quantlib-dev — Discussion of QuantLib development

[Quantlib-dev] Re: QuantLibMma license

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

At 12:28 PM 5/14/03 +0200, Ferdinando Ametrano wrote:
>I suggest you add a check somewhere in the main header file as in:
>#if QL_HEX_VERSION < 0x000302a1
>     #error using an old version of QuantLib, please update
>#endif

As I suspect you used the 0.3.1 release, you might want to make it:

#if QL_HEX_VERSION != 0x000301f0
     #error QuantLib release 0.3.1 required
#endif

as future versions might just as easily break your code.

>As for the packaging I cannot comment, since I'm not a Mathematica user.
>Anyone has additional/different suggestions/comments? Luigi?

I'm not a Mathematica user either. Did you have any feedback from the 
mailing list? (other than "wow, cool" of course :)

Bye,
         Luigi

[Quantlib-dev] Re: QuantLibMma license

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

Hi Niels

>as announced on the QuantLib user mailing list, I just released a first
>limited version of QuantLib for Mathematica.
I missed the announcement. Was it my fault, or it just wasn't distribute?

>I have simply used the QuantLib license as I prefer a BSD style license. As
>a consequence I have copied the text from
>the QuantLib C++ sources, modified it slightly and used it in my own
>.m-files and .cpp-files. This text includes your e-mail-address.
>I would like to ask you to have a look at this text, and also the
>License.txt and tell me if everything is fine with you.
Ok, you can also substitute my address with yours

>Obviously, also any suggestions for improvements concerning the license or
>the QuantLibMma package in general will be highly appreciated.
On a medium/long term strategy I think that QuantLibMma maintainance could 
be demanding, especially if you don't synch it with the current Quantlib 
CVS code.
Which version of QuantLib have you used for QuantLibMma?
I suggest you add a check somewhere in the main header file as in:
#if QL_HEX_VERSION < 0x000302a1
     #error using an old version of QuantLib, please update
#endif

Since you adopted the QuantLib licence I would propose you to put 
QuantLibMma into a new module of the general QuantLib CVS repository at 
(quantlib.org) SourceForge: this would allow everybody to follow any 
intermediate development between QuantLibMma releases.
QuantLib-Python, QuantLib-Ruby, etc are also there at SourceForge.
Should you go with (quantlib.org) SourceForge you could just use the 
verbatim text of the QuantLib license

I will also add you email address to the quantlib-dev mailing list (in CC 
here): it is a message for back-channel communication between the most 
active QuantLib developers

As for the packaging I cannot comment, since I'm not a Mathematica user.

Anyone has additional/different suggestions/comments? Luigi?

------------
ciao -- Nando

[Quantlib-dev] [ quantlib-Feature Requests-528741 ] Python 2.2 installer

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

Feature Requests item #528741, was opened at 2002-03-12 01:28
Message generated for change (Settings changed) made by nando
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=528741&group_id=12740

Category: None
Group: None
Status: Closed
Priority: 5
Submitted By: Gábor Lipták (gliptak)
Assigned to: Nobody/Anonymous (nobody)
Summary: Python 2.2 installer

Initial Comment:
Please consider providing a Python 2.2 installer too.

Thanks

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

>Comment By: Ferdinando Ametrano (nando)
Date: 2003-05-01 23:13

Message:
Logged In: YES 
user_id=34616

Python 2.2 installers are provided for both QuantLib 0.3.0 and 
0.3.1 and you can get them at:
http://sourceforge.net/project/showfiles.php?group_id=12740

Anyway the usual
python setup.py build
python setup.py install

does work with whatever Python version provided that you 
have the corresponding QuantLib version installed

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

Comment By: Luigi Ballabio (lballabio)
Date: 2002-03-12 09:23

Message:
Logged In: YES 
user_id=75450

It's on the check list for next release.
Python 2.2 had not been released 
at the time of
the QuantLib 0.2.1 release.


