongkong.hpp)(See attached file: hongkong.cpp)(See
attached file: seoul.cpp)(See attached file: seoul.hpp)(See attached file:
taiwan.cpp)(See attached file: taiwan.hpp)




*************************************************************************
Ce message et toutes les pieces jointes (ci-apres le "message") sont
confidentiels et etablis a l'intention exclusive de ses destinataires.
Toute utilisation ou diffusion non autorisee est interdite.
Tout message electronique est susceptible d'alteration.
La FIMAT et ses filiales declinent toute responsabilite au titre de ce
message s'il a ete altere, deforme ou falsifie.
                                          ********
This message and any attachments (the "message") are confidential and
intended solely for the addressees.
Any unauthorised use or dissemination is prohibited.
E-mails are susceptible to alteration.
Neither FIMATnor any of its subsidiaries or affiliates shall be liable for
the message if altered, changed or falsified.

Re: [Quantlib-dev] new quantlib calendars

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

On 2004.04.22 23:20, Jeff Yu wrote:
> Attached are the codes I use to load the holiday schedule from an
> external file.

Jeff,
	thanks for the contribution--I'll integrate it in the library  
as soon as I find some time (possibly reworking it a bit so that it  
integrates more seamlessly with the library---right now you can't pass  
a CalendarLoader where the library expects a Calendar.)

The usual questions:
1) who owns the copyright of the code?
2) in case it's your employer, can you get a statement that it's ok for  
you to contribute code under the QuantLib license?

Thanks,
	Luigi

RE: [Quantlib-users] Re: [Quantlib-dev] new quantlib calendars

[Jeff Y. <jj...@md...>]

Ferdinando & Company:

Attached are the codes I use to load the holiday schedule from an
external file.  Here is a brief description:

1. The name of the object to load the external file is called
"CalendarLoader", it takes at least two input variables in order to
instantiate itself:  a Calendar object, and the name of the external
file that contains the holiday schedule (fully quanlified path is
expected).  The optional input is the delimiter used in the holiday
schedule.

2. The format of the holiday schedule is City=YYYYMMDD, user can replace
the equal sign with other characters, the default is the equal sign;
The name of the city should match Calendar.name().

3. I have modified all the codes so they are default to namespace
QuantLib.
4. I initially intend to put them under ql/FileLoader location, you can
change them whenever you see fit.
5. "test.cpp" is the sample program shows how to use it.

With this loader, the holiday schedule can be updated dynamically
provided the "city" class is already created.  I hope QuantLib community
would find this a useful add-on, of course any feedback would be greatly
appreciated it.


Cheers,

Jeff







-----Original Message-----
From: qua...@li...
[mailto:qua...@li...] On Behalf Of
Xav...@fi...
Sent: Thursday, April 22, 2004 3:34 AM
To: Ferdinando Ametrano
Cc: lui...@fa...; qua...@li...;
QuantLib-users; qua...@li...
Subject: Re: [Quantlib-users] Re: [Quantlib-dev] new quantlib calendars






Ferdinando,

a) not all holidays have been documented in the hpp file. This can be
easily fixed.

I understood from the hpp files that you only listed the days for which
an
algorithm is available or the day is fixed.
I will try to list the other ones.

b) Lunar New Year, Tomb Sweeping, Dragon Boat, Mid-Autumn Festival,
Buddha's birthday, Harvest Moon, Tuen NG Festival, Chung Yeung fest, ecc
are provided for 2004, 2005, 2006. Is there an algorithm for calculating
them? If the algo is not easy shouldn't we tabulate them as we do for
Easter Monday?

Yes, there is one algorithm for the Lunar New Year but it looks very
complex.
Furthermore, the bank holidays for the Lunar new year are not the same
for
HongKong,  Seoul  and Taiwan for example.
Buddha's birthday is not the same day for HongKong and Seoul in 2005
unless
there is an error on the derivatives exchange website.
Tomb Sweeping day should be celebrated two weeks after the vernal
equinox,
for this one the algorithm is certainly available but we need to check
the
dates with the algorithm and I don't have enough time to do that.
This is a good idea to tabulate them as easter monday.
For the other ones I don't know and the informations I got from the
derivatives exchange don't go farther than 2006 because it is linked to
the
settlement days of Futures products

c) Honk Kong calendar: you list "Day after Good Friday", but since this
is
a Saturday it shouldn't be listed as a separate holiday. Am I wrong?

