quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] Calc Addin under Linux for QuantLibAddin-1.5.0

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

Hello,

> I have started to debug/test worksheets and things sort of work.
> Something that I dont understand; is OH working? Why I can not see
> the instantiation numbering (or whatever you call it) after the
> object name? Do you see this on MacOS?

My very vague recollection from working on the Calc addin years ago was
that it was not possible to implement that ID counter because it relied
on some functionality that was available in Excel but not in Calc.
This recollection is backed up by the screenshot on the QuantLibAddin
web site:  http://quantlib.org/quantlibaddin/index.html

Of course Lars's new LibreOffice addin is a completely different beast
so I don't know whether it suffers from the same limitation.

Cheers,
Eric

Re: [Quantlib-dev] Calc Addin under Linux for QuantLibAddin-1.5.0

[<ja...@fr...>]

I have started to debug/test worksheets and things sort of work. Something that I dont understand; is OH working? Why I can not see the instantiation numbering (or whatever you call it) after the object name? Do you see this on MacOS?

Best
Pepe


----- Original Message -----
> Hello again Lars,
> Sorry for the blackout; I was struggling with it and had not much to
> contribute with. But your last branch did help me a lot and save me
> quite a bit of time an effort. A big thank you.
> 
> I am building it ok on Linux and running the worksheets. I am
> providing a pedestrian Makefile for it. I can not do it with
> Makefile.oo as it is now. The Makefile is very basic but the idea is
> that eventually both Makefiles merge into a proper am file. It just
> provides a dynamic linked lib and installs it. Prerequisites on the
> environment are the same ones you mention.
> 
> There are a couple of differences. I dont install the way you do (my
> system needs sudo for that); I use a component file and my manifest
> file is fixed (this is the only collision I see with your make). Its
> similar to the standard add-in example in the uno sdk. Also the way
> I generate from the idl has a few unnecessary dependences, its also
> taken from the example.
> 
> I am adding this into github.com/japari/quantlib/tree/Calc_linuxmake
> This is a branch that I created from the PR you sent to Eric but
> when I uploaded to GitHub it only lets me PR to Erics fork. Can you
> take the changes into your branch please? I prefer that rather than
> issuing a PR to Eric.
> 
> Is there anyone working on this on Windows?
> 
> Best
> Pepe
> 
> My TODO list (comments on Makefile.linux results)
> -Useful functions like OHrangeRetrieveError are missing.
> -At least some functions, if not all, fail when called without all
> arguments given; i.e. there are no default values taken in.
> -Error codes as numbers are ugly.
> -Consider renaming the Add-In service to "QuantLib" ? This might be
> more tidy when looking for a function in the Calc drop down menu.
> -Debug the Makefile dependencies; when launching the Makefile with
> '-j' things go wrong: ...'at times'... theres no ./com/* generation,
> or too late and as a result the f's are not shown. No complains
> about missing includes though....
> -Trim the idl compilation; lots of stuff there not used.
> 
> 
> 
> 
> 
> ----- Original Message -----
> > Hi all,
> > 
> > Pepe, changed index.xml to remove inflation dependencies.
> > Eric, pushed anotther version without generated files in Calc
> > directory
> > - do I have to start another pull request or is the old one still
> > active
> > and includes the last changes?
> > 
> > Best regards,
> >    Lars
> > 
> > Am Donnerstag, den 16.07.2015, 06:19 +0200 schrieb ja...@fr...:
> > > Hi all,
> > > Lars, I have tried your branch and I the AddIn compilation fails
> > > at
> > > the inflation bonds registration so it looks like I need the xml
> > > files you mentioned. Can I have a look at them please? Can you
> > > add
> > > those to github?
> > > Thank you.
> > > Pepe
> > > 
> > > 
> > > ----- Original Message -----
> > > > Hi Eric,
> > > > 
> > > > set up a pull request against 1.6.
> > > > 
> > > > @Pepe: is something missing or does everything work fine for
> > > > you
> > > > (I
> > > > have
> > > > written some more xml files for inflation, model calibration
> > > > etc.
> > > > which
> > > > are not included in this pull request)?
> > > > 
> > > > 
> > > > Best regards,
> > > >    Lars
> > > > 
> > > > 
> > > > Am Sonntag, den 12.07.2015, 12:57 +0300 schrieb Eric Ehlers:
> > > > > Hi Lars,
> > > > > 
> > > > > This is great!
> > > > > 
> > > > > Would it be possible for you to send me a pull request for
> > > > > this?
> > > > >  If
> > > > > you could do it against my v1.6.x branch then I will include
> > > > > it
> > > > > in
> > > > > the
> > > > > 1.6 release which I am preparing now.  Otherwise if you do it
> > > > > against
> > > > > my master then it will go in to 1.7.
> > > > > 
> > > > > Kind Regards,
> > > > > Eric
> > > > > 
> > > > > On Fri, 10 Jul 2015 19:05:55 +0200
> > > > > Lars Callenbach <lar...@gm...> wrote:
> > > > > 
> > > > > > Hello,
> > > > > > 
> > > > > > I have extended the addin code for the LibreOffice calc
> > > > > > plugin.
> > > > > > Changes: 1) vetor return values (iteration over std::vector
> > > > > > results)
> > > > > > 2) return type seqseq(ANY) for all addin functions to
> > > > > > provide
> > > > > > addin
> > > > > > access to exceptions (exception messages will be displayed
> > > > > > in
> > > > > > cells)
> > > > > > 3) implementation of default value handling
> > > > > > (ANY::hasValue()
> > > > > > function)
> > > > > > 4) works clean with dynamic libraries (and with static
> > > > > > linking)
> > > > > > 
> > > > > > I have changed a lot of XML config files and some python
> > > > > > files
> > > > > > for the
> > > > > > calc addin and I suggest to include my changes in the
> > > > > > official
> > > > > > code.
> > > > > > How shall we proceed to include these changes in the
> > > > > > official
> > > > > > version? Who is responsible for the maintenance of the calc
> > > > > > code?
> > > > > > Can
> > > > > > I help maintaining the calc code?
> > > > > > 
> > > > > > The generated code is available under
> > > > > > "https://www.callenbach.eu".
> > > > > > 
> > > > > > 
> > > > > > Best regards,
> > > > > >    Lars
> > > > > 
> > > > 
> > > > 
> > > > 
> > 
> > 
> > 
> 
> ------------------------------------------------------------------------------
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> 

Re: [Quantlib-dev] Calc Addin under Linux for QuantLibAddin-1.5.0

[<ja...@fr...>]

Hello again Lars,
Sorry for the blackout; I was struggling with it and had not much to contribute with. But your last branch did help me a lot and save me quite a bit of time an effort. A big thank you.

I am building it ok on Linux and running the worksheets. I am providing a pedestrian Makefile for it. I can not do it with Makefile.oo as it is now. The Makefile is very basic but the idea is that eventually both Makefiles merge into a proper am file. It just provides a dynamic linked lib and installs it. Prerequisites on the environment are the same ones you mention.

There are a couple of differences. I dont install the way you do (my system needs sudo for that); I use a component file and my manifest file is fixed (this is the only collision I see with your make). Its similar to the standard add-in example in the uno sdk. Also the way I generate from the idl has a few unnecessary dependences, its also taken from the example.