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

Comment By: Ferdinando Ametrano (nando)
Date: 2002-03-12 09:21

Message:
Logged In: YES 
user_id=34616

We will consider it.
Anyway the source distribution should allow the standard:
python setup.py build
python setup.py install
provided that you have QuantLib installed

ciao -- Nando

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=528741&group_id=12740

[Quantlib-dev] [ quantlib-Feature Requests-528741 ] Python 2.2 installer

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

Feature Requests item #528741, was opened at 2002-03-11 19:28
Message generated for change (Settings changed) made by gliptak
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=528741&group_id=12740

Category: None
Group: None
>Status: Closed
Priority: 5
Submitted By: Gábor Lipták (gliptak)
Assigned to: Nobody/Anonymous (nobody)
Summary: Python 2.2 installer

Initial Comment:
Please consider providing a Python 2.2 installer too.

Thanks

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

Comment By: Luigi Ballabio (lballabio)
Date: 2002-03-12 03:23

Message:
Logged In: YES 
user_id=75450

It's on the check list for next release.
Python 2.2 had not been released 
at the time of
the QuantLib 0.2.1 release.


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

Comment By: Ferdinando Ametrano (nando)
Date: 2002-03-12 03:21

Message:
Logged In: YES 
user_id=34616

We will consider it.
Anyway the source distribution should allow the standard:
python setup.py build
python setup.py install
provided that you have QuantLib installed

ciao -- Nando

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=528741&group_id=12740

RE: [Quantlib-dev] Compiling under MSVC

[Andre L. <An...@de...>]

After some further investigation I've noticed the following:

I use the command line to build Python-QuantLib for Windows, i.e "python
setup.py wrap" and "install". This gives the link errors. I noticed that it
uses "build\temp.win32-2.2\..." and "build\lib.win32-2.2\..." as it's output
directories.

Using Visual Studio and QuantLibPython.dsp to build works fine, except that
it doesn't finish the distribution by copying the relevant files to Python's
site-packages directory?! I noticed that it uses "build\temp.win32-2.1\..."
and "build\lib.win32-2.1\..." as it's output directories.

Hope this casts a bit more light onto the problem!

Andre
 
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Re: [Quantlib-dev] Compiling under MSVC

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

At 10:23 AM 4/8/03 +0200, Andre Louw wrote:
>When building my SWIG generated wrapper for Python I get the following LINK
>errors:

(snip)

>Any ideas on what could be causing this?

Nando, could it be that you changed MSVC options? (multithreaded, 
multithreaded dll, whatever?)

Bye,
         Luigi

[Quantlib-dev] Compiling under MSVC

[Andre L. <An...@de...>]

When building my SWIG generated wrapper for Python I get the following LINK
errors:

*****************
C:\Program Files\Microsoft Visual Studio\VC98\BIN\link.exe /DLL /nologo
/INCREMENTAL:NO /LIBPATH:e:\QuantLib\lib\win32\VisualStudio
/LIBPATH:c:\Python22\libs /EXPORT:init_QuantLib
build\temp.win32-2.2\Release\quantlib_wrap.obj
/OUT:build\lib.win32-2.2\QuantLib\_QuantLib.pyd
/IMPLIB:build\temp.win32-2.2\Release\_QuantLib.lib /subsystem:windows
/machine:I386