You're rigth, day after Godd Friday is redundant, this is listed by the
HongKong exchange for 2004 (not in 2005) this is why I inserted it.

Xavier



 

                    Ferdinando Ametrano

                    <na...@am...>                   To:
lui...@fa..., Xav...@fi...          
                    Sent by:                               cc:
qua...@li..., QuantLib-users              
                    qua...@li...
<qua...@li...>                                 
                    eforge.net                             Subject:
[Quantlib-users] Re: [Quantlib-dev] new quantlib calendars 
 

 

                    21/04/2004 18:56

 

 





Xavier

thank you for the contribution.

In addition to Luigi's questions:
>1) is the copyright owned by you or FIMAT?
>2) in either case, can you get from FIMAT a statement that it's ok for
>them if you contribute code under the QuantLib license?
>3) is there any particular reason you don't name the official source
>for the calendar info? Otherwise, it'd be nice to put it in the docs.
a) not all holidays have been documented in the hpp file. This can be
easily fixed.
b) Lunar New Year, Tomb Sweeping, Dragon Boat, Mid-Autumn Festival,
Buddha's birthday, Harvest Moon, Tuen NG Festival, Chung Yeung fest, ecc
are provided for 2004, 2005, 2006. Is there an algorithm for calculating
them? If the algo is not easy shouldn't we tabulate them as we do for
Easter Monday?
c) Honk Kong calendar: you list "Day after Good Friday", but since this
is
a Saturday it shouldn't be listed as a separate holiday. Am I wrong?

ciao -- Nando



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Free Linux tutorial presented by Daniel Robbins, President and CEO of
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_______________________________________________
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************************************************************************
*
Ce message et toutes les pieces jointes (ci-apres le "message") sont
confidentiels et etablis a l'intention exclusive de ses destinataires.
Toute utilisation ou diffusion non autorisee est interdite.
Tout message electronique est susceptible d'alteration.
La FIMAT et ses filiales declinent toute responsabilite au titre de ce
message s'il a ete altere, deforme ou falsifie.
                                          ********
This message and any attachments (the "message") are confidential and
intended solely for the addressees.
Any unauthorised use or dissemination is prohibited.
E-mails are susceptible to alteration.
Neither FIMATnor any of its subsidiaries or affiliates shall be liable
for
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-------------------------------------------------------
This SF.Net email is sponsored by: IBM Linux Tutorials
Free Linux tutorial presented by Daniel Robbins, President and CEO of
GenToo technologies. Learn everything from fundamentals to system
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Re: [Quantlib-users] Re: [Quantlib-dev] new quantlib calendars

[<Xav...@fi...>]

Ferdinando,

a) not all holidays have been documented in the hpp file. This can be
easily fixed.

I understood from the hpp files that you only listed the days for which an
algorithm is available or the day is fixed.
I will try to list the other ones.

b) Lunar New Year, Tomb Sweeping, Dragon Boat, Mid-Autumn Festival,
Buddha's birthday, Harvest Moon, Tuen NG Festival, Chung Yeung fest, ecc
are provided for 2004, 2005, 2006. Is there an algorithm for calculating
them? If the algo is not easy shouldn't we tabulate them as we do for
Easter Monday?

Yes, there is one algorithm for the Lunar New Year but it looks very
complex.
Furthermore, the bank holidays for the Lunar new year are not the same for
HongKong,  Seoul  and Taiwan for example.
Buddha's birthday is not the same day for HongKong and Seoul in 2005 unless
there is an error on the derivatives exchange website.
Tomb Sweeping day should be celebrated two weeks after the vernal equinox,
for this one the algorithm is certainly available but we need to check the
dates with the algorithm and I don't have enough time to do that.
This is a good idea to tabulate them as easter monday.
For the other ones I don't know and the informations I got from the
derivatives exchange don't go farther than 2006 because it is linked to the
settlement days of Futures products

c) Honk Kong calendar: you list "Day after Good Friday", but since this is
a Saturday it shouldn't be listed as a separate holiday. Am I wrong?

You're rigth, day after Godd Friday is redundant, this is listed by the
HongKong exchange for 2004 (not in 2005) this is why I inserted it.