I am adding this into github.com/japari/quantlib/tree/Calc_linuxmake This is a branch that I created from the PR you sent to Eric but when I uploaded to GitHub it only lets me PR to Erics fork. Can you take the changes into your branch please? I prefer that rather than issuing a PR to Eric.

Is there anyone working on this on Windows?

Best
Pepe

My TODO list (comments on Makefile.linux results)
-Useful functions like OHrangeRetrieveError are missing.
-At least some functions, if not all, fail when called without all arguments given; i.e. there are no default values taken in.
-Error codes as numbers are ugly.
-Consider renaming the Add-In service to "QuantLib" ? This might be more tidy when looking for a function in the Calc drop down menu.
-Debug the Makefile dependencies; when launching the Makefile with '-j' things go wrong: ...'at times'... theres no ./com/* generation, or too late and as a result the f's are not shown. No complains about missing includes though....
-Trim the idl compilation; lots of stuff there not used.





----- Original Message -----
> Hi all,
> 
> Pepe, changed index.xml to remove inflation dependencies.
> Eric, pushed anotther version without generated files in Calc
> directory
> - do I have to start another pull request or is the old one still
> active
> and includes the last changes?
> 
> Best regards,
>    Lars
> 
> Am Donnerstag, den 16.07.2015, 06:19 +0200 schrieb ja...@fr...:
> > Hi all,
> > Lars, I have tried your branch and I the AddIn compilation fails at
> > the inflation bonds registration so it looks like I need the xml
> > files you mentioned. Can I have a look at them please? Can you add
> > those to github?
> > Thank you.
> > Pepe
> > 
> > 
> > ----- Original Message -----
> > > Hi Eric,
> > > 
> > > set up a pull request against 1.6.
> > > 
> > > @Pepe: is something missing or does everything work fine for you
> > > (I
> > > have
> > > written some more xml files for inflation, model calibration etc.
> > > which
> > > are not included in this pull request)?
> > > 
> > > 
> > > Best regards,
> > >    Lars
> > > 
> > > 
> > > Am Sonntag, den 12.07.2015, 12:57 +0300 schrieb Eric Ehlers:
> > > > Hi Lars,
> > > > 
> > > > This is great!
> > > > 
> > > > Would it be possible for you to send me a pull request for
> > > > this?
> > > >  If
> > > > you could do it against my v1.6.x branch then I will include it
> > > > in
> > > > the
> > > > 1.6 release which I am preparing now.  Otherwise if you do it
> > > > against
> > > > my master then it will go in to 1.7.
> > > > 
> > > > Kind Regards,
> > > > Eric
> > > > 
> > > > On Fri, 10 Jul 2015 19:05:55 +0200
> > > > Lars Callenbach <lar...@gm...> wrote:
> > > > 
> > > > > Hello,
> > > > > 
> > > > > I have extended the addin code for the LibreOffice calc
> > > > > plugin.
> > > > > Changes: 1) vetor return values (iteration over std::vector
> > > > > results)
> > > > > 2) return type seqseq(ANY) for all addin functions to provide
> > > > > addin
> > > > > access to exceptions (exception messages will be displayed in
> > > > > cells)
> > > > > 3) implementation of default value handling (ANY::hasValue()
> > > > > function)
> > > > > 4) works clean with dynamic libraries (and with static
> > > > > linking)
> > > > > 
> > > > > I have changed a lot of XML config files and some python
> > > > > files
> > > > > for the
> > > > > calc addin and I suggest to include my changes in the
> > > > > official
> > > > > code.
> > > > > How shall we proceed to include these changes in the official
> > > > > version? Who is responsible for the maintenance of the calc
> > > > > code?
> > > > > Can
> > > > > I help maintaining the calc code?
> > > > > 
> > > > > The generated code is available under
> > > > > "https://www.callenbach.eu".
> > > > > 
> > > > > 
> > > > > Best regards,
> > > > >    Lars
> > > > 
> > > 
> > > 
> > > 
> 
> 
> 

Re: [Quantlib-dev] quantlib libreoffice

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

Hello Again,

As mentioned in a separate mail, the source code for the LibreOffice
addin is included in the 1.6 prerelease files that I just uploaded to
this link:

https://sourceforge.net/projects/quantlib/files/QuantLibXL/prerelease2/

Alternately the code is in my v1.6.x branch and will shortly be merged
to my master.

I have not built the addin myself, and there were one or two glitches
in the merge, I hope that Lars can help with any questions that might
arise.

Kind Regards,
Eric

On Wed, 12 Aug 2015 20:35:43 +0600
Alibek Kulzhabayev <ali...@go...> wrote:

> Dear developers,
> 
> I have read in one forum that there is already addin support for
> libreoffice and one of the developers have the code in his fork. How
> is it possible to get that code or is it already in one of the
> versions? If yes, can you please, specify which one?
> 
> Thank you!
> 
> 
> 
> 
> Best regards, Alibek Kulzhabayev
> JavaEE developer in Epam Kazakhstan
> 
> m.phones: {+7 771 335 13 57, 8 778 838 87 18}

[Quantlib-dev] ObjectHandler, QuantLibAddin, and QuantLibXL Prerelease 1.6

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

Hi All,

I have uploaded the prerelease files for the 1.6 release of
ObjectHandler, QuantLibAddin, and QuantLibXL to this link:

https://sourceforge.net/projects/quantlib/files/QuantLibXL/prerelease2/

I would be grateful to anyone who could attempt the build and let me
know how it goes.

The binary release of QuantLibXL (QuantLibXL-1.6.0-bin.zip) includes a
64-bit version of the XLL, which I am not able to test, if somebody
could check whether that works it would be much appreciated.

These files include Lars's build for the LibreOffice addin.

I have not yet updated the documentation, I will do that when I ship
the final release, hopefully in a couple of days.

Kind Regards,
Eric

Re: [Quantlib-dev] quantlib libreoffice

[Alibek K. <ali...@go...>]

Thanks, Eric for informative answer.

>>Otherwise I am hoping to generate the prerelease tarballs this weekend
That would be of great help.

regards,
Alibek


On Thu, Aug 13, 2015 at 11:27 PM, Eric Ehlers <eri...@re...>
wrote:

> Hi Alibek,
>
> Lars has resurrected the LibreOffice addin and he and I are
> collaborating to get it in to the upcoming 1.6 release of
> QuantLibAddin.  Perhaps he will reply here with some location
> where the files could be acquired immediately.
>
> Otherwise I am hoping to generate the prerelease tarballs this weekend -
> in other words an early build of the 1.6 release that you could use -
> so another possibility would be for you to grab that when it is done.
>
> Cheers,
> Eric
>
> On Wed, 12 Aug 2015 20:35:43 +0600
> Alibek Kulzhabayev <ali...@go...> wrote:
>
> > Dear developers,
> >
> > I have read in one forum that there is already addin support for
> > libreoffice and one of the developers have the code in his fork. How
> > is it possible to get that code or is it already in one of the
> > versions? If yes, can you please, specify which one?
> >
> > Thank you!
> >
> >
> >
> >
> > Best regards, Alibek Kulzhabayev
> > JavaEE developer in Epam Kazakhstan
> >
> > m.phones: {+7 771 335 13 57, 8 778 838 87 18}
> >
>



-- 




Best regards, Alibek Kulzhabayev
JavaEE developer in Epam Kazakhstan

m.phones: {+7 771 335 13 57, 8 778 838 87 18}

Re: [Quantlib-dev] quantlib libreoffice

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

Hi Alibek,

Lars has resurrected the LibreOffice addin and he and I are
collaborating to get it in to the upcoming 1.6 release of
QuantLibAddin.  Perhaps he will reply here with some location
where the files could be acquired immediately.