msvcprt.lib(MSVCP60.dll) : error LNK2005: "public: __thiscall
std::basic_string<char,struct std::char_traits<char>,class
std::allocator<char> >::basic_string<char,struct
std::char_traits<char>,class std::allocator<char> >(char const *,class
basic_string<char,struct std::char_traits<char>,class std::allocator<char>
>::allocator<char> const &)"
(??0?$basic_string@DU?$char_traits@D@std@@V?$allocator@D@2@@std@@QAE@PBDABV?
$allocator@D@1@@Z) already defined in
QuantLib.lib(analyticeuropeanengine.obj)
msvcprt.lib(MSVCP60.dll) : error LNK2005: "public: __thiscall
std::basic_string<char,struct std::char_traits<char>,class
std::allocator<char> >::basic_string<char,struct
std::char_traits<char>,class std::allocator<char> >(void)"
(??1?$basic_string@DU?$char_traits@D@std@@V?allocator@D@2@@std@@QAE@XZ)
already defined in QuantLib.lib(analyticeuropeanengine.obj)
msvcprt.lib(MSVCP60.dll) : error LNK2005: "public: __thiscall
std::basic_string<char,struct std::char_traits<char>,class
std::allocator<char> >::basic_string<char,struct
std::char_traits<char>,class std::allocator<char> >(class
basic_string<char,struct std::char_traits<char>,class std::allocator<char>
>::basic_string<char,struct std::char_traits<char>,class
std::allocator<char> > const &)"
(??0?$basic_string@DU?$char_traits@D@std@@V?$allocator@D@2@@std@@QAE@ABV01@@
Z) already
defined in QuantLib.lib(analyticeuropeanengine.obj)
msvcprt.lib(MSVCP60.dll) : error LNK2005: "public: __thiscall
std::basic_string<char,struct std::char_traits<char>,class
std::allocator<char> >::basic_string<char,struct
std::char_traits<char>,class std::allocator<char> >(class
basic_string<char,struct std::char_traits<char>,class std::allocator<char>
>::allocator<char> const &)"
(??0?$basic_string@DU?$char_traits@D@std@@V?$allocator@D@2@@std@@QAE
@ABV?$allocator@D@1@@Z) already defined in
QuantLib.lib(piecewiseflatforward.obj)
msvcprt.lib(MSVCP60.dll) : warning LNK4006: "public: __thiscall
std::basic_string<char,struct std::char_traits<char>,class
std::allocator<char> >::basic_string<char,struct
std::char_traits<char>,class std::allocator<char> >(char const *,class
basic_string<char,struct std::char_traits<char>,class std::allocator<char>
>::allocator<char> const &)"
(??0?$basic_string@DU?$char_traits@D@std@@V?$allocator@D@2@@std@@QAE@PBDABV?
$allocator@D@1@@Z) already defined in
QuantLib.lib(analyticeuropeanengine.obj); second definition ignored
msvcprt.lib(MSVCP60.dll) : warning LNK4006: "public: __thiscall
std::basic_string<char,struct std::char_traits<char>,class
std::allocator<char> >::~basic_string<char,struct
std::char_traits<char>,class std::allocator<char> >(void)"
(??1?$basic_string@DU?$char_traits@D@std@@V?$allocator@D@2@@std@@QAE@XZ)
already defined in QuantLib.lib(analyticeuropeanengine.obj); second
definition ignored
msvcprt.lib(MSVCP60.dll) : warning LNK4006: "public: __thiscall
std::basic_string<char,struct std::char_traits<char>,class
std::allocator<char> >::basic_string<char,struct
std::char_traits<char>,class std::allocator<char> >(class
basic_string<char,struct std::char_traits<char>,class std::allocator<char>
>::basic_string<char,struct std::char_traits<char>,class
std::allocator<char> > const &)"
(??0?$basic_string@DU?$char_traits@D@std@@V?$allocator@D@2@@std@@QAE@ABV01@@
Z) already defined in QuantLib.lib(analyticeuropeanengine.obj); second
definition ignored
msvcprt.lib(MSVCP60.dll) : warning LNK4006: "public: __thiscall
std::basic_string<char,struct std::char_traits<char>,class
std::allocator<char> >::basic_string<char,struct
std::char_traits<char>,class std::allocator<char> >(class
basic_string<char,struct std::char_traits<char>,class std::allocator<char>
>::allocator<char> const &)"
(??0?$basic_string@DU?$char_traits@D@std@@V?$allocator@D@2@@std@@QAE@ABV?$al
locator@D@1@@Z) already defined in QuantLib.lib(piecewiseflatforward.obj);
second definition ignored
   Creating library build\temp.win32-2.2\Release\_QuantLib.lib and object
build\temp.win32-2.2\Release\_QuantLib.exp
LINK : warning LNK4098: defaultlib "LIBCMT" conflicts with use of other
libs; use /NODEFAULTLIB:library
build\lib.win32-2.2\QuantLib\_QuantLib.pyd : fatal error LNK1169: one or
more multiply defined symbols found
error: command '"C:\Program Files\Microsoft Visual
Studio\VC98\BIN\link.exe"' failed with exit status 1169
***************

Any ideas on what could be causing this?

