quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] wing volatility model

[Jonathan.issan <Jon...@ho...>]

Hi wong Hu

And do you have some simple code for arbitrage free wing model? 

Thanks

Jonathan



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Re: [Quantlib-dev] wing volatility model

[Yu, H. <hy...@ho...>]

A not very helpful suggestion: wing model can be done using modeling tools 
like Matlab or R.  Once the modeling part is OK, then it can be converted 
into C++ like version.

Hong Yu


-----原始邮件----- 
From: Jonathan.issan
Sent: Sunday, August 31, 2014 10:07 AM
To: qua...@li...
Subject: [Quantlib-dev] wing volatility model

Hello

I'm looking for wing volatility fitting model with standard
parameters: atm vol, Slope, put curve and call curve.

Does that exist in QL ?

Thank you very much for helping

Jonathan



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http://quantlib.10058.n7.nabble.com/wing-volatility-model-tp15820.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

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[Quantlib-dev] wing volatility model

[Jonathan.issan <Jon...@ho...>]

Hello

I'm looking for wing volatility fitting model with standard 
parameters: atm vol, Slope, put curve and call curve.

Does that exist in QL ? 

Thank you very much for helping

Jonathan



--
View this message in context: http://quantlib.10058.n7.nabble.com/wing-volatility-model-tp15820.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

[Quantlib-dev] Fwd: Failure to build test-suite in QuantLib-1.3

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

oh, and the configure parameters are with two minus signs, i.e. "--with..."

---------- Forwarded message ----------
From: Peter Caspers <pca...@gm...>
Date: 24 August 2014 13:08
Subject: Re: [Quantlib-dev] Failure to build test-suite in QuantLib-1.3
To: nimisha raut <nim...@gm...>
Cc: QuantLib Mailing Lists <qua...@li...>


Hi Nimisha,

you could check two things. Is the file in question actually existing
in /home/nimisha/BOOST_QLib/boost_1_55_0/lib, and if yes is this
directory on your LD_LIBRARY_PATH ?

Peter

On 15 August 2014 00:43, nimisha raut <nim...@gm...> wrote:
> Hi,
>
> I was trying to build QuantLib-1.3. I am using boost_1_55_0. I could build
> boost and configure quantlib with boost. When I do make and make install it
> works fine. But when I do a make check I get the below error:
>
> /../../BOOST_QLib/QuantLib-1.3/test-suite/.libs/lt-quantlib-test-suite:
> error while loading shared libraries:
> libboost_unit_test_framework.so.1.55.0: cannot open shared object file: No
> such file or directory
>
> I have followed the below steps:
>
> cd boost_1_55_0
> ./bootstrap.sh --prefix=/home/nimisha/BOOST_QLib/boost_1_55_0/
> ./b2 install
> export PATH=$PATH:/home/nimisha/BOOST_QLib/boost_1_55_0/
>
> cd QuantLib-1.3
>
> sudo ./configure
> -with-boost-include=/home/nimisha/BOOST_QLib/boost_1_55_0/include/
> -with-boost-lib=/home/nimisha/BOOST_QLib/boost_1_55_0/lib
>
> sudo make
>
> sudo make install
>
>
> sudo make check
>
>
> Please let me know if I am missing something?
>
>
> Thanks,
> Nimisha
>
> ------------------------------------------------------------------------------
> 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
>

Re: [Quantlib-dev] Failure to build test-suite in QuantLib-1.3

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

Hi Nimisha,

you could check two things. Is the file in question actually existing
in /home/nimisha/BOOST_QLib/boost_1_55_0/lib, and if yes is this
directory on your LD_LIBRARY_PATH ?

Peter

On 15 August 2014 00:43, nimisha raut <nim...@gm...> wrote:
> Hi,
>
> I was trying to build QuantLib-1.3. I am using boost_1_55_0. I could build
> boost and configure quantlib with boost. When I do make and make install it
> works fine. But when I do a make check I get the below error:
>
> /../../BOOST_QLib/QuantLib-1.3/test-suite/.libs/lt-quantlib-test-suite:
> error while loading shared libraries:
> libboost_unit_test_framework.so.1.55.0: cannot open shared object file: No
> such file or directory
>
> I have followed the below steps:
>
> cd boost_1_55_0
> ./bootstrap.sh --prefix=/home/nimisha/BOOST_QLib/boost_1_55_0/
> ./b2 install
> export PATH=$PATH:/home/nimisha/BOOST_QLib/boost_1_55_0/
>
> cd QuantLib-1.3
>
> sudo ./configure
> -with-boost-include=/home/nimisha/BOOST_QLib/boost_1_55_0/include/
> -with-boost-lib=/home/nimisha/BOOST_QLib/boost_1_55_0/lib
>
> sudo make
>
> sudo make install
>
>
> sudo make check
>
>
> Please let me know if I am missing something?
>
>
> Thanks,
> Nimisha
>
> ------------------------------------------------------------------------------
> 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] Failure to build test-suite in QuantLib-1.3

[nimisha r. <nim...@gm...>]

Hi,

I was trying to build QuantLib-1.3. I am using boost_1_55_0. I could build
boost and configure quantlib with boost. When I do make and make install it
works fine. But when I do a make check I get the below error:

/../../BOOST_QLib/QuantLib-1.3/test-suite/.libs/lt-quantlib-test-suite:
error while loading shared libraries:
libboost_unit_test_framework.so.1.55.0: cannot open shared object file: No
such file or directory

I have followed the below steps:

cd boost_1_55_0
./bootstrap.sh --prefix=/home/nimisha/BOOST_QLib/boost_1_55_0/
./b2 install
export PATH=$PATH:/home/nimisha/BOOST_QLib/boost_1_55_0/

cd QuantLib-1.3

sudo ./configure
-with-boost-include=/home/nimisha/BOOST_QLib/boost_1_55_0/include/
-with-boost-lib=/home/nimisha/BOOST_QLib/boost_1_55_0/lib

sudo make

sudo make install


sudo make check

Please let me know if I am missing something?