Otherwise I am hoping to generate the prerelease tarballs this weekend -
in other words an early build of the 1.6 release that you could use -
so another possibility would be for you to grab that when it is done.

Cheers,
Eric

On Wed, 12 Aug 2015 20:35:43 +0600
Alibek Kulzhabayev <ali...@go...> wrote:

> Dear developers,
> 
> I have read in one forum that there is already addin support for
> libreoffice and one of the developers have the code in his fork. How
> is it possible to get that code or is it already in one of the
> versions? If yes, can you please, specify which one?
> 
> Thank you!
> 
> 
> 
> 
> Best regards, Alibek Kulzhabayev
> JavaEE developer in Epam Kazakhstan
> 
> m.phones: {+7 771 335 13 57, 8 778 838 87 18}
> 

[Quantlib-dev] quantlib libreoffice

[Alibek K. <ali...@go...>]

Dear developers,

I have read in one forum that there is already addin support for
libreoffice and one of the developers have the code in his fork. How is it
possible to get that code or is it already in one of the versions? If yes,
can you please, specify which one?

Thank you!




Best regards, Alibek Kulzhabayev
JavaEE developer in Epam Kazakhstan

m.phones: {+7 771 335 13 57, 8 778 838 87 18}

[Quantlib-dev] QuantLib 1.6.1 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 1.6.1 has been released and is available for download at
http://quantlib.org/download.shtml.

QuantLib 1.6.1 is a compatibility release. It adds out-of-the-box support
for the newly released Visual Studio 2015, and avoids use of deprecated
Boost macros that will be removed in the upcoming Boost 1.59.0 release. It
is otherwise the same as QuantLib 1.6.


    The QuantLib group
-- 

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

Re: [Quantlib-dev] 答复: 答复: 答复: 答复: 答复: 答复: 答复: Openmp work on mcarlo : Dynamic Creator MT

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

Hello,

I made an attempt to add multi threading to the general Monte Carlo
framework. It is built around a multi threaded Mersenne twister class
using the dcmt library wrapper mentioned earlier. From an end user
perspective multi threading is enabled by compiling the library and
application with OpenMP enabled (--enable-openmp if you use configure)
and using a multithreaded RNG trait like for example

    engine = MakeMCEuropeanHestonEngine<PseudoRandomMultiThreaded>(process)
                 .withStepsPerYear(11)
                 .withAntitheticVariate()
                 .withSamples(500000)
                 .withSeed(1234);

where the usual PseudoRandom is replaced by PseudoRandomMultiThreaded.
A nice property is that the results can be reproduced (up to round off
errors) as long as the seed is the same (of course) and the number of
threads being used are the same.

I only added a critical section when adding the path results to the
sample accumulator in MonteCarloModel (which does not cost much in my
tests). However the MC engines have to be carefully reviewed on a
single basis before using them multi threaded - usually they will give
non deterministic crashes with scary error messages. In particular the
path pricer and the process used for path generation must be made
thread safe. I did this (as an example) for the MCEuropeanHestonEngine
which essentially meant to ensure that these calls

riskFreeRate_->forwardRate(t0, t1, Continuous)
            - dividendYield_->forwardRate(t0, t1, Continuous);

in the HestonProcess do not trigger write operations in the yield term
structures' underlying LazyObject's. That can be done by a critical
section for these calls, which however is a performance killer (on 8
threads roughly no speed up is achieved effectively compared to a
single thread then). A better solution is to trigger the computation
of the two yield term structures before the simulation, which I do
when the path pricer is created. It seems clear that during the
simulation no notifications whatsoever are sent, so this should work
fine. Still, only a speed up of 2x is achieved in this example on 8
threads, which is not very impressive. I am not sure at the moment why
this is not better. I did similar adjustments to the MCAmericanEngine
and the LongstaffSchwartzPathPricer. Speedup is even less here. I will
try to replace OpenMP by a more native approach later to see what is
going on. Nevertheless, the thing is flying at least.

If somebody is interested to have a look, here is the pull request
containing the changes in the framework, the added dcmt wrapper and
test cases.

