quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] QuantLib + boost 1.55

[tulassay <zso...@gm...>]

Hello,
I am also having a linking issue that might be related, with ld complaining
about  
> ld: symbol(s) not found for architecture x86_64

This is on Mac OS X 10.9.2, with QuantLib 1.4 & Boost 1.55, binaries
installed via Homebrew.
I tried to rebuild QuantLib with the below flags set, but it didn't help.
Any suggestions?
thanks
Zsolt



Thanks, I've added the fix to the installation instructions on the site.

Luigi

On Thu, Feb 27, 2014 at 11:30 PM, aazout <albert.azout@> wrote:
> Looks like this fixes this issue:
>
> To build the library on Mac OS X 10.9, the QuantLib library must be linked
> against libstdc++. To do so, set the environment flags `CXXFLAGS` and
> `LDFLAGS`
> to `-stlib=libstdc++ -mmacosx-version-min=10.6` before compiling from
> source.
>
> Thanks,
> Albert
>
>
>







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Re: [Quantlib-dev] Error C2664 when compiling QuantLibObjects

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

Thanks. I fetched those commits and it fixed my compilation problem. Luigi,
can you perhaps accept the PR?

Francois
On 14 May 2014 7:10 PM, "Peter Caspers" <pca...@gm...> wrote:

> Hi,
>
> I think I introduced this problem. The fixes should be here
>
>
> https://github.com/pcaspers/quantlib/commit/2c4cd34bdbf3a514ffff121f085938be29197b83
>
> https://github.com/pcaspers/quantlib/commit/384595ec875734c69a8747add6a42125d74e4928
>
> However these are not yet merged in Luigi's master.
>
> Thank you
> Peter
>
>
> On 14 May 2014 17:25, Francois Botha <ig...@gm...> wrote:
> > Hi all,
> >
> > I'm trying to compile QuantLibXL from the git source. I'm doing a full
> > build, which includes the gensrc parts.
> >
> > The compilation fails with the following error:
> >
> > error C2664: 'QuantLib::CmsMarket::CmsMarket(const std::vector<_Ty>
> &,const
> > std::vector<boost::shared_ptr<T>> &,const
> > boost::shared_ptr<QuantLib::IborIndex> &,const
> > std::vector<std::vector<QuantLib::Handle<QuantLib::Quote>>> &,const
> > std::vector<boost::shared_ptr<QuantLib::CmsCouponPricer>> &,const
> > QuantLib::Handle<QuantLib::YieldTermStructure> &)' : cannot convert
> > parameter 5 from 'std::vector<_Ty>' to 'const std::vector<_Ty> &'
> > C:\dev\quantlib\QuantLibAddin\qlo\cmsmarket.cpp
> >
> > Is this a known issue or how do I resolve this?
> >
> > thanks
> > Francois Botha
> >
> >
> ------------------------------------------------------------------------------
> > "Accelerate Dev Cycles with Automated Cross-Browser Testing - For FREE
> > Instantly run your Selenium tests across 300+ browser/OS combos.
> > Get unparalleled scalability from the best Selenium testing platform
> > available
> > Simple to use. Nothing to install. Get started now for free."
> > http://p.sf.net/sfu/SauceLabs
> > _______________________________________________
> > QuantLib-dev mailing list
> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> >
>

Re: [Quantlib-dev] Error C2664 when compiling QuantLibObjects

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

Hi,

I think I introduced this problem. The fixes should be here

https://github.com/pcaspers/quantlib/commit/2c4cd34bdbf3a514ffff121f085938be29197b83
https://github.com/pcaspers/quantlib/commit/384595ec875734c69a8747add6a42125d74e4928

However these are not yet merged in Luigi's master.

Thank you
Peter


On 14 May 2014 17:25, Francois Botha <ig...@gm...> wrote:
> Hi all,
>
> I'm trying to compile QuantLibXL from the git source. I'm doing a full
> build, which includes the gensrc parts.
>
> The compilation fails with the following error:
>
> error C2664: 'QuantLib::CmsMarket::CmsMarket(const std::vector<_Ty> &,const
> std::vector<boost::shared_ptr<T>> &,const
> boost::shared_ptr<QuantLib::IborIndex> &,const
> std::vector<std::vector<QuantLib::Handle<QuantLib::Quote>>> &,const
> std::vector<boost::shared_ptr<QuantLib::CmsCouponPricer>> &,const
> QuantLib::Handle<QuantLib::YieldTermStructure> &)' : cannot convert
> parameter 5 from 'std::vector<_Ty>' to 'const std::vector<_Ty> &'
> C:\dev\quantlib\QuantLibAddin\qlo\cmsmarket.cpp
>
> Is this a known issue or how do I resolve this?
>
> thanks
> Francois Botha
>
> ------------------------------------------------------------------------------
> "Accelerate Dev Cycles with Automated Cross-Browser Testing - For FREE
> Instantly run your Selenium tests across 300+ browser/OS combos.
> Get unparalleled scalability from the best Selenium testing platform
> available
> Simple to use. Nothing to install. Get started now for free."
> http://p.sf.net/sfu/SauceLabs
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

[Quantlib-dev] Error C2664 when compiling QuantLibObjects

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

Hi all,

I'm trying to compile QuantLibXL from the git source. I'm doing a full
build, which includes the gensrc parts.