Thanks,
Nimisha

Re: [Quantlib-dev] upgrade solution to VC12 (Visual 2013)

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

Quoting "Ferdinando M. Ametrano" <fer...@am...>:

> I would like to upgrade to VC12. As I've got rusty at solution management I
> was wondering:
> 1) is anyone else willing to perform it
> 2) if I do it, should I allow VC12 to upgrade from V9, V10, or VC11
> solutions?

My reply is late, but for future reference, I wrote a script to help  
with upgrading VC solutions.  The file is  
ObjectHandler\dev_tools\upgrade_vc.py.  To upgrade from VCaa to VCbb,  
it takes a bunch of VCaa files and creates from them copies in VCaa  
format with VCbb names.  Then it does a find and replace on the new  
files and replaces all occurrences of VCaa with VCbb.  After that you  
open the new files in VCbb and let VC automatically upgrade the format  
from VCaa to VCbb.  The script saves you the trouble of renaming the  
solution/project files and of changing the version numbers of the  
outputs.

Regards,
Eric
===================================================
Eric Ehlers
nazcatech sprl | Brussels | http://www.nazcatech.be
* Distributed computing for pricing analytics
* Use Microsoft Excel as a client to the Grid

Re: [Quantlib-dev] Intra-day date representation ?

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

move semantics and rvalue references ?


On 10 August 2014 13:37, Klaus Spanderen <kl...@sp...> wrote:
> On Saturday, August 09, 2014 02:38:59 PM Francois Botha wrote:
>
>> Just out of curiosity, which features of C++11 would benefit QuantLib the
>
>> most?
>
>
>
> IMO it will be multithreading, auto and Lambda functions. (Plus the other
> nice features;-)
>
>
>
> regards
>
> Klaus
>
>
>
>>
>
>> Francois Botha
>
>>
>
>> On 6 August 2014 23:35, Klaus Spanderen <kl...@sp...> wrote:
>
>> > plus C++11 and multithreading? I'd be a happy camper..
>
>> >
>
>> > On Wednesday, August 06, 2014 11:26:26 PM Ferdinando M. Ametrano wrote:
>
>> > > my daydream PEP would be: boostify the library (date, stats, math)
>> > > with
>
>> >
>
>> > no
>
>> >
>
>> > > regard for backward compatibility...
>
>> > >
>
>> > > then when I wake up I defer the development leadership to Luigi ;-)
>
>> > >
>
>> > >
>
>> > >
>
>> > > On Wed, Aug 6, 2014 at 11:01 PM, Dirk Eddelbuettel <ed...@de...>
>
>> >
>
>> > wrote:
>
>> > > > Hi Klaus,
>
>> > > >
>
>> > > >
>
>> > > >
>
>> > > > Thanks for the quick reply! Had wondered whether to pester you and
>
>> >
>
>> > Peter
>
>> >
>
>> > > > directly, or go to the list.
>
>> > > >
>
>> > > > On 6 August 2014 at 22:46, Klaus Spanderen wrote:
>
>> > > > | not a day-dream, but I never brought it into a "patch" or close to
>
>> >
>
>> > it. I
>
>> >
>
>> > > > | started off by replacing QuantLib::Date with
>> > > > boost::local_date_time
>
>> >
>
>> > (w/o
>
>> >
>
>> > > > taking
>
>> > > >
>
>> > > > | backwards compatibility into considerations) and changed the
>
>> >
>
>> > DayCounters
>
>> >
>
>> > > > to
>
>> > > >
>
>> > > > | also consider hours but I think there is no way doing this in a
>
>> > > > |
>
>> > > > | backwards
>
>> > > > |
>
>> > > > | compatible manner.
>
>> > > >
>
>> > > > That's the issue. But I guess if were to collect 'PEP' items (didn't
>
>> > > > we
>
>> > > >
>
>> > > > once
>
>> > > >
>
>> > > > a loooong time ago?) maybe this could be one. Might also make for a
>
>> > > > fun
>
>> > > >
>
>> > > > project for a motivated Google Summer of Code student...
>
>> > > >
>
>> > > >
>
>> > > >
>
>> > > > Cheeers, Dirk
>
>> > > >
>
>> > > >
>
>> > > >
>
>> > > > --
>
>> > > >
>
>> > > > http://dirk.eddelbuettel.com | @eddelbuettel | ed...@de...
>
>> >
>
>> >
>> > --------------------------------------------------------------------------
>
>> >
>
>> > > > ---- Infragistics Professional
>
>> > > >
>
>> > > > Build stunning WinForms apps today!
>
>> > > >
>
>> > > > Reboot your WinForms applications with our WinForms controls.
>
>> > > >
>
>> > > > Build a bridge from your legacy apps to the future.
>
>> >
>
>> >
>> > http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clkt
>
>> >
>
>> > > > rk _______________________________________________
>
>> > > >
>
>> > > > QuantLib-dev mailing list
>
>> > > >
>
>> > > > Qua...@li...
>
>> > > >
>
>> > > > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>> >
>
>> >
>> > --------------------------------------------------------------------------
>
>> > ---- Infragistics Professional
>
>> > Build stunning WinForms apps today!
>
>> > Reboot your WinForms applications with our WinForms controls.
>
>> > Build a bridge from your legacy apps to the future.
>
>> >
>
>> >
>> > http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clkt
>
>> > rk _______________________________________________
>
>> > QuantLib-dev mailing list
>
>> > Qua...@li...
>
>> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>
>
>
> ------------------------------------------------------------------------------
>
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Re: [Quantlib-dev] Intra-day date representation ?