https://github.com/lballabio/quantlib/pull/280

Thank you
Peter

On 27 October 2014 at 04:46, cheng li <scr...@gm...> wrote:
> Hi Peter,
>
> It works great works on Windows.
>
> Try 9999999999 samples:
>
> Original MT: 35.63
> Daynamic MT: 37.03
>
> And also I try 100000, 100000000, 1000000000 samples,
>
> The result are similar and the elapsed time grows linearly.
>
> I tried vc++ 2012. The vc++ 2010 will work same in my opnion. I will get back to you when vc++ 2010 test finished.
>
> Regards,
> Cheng
>
> -----邮件原件-----
> 发件人: Peter Caspers [mailto:pca...@gm...]
> 发送时间: 2014年10月27日 3:49
> 收件人: cheng li
> 抄送: QuantLib Mailing Lists
> 主题: Re: 答复: 答复: 答复: 答复: 答复: 答复: [Quantlib-dev] Openmp work on mcarlo : Dynamic Creator MT
>
> Hi,
>
> I think I could further improve the performance of the precomputed twisters (i.e. the ones constructed as
>
> MersenneTwisterCustomRng<Mtdesc19937_5> mt(42);
>
> ). Now they seem to be just as fast as the original one (I only tested on Linux). The PR is updated.
>
> Cheng, would you maybe like to double check ?
>
> Thanks a lot
> Peter
>
> On 23 September 2014 03:50, cheng li <scr...@gm...> wrote:
>> Hi Peter,
>>
>> On my side the performance is also improved. Now around 2.5 slow down. Thanks for your help.
>>
>> Regards,
>> Cheng
>>
>> -----邮件原件-----
>> 发件人: Peter Caspers [mailto:pca...@gm...]
>> 发送时间: 2014年9月22日 16:05
>> 收件人: cheng li
>> 抄送: QuantLib Mailing Lists
>> 主题: Re: 答复: 答复: 答复: 答复: 答复: [Quantlib-dev] Openmp work on mcarlo :
>> Dynamic Creator MT
>>
>> yes, please. The slowdown on Windows on my office computer is around 1.6 now.
>> best regards
>> Peter
>>
>> On 22 September 2014 03:48, cheng li <scr...@gm...> wrote:
>>> Hi Peter,
>>>
>>> Thanks for your effort. I'll definitely have a try:)
>>>
>>> Regards,
>>> Cheng
>>>
>>> -----邮件原件-----
>>> 发件人: Peter Caspers [mailto:pca...@gm...]
>>> 发送时间: 2014年9月21日 23:11
>>> 收件人: cheng.li
>>> 抄送: QuantLib Mailing Lists
>>> 主题: Re: 答复: 答复: 答复: 答复: [Quantlib-dev] Openmp work on mcarlo :
>>> Dynamic Creator MT
>>>
>>> Hi Cheng,
>>>
>>> I switched to a template class for precomputed twisters, which is
>>> faster by a factor of 2 (450ms instead of 870ms). This can be
>>> instantiated with
>>>
>>> MersenneTwisterCustomRng<Mtdesc19937_5> mt(42);
>>>
>>> with 5 replaceable by 0 to 7 as before. The other is only needed now if you want to create a mt during runtime.
>>>
>>> The pull request is updated accordingly.
>>>
>>> Best regards
>>> Peter
>>>
>>>
>>>
>>>
>>> On 21 September 2014 08:11, cheng.li <scr...@gm...> wrote:
>>>> Hi Peter,
>>>>
>>>> Thanks for your hard work. I think our results are consistent.
>>>>
>>>> Regards,
>>>> Cheng
>>>>
>>>> -----邮件原件-----
>>>> 发件人: Peter Caspers [mailto:pca...@gm...]
>>>> 发送时间: 2014年9月21日 0:33
>>>> 收件人: cheng li
>>>> 抄送: QuantLib Mailing Lists
>>>> 主题: Re: 答复: 答复: 答复: [Quantlib-dev] Openmp work on mcarlo : Dynamic
>>>> Creator MT
>>>>
>>>> Hi Cheng,
>>>>
>>>> sorry, this was my fault, I messed up the timings, because I did not use consistent optimizer flags when compiling the library and the test program.
>>>>
>>>> Actually on Windows (same machine on which I run Ubuntu, which
>>>> doesn't really matter, because my computer in office gives very
>>>> similar
>>>> timings) I get for 1E8 random numbers generated (with O2)
>>>>
>>>> 400ms / 1100ms
>>>>
>>>> for the original ql mt / dynamic creator mt. The ql mt is just as
>>>> fast as the boost mt implementation by the way. On Ubuntu with gcc
>>>> 4.8.1 and O3 I get
>>>>
>>>> 290ms / 870ms
>>>>
>>>> and with O2 a close value, for the creator mt 910ms. Also it makes no difference if I use gcc 4.9.1 or clang 3.6.0.
>>>>
>>>> If I directly call the original C routine without using the wrapper object, I get 720ms.
>>>>
>>>> If I use the original library and a C example (both compiled with O3, this is the configuration how the library is shipped (it has a hardcoded make file)) => 730ms.
>>>>
>>>> This means, the wrapper introduces a slow down by 20% which seems not too bad.
>>>>
>>>> Otherwise the dcmt is slower by a factor of around 2-3 compared to the original mt in all cases. Since this is already the case with the original library, I wouldn't try to do anything about it at the moment.
>>>>
>>>> What is your opinion on this ?
>>>>
>>>> Peter
>>>>
>>>>
>>>>
>>>>
>>>>
>>>>
>>>>
>>>>
>>>>
>>>>
>>>>
>>>>
>>>> I compared dfiferent platforms again, but now on the _same_ machine - Original MT / Dynamic Creator MT (generation of 1E8 numbers, single threaded, with O2 (MSVC) and O3 (gcc, clang)). I also checked the boost implementation mt19937, which is very close to the ql original mt in all cases.
>>>>
>>>> Winodws / MSVC 2010 => 400ms / 1100ms Ubuntu / gcc 4.9.1 => 1200 ms
>>>> /
>>>> 1050 ms Ubuntu / gcc 4.8.1 => 1180 ms / 1040 ms Ubuntu / clang 3.6.0
>>>> => 1340 ms / 1150 ms
>>>>
>>>> clang
>>>> 290
>>>> 720
>>>> 870
>>>>
>>>> (c 730)
>>>>
>>>> so it looks like MSVC does a specific optimization for the QL and boost mt19937, which does not apply on the other platforms and not the the dynamic creator mt.
>>>>
>>>> At the moment I stil don't know what it is.
>>>>
>>>> On 18 September 2014 03:33, cheng li <scr...@gm...> wrote:
>>>>> Let me try your statement once I have a time.
>>>>>
>>>>> Regards,
>>>>> Cheng
>>>>>
>>>>> -----邮件原件-----
>>>>> 发件人: cheng li [mailto:scr...@gm...]
>>>>> 发送时间: 2014年9月18日 9:18
>>>>> 收件人: 'Peter Caspers'
>>>>> 抄送: 'QuantLib Mailing Lists'
>>>>> 主题: 答复: 答复: 答复: [Quantlib-dev] Openmp work on mcarlo : Dynamic
>>>>> Creator MT
>>>>>
>>>>> Hi Peter,
>>>>>
>>>>> I used gcc 4.8.2.
>>>>>
>>>>> My result with O3 optimization is still not good. Similar
>>>>> performance of new MT ( about 3~4X speed down)
>>>>>
>>>>> I used such statement to turn on o3 optimization before I do
>>>>> ./configure for QuantLib,
>>>>>
>>>>> Export CXXFLAGS="-g -O3"
>>>>>
>>>>> Am I right?
>>>>>
>>>>> Regards,
>>>>> Cheng
>>>>>
>>>>> -----邮件原件-----
>>>>> 发件人: Peter Caspers [mailto:pca...@gm...]
>>>>> 发送时间: 2014年9月18日 0:36
>>>>> 收件人: cheng li
>>>>> 抄送: QuantLib Mailing Lists
>>>>> 主题: Re: 答复: 答复: [Quantlib-dev] Openmp work on mcarlo : Dynamic
>>>>> Creator MT
>>>>>
>>>>> with gcc 4.9.1 and O2 the new mt is a bit slower than the original one (but only by a factor of 1.1).
>>>>> I have to add both -frename-registers, -finline-functions to -O2 to get the speed up back I mentioned before.
>>>>>
>>>>> Which compiler do you use on Ubuntu ?
>>>>>
>>>>> Peter
>>>>>
>>>>>
>>>>>
>>>>> On 17 September 2014 03:26, cheng li <scr...@gm...> wrote:
>>>>>> Thanks Peter. I test on Ubuntu also, about 3~4X lower with -O2 optiomization.
>>>>>>
>>>>>> I'll try -O3 on my machine also with Ubuntu.
>>>>>>
>>>>>> Regards,
>>>>>> Cheng
>>>>>>
>>>>>> -----邮件原件-----
>>>>>> 发件人: Peter Caspers [mailto:pca...@gm...]
>>>>>> 发送时间: 2014年9月17日 0:32
>>>>>> 收件人: Cheng Li; QuantLib Mailing Lists
>>>>>> 主题: Re: 答复: [Quantlib-dev] Openmp work on mcarlo : Dynamic Creator
>>>>>> MT
>>>>>>
>>>>>> Hi Cheng,
>>>>>>
>>>>>> indeed with msvc I get a slow down with a factor of ~2.8x. As I said, under gcc it is a speed up ~ 0.8x (with -O3).
>>>>>>
>>>>>> Does anyone have an idea where the different behaviour under gcc /
>>>>>> linux and msvc might come from (and how to improve the msvc side
>>>>>> if
>>>>>> possible) ?
>>>>>>