Andre
 
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[Quantlib-dev] Re: [Quantlib-users] Calibration Helpers

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

At 04:26 PM 4/7/03 +0200, Andre Louw wrote:
>Anybody out there using either Swaption or CapFloor CalibrationHelper
>classes?
>
>Luigi, can you maybe give me a few pointers on the way these were designed
>to be used. It looks almost like something I could use as a "factory" for my
>Swaption/CapFloors, although I'm missing a few methods, or, I'm missing the
>boat completely.

sed -e "s/Luigi/Sad/"

However, I gather they're designed like the RateHelpers---not really usable 
as a factory, since they're tightly coupled with the calibration process. 
Also, they might have some constraints you wouldn't want. E.g., SwapHelpers 
only instantiates swaps starting spot---I expect something of this kind 
also holds for calibration helpers. They might help in the sense that 
inside them caps/floors and swaptions are instantiated, so you can look at 
their code and figure out how to do it. But I don't think they can do more 
than this.

Later,
         Luigi

[Quantlib-dev] Calibration Helpers

[Andre L. <An...@de...>]

Anybody out there using either Swaption or CapFloor CalibrationHelper
classes?

Luigi, can you maybe give me a few pointers on the way these were =
designed
to be used. It looks almost like something I could use as a "factory" =
for my
Swaption/CapFloors, although I'm missing a few methods, or, I'm missing =
the
boat completely.

Andr=E9 Louw
Decillion Limited - "Your Risk Is Our Domain"

Email:	an...@de...
Office:	+27 (11) 328 1256
Mobile:	+27 (83) 414 5785
Fax:	+27 (11) 442 4456

=20
------------------------------------------------------------------------=
-
This e-mail is intended only for the use of the individual or entity =
named
above and may contain information that is confidential and privileged,
proprietary to the company and protected by law. If you are not the =
intended
recipient, you are hereby notified that any dissemination, distribution =
or
copying of this e-mail is strictly prohibited. Opinions, conclusions =
and
other information in this message that do not relate to the official
business of our company shall be understood as neither given nor =
endorsed by
it.

[Quantlib-dev] Fwd: new MonteCarlo::PathGenerator2

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

Hi all

I got no feedback to the message below. I'm going to assume that I can 
remove the antithetic calculation from all PathPricer in favour of the new 
MonteCarlo PathGenerator2.
Should I also assume that I can remove the old PathGenerator?

There will be a severe hit on performances, that will be solved in the 
medium term using the visitor pattern to make PathGenerator2 smarter.

ciao -- Nando

>Date: Thu, 06 Mar 2003 16:29:18 +0100
>To: QuantLib-dev <qua...@li...>
>From: Ferdinando Ametrano <na...@qu...>
>Subject: new MonteCarlo::PathGenerator2
>
>Hi all
>
>I've just committed a new path generator MonteCarlo::PathGenerator2. I 
>named it with the trailing 2 in the hope to allow it to live together with 
>the old MonteCarlo::PathGenerator.
>
>The new one is based on Sad's TimeGrid class to handle the time 
>discretization and Sad's DiffusionProcess class to actually generate 
>paths. Since the Black Scholes DiffusionProcess is now time/asset 
>dependant the new PathGenerator is also time/asset dependant.
>
>Unfortunately when the diffusion process is asset dependant we cannot 
>calculate the antithetic path in the path pricer anymore, since the drift 
>component is not common between a path and its antithetic one anymore. The 
>antithetic path must be calculated by the PathGenerator itself.
>
>This means that all the current PathPricers are wrong when the drift 
>process is asset dependant, and I'm going to remove the antithetic 
>calculation from all PathPricer in favour of the new MonteCarlo Pricing Engine.
>
>Then of course, I would also like to remove the old PathGenerator.
>
>I look forward to your feedback
>
>ciao -- Nando
>

[Quantlib-dev] cubic spline problem

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

Hi Nicolas

I found out that the algorithm you contributed for cubic spline 
interpolation is unable to fit a straight line y(x)=a*x+b when a and b are 
not integer. The interpolated function f(x) waves around y(x) and it equals 
y(x) at the tabulated x[i],y[i].

As temporary patch I've resumed the old code using the Numerical Recipes 
algorithm, and there is a compilation flag (actually a boolean data member) 
to switch from the NR algorithm to your code.