[Klaus S. <kl...@sp...>]

On Saturday, August 09, 2014 02:38:59 PM Francois Botha wrote:
> Just out of curiosity, which features of C++11 would benefit QuantLib the
> most?

IMO it will be multithreading, auto and Lambda functions. (Plus the other nice 
features;-)

regards
Klaus

> 
> Francois Botha
> 
> On 6 August 2014 23:35, Klaus Spanderen <kl...@sp...> wrote:
> >  plus C++11 and multithreading? I'd be a happy camper..
> > 
> > On Wednesday, August 06, 2014 11:26:26 PM Ferdinando M. Ametrano wrote:
> > > my daydream PEP would be: boostify the library (date, stats, math) with
> > 
> > no
> > 
> > > regard for backward compatibility...
> > > 
> > > then when I wake up I defer the development leadership to Luigi ;-)
> > > 
> > > 
> > > 
> > > On Wed, Aug 6, 2014 at 11:01 PM, Dirk Eddelbuettel <ed...@de...>
> > 
> > wrote:
> > > > Hi Klaus,
> > > > 
> > > > 
> > > > 
> > > > Thanks for the quick reply! Had wondered whether to pester you and
> > 
> > Peter
> > 
> > > > directly, or go to the list.
> > > > 
> > > > On 6 August 2014 at 22:46, Klaus Spanderen wrote:
> > > > | not a day-dream, but I never brought it into a "patch" or close to
> > 
> > it. I
> > 
> > > > | started off by replacing QuantLib::Date with boost::local_date_time
> > 
> > (w/o
> > 
> > > > taking
> > > > 
> > > > | backwards compatibility into considerations) and changed the
> > 
> > DayCounters
> > 
> > > > to
> > > > 
> > > > | also consider hours but I think there is no way doing this in a
> > > > | 
> > > > | backwards
> > > > | 
> > > > | compatible manner.
> > > > 
> > > > That's the issue. But I guess if were to collect 'PEP' items (didn't
> > > > we
> > > > 
> > > > once
> > > > 
> > > > a loooong time ago?) maybe this could be one. Might also make for a
> > > > fun
> > > > 
> > > > project for a motivated Google Summer of Code student...
> > > > 
> > > > 
> > > > 
> > > > Cheeers, Dirk
> > > > 
> > > > 
> > > > 
> > > > --
> > > > 
> > > > http://dirk.eddelbuettel.com | @eddelbuettel | ed...@de...
> > 
> > --------------------------------------------------------------------------
> > 
> > > > ---- Infragistics Professional
> > > > 
> > > > Build stunning WinForms apps today!
> > > > 
> > > > Reboot your WinForms applications with our WinForms controls.
> > > > 
> > > > Build a bridge from your legacy apps to the future.
> > 
> > http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clkt
> > 
> > > > rk _______________________________________________
> > > > 
> > > > QuantLib-dev mailing list
> > > > 
> > > > Qua...@li...
> > > > 
> > > > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> > 
> > --------------------------------------------------------------------------
> > ---- Infragistics Professional
> > Build stunning WinForms apps today!
> > Reboot your WinForms applications with our WinForms controls.
> > Build a bridge from your legacy apps to the future.
> > 
> > http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clkt
> > rk _______________________________________________
> > QuantLib-dev mailing list
> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] Modifying Calendar Class: Customs Dates By CSV File

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

Hi,

I think you have to use BespokeCalendar. See the discussion at
http://quantlib.10058.n7.nabble.com/Calendar-with-custom-set-holidays-and-name-td53.html
. You'll have to do the CSV input yourself.

regards

Francois Botha


On 8 August 2014 15:59, user0112358132134 <use...@ya...>
wrote:

> Hi,
>
> As indicated in the title, I would like to modify the calendar class so as
> to be able to read in a set of customized values from a csv file and
> arrange
> those to be the holidays.
>
> I'm not very familiar with C++ development.
>
> My initial idea was that I could use the other calendar classes as a
> template of sorts, for instance I could copy the argentina.hpp file and
> just
> modify it according to my needs, for instance, readFromFile.hpp and
> accordingly modify all the other references to argentina, is this getting
> in
> the right direction?
>
> I'm also thinking I can make a readFromFile.cpp and put some method like
> this in there:
> BespokeCalendar Calendar::TOKCal(string input_file_name, string
> input_market)
>         {
>                 /* Declare the variables to be used */
>                 BespokeCalendar result;
>                 string filename = input_file_name;
>                 string marekt = input_market;
>
>                 string csvLine
>                 string csvMarket;
>                 string csvDate;
>
>         ifstream csvFile ( filename ); // declare file stream
>         if( csvFile.good() )
>         {
>                 while (getline (csvFile,csvLine)
>                 {
>                         stringstream ss(csvLine);
>                         string csvMarket;
>                         string csvDate;
>
>                         getline(ss, csvMarket, ',');
>                         getline(ss, csvDate, ',');
>
>                         if (csvMarket == marekt)
>                         {
>                                 result.addHoliday( csvDate );
>                         }
>                 }
>         }
>         else
>         {
>                 cout << "Unable to open file";
>         }
>
>         return result;
>         }
>
> Would such a thing work?
>
> I want to be able to call it like this:
>
> Calendar XXXXCal = FromFile("C:\\temp\\XXXXHoliday.csv","XXXX");
>
> How can I test my results, I'm a bit confused about the documentation
> regarding testing, do I create that main file in the solution of QuantLib
> itself or somewhere else?
>
> Is there some way to work on this code where I dont have to build the
> library every time I make a change as I'm now doing?
>
> Cheers,
>
> AB
>
>
>
> --
> View this message in context:
> http://quantlib.10058.n7.nabble.com/Modifying-Calendar-Class-Customs-Dates-By-CSV-File-tp15722.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
>
> ------------------------------------------------------------------------------
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Re: [Quantlib-dev] Intra-day date representation ?