>>>>>> Kind regards
>>>>>> Peter
>>>>>>
>>>>>>
>>>>>>
>>>>>> On 13 September 2014 08:27, Cheng Li <scr...@gm...> wrote:
>>>>>>> Thanks Peter.
>>>>>>>
>>>>>>> Regards,
>>>>>>> Cheng
>>>>>>>
>>>>>>> 发自我的 iPad
>>>>>>>
>>>>>>>> 在 2014年9月13日，13:29，Peter Caspers <pca...@gm...> 写道：
>>>>>>>>
>>>>>>>> I will have a look on monday ( I have a Windows machine at work
>>>>>>>> ) and see how it works there
>>>>>>>>
>>>>>>>> Thanks
>>>>>>>> Peter
>>>>>>>>
>>>>>>>> Von meinem iPhone gesendet
>>>>>>>>
>>>>>>>>> Am 13.09.2014 um 04:41 schrieb Cheng Li <scr...@gm...>:
>>>>>>>>>
>>>>>>>>> I am on Win7 x64bit, using vs 2012 with quantlib 1.4 boost 1.55
>>>>>>>>> under release mode
>>>>>>>>>
>>>>>>>>> 发自我的 iPad
>>>>>>>>>
>>>>>>>>>> 在 2014年9月13日，0:08，Peter Caspers <pca...@gm...> 写道：
>>>>>>>>>>
>>>>>>>>>> Hi Cheng,
>>>>>>>>>>
>>>>>>>>>> no, I get better timings with the dcmt implementation, e.g.
>>>>>>>>>> for
>>>>>>>>>> 1E8 numbers
>>>>>>>>>>
>>>>>>>>>> dcmt 0.982s
>>>>>>>>>> quantlib 1.159s
>>>>>>>>>>
>>>>>>>>>> on my computer. Can you post your platform and compiler
>>>>>>>>>> settings, so that I can try to reproduce ?
>>>>>>>>>>
>>>>>>>>>> Thanks
>>>>>>>>>> Peter
>>>>>>>>>>
>>>>>>>>>>> On 12 September 2014 05:29, cheng li <scr...@gm...> wrote:
>>>>>>>>>>> Hi Peter,
>>>>>>>>>>>
>>>>>>>>>>> I have used your wrapper dcmt library and test with following
>>>>>>>>>>> codes: It seems dcmt in single thread is 4X slower than the
>>>>>>>>>>> QL original MT. Is this consistent with your side?
>>>>>>>>>>>
>>>>>>>>>>> #include <ql/quantlib.hpp>
>>>>>>>>>>> #include <boost/timer.hpp>
>>>>>>>>>>> #include <iostream>
>>>>>>>>>>>
>>>>>>>>>>> using namespace QuantLib;
>>>>>>>>>>> using namespace std;
>>>>>>>>>>>
>>>>>>>>>>> int main() {
>>>>>>>>>>>
>>>>>>>>>>>      int samples;
>>>>>>>>>>>      cin >> samples;
>>>>>>>>>>>      boost::timer myTimer;
>>>>>>>>>>>
>>>>>>>>>>>      MersenneTwisterUniformRng orignalMT;
>>>>>>>>>>>      for(Size i=0; i<samples; ++i)
>>>>>>>>>>>              orignalMT.next();
>>>>>>>>>>>
>>>>>>>>>>>      cout << myTimer.elapsed() << endl;
>>>>>>>>>>>
>>>>>>>>>>>      myTimer.restart();
>>>>>>>>>>>
>>>>>>>>>>>      MersenneTwisterDynamicRng mt( mtdesc_0_8_19937[5] , 1);
>>>>>>>>>>>
>>>>>>>>>>>      for(Size i=0; i<samples; ++i) {
>>>>>>>>>>>              mt.next();
>>>>>>>>>>>      }
>>>>>>>>>>>
>>>>>>>>>>>      cout << myTimer.elapsed() << endl;
>>>>>>>>>>>
>>>>>>>>>>>      int n;
>>>>>>>>>>>      std::cin>>n;
>>>>>>>>>>>      return 0;
>>>>>>>>>>> }
>>>>>>>>>>>
>>>>>>>>>>> Regards,
>>>>>>>>>>> Cheng
>>>>>>>>>>>
>>>>>>>>>>> -----邮件原件-----
>>>>>>>>>>> 发件人: Peter Caspers [mailto:pca...@gm...]
>>>>>>>>>>> 发送时间: 2014年9月6日 20:48
>>>>>>>>>>> 收件人: Joseph Wang
>>>>>>>>>>> 抄送: QuantLib Mailing Lists
>>>>>>>>>>> 主题: Re: [Quantlib-dev] Openmp work on mcarlo : Dynamic
>>>>>>>>>>> Creator MT
>>>>>>>>>>>
>>>>>>>>>>> Hi Joseph, all,
>>>>>>>>>>>
>>>>>>>>>>> I added a wrapper for the dcmt library (Dynamic Creator of
>>>>>>>>>>> Mersenne Twisters).
>>>>>>>>>>>
>>>>>>>>>>> https://github.com/lballabio/quantlib/pull/132
>>>>>>>>>>>
>>>>>>>>>>> I guess this is a useful building block for multithreaded monte carlo.
>>>>>>>>>>> Since for bigger p the dynamic creation takes a long time (it
>>>>>>>>>>> feels more like mining than computing ...), I precomputed 8 independent instances (i.e.
>>>>>>>>>>> for use in at most 8 parallel threads), for the "standard"
>>>>>>>>>>> value p = 19937 and word size 32, which one can instantiate
>>>>>>>>>>> with
>>>>>>>>>>>
>>>>>>>>>>> MersenneTwisterDynamicRng mt( mtdesc_0_8_19937[i] , seed_i );
>>>>>>>>>>>
>>>>>>>>>>> for i = 0, ... , 7.
>>>>>>>>>>>
>>>>>>>>>>> In addition the speed of random number generation seems a bit
>>>>>>>>>>> faster in the dcmt library than with the original ql twister.
>>>>>>>>>>> I observe running times scaled by a factor of 0.8 when generating 1E8 numbers.
>>>>>>>>>>>
>>>>>>>>>>> All this is of course experimental and not well tested, so
>>>>>>>>>>> any feedback and experiences are very welcome. I'd be very
>>>>>>>>>>> interested in your opinion on the dcmt library and applications in parallel monte carlo.
>>>>>>>>>>>
>>>>>>>>>>> Peter
>>>>>>>>>>>
>>>>>>>>>>>> On 20 October 2013 16:01, Joseph Wang <joe...@gm...> wrote:
>>>>>>>>>>>> I've done some more parallelization with openmp and quantlib.
>>>>>>>>>>>> I've uploaded the changes to the
>>>>>>>>>>>> https://github.com/joequant/quantlib.  The branch openmp has some changes that I've issued a pull-request for.
>>>>>>>>>>>> openmp-mcario has some changes that need some more work.
>>>>>>>>>>>>
>>>>>>>>>>>> I've gotten the MC to work by generating the paths in a
>>>>>>>>>>>> critical
>>>>>>>>>>> situation.
>>>>>>>>>>>> Calculating the prices once I have the path is
>>>>>>>>>>>> multithreaded, but right now I need to generate the paths in
>>>>>>>>>>>> a single thread to make sure that the same sequence is generated.
>>>>>>>>>>>>
>>>>>>>>>>>> The big issue right now is that there is a race condition in
>>>>>>>>>>>> the calculation of barrier options which is causing one
>>>>>>>>>>>> regression test to fail.  The problem is that the random
>>>>>>>>>>>> number generator is being called in BarrierPathPricer, and
>>>>>>>>>>>> since that is run multithread, the sequence that is being
>>>>>>>>>>>> pulled will change from run to run based on whether other paths have pulled random numbers already.
>>>>>>>>>>>>
>>>>>>>>>>>> I think that fixing this is going to need some code
>>>>>>>>>>>> restructuring, but I'd like to get some thoughts as to how
>>>>>>>>>>>> to do this.  Basically, the interface needs to be changed
>>>>>>>>>>>> slightly so that the random numbers are drawn in a fixed
>>>>>>>>>>>> order, and that might mean one call to get any additional
>>>>>>>>>>>> random numbers in a pricer, which gets called in a critical section, and another to run the pricer with the random numbers.
>>>>>>>>>>>>
>>>>>>>>>>>>
>>>>>>>>>>>>
>>>>>>>>>>>>
>>>>>>>>>>>> ------------------------------------------------------------
>>>>>>>>>>>> -
>>>>>>>>>>>> -
>>>>>>>>>>>> -
>>>>>>>>>>>> -
>>>>>>>>>>>> -
>>>>>>>>>>>> -----
>>>>>>>>>>>> -------- October Webinars: Code for Performance Free Intel
>>>>>>>>>>>> webinars can help you accelerate application performance.
>>>>>>>>>>>> Explore tips for MPI, OpenMP, advanced profiling, and more.
>>>>>>>>>>>> Get the most from the latest Intel processors and
>>>>>>>>>>>> coprocessors. See abstracts and register >
>>>>>>>>>>>> http://pubads.g.doubleclick.net/gampad/clk?id=60135031&iu=/4
>>>>>>>>>>>> 1
>>>>>>>>>>>> 4
>>>>>>>>>>>> 0 / o stg.c lktrk
>>>>>>>>>>>> _______________________________________________
>>>>>>>>>>>> QuantLib-dev mailing list
>>>>>>>>>>>> Qua...@li...
>>>>>>>>>>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>>>>>>>>>>
>>>>>>>>>>> -------------------------------------------------------------
>>>>>>>>>>> -
>>>>>>>>>>> -
>>>>>>>>>>> -
>>>>>>>>>>> -
>>>>>>>>>>> -
>>>>>>>>>>> ----------
>>>>>>>>>>> --
>>>>>>>>>>> Slashdot TV.
>>>>>>>>>>> Video for Nerds.  Stuff that matters.
>>>>>>>>>>> http://tv.slashdot.org/
>>>>>>>>>>> _______________________________________________
>>>>>>>>>>> QuantLib-dev mailing list
>>>>>>>>>>> Qua...@li...
>>>>>>>>>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>>>>>>>>>>
>>>>>>
>>>>>
>>>>>
>>>>
>>>
>>
>