Xavier



                                                                                                                                   
                    Ferdinando Ametrano                                                                                            
                    <na...@am...>                   To:     lui...@fa..., Xav...@fi...          
                    Sent by:                               cc:     qua...@li..., QuantLib-users              
                    qua...@li...        <qua...@li...>                                 
                    eforge.net                             Subject:     [Quantlib-users] Re: [Quantlib-dev] new quantlib calendars 
                                                                                                                                   
                                                                                                                                   
                    21/04/2004 18:56                                                                                               
                                                                                                                                   
                                                                                                                                   




Xavier

thank you for the contribution.

In addition to Luigi's questions:
>1) is the copyright owned by you or FIMAT?
>2) in either case, can you get from FIMAT a statement that it's ok for
>them if you contribute code under the QuantLib license?
>3) is there any particular reason you don't name the official source
>for the calendar info? Otherwise, it'd be nice to put it in the docs.
a) not all holidays have been documented in the hpp file. This can be
easily fixed.
b) Lunar New Year, Tomb Sweeping, Dragon Boat, Mid-Autumn Festival,
Buddha's birthday, Harvest Moon, Tuen NG Festival, Chung Yeung fest, ecc
are provided for 2004, 2005, 2006. Is there an algorithm for calculating
them? If the algo is not easy shouldn't we tabulate them as we do for
Easter Monday?
c) Honk Kong calendar: you list "Day after Good Friday", but since this is
a Saturday it shouldn't be listed as a separate holiday. Am I wrong?

ciao -- Nando



-------------------------------------------------------
This SF.Net email is sponsored by: IBM Linux Tutorials
Free Linux tutorial presented by Daniel Robbins, President and CEO of
GenToo technologies. Learn everything from fundamentals to system
administration.http://ads.osdn.com/?ad_id=1470&alloc_id=3638&op=click
_______________________________________________
Quantlib-users mailing list
Qua...@li...
https://lists.sourceforge.net/lists/listinfo/quantlib-users





*************************************************************************
Ce message et toutes les pieces jointes (ci-apres le "message") sont
confidentiels et etablis a l'intention exclusive de ses destinataires.
Toute utilisation ou diffusion non autorisee est interdite.
Tout message electronique est susceptible d'alteration.
La FIMAT et ses filiales declinent toute responsabilite au titre de ce
message s'il a ete altere, deforme ou falsifie.
                                          ********
This message and any attachments (the "message") are confidential and
intended solely for the addressees.
Any unauthorised use or dissemination is prohibited.
E-mails are susceptible to alteration.
Neither FIMATnor any of its subsidiaries or affiliates shall be liable for
the message if altered, changed or falsified.

Re: [Quantlib-dev] new quantlib calendars

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

Xavier

thank you for the contribution.

In addition to Luigi's questions:
>1) is the copyright owned by you or FIMAT?
>2) in either case, can you get from FIMAT a statement that it's ok for
>them if you contribute code under the QuantLib license?
>3) is there any particular reason you don't name the official source
>for the calendar info? Otherwise, it'd be nice to put it in the docs.
a) not all holidays have been documented in the hpp file. This can be 
easily fixed.
b) Lunar New Year, Tomb Sweeping, Dragon Boat, Mid-Autumn Festival, 
Buddha's birthday, Harvest Moon, Tuen NG Festival, Chung Yeung fest, ecc 
are provided for 2004, 2005, 2006. Is there an algorithm for calculating 
them? If the algo is not easy shouldn't we tabulate them as we do for 
Easter Monday?
c) Honk Kong calendar: you list "Day after Good Friday", but since this is 
a Saturday it shouldn't be listed as a separate holiday. Am I wrong?

ciao -- Nando 

Re: [Quantlib-dev] new quantlib calendars

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

On 2004.04.21 14:52, Xav...@fi... wrote:
> I've added new calendars in my quantlib and I'm wondering if it could
> be included in the next release of QuantLib.
> These data are coming from an official source.

Xavier,
	I'll include them as soon as I get a bit of time.
A few questions:
1) is the copyright owned by you or FIMAT?
2) in either case, can you get from FIMAT a statement that it's ok for  
them if you contribute code under the QuantLib license?
3) is there any particular reason you don't name the official source  
for the calendar info? Otherwise, it'd be nice to put it in the docs.