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

Just out of curiosity, which features of C++11 would benefit QuantLib the
most?

Francois Botha


On 6 August 2014 23:35, Klaus Spanderen <kl...@sp...> wrote:

>  plus C++11 and multithreading? I'd be a happy camper..
>
>
>
> On Wednesday, August 06, 2014 11:26:26 PM Ferdinando M. Ametrano wrote:
>
> > my daydream PEP would be: boostify the library (date, stats, math) with
> no
>
> > regard for backward compatibility...
>
> > then when I wake up I defer the development leadership to Luigi ;-)
>
> >
>
> > On Wed, Aug 6, 2014 at 11:01 PM, Dirk Eddelbuettel <ed...@de...>
> wrote:
>
> > > Hi Klaus,
>
> > >
>
> > > Thanks for the quick reply! Had wondered whether to pester you and
> Peter
>
> > > directly, or go to the list.
>
> > >
>
> > > On 6 August 2014 at 22:46, Klaus Spanderen wrote:
>
> > > | not a day-dream, but I never brought it into a "patch" or close to
> it. I
>
> > > | started off by replacing QuantLib::Date with boost::local_date_time
> (w/o
>
> > >
>
> > > taking
>
> > >
>
> > > | backwards compatibility into considerations) and changed the
> DayCounters
>
> > >
>
> > > to
>
> > >
>
> > > | also consider hours but I think there is no way doing this in a
>
> > > | backwards
>
> > > | compatible manner.
>
> > >
>
> > > That's the issue. But I guess if were to collect 'PEP' items (didn't we
>
> > > once
>
> > > a loooong time ago?) maybe this could be one. Might also make for a fun
>
> > > project for a motivated Google Summer of Code student...
>
> > >
>
> > > Cheeers, Dirk
>
> > >
>
> > > --
>
> > > http://dirk.eddelbuettel.com | @eddelbuettel | ed...@de...
>
> > >
>
> > >
>
> > >
> --------------------------------------------------------------------------
>
> > > ---- Infragistics Professional
>
> > > Build stunning WinForms apps today!
>
> > > Reboot your WinForms applications with our WinForms controls.
>
> > > Build a bridge from your legacy apps to the future.
>
> > >
>
> > >
> http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clkt
>
> > > rk _______________________________________________
>
> > > QuantLib-dev mailing list
>
> > > Qua...@li...
>
> > > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>
>
>
> ------------------------------------------------------------------------------
> Infragistics Professional
> Build stunning WinForms apps today!
> Reboot your WinForms applications with our WinForms controls.
> Build a bridge from your legacy apps to the future.
>
> http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clktrk
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>

[Quantlib-dev] Modifying Calendar Class: Customs Dates By CSV File

[user0112358132134 <use...@ya...>]

Hi, 

As indicated in the title, I would like to modify the calendar class so as
to be able to read in a set of customized values from a csv file and arrange
those to be the holidays. 

I'm not very familiar with C++ development. 

My initial idea was that I could use the other calendar classes as a
template of sorts, for instance I could copy the argentina.hpp file and just
modify it according to my needs, for instance, readFromFile.hpp and
accordingly modify all the other references to argentina, is this getting in
the right direction?

I'm also thinking I can make a readFromFile.cpp and put some method like
this in there:
BespokeCalendar Calendar::TOKCal(string input_file_name, string
input_market)
	{
		/* Declare the variables to be used */
                BespokeCalendar result;
		string filename = input_file_name;
		string marekt = input_market;
		
		string csvLine
		string csvMarket;
		string csvDate;
	
	ifstream csvFile ( filename ); // declare file stream
	if( csvFile.good() )
	{
		while (getline (csvFile,csvLine)
		{
			stringstream ss(csvLine);
			string csvMarket;
			string csvDate;

			getline(ss, csvMarket, ',');
			getline(ss, csvDate, ',');

			if (csvMarket == marekt)
			{
				result.addHoliday( csvDate ); 
			}
		}
	}
	else 
	{
		cout << "Unable to open file";
	}
		
	return result;	
	}

Would such a thing work? 

I want to be able to call it like this: 

Calendar XXXXCal = FromFile("C:\\temp\\XXXXHoliday.csv","XXXX");

How can I test my results, I'm a bit confused about the documentation
regarding testing, do I create that main file in the solution of QuantLib
itself or somewhere else?

Is there some way to work on this code where I dont have to build the
library every time I make a change as I'm now doing?

Cheers,

AB



--
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Re: [Quantlib-dev] Intra-day date representation ?

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

On 7 August 2014 at 08:10, Dirk Eddelbuettel wrote:
| So just include gregorian_types.hpp and you remain header-only, foregoing
| only date formatting and parsing for which the library is needed.

Just to be plain:  that works of cause only when you can farm out parsing and
printing of Dates as I can when being embedded in R.  May be different here.

Dirk

-- 
http://dirk.eddelbuettel.com | @eddelbuettel | ed...@de...

Re: [Quantlib-dev] Intra-day date representation ?