[Quantlib-dev] Fwd: Mutating payoff to generate volatility curve

[Joseph W. <joe...@gm...>]

Hi,

I'm trying to take compute a volatitity surface from pricing data
using the swig python interface.  So what I'd essentially want to do
is something like quote handler only that I'd keep the current price
fixed, and then modify the underlying.

Would this be doable by creating an interface to the payoff function
that allows the strike price to be mutated, or are there some other
gotchas.  The alternative is to create a separate instrument for each
option in the array, but since we are talking about hundreds of
instruments, this seems like overkill.

Re: [Quantlib-dev] Questions about qlInterpolatedYieldCurve & qlYieldTSForwardRate of QuantLibXL-1.5.0

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

Hello,
    it seems to be a side-effect of the way we're calculating forward
rates. In the base YieldTermStructure class, where the calculation is
defined, the forward rate is defined basically as the numerical derivative
of the zero rate (unfortunately, we didn't provide a way to override the
calculation, for instance to take into account that the curve has the
forwards available for interpolation). The numerical derivative at time T
is calculated as [f(t+dt) - f(t-dt)]/(2*dt), which at the nodes has the
unfortunate effect of averaging the forward before the node and the one
after the node. You can check this by asking for the forward rate one day
before the node and one day after; those two will have the values you
expect, and the value at the node will be the average.

I'm afraid there's no easy way out of this. The good news is that the
discount factors and the zero rates are correct even at the nodes, so
instrument pricing will work correctly. As for retrieving the forward
rates, if you know that you're in this particular case, you can just ask
for them at the dates one day after the nodes.

Hope this helps,
    Luigi



On Sat, Jul 11, 2015 at 4:55 PM Boris Chow <cho...@gm...> wrote:

> Dear all,
>
> I am new to the list and would like to query about generating the yield
> curve object and way to generate forward rate.
>
> I have tried to use the excel addin of QuantLibXL-1.5.0
>
> I find that it is using Forward rate (cell containing G10) to create yield
> curve object (cell D5), and then use the same object to retrieve forward
> rate (cell N10). However, it is funny that the rates are different with an
> extent of 0.5% (the cells are highlighted in yellow).   I tried to play
> around different combination of last 2 parameters of qlYieldTSForwardRate
> but it cannot succeed.
>
> Please kindly advise the reason behind.
>
>
> Many thanks,
> Boris
>
>
> ------------------------------------------------------------------------------
> Don't Limit Your Business. Reach for the Cloud.
> GigeNET's Cloud Solutions provide you with the tools and support that
> you need to offload your IT needs and focus on growing your business.
> Configured For All Businesses. Start Your Cloud Today.
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> _______________________________________________
> 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] Question about building yield curve

[Boris C. <cho...@gm...>]

Thanks Luigi! :)

Sent from my iPhone

> On 16 Jul, 2015, at 10:18 pm, Luigi Ballabio <lui...@gm...> wrote:
> 
> You can start from the swap-valuation example in the QuantLib C++ release (look into the folder Examples/Swap) or the tests for the bootstrapped curve (test-suite/piecewiseyieldcurve.cpp).
> 
> Luigi
> 
>> On Thu, Jul 16, 2015 at 3:34 PM Boris Chow <cho...@gm...> wrote:
>> Thanks, either one would be fine to me. :)
>> 
>> Sent from my iPhone
>> 
>>> On 16 Jul, 2015, at 9:26 pm, Luigi Ballabio <lui...@gm...> wrote:
>>> 
>>> Hello Boris,
>>>     are you looking for examples in C++ or Excel?
>>> 
>>> Luigi
>>> 
>>>> On Sat, Jul 11, 2015 at 5:18 PM Boris Chow <cho...@gm...> wrote:
>>>> Dear all,
>>>> 
>>>> I am new to quantlib and would like to start reading documentation and would like to get an idea about how quantlib create yield curve with deposit rate / swap rate.
>>>> 
>>>> Would some kindly give me an pointer to start with?
>>>> 
>>>> Thanks a lot,
>>>> Boris
>>>> ------------------------------------------------------------------------------
>>>> Don't Limit Your Business. Reach for the Cloud.
>>>> GigeNET's Cloud Solutions provide you with the tools and support that
>>>> you need to offload your IT needs and focus on growing your business.
>>>> Configured For All Businesses. Start Your Cloud Today.
>>>> https://www.gigenetcloud.com/_______________________________________________
>>>> 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>
>>> 
> 
> -- 
> <http://leanpub.com/implementingquantlib/>
> <http://implementingquantlib.com>
> <http://twitter.com/lballabio>

Re: [Quantlib-dev] Question about building yield curve

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

You can start from the swap-valuation example in the QuantLib C++ release
(look into the folder Examples/Swap) or the tests for the bootstrapped
curve (test-suite/piecewiseyieldcurve.cpp).