Thanks,
	Luigi

[Quantlib-dev] [ quantlib-Bugs-938879 ] divide by zero in impliedVolatility()

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

Bugs item #938879, was opened at 2004-04-20 23:26
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=938879&group_id=12740

Category: None
Group: None
>Status: Closed
>Resolution: Fixed
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Luigi Ballabio (lballabio)
Summary: divide by zero in impliedVolatility()

Initial Comment:
/*
SingleAssetOption::impliedVolatility() fails because of a 
divide by zero in EuropeanOption::D1()
version 0.3.4

Test function: QL_tAmericanOptionImpliedVolatility()
*/

void QL_tAmericanOptionImpliedVolatility() {
	FdAmericanOption AO = FdAmericanOption(
			Option::Call, 
			100.0, //underlying, 
			100.0, //strike, 
			.01,   //dividendYield, 
			.03,   //riskFreeRate, 
			.50,   //maturity, 
			.40,   //volatility, 
			150,   //timeSteps, 
			151    //gridPoints
		);

	double impliedVol = AO.impliedVolatility(11.10);
	printf("impliedVol=%f\n", impliedVol);

  }

/*
Call stack: 

QuantLib::EuropeanOption::standardDeviation() line 116
QuantLib::EuropeanOption::D1() line 125 + 42 bytes
QuantLib::EuropeanOption::alpha() line 78 + 8 bytes
QuantLib::EuropeanOption::value() line 58 + 25 bytes
QuantLib::FdStepConditionOption::calculate() line 66 + 
59 bytes
QuantLib::FdBsmOption::value() line 37 + 13 bytes
QuantLib::SingleAssetOption::VolatilityFunction::operator
()(double 0.00000000000000) line 124 + 24 bytes
QuantLib::Solver1D<QuantLib::Brent>::solve(const 
QuantLib::SingleAssetOption::VolatilityFunction & {...}, 
double 0.00010000000000000, double 
0.40000000000000, double 0.00000000000000, double 
4.0000000000000) line 173 + 19 bytes
QuantLib::SingleAssetOption::impliedVolatility(double 
11.100000000000, double 0.00010000000000000, 
unsigned int 100, double 0.00000000000000, double 
4.0000000000000) line 175 + 50 bytes
QL_tAmericanOptionImpliedVolatility() line 25 + 44 bytes

Divide by zero in EuropeanOption::D1() because 
standardDeviation()==volatility_== 0

Definitions of the two member functions in 
european_option.hpp:

    inline double EuropeanOption::standardDeviation() 
const {
        if (standardDeviation_==Null<double>())
            standardDeviation_ = volatility_*QL_SQRT
(residualTime_);
        return standardDeviation_;
    }

    inline double EuropeanOption::D1() const {
        if (D1_==Null<double>())
            D1_ = QL_LOG(underlying_/payoff_.strike
())/standardDeviation() +
                standardDeviation()/2.0 +
                (riskFreeRate_ - dividendYield_) *
                residualTime_/standardDeviation();
        return D1_;
    }
 
yb...@co...
*/

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2004-04-21 16:11

Message:
Logged In: YES 
user_id=75450

The bug is now fixed in CVS.
Thanks for the report.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=938879&group_id=12740

[Quantlib-dev] new quantlib calendars

[<Xav...@fi...>]

Dear QuantLib,

I've added new calendars in my quantlib and I'm wondering if it could be
included in the next release of QuantLib.
These data are coming from an official source.
Regards

Xavier Abulker
(See attached file: hongkong.hpp)(See attached file: hongkong.cpp)(See
attached file: seoul.cpp)(See attached file: seoul.hpp)(See attached file:
taiwan.cpp)(See attached file: taiwan.hpp)


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[Quantlib-dev] [ quantlib-Bugs-938879 ] divide by zero in impliedVolatility()

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

Bugs item #938879, was opened at 2004-04-20 14:26
Message generated for change (Tracker Item Submitted) made by Item Submitter
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=938879&group_id=12740

Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: divide by zero in impliedVolatility()

Initial Comment:
/*
SingleAssetOption::impliedVolatility() fails because of a 
divide by zero in EuropeanOption::D1()
version 0.3.4

Test function: QL_tAmericanOptionImpliedVolatility()
*/

void QL_tAmericanOptionImpliedVolatility() {
	FdAmericanOption AO = FdAmericanOption(
			Option::Call, 
			100.0, //underlying, 
			100.0, //strike, 
			.01,   //dividendYield, 
			.03,   //riskFreeRate, 
			.50,   //maturity, 
			.40,   //volatility, 
			150,   //timeSteps, 
			151    //gridPoints
		);

	double impliedVol = AO.impliedVolatility(11.10);
	printf("impliedVol=%f\n", impliedVol);