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

On 7 August 2014 at 15:05, Luigi Ballabio wrote:
| On Thu, Aug 7, 2014 at 2:52 PM, Dirk Eddelbuettel <ed...@de...> wrote:
| > | So: let's start the discussion. I'd love to hear from people with some
| > | ideas about the above...
| >
| > Why don't start by generalizing Date :) (Only half-kidding, maybe incremental
| > approaches are fine rather than grand rewrite that then may stall ...)
| 
| 
| That one should be doable.
| Possibility 1: we add a time part to our date and keep track of it in
| day counters.
| Possibility 2: we change the internals of our date so that it contains
| a Boost date, we check that it works as before, then we also expose
| the time part (and keep track of it in day counters). At a later date
| (ha ha) we gut our date and keep Boost. Question: is Boost.Date
| header-only or do we need to link a library?

Yay!  

This day is going to be a winner as *I* get to answer a question by Luigi :)

>From my   https://github.com/eddelbuettel/rcppbdt   package which bring some
Boost.Date goodness to R (via Rcpp, of course):


// Setting this variable governs whether we need to link against the
// Boost Date.Time library (eg -lboost_date_time on Debian/Ubuntu) or
// not The functions not involving string parsing or conversion are
// all available via the templated Boost header files and are thus
// compile-time only which make things a little easier.
// On Windows, set the BOOSTLIB variable to point to a suitable directory.
// On other systems, just have Boost in the include path 
#define RcppBDT_UseWithStrings 0

#if RcppBDT_UseWithString
  #include <boost/date_time/gregorian/gregorian.hpp> 		// Gregorian calendar types, with I/O
#else
  #include <boost/date_time/gregorian/gregorian_types.hpp> 	// Gregorian calendar types, no I/O
#endif


So just include gregorian_types.hpp and you remain header-only, foregoing
only date formatting and parsing for which the library is needed.

Dirk


-- 
http://dirk.eddelbuettel.com | @eddelbuettel | ed...@de...

Re: [Quantlib-dev] Intra-day date representation ?

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

On 7 August 2014 at 12:34, Luigi Ballabio wrote:
| Unfortunately C++11 is out of the reach of a lot of people still
| suffering under the heel of their IT groups :)
| (Anecdotal evidence: at StatPro Italia, out boxes are still on the
| long-term support Ubuntu release from April 2012---we'll be switching
| to the April 2014 one, eventually, but that's lower priority that a
| lot of other things on our plate---so we're using gcc 4.6.2 from March
| 2012. And that's Ubuntu: if we were using RedHat, for instance, that
| would be more even conservative.)

(Seconded from over here in R-land. While we can now use C++11 on packages, I
also know eg via the friends running RStudio that there are still RHEL 4
installation out there.  So to be _used_ we may need to be conservative in
what we depend upon.)

(That said there is crazy new shit around. Seen the C++ Streams library using
C++14?  http://jscheiny.github.io/Streams/  Just wow.)
 
| Anyway: I'd love all of the things on your list (C++, multithreading,
| boost) and I'd be glad to start a 2.0 branch, but I have no idea how
| to go about a lot of problems yet: see my talk at Dusseldorf
| <http://vimeo.com/79724861> for the major ones.
| 
| So: let's start the discussion. I'd love to hear from people with some
| ideas about the above...

Why don't start by generalizing Date :) (Only half-kidding, maybe incremental
approaches are fine rather than grand rewrite that then may stall ...)

Dirk

-- 
http://dirk.eddelbuettel.com | @eddelbuettel | ed...@de...

Re: [Quantlib-dev] Intra-day date representation ?

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

On Thu, Aug 7, 2014 at 2:52 PM, Dirk Eddelbuettel <ed...@de...> wrote:
> | So: let's start the discussion. I'd love to hear from people with some
> | ideas about the above...
>
> Why don't start by generalizing Date :) (Only half-kidding, maybe incremental
> approaches are fine rather than grand rewrite that then may stall ...)


That one should be doable.
Possibility 1: we add a time part to our date and keep track of it in
day counters.
Possibility 2: we change the internals of our date so that it contains
a Boost date, we check that it works as before, then we also expose
the time part (and keep track of it in day counters). At a later date
(ha ha) we gut our date and keep Boost. Question: is Boost.Date
header-only or do we need to link a library?

Luigi




-- 
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>

Re: [Quantlib-dev] Intra-day date representation ?

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

Unfortunately C++11 is out of the reach of a lot of people still
suffering under the heel of their IT groups :)
(Anecdotal evidence: at StatPro Italia, out boxes are still on the
long-term support Ubuntu release from April 2012---we'll be switching
to the April 2014 one, eventually, but that's lower priority that a
lot of other things on our plate---so we're using gcc 4.6.2 from March
2012. And that's Ubuntu: if we were using RedHat, for instance, that
would be more even conservative.)

Anyway: I'd love all of the things on your list (C++, multithreading,
boost) and I'd be glad to start a 2.0 branch, but I have no idea how
to go about a lot of problems yet: see my talk at Dusseldorf
<http://vimeo.com/79724861> for the major ones.

So: let's start the discussion. I'd love to hear from people with some
ideas about the above...