Luigi

On Thu, Jul 16, 2015 at 3:34 PM Boris Chow <cho...@gm...> wrote:

> Thanks, either one would be fine to me. :)
>
> Sent from my iPhone
>
> On 16 Jul, 2015, at 9:26 pm, Luigi Ballabio <lui...@gm...>
> wrote:
>
> Hello Boris,
>     are you looking for examples in C++ or Excel?
>
> Luigi
>
> On Sat, Jul 11, 2015 at 5:18 PM Boris Chow <cho...@gm...> wrote:
>
>> Dear all,
>>
>> I am new to quantlib and would like to start reading documentation and
>> would like to get an idea about how quantlib create yield curve with
>> deposit rate / swap rate.
>>
>> Would some kindly give me an pointer to start with?
>>
>> Thanks a lot,
>> Boris
>>
>> ------------------------------------------------------------------------------
>> Don't Limit Your Business. Reach for the Cloud.
>> GigeNET's Cloud Solutions provide you with the tools and support that
>> you need to offload your IT needs and focus on growing your business.
>> Configured For All Businesses. Start Your Cloud Today.
>> https://www.gigenetcloud.com/
>> _______________________________________________
>> 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>
>
> --

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

Re: [Quantlib-dev] Question about building yield curve

[Boris C. <cho...@gm...>]

Thanks, either one would be fine to me. :)

Sent from my iPhone

> On 16 Jul, 2015, at 9:26 pm, Luigi Ballabio <lui...@gm...> wrote:
> 
> Hello Boris,
>     are you looking for examples in C++ or Excel?
> 
> Luigi
> 
>> On Sat, Jul 11, 2015 at 5:18 PM Boris Chow <cho...@gm...> wrote:
>> Dear all,
>> 
>> I am new to quantlib and would like to start reading documentation and would like to get an idea about how quantlib create yield curve with deposit rate / swap rate.
>> 
>> Would some kindly give me an pointer to start with?
>> 
>> Thanks a lot,
>> Boris
>> ------------------------------------------------------------------------------
>> Don't Limit Your Business. Reach for the Cloud.
>> GigeNET's Cloud Solutions provide you with the tools and support that
>> you need to offload your IT needs and focus on growing your business.
>> Configured For All Businesses. Start Your Cloud Today.
>> https://www.gigenetcloud.com/_______________________________________________
>> 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] Question about building yield curve

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

Hello Boris,
    are you looking for examples in C++ or Excel?

Luigi

On Sat, Jul 11, 2015 at 5:18 PM Boris Chow <cho...@gm...> wrote:

> Dear all,
>
> I am new to quantlib and would like to start reading documentation and
> would like to get an idea about how quantlib create yield curve with
> deposit rate / swap rate.
>
> Would some kindly give me an pointer to start with?
>
> Thanks a lot,
> Boris
>
> ------------------------------------------------------------------------------
> Don't Limit Your Business. Reach for the Cloud.
> GigeNET's Cloud Solutions provide you with the tools and support that
> you need to offload your IT needs and focus on growing your business.
> Configured For All Businesses. Start Your Cloud Today.
> https://www.gigenetcloud.com/
> _______________________________________________
> 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] Calc Addin under Linux for QuantLibAddin-1.5.0

[<ja...@fr...>]

Hi all,
Lars, I have tried your branch and I the AddIn compilation fails at the inflation bonds registration so it looks like I need the xml files you mentioned. Can I have a look at them please? Can you add those to github? 
Thank you.
Pepe


----- Original Message -----
> Hi Eric,
> 
> set up a pull request against 1.6.
> 
> @Pepe: is something missing or does everything work fine for you (I
> have
> written some more xml files for inflation, model calibration etc.
> which
> are not included in this pull request)?
> 
> 
> Best regards,
>    Lars
> 
> 
> Am Sonntag, den 12.07.2015, 12:57 +0300 schrieb Eric Ehlers:
> > Hi Lars,
> > 
> > This is great!
> > 
> > Would it be possible for you to send me a pull request for this?
> >  If
> > you could do it against my v1.6.x branch then I will include it in
> > the
> > 1.6 release which I am preparing now.  Otherwise if you do it
> > against
> > my master then it will go in to 1.7.
> > 
> > Kind Regards,
> > Eric
> > 
> > On Fri, 10 Jul 2015 19:05:55 +0200
> > Lars Callenbach <lar...@gm...> wrote:
> > 
> > > Hello,
> > > 
> > > I have extended the addin code for the LibreOffice calc plugin.
> > > Changes: 1) vetor return values (iteration over std::vector
> > > results)
> > > 2) return type seqseq(ANY) for all addin functions to provide
> > > addin
> > > access to exceptions (exception messages will be displayed in
> > > cells)
> > > 3) implementation of default value handling (ANY::hasValue()
> > > function)
> > > 4) works clean with dynamic libraries (and with static linking)
> > > 
> > > I have changed a lot of XML config files and some python files
> > > for the
> > > calc addin and I suggest to include my changes in the official
> > > code.
> > > How shall we proceed to include these changes in the official
> > > version? Who is responsible for the maintenance of the calc code?
> > > Can
> > > I help maintaining the calc code?
> > > 
> > > The generated code is available under
> > > "https://www.callenbach.eu".
> > > 
> > > 
> > > Best regards,
> > >    Lars
> > 
> 
> 
> 

Re: [Quantlib-dev] Calc Addin under Linux for QuantLibAddin-1.5.0

[<ja...@fr...>]

Hi,
Let me try; I'll be back.
Thank you
pepe


----- Original Message -----
> Hi Eric,
> 
> set up a pull request against 1.6.
> 
> @Pepe: is something missing or does everything work fine for you (I
> have
> written some more xml files for inflation, model calibration etc.
> which
> are not included in this pull request)?
> 
> 
> Best regards,
>    Lars
> 
> 
> Am Sonntag, den 12.07.2015, 12:57 +0300 schrieb Eric Ehlers:
> > Hi Lars,
> > 
> > This is great!
> > 
> > Would it be possible for you to send me a pull request for this?
> >  If
> > you could do it against my v1.6.x branch then I will include it in
> > the
> > 1.6 release which I am preparing now.  Otherwise if you do it
> > against
> > my master then it will go in to 1.7.
> > 
> > Kind Regards,
> > Eric
> > 
> > On Fri, 10 Jul 2015 19:05:55 +0200
> > Lars Callenbach <lar...@gm...> wrote:
> > 
> > > Hello,
> > > 
> > > I have extended the addin code for the LibreOffice calc plugin.
> > > Changes: 1) vetor return values (iteration over std::vector
> > > results)
> > > 2) return type seqseq(ANY) for all addin functions to provide
> > > addin
> > > access to exceptions (exception messages will be displayed in
> > > cells)
> > > 3) implementation of default value handling (ANY::hasValue()
> > > function)
> > > 4) works clean with dynamic libraries (and with static linking)
> > > 
> > > I have changed a lot of XML config files and some python files
> > > for the
> > > calc addin and I suggest to include my changes in the official
> > > code.
> > > How shall we proceed to include these changes in the official
> > > version? Who is responsible for the maintenance of the calc code?
> > > Can
> > > I help maintaining the calc code?
> > > 
> > > The generated code is available under
> > > "https://www.callenbach.eu".
> > > 
> > > 
> > > Best regards,
> > >    Lars
> > 
> 
> 
> 

Re: [Quantlib-dev] Calc Addin under Linux for QuantLibAddin-1.5.0

[Lars C. <lar...@gm...>]

Hi Eric,

set up a pull request against 1.6. 