Could you take a look at the problem? I don't think it is a round-off 
problem, but I might be wrong. I would also appreciate if you could comment 
the code a little more, especially when it comes to the definition of the 
tridiagonal operator. Specifically I would like to understand which 
equation is described in each row of the operator.

I definitely prefer your approach to the NR one, and I hope we could get 
the best from both approaches.

Let's try to summarize: we want to interpolate N points using N-1 cubic 
polynomials. N-1 cubics are defined by 4(N-1) parameters: 
P_i(x)=a_i+b_i*x+c_i*x^2+d_i*x^3.
For each cubic we have 2 equations for the values, P_i(x_i)=y_i and 
P_i(x_{i+1})=y_{i+1}, that is 2(N-1) equations, plus 2 equations for the 
continuity of the first and second derivatives at the joining knots of the 
P_i, that are 2(N-2) equations.
So we have 4N-6 equations and 4N-4 parameters. We need 2 boundary 
conditions at X_0 and X_N

NR allows to set at X_0 and X_N the value of the first derivative or to set 
the second derivative equal to zero.
If I've got it right your code is smarter in the sense that it guesses the 
"best" boundary conditions from the shape of the tabulated (x[i],y[i]), but 
it's not clear to me how it does work.

I would like to keep the tridiagonal operator approach (that is more clear 
than the cryptic NR code), but we could allow the user to set the first or 
second derivative (not necessary equal to zero as in NR) if he likes, and 
if he doesn't set them then use your guess algorithm.

Do you agree? Am I missing something? And last but not least would you make 
the hacking ;-) ?



------------
ciao -- Nando

[Quantlib-dev] Re: Arrears fixing floating coupons / Averaging indexes

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

At 01:20 PM 3/11/03 +0200, Andre Louw wrote:
>I am in need of an arrears fixing swap. I assume you have given it some
>thought?

Andre,
         Nicolas committed a few classes a couple of weeks ago which might 
be the ones you need. You can check out the current CVS tree and look into 
ql/CashFlows --- in particular, IndexedCoupon, InArrearsIndexedCoupon, and 
UpFrontIndexedCoupon.

Later,
         Luigi

[Quantlib-dev] Arrears fixing floating coupons / Averaging indexes

[Andre L. <An...@de...>]

Luigi,

I am in need of an arrears fixing swap. I assume you have given it some
thought?

My first thought was that it should be fairly simple to add an averaging
xibor class which implements a fixing() method. Supplied with the
periodStart and -End dates as well as the fixingDays, it can then calculate
a fixing rate to pass back to the caller. This same could then be used from
within the existing amount() method in floatingratecoupon. Does this make
sense? 

What I noticed is that floatingratecoupon uses the
index->termStructure->dayCounter to determine it's period, whereas xibor
uses it's own dayCounter, is this a market convention?

This is of course only part of the problem - the whole issue of having
fixingDates at the end need to be addressed as well.

What is your feeling about this? Am I on the right track?

I have a few other issues that I would like to run by you, can you maybe
supply me with a phone number where I can contact you during office hours?

Andre

 
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business of our company shall be understood as neither given nor endorsed by
it.

[Quantlib-dev] new MonteCarlo::PathGenerator2

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

Hi all

I've just committed a new path generator MonteCarlo::PathGenerator2. I 
named it with the trailing 2 in the hope to allow it to live together with 
the old MonteCarlo::PathGenerator.

The new one is based on Sad's TimeGrid class to handle the time 
discretization and Sad's DiffusionProcess class to actually generate paths. 
Since the Black Scholes DiffusionProcess is now time/asset dependant the 
new PathGenerator is also time/asset dependant.

Unfortunately when the diffusion process is asset dependant we cannot 
calculate the antithetic path in the path pricer anymore, since the drift 
component is not common between a path and its antithetic one anymore. The 
antithetic path must be calculated by the PathGenerator itself.

This means that all the current PathPricers are wrong when the drift 
process is asset dependant, and I'm going to remove the antithetic 
calculation from all PathPricer in favour of the new MonteCarlo Pricing Engine.

Then of course, I would also like to remove the old PathGenerator.