Luigi



On Wed, Aug 6, 2014 at 11:35 PM, Klaus Spanderen <kl...@sp...> wrote:
> plus C++11 and multithreading? I'd be a happy camper..
>
>
>
> On Wednesday, August 06, 2014 11:26:26 PM Ferdinando M. Ametrano wrote:
>
>> my daydream PEP would be: boostify the library (date, stats, math) with no
>
>> regard for backward compatibility...
>
>> then when I wake up I defer the development leadership to Luigi ;-)
>
>>
>
>> On Wed, Aug 6, 2014 at 11:01 PM, Dirk Eddelbuettel <ed...@de...> wrote:
>
>> > Hi Klaus,
>
>> >
>
>> > Thanks for the quick reply! Had wondered whether to pester you and Peter
>
>> > directly, or go to the list.
>
>> >
>
>> > On 6 August 2014 at 22:46, Klaus Spanderen wrote:
>
>> > | not a day-dream, but I never brought it into a "patch" or close to it.
>> > I
>
>> > | started off by replacing QuantLib::Date with boost::local_date_time
>> > (w/o
>
>> >
>
>> > taking
>
>> >
>
>> > | backwards compatibility into considerations) and changed the
>> > DayCounters
>
>> >
>
>> > to
>
>> >
>
>> > | also consider hours but I think there is no way doing this in a
>
>> > | backwards
>
>> > | compatible manner.
>
>> >
>
>> > That's the issue. But I guess if were to collect 'PEP' items (didn't we
>
>> > once
>
>> > a loooong time ago?) maybe this could be one. Might also make for a fun
>
>> > project for a motivated Google Summer of Code student...
>
>> >
>
>> > Cheeers, Dirk
>
>> >
>
>> > --
>
>> > http://dirk.eddelbuettel.com | @eddelbuettel | ed...@de...
>
>> >
>
>> >
>
>> >
>> > --------------------------------------------------------------------------
>
>> > ---- Infragistics Professional
>
>> > Build stunning WinForms apps today!
>
>> > Reboot your WinForms applications with our WinForms controls.
>
>> > Build a bridge from your legacy apps to the future.
>
>> >
>
>> >
>> > http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clkt
>
>> > rk _______________________________________________
>
>> > QuantLib-dev mailing list
>
>> > Qua...@li...
>
>> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>
>
>
> ------------------------------------------------------------------------------
> Infragistics Professional
> Build stunning WinForms apps today!
> Reboot your WinForms applications with our WinForms controls.
> Build a bridge from your legacy apps to the future.
> http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clktrk
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>



-- 
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>

Re: [Quantlib-dev] Intra-day date representation ?

[Klaus S. <kl...@sp...>]

plus C++11 and multithreading? I'd be a happy camper..

On Wednesday, August 06, 2014 11:26:26 PM Ferdinando M. Ametrano wrote:
> my daydream PEP would be: boostify the library (date, stats, math) with no
> regard for backward compatibility...
> then when I wake up I defer the development leadership to Luigi ;-)
> 
> On Wed, Aug 6, 2014 at 11:01 PM, Dirk Eddelbuettel <ed...@de...> wrote:
> > Hi Klaus,
> > 
> > Thanks for the quick reply!  Had wondered whether to pester you and Peter
> > directly, or go to the list.
> > 
> > On 6 August 2014 at 22:46, Klaus Spanderen wrote:
> > | not a day-dream, but I never brought it into a "patch" or close to it. I
> > | started off by replacing QuantLib::Date with boost::local_date_time (w/o
> > 
> > taking
> > 
> > | backwards compatibility into considerations) and changed the DayCounters
> > 
> > to
> > 
> > | also consider hours but I think there is no way doing this in a
> > | backwards
> > | compatible manner.
> > 
> > That's the issue.  But I guess if were to collect 'PEP' items (didn't we
> > once
> > a loooong time ago?) maybe this could be one.  Might also make for a fun
> > project for a motivated Google Summer of Code student...
> > 
> > Cheeers, Dirk
> > 
> > --
> > http://dirk.eddelbuettel.com | @eddelbuettel | ed...@de...
> > 
> > 
> > --------------------------------------------------------------------------
> > ---- Infragistics Professional
> > Build stunning WinForms apps today!
> > Reboot your WinForms applications with our WinForms controls.
> > Build a bridge from your legacy apps to the future.
> > 
> > http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clkt
> > rk _______________________________________________
> > QuantLib-dev mailing list
> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] Intra-day date representation ?

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

my daydream PEP would be: boostify the library (date, stats, math) with no
regard for backward compatibility...
then when I wake up I defer the development leadership to Luigi ;-)

On Wed, Aug 6, 2014 at 11:01 PM, Dirk Eddelbuettel <ed...@de...> wrote:

>
> Hi Klaus,
>
> Thanks for the quick reply!  Had wondered whether to pester you and Peter
> directly, or go to the list.
>
> On 6 August 2014 at 22:46, Klaus Spanderen wrote:
> | not a day-dream, but I never brought it into a "patch" or close to it. I
> | started off by replacing QuantLib::Date with boost::local_date_time (w/o
> taking
> | backwards compatibility into considerations) and changed the DayCounters
> to
> | also consider hours but I think there is no way doing this in a backwards
> | compatible manner.
>
> That's the issue.  But I guess if were to collect 'PEP' items (didn't we
> once
> a loooong time ago?) maybe this could be one.  Might also make for a fun
> project for a motivated Google Summer of Code student...
>
> Cheeers, Dirk
>
> --
> http://dirk.eddelbuettel.com | @eddelbuettel | ed...@de...
>
>
> ------------------------------------------------------------------------------
> Infragistics Professional
> Build stunning WinForms apps today!
> Reboot your WinForms applications with our WinForms controls.
> Build a bridge from your legacy apps to the future.
>
> http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clktrk
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Re: [Quantlib-dev] Intra-day date representation ?

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

Hi Klaus,

Thanks for the quick reply!  Had wondered whether to pester you and Peter
directly, or go to the list.  

On 6 August 2014 at 22:46, Klaus Spanderen wrote:
| not a day-dream, but I never brought it into a "patch" or close to it. I
| started off by replacing QuantLib::Date with boost::local_date_time (w/o taking
| backwards compatibility into considerations) and changed the DayCounters to
| also consider hours but I think there is no way doing this in a backwards
| compatible manner.