@Pepe: is something missing or does everything work fine for you (I have
written some more xml files for inflation, model calibration etc. which
are not included in this pull request)?


Best regards,
   Lars


Am Sonntag, den 12.07.2015, 12:57 +0300 schrieb Eric Ehlers:
> Hi Lars,
> 
> This is great!
> 
> Would it be possible for you to send me a pull request for this?  If
> you could do it against my v1.6.x branch then I will include it in the
> 1.6 release which I am preparing now.  Otherwise if you do it against
> my master then it will go in to 1.7.
> 
> Kind Regards,
> Eric
> 
> On Fri, 10 Jul 2015 19:05:55 +0200
> Lars Callenbach <lar...@gm...> wrote:
> 
> > Hello,
> > 
> > I have extended the addin code for the LibreOffice calc plugin.
> > Changes: 1) vetor return values (iteration over std::vector results)
> > 2) return type seqseq(ANY) for all addin functions to provide addin
> > access to exceptions (exception messages will be displayed in cells)
> > 3) implementation of default value handling (ANY::hasValue() function)
> > 4) works clean with dynamic libraries (and with static linking)
> > 
> > I have changed a lot of XML config files and some python files for the
> > calc addin and I suggest to include my changes in the official code.
> > How shall we proceed to include these changes in the official
> > version? Who is responsible for the maintenance of the calc code? Can
> > I help maintaining the calc code?
> > 
> > The generated code is available under "https://www.callenbach.eu".
> > 
> > 
> > Best regards,
> >    Lars
> 

Re: [Quantlib-dev] Calc Addin under Linux for QuantLibAddin-1.5.0

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

Hi Lars,

This is great!

Would it be possible for you to send me a pull request for this?  If
you could do it against my v1.6.x branch then I will include it in the
1.6 release which I am preparing now.  Otherwise if you do it against
my master then it will go in to 1.7.

Kind Regards,
Eric

On Fri, 10 Jul 2015 19:05:55 +0200
Lars Callenbach <lar...@gm...> wrote:

> Hello,
> 
> I have extended the addin code for the LibreOffice calc plugin.
> Changes: 1) vetor return values (iteration over std::vector results)
> 2) return type seqseq(ANY) for all addin functions to provide addin
> access to exceptions (exception messages will be displayed in cells)
> 3) implementation of default value handling (ANY::hasValue() function)
> 4) works clean with dynamic libraries (and with static linking)
> 
> I have changed a lot of XML config files and some python files for the
> calc addin and I suggest to include my changes in the official code.
> How shall we proceed to include these changes in the official
> version? Who is responsible for the maintenance of the calc code? Can
> I help maintaining the calc code?
> 
> The generated code is available under "https://www.callenbach.eu".
> 
> 
> Best regards,
>    Lars

Re: [Quantlib-dev] Calc Addin under Linux for QuantLibAddin-1.5.0

[<ja...@fr...>]

Hi, 
thank you for the work. I have been playing recently with this but did not get as far as you did. 

To build in QuantLibAddin/Addins/Calc I have managed to create the *.urd *rdb and *.idl manually with the UNO tools. Could not use the Makefile.oo in the project. I havent get to the end; I was starting to modify the src files generation which you have done already. 
I am very interested in what you did since it is going to save me a lot of time. But can you fork from Erics and make it public in GitHub please? I bet there are a few people interested in it.

Best
Pepe


----- Original Message -----
> 
> Hello,
> 
> I have extended the addin code for the LibreOffice calc plugin.
> Changes:
> 1) vetor return values (iteration over std::vector results)
> 2) return type seqseq(ANY) for all addin functions to provide addin
> access to exceptions (exception messages will be displayed in cells)
> 3) implementation of default value handling (ANY::hasValue()
> function)
> 4) works clean with dynamic libraries (and with static linking)
> 
> I have changed a lot of XML config files and some python files for
> the calc addin and I suggest to include my changes in the official
> code. How shall we proceed to include these changes in the official
> version? Who is responsible for the maintenance of the calc code?
> Can I help maintaining the calc code?
> 
> The generated code is available under " https://www.callenbach.eu ".
> 
> 
> Best regards,
> Lars
> ------------------------------------------------------------------------------
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[Quantlib-dev] Question about building yield curve

[Boris C. <cho...@gm...>]

Dear all,

I am new to quantlib and would like to start reading documentation and
would like to get an idea about how quantlib create yield curve with
deposit rate / swap rate.

Would some kindly give me an pointer to start with?

Thanks a lot,
Boris

[Quantlib-dev] Questions about qlInterpolatedYieldCurve & qlYieldTSForwardRate of QuantLibXL-1.5.0

[Boris C. <cho...@gm...>]

Dear all,

I am new to the list and would like to query about generating the yield
curve object and way to generate forward rate.

I have tried to use the excel addin of QuantLibXL-1.5.0

I find that it is using Forward rate (cell containing G10) to create yield
curve object (cell D5), and then use the same object to retrieve forward
rate (cell N10). However, it is funny that the rates are different with an
extent of 0.5% (the cells are highlighted in yellow).   I tried to play
around different combination of last 2 parameters of qlYieldTSForwardRate
but it cannot succeed.

Please kindly advise the reason behind.


Many thanks,
Boris

[Quantlib-dev] Calc Addin under Linux for QuantLibAddin-1.5.0

[Lars C. <lar...@gm...>]

Hello,

I have extended the addin code for the LibreOffice calc plugin. Changes:
1) vetor return values (iteration over std::vector results)
2) return type seqseq(ANY) for all addin functions to provide addin
access to exceptions (exception messages will be displayed in cells)
3) implementation of default value handling (ANY::hasValue() function)
4) works clean with dynamic libraries (and with static linking)

I have changed a lot of XML config files and some python files for the
calc addin and I suggest to include my changes in the official code. How
shall we proceed to include these changes in the official version? Who
is responsible for the maintenance of the calc code? Can I help
maintaining the calc code?

The generated code is available under "https://www.callenbach.eu".


Best regards,
   Lars

Re: [Quantlib-dev] Chinese calendar

[Riccardo B. <r.b...@gm...>]

Thanks Luigi and Cheng Li for your suggestions.

At the end I will write free functions for Chinese Calendar. 
I will think something about easterMonday too, in this case I will open a
new thread.

Thanks

Riccardo Barone



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