I look forward to your feedback

ciao -- Nando

[Quantlib-dev] a few questions on trees and diffusion process

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

Hi Sad

you might have noticed that I'm using quite a few of your classes lately: 
Exercise, DiffusionProcess, TimeGrig, etc.
I'm especially interested in the medium term to "merge" into the Lattice 
framework the finite difference approach along with the tree based approach.

I've also added a few binomial trees that I coded for a course. A few 
things are not completely clear to me, and are stopping me from further 
work with the Lattice framework.
1) what is the addTimes method in charge of?
2) in general I see the rollback procedure too deeply encapsulated, not 
allowing easy intermediate rollback. Am I wrong? do you have a suggestion? 
E.g. I would like to perform a so-called black-scholes adjustment to all 
binomial trees, and that is an adjustment you perform only at the first 
rollback (T-1*dt), then you roll all the way back as usual. I'm quite 
confused where I could perform such adjustment

On a different topic: I would like to have a date interface for 
DiffusionProcess, along with the existing time interface. This is quite 
natural and easy when you take a look at the current BlackScholesProcess 
that accepts term structures as input. It is not that easy  for the 
OrnsteinUhlenbeckProcess, at least for me considering the way it is used in 
the model dynamics.
I performed a cursory look at the code, but where 
OrnsteinUhlenbeckProcesses are instantiated there are no Dates or 
TermStructure around providing the data I would need, basically the origin 
date and the dayCounter.
BTW to make OrnsteinUhlenbeckProcess accept time dependent parameters would 
allow to have interest rate models with non-flat vol and mean reversion

[Quantlib-dev] [ quantlib-Bugs-528736 ] building QuantLib CVS under Cygwin

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

Bugs item #528736, was opened at 2002-03-11 16:04
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=528736&group_id=12740

Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Submitted By: Gábor Lipták (gliptak)
Assigned to: Nobody/Anonymous (nobody)
Summary: building QuantLib CVS under Cygwin

Initial Comment:
As per the INSTALL.txt one should run configure in the
directory.

But there does not seem to be a configure in the directory:

http://cvs.sourceforge.net/cgi-bin/viewcvs.cgi/quantlib/QuantLib/

When I run autoconf, I get these errors:

$ autoconf --version
autoconf (GNU Autoconf) 2.52
Written by David J. MacKenzie.
~/QuantLib
$ autoconf
configure.in:12: error: possibly undefined macro:
AM_CONFIG_HEADER
configure.in:13: error: possibly undefined macro:
AM_INIT_AUTOMAKE
configure.in:22: error: possibly undefined macro:
AM_PROG_LIBTOOL
configure.in:31: error: possibly undefined macro:
AM_CONDITIONAL

Do I need to have some more cygwin packages installed?

Thanks

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

Comment By: Nobody/Anonymous (nobody)
Date: 2003-02-19 08:50

Message:
Logged In: NO 

In my case on cygwin, all has been ok.
Did you install dev utils provided in cygwin ?

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

Comment By: Ferdinando Ametrano (nando)
Date: 2002-03-13 01:03

Message:
Logged In: YES 
user_id=34616

The INSTALL.TXT is there to be distributed with the official
source tarball distribution. In the official source
distribution configure is available.

If you check out the source code from the CVS then you need
the GNU tools that developers use, and which are not
required to build QuantLib from tarballs. These are
automake, autoconf, libtool, GNU m4, GNU make, and others
which might escape me now. They all come with recent
GNU/Linux distributions, cygwin included.
To begin the build process from a CVS checkout, start with:

sh ./bootstrap

which will prepare the package for compilation. You can then
use ./configure and make in the usual way.

these info are available at http://quantlib.org/cvs.html

I currently compile QuantLib under cygwin, both tarball and CVS

Please let me know if this solves your problem

thank you for your feedback

ciao -- Nando

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=528736&group_id=12740

[Quantlib-dev] Conversion between Handles

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

Hi all,
	at the present time,

     Handle<CashFlow> c = ...;
     Handle<TermStructure> h = c;

will store in h a null pointer. h can be checked with h.isNull(), but in 
general a failed conversion will bite one far from the point where it 
actually happened (I just had to debug such a case, and it was not pretty). 
I'd rather have the failed conversion throw immediately. Is it OK for 
everybody?