That's the issue.  But I guess if were to collect 'PEP' items (didn't we once
a loooong time ago?) maybe this could be one.  Might also make for a fun
project for a motivated Google Summer of Code student...

Cheeers, Dirk

-- 
http://dirk.eddelbuettel.com | @eddelbuettel | ed...@de...

Re: [Quantlib-dev] Intra-day date representation ?

[Klaus S. <kl...@sp...>]

Hi Dirk,

not a day-dream, but I never brought it into a "patch" or close to it. I started off by 
replacing QuantLib::Date with boost::local_date_time (w/o taking backwards 
compatibility into considerations) and changed the DayCounters to also consider hours 
but I think there is no way doing this in a backwards compatible manner.

regards
Klaus


On Wednesday, August 06, 2014 01:40:24 PM Dirk Eddelbuettel wrote:
> I just had yet another RQuantLib user contact me noticing that option values
> do not adjust to small changes in time-to-maturity 't' -- which is correct.
> While I take 't' as a float it eventually gets encoded as Boost Date and
> becomes (day-based) fraction of a year.
> 
> Now, I seem to recall that Klaus, when he was in Chicago for R/Finance,
> mentioned a hack or patch or extension which replaced Date with Datetime.
> 
> Did any of that ever migrate into the repo, or another place?  Or am I
> day-dreaming here (which is always entirely possible ... ;-)  ?
> 
> Dirk

[Quantlib-dev] Intra-day date representation ?

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

I just had yet another RQuantLib user contact me noticing that option values
do not adjust to small changes in time-to-maturity 't' -- which is correct.
While I take 't' as a float it eventually gets encoded as Boost Date and
becomes (day-based) fraction of a year.

Now, I seem to recall that Klaus, when he was in Chicago for R/Finance,
mentioned a hack or patch or extension which replaced Date with Datetime.

Did any of that ever migrate into the repo, or another place?  Or am I
day-dreaming here (which is always entirely possible ... ;-)  ?

Dirk

-- 
http://dirk.eddelbuettel.com | @eddelbuettel | ed...@de...

Re: [Quantlib-dev] btp.xml

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

Ok, thank you both.

----- Original Message -----
> 
> my bad, I didn't understand your point. You're right, gensrc kinda
> ignore it, but it should be fixed. I did it in my repo.
> 
> 
> thank you
> 
> 
> 
> 
> tel:+393358470410
> 
> twitter.com/Ferdinando1970
> 
> 
> facebook.com/ferdinando.ametrano
> 
> google.com/+FerdinandoMAmetrano
> 
> linkedin.com/in/ferdinandoametrano
> 
> reddit.com/user/Nando1970/
> 
> 
> 
> 
> 
> On Wed, Aug 6, 2014 at 11:46 AM, Luigi Ballabio <
> lui...@gm... > wrote:
> 
> 
> I suppose the line gets interpreted as text inside the
> <SupportedPlatforms> tag (so the XML is well-formed and the parser
> doesn't throw) but gets ignored by gensrc which doesn't expect to
> find
> text there.
> 
> Luigi
> 
> 
> 
> 
> On Wed, Aug 6, 2014 at 11:23 AM, < ja...@fr... > wrote:
> > I know, and it still works, I use it. What I mean is there are no
> > <....> brackets surrounding it in this case. Is this correct
> > semantics?
> > best
> > pp
> > 
> > ----- Original Message -----
> >> 
> >> I don't know if it is still honored, but I guess so: it is a
> >> directvive to avoid the input wizard to calculate the function.
> >> Handy to avoid heavy computations to be triggered multiple times,
> >> one per each input parameter
> >> 
> >> 
> >> 
> >> 
> >> tel: +393358470410
> >> 
> >> twitter.com/Ferdinando1970
> >> 
> >> 
> >> facebook.com/ferdinando.ametrano
> >> 
> >> google.com/+FerdinandoMAmetrano
> >> 
> >> linkedin.com/in/ferdinandoametrano
> >> 
> >> reddit.com/user/Nando1970/
> >> 
> >> 
> >> 
> >> 
> >> 
> >> On Wed, Aug 6, 2014 at 11:10 AM, < ja...@fr... > wrote:
> >> 
> >> 
> >> Hi,
> >> at line 455
> >> of
> >> QuantLibAddin / gensrc / metadata / functions / btp.xml
> >> 
> >> <Constructor name='qlRendistatoCalculator'>
> >> <libraryFunction>RendistatoCalculator</libraryFunction>
> >> <SupportedPlatforms>
> >> !!! SupportedPlatform name='Excel' calcInWizard='false'/
> >> <SupportedPlatform name='Excel'/>
> >> <SupportedPlatform name='Cpp'/>
> >> </SupportedPlatforms>
> >> <ParameterList>
> >> <Parameters>
> >> ............
> >> 
> >> Is this syntax ok? Is it taken as some sort of comment? Should it
> >> have been failed?
> >> Best
> >> pp
> >> 
> >> 
> >> ------------------------------------------------------------------------------
> >> Infragistics Professional
> >> Build stunning WinForms apps today!
> >> Reboot your WinForms applications with our WinForms controls.
> >> Build a bridge from your legacy apps to the future.
> >> http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clktrk
> >> _______________________________________________
> >> QuantLib-dev mailing list
> >> Qua...@li...
> >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> >> 
> >> 
> > 
> > ------------------------------------------------------------------------------
> > Infragistics Professional
> > Build stunning WinForms apps today!
> > Reboot your WinForms applications with our WinForms controls.
> > Build a bridge from your legacy apps to the future.
> > http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clktrk
> > _______________________________________________
> > QuantLib-dev mailing list
> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> 
> 
> 
> --
> < https://implementingquantlib.blogspot.com >
> < https://twitter.com/lballabio >
> 
> 