  }

/*
Call stack: 

QuantLib::EuropeanOption::standardDeviation() line 116
QuantLib::EuropeanOption::D1() line 125 + 42 bytes
QuantLib::EuropeanOption::alpha() line 78 + 8 bytes
QuantLib::EuropeanOption::value() line 58 + 25 bytes
QuantLib::FdStepConditionOption::calculate() line 66 + 
59 bytes
QuantLib::FdBsmOption::value() line 37 + 13 bytes
QuantLib::SingleAssetOption::VolatilityFunction::operator
()(double 0.00000000000000) line 124 + 24 bytes
QuantLib::Solver1D<QuantLib::Brent>::solve(const 
QuantLib::SingleAssetOption::VolatilityFunction & {...}, 
double 0.00010000000000000, double 
0.40000000000000, double 0.00000000000000, double 
4.0000000000000) line 173 + 19 bytes
QuantLib::SingleAssetOption::impliedVolatility(double 
11.100000000000, double 0.00010000000000000, 
unsigned int 100, double 0.00000000000000, double 
4.0000000000000) line 175 + 50 bytes
QL_tAmericanOptionImpliedVolatility() line 25 + 44 bytes

Divide by zero in EuropeanOption::D1() because 
standardDeviation()==volatility_== 0

Definitions of the two member functions in 
european_option.hpp:

    inline double EuropeanOption::standardDeviation() 
const {
        if (standardDeviation_==Null<double>())
            standardDeviation_ = volatility_*QL_SQRT
(residualTime_);
        return standardDeviation_;
    }

    inline double EuropeanOption::D1() const {
        if (D1_==Null<double>())
            D1_ = QL_LOG(underlying_/payoff_.strike
())/standardDeviation() +
                standardDeviation()/2.0 +
                (riskFreeRate_ - dividendYield_) *
                residualTime_/standardDeviation();
        return D1_;
    }
 
yb...@co...
*/

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=938879&group_id=12740

Re: [Quantlib-dev] 0.3.6 packages

[Liguo S. <lig...@va...>]

Hi, Nando,

As usual, the RPM packages are at 
http://nlog.phy.vanderbilt.edu/SoftwareProjects/QuantLib/
Please put them up to sourceforge.

From this release on, the default binary compilation for RPM package
will be i686, which can already be considered acient by now. If anyone
needs the i386 binary, try to compile from the source rpm package or
drop me a message.

BTW, I just take up a new job, which requires extensive hours. So, I
will only be available during the weekends. I am sorry that I won't be
very responsive during the week. :(

Later.


Liguo



On Fri, 16 Apr 2004, Ferdinando Ametrano wrote:

> Hi all
> 
> the 0.3.6 tarballs produced by Luigi are available from 
> www.quantlib.org/gm. I've released them yesterday along with the Win32 
> packages, so they are also available from the QuantLib (SourceForge) 
> download page. Please let us know if there are problems with your own magic.
> 
> thank you
> 
> ciao -- Nando
> 
> 
> 
> -------------------------------------------------------
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> 

[Quantlib-dev] 0.3.6 packages

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

Hi all

the 0.3.6 tarballs produced by Luigi are available from 
www.quantlib.org/gm. I've released them yesterday along with the Win32 
packages, so they are also available from the QuantLib (SourceForge) 
download page. Please let us know if there are problems with your own magic.

thank you

ciao -- Nando

[Quantlib-dev] Announcing QuantLib 0.3.6

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

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

Release 0.3.6 fixes a serious bug in release 0.3.5 where a call to
OneAssetOption::impliedVolatility() from any of its derived classes
would break the state of the option and possibly of other options
sharing the same data.

Ferdinando Ametrano

Re: [Quantlib-dev] 0.3.6 release

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

On 2004.04.15 13:46, Luigi Ballabio wrote:
> 	tarballs for the 0.3.6 release (basically 0.3.5 with the  
> implied-volatility bug fixed) are available at http://quantlib.org/gm

Oh, and for the records: the release was made on the R000305f0-branch.
The point of the previous release was tagged as R000305f0-release; the  
point of this one as R000306f0-release.

Bye,
	Luigi