Bye,
	Luigi

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

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

Feature Requests item #683151, was opened at 2003-02-08 15:30
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=683151&group_id=12740

Category: None
Group: None
Status: Open
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,


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

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

[Quantlib-dev] QuantLib 0.3.1 released

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

Hi all

Version 0.3.1 of QuantLib and QuantLib-docs have been released.

SWIG generated wrappers are also released in their 0.3.1 versions: 
QuantLib-Guile and QuantLib-MzScheme are included for the first time, 
joining the existing wrappers QuantLib-Python and QuantLib-Ruby.

Another new package is the first official QuantLib.NET release. This is a 
port of the original QuantLib (C++) to the .NET Framework. The port has 
been done in C#, providing full compatibilty with the CLI. QuantLib.NET can 
also use existing native libraries (eg. BLAS, MKL, ATLAS) to speed up 
computation and random number generation.

Debian packages of QuantLib, QuantLib-docs and some wrappers will be 
available shortly.

Feedback welcome

------------
ciao -- Nando

[Quantlib-dev] 0.3.1 is (hidden) available on SourceForge

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

Hi all

0.3.1 is hidden on SourceForge, but is actually available and can be 
downloaded from http://quantlib.org/nextrelease.html

I would ask everybody to download/unzipped/install/execute the files you're 
familiar with in order to help me check any last-minute problem.

Tomorrow the release will be public on SourceForge and 
http://quantlib.org/download.html

thank you everybody

------------
ciao -- Nando

[Quantlib-dev] commit on a frozen branch

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

Hi Marco

I noticed you committed 2 changes to the frozen branch R000301f0-branch, 
that was reserved for the 0.3.1 release.

It seems to me that the commits were not so crucial to start again with 
another 0.3.1 packaging, and I would prefer you to revert them back, so to 
have the CVS tag R000301f0-branch always available for re-creating 0.3.1 
sources, should the need arise.

I could do the 'revert changes' by myself, if you prefer, but I lost the 
quantlib-cvs notification emails, so in this case please remind me the 2 
affected files.

Of course your changes would/should be available on the trunk, and Luigi 
already committed them on the trunk, if I'm not wrong

------------
ciao -- Nando

Re: [Quantlib-dev] 0.3.1 release

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

On Tue, Jan 28, 2003 at 12:44:02PM +0100, Luigi Ballabio wrote:
> Dirk: the tarballs now in http://quantlib.org/gm are final. You can go 
> ahead and package them as 0.3.1.

Done -- quantlib, quantlib-python, quantlib-ruby and quantlib-refman
versions of 0.3.1 have been uploaded. The autobuilders should do their work
for the non-i386 platforms over the next few days.

I may add a quantlib-refman-html package in a few days. 

Dirk

-- 
Prediction is very difficult, especially about the future. 
				             -- Niels Bohr

[Quantlib-dev] mzscheme/guile/.NET

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

Hi all

I'm going to add 3 new packages under SourceForge for the 0.3.1 releases:
quantlib-mzscheme
quantlib-guile
quantlib.net

the existing packages are:
quantlib
quantlib-docs
quantlib-python
quantlib-ruby

I don't remember why all the packages are lower cases (my fault or 
sourceforge default): should I try to have .NET upper case?
Is mzscheme and guile OK, at least as much as python and ruby are OK?

Jens, Luigi: would you please get a username at FreshMeat in order to add 
you as admins of the python/ruby/mzscheme/guile/.NET branches of QuantLib 
(http://freshmeat.net/projects/quantlib/?topic_id=97)

thank you

------------
ciao -- Nando

AW: [Quantlib-dev] 0.3.1 release

[Jens T. <jen...@st...>]

Nando,

I have updated the gm folder with the latest builds.

Jens.

> I assume .NET will stay the same.

Re: [Quantlib-dev] 0.3.1 release

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

At 07:05 PM 1/27/03 +0100, Ferdinando Ametrano wrote:
>0.3.1 is marked with a February 4th date stamp: this should allow for any 
>problem that should arise, to give Dirk time enough to have his Debian 
>magic work done, and to prepare the web site

Dirk: the tarballs now in http://quantlib.org/gm are final. You can go 
ahead and package them as 0.3.1.

Bye,
         Luigi