Re: [Quantlib-dev] btp.xml

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

my bad, I didn't understand your point. You're right, gensrc kinda ignore
it, but it should be fixed. I did it in my repo.

thank you

tel:+393358470410
twitter.com/Ferdinando1970
facebook.com/ferdinando.ametrano
<https://www.facebook.com/ferdinando.ametrano>
google.com/+FerdinandoMAmetrano
<https://www.google.com/+FerdinandoMAmetrano>
linkedin.com/in/ferdinandoametrano
<https://it.linkedin.com/in/ferdinandoametrano>
reddit.com/user/Nando1970/ <http://www.reddit.com/user/Nando1970/>



On Wed, Aug 6, 2014 at 11:46 AM, Luigi Ballabio <lui...@gm...>
wrote:

> I suppose the line gets interpreted as text inside the
> <SupportedPlatforms> tag (so the XML is well-formed and the parser
> doesn't throw) but gets ignored by gensrc which doesn't expect to find
> text there.
>
> Luigi
>
>
> On Wed, Aug 6, 2014 at 11:23 AM,  <ja...@fr...> wrote:
> > I know, and it still works, I use it. What I mean is there are no <....>
> brackets surrounding it in this case. Is this correct semantics?
> > best
> > pp
> >
> > ----- Original Message -----
> >>
> >> I don't know if it is still honored, but I guess so: it is a
> >> directvive to avoid the input wizard to calculate the function.
> >> Handy to avoid heavy computations to be triggered multiple times,
> >> one per each input parameter
> >>
> >>
> >>
> >>
> >> tel:+393358470410
> >>
> >> twitter.com/Ferdinando1970
> >>
> >>
> >> facebook.com/ferdinando.ametrano
> >>
> >> google.com/+FerdinandoMAmetrano
> >>
> >> linkedin.com/in/ferdinandoametrano
> >>
> >> reddit.com/user/Nando1970/
> >>
> >>
> >>
> >>
> >>
> >> On Wed, Aug 6, 2014 at 11:10 AM, < ja...@fr... > wrote:
> >>
> >>
> >> Hi,
> >> at line 455
> >> of
> >> QuantLibAddin / gensrc / metadata / functions / btp.xml
> >>
> >> <Constructor name='qlRendistatoCalculator'>
> >> <libraryFunction>RendistatoCalculator</libraryFunction>
> >> <SupportedPlatforms>
> >> !!! SupportedPlatform name='Excel' calcInWizard='false'/
> >> <SupportedPlatform name='Excel'/>
> >> <SupportedPlatform name='Cpp'/>
> >> </SupportedPlatforms>
> >> <ParameterList>
> >> <Parameters>
> >> ............
> >>
> >> Is this syntax ok? Is it taken as some sort of comment? Should it
> >> have been failed?
> >> Best
> >> pp
> >>
> >>
> >>
> ------------------------------------------------------------------------------
> >> Infragistics Professional
> >> Build stunning WinForms apps today!
> >> Reboot your WinForms applications with our WinForms controls.
> >> Build a bridge from your legacy apps to the future.
> >>
> http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clktrk
> >> _______________________________________________
> >> QuantLib-dev mailing list
> >> Qua...@li...
> >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> >>
> >>
> >
> >
> ------------------------------------------------------------------------------
> > Infragistics Professional
> > Build stunning WinForms apps today!
> > Reboot your WinForms applications with our WinForms controls.
> > Build a bridge from your legacy apps to the future.
> >
> http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clktrk
> > _______________________________________________
> > QuantLib-dev mailing list
> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>
>
> --
> <https://implementingquantlib.blogspot.com>
> <https://twitter.com/lballabio>
>

Re: [Quantlib-dev] btp.xml

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

I don't know if it is still honored, but I guess so: it is a directvive to
avoid the input wizard to calculate the function. Handy to avoid heavy
computations to be triggered multiple times, one per each input parameter

tel:+393358470410
twitter.com/Ferdinando1970
facebook.com/ferdinando.ametrano
<https://www.facebook.com/ferdinando.ametrano>
google.com/+FerdinandoMAmetrano
<https://www.google.com/+FerdinandoMAmetrano>
linkedin.com/in/ferdinandoametrano
<https://it.linkedin.com/in/ferdinandoametrano>
reddit.com/user/Nando1970/ <http://www.reddit.com/user/Nando1970/>



On Wed, Aug 6, 2014 at 11:10 AM, <ja...@fr...> wrote:

> Hi,
> at line 455
> of
> QuantLibAddin / gensrc / metadata / functions / btp.xml
>
>     <Constructor name='qlRendistatoCalculator'>
>       <libraryFunction>RendistatoCalculator</libraryFunction>
>       <SupportedPlatforms>
> !!!        SupportedPlatform name='Excel' calcInWizard='false'/
>         <SupportedPlatform name='Excel'/>
>         <SupportedPlatform name='Cpp'/>
>       </SupportedPlatforms>
>       <ParameterList>
>         <Parameters>
> ............
>
> Is this syntax ok? Is it taken as some sort of comment? Should it have
> been failed?
> Best
> pp
>
>
>
> ------------------------------------------------------------------------------
> Infragistics Professional
> Build stunning WinForms apps today!
> Reboot your WinForms applications with our WinForms controls.
> Build a bridge from your legacy apps to the future.
>
> http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clktrk
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>