The compilation fails with the following error:

error C2664: 'QuantLib::CmsMarket::CmsMarket(const std::vector<_Ty> &,const
std::vector<boost::shared_ptr<T>> &,const
boost::shared_ptr<QuantLib::IborIndex> &,const
std::vector<std::vector<QuantLib::Handle<QuantLib::Quote>>> &,const
std::vector<boost::shared_ptr<QuantLib::CmsCouponPricer>> &,const
QuantLib::Handle<QuantLib::YieldTermStructure> &)' : cannot convert
parameter 5 from 'std::vector<_Ty>' to 'const std::vector<_Ty> &'
C:\dev\quantlib\QuantLibAddin\qlo\cmsmarket.cpp

Is this a known issue or how do I resolve this?

thanks
Francois Botha

Re: [Quantlib-dev] [OFFTOPIC] Hayek Money: The Cryptocurrency Price Stability Solution

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

Hi all

My paper "Hayek Money: The Cryptocurrency Price Stability Solution" made it
into the shortlist for the Blockchain Awards of the Bitcoin Foundation
Conference 2014, category Visionary Academic Paper.

I consider this paper my most relevant professional and intellectual
achievement ever, so it is good news. The Award has a very questionable
relevance, but it could help expanding the reader base, so it would be
welcomed.

The funny part is that "Bitcoin: A Peer-to-Peer Electronic Cash System" by
Satoshi Nakamoto made it into the shortlist too. You might not be aware,
but Nakamoto is the Bitcoin/cryptocurrency inventor, that one is his
seminal and only paper. Nakamoto is unknown to the world, probably a
pseudonymous, and he completely disappeared in 2010.

Hey! This is unfair! Einstein is not supposed to be nominated for the
Albert Einstein award! There is no competition. Now if only Satoshi would
show up to receive the Award...

Since Nakamoto's appearance at the award ceremony is unlikely, and instead
I will be attending the conference, I could appreciate if the large silent
majority of my enthusiastic supporters joins forces and votes for my paper
at:
https://docs.google.com/forms/d/1XGPghf1OsdgTmrsiEscWqcPjssfDX3u8IE-PBOLebc4/viewform

No disrespect for the other shortlisted paper "On the origins of Bitcoin"
by Konrad Graf:
http://konradsgraf.com/blog1/2013/10/23/on-the-origins-of-bitcoin-my-new-work-on-bitcoin-and-monetar.html

thank you

ciao -- Nando

PS Luigi: please do not ban me ;-)
It is open source finance, isn't it?


On Tue, May 6, 2014 at 11:50 AM, Ferdinando M. Ametrano <
fer...@am...> wrote:

> Hi all
>
> hopefully I am not abusing my role posting this: it's not QuantLib, but
> Bitcoin is open source finance.
>
> I would love to introduce my latest paper to the QuantLib community:
> Hayek Money: The Cryptocurrency Price Stability Solution
> http://ssrn.com/abstract=2425270
>
> I consider this work my most relevant achievement ever, and I would love
> to receive feedback, privately or on the following forums:
> http://redd.it/24p2qt
> https://bitcointalk.org/index.php?topic=595588
>
> thank you
>
> ciao -- Nando
>
> Abstract: The Bitcoin protocol has enabled competition between digital
> cryptocurrencies and traditional legal tender fiat currencies. Despite
> impressive cryptocurrency adoption rate, dramatic inflationary price
> instability has thwarted affirmation of the cryptocurrency leadership.
> Price stability can be achieved by dynamically rebasing the outstanding
> amount of money: the number of currency units in every digital wallet is
> adjusted instead of each single unit changing its value. This monetary base
> adjustment has neutral impact on the overall wallet wealth, as it does not
> introduce any arbitrary distortion into the intrinsic value dynamics of the
> wallet. The adjustment is based on a commodity price index determined with
> a resilient consensus process that does not rely on central third party
> authorities. It is posited in this paper that a digital cryptocurrency
> adopting such monetary policy is Hayek Money, so named from the Nobel
> Prize-winning economist: namely the best money ever devised, the new good
> money standard providing stable prices for a new economic era.
>
>

[Quantlib-dev] Can I extrapolate beyond interpolation range in LinearInterpolation?

[v17 <var...@ya...>]

Hello,

I am doing LinearInterpolation with x-vector being YearFrac and y vector as
YTMs -

X-vector is {0.5,1,2,3,4,5,6,7,8,9,10,15)

Interpolation works fine for yearFrac range 0.5 to 15

However for yearfrac < 0.5 and > 15 it gives exception.

Is there any way to interpolate beyond range?





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[Quantlib-dev] [OFFTOPIC] Hayek Money: The Cryptocurrency Price Stability Solution

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

Hi all

hopefully I am not abusing my role posting this: it's not QuantLib, but
Bitcoin is open source finance.

I would love to introduce my latest paper to the QuantLib community:
Hayek Money: The Cryptocurrency Price Stability Solution
http://ssrn.com/abstract=2425270

I consider this work my most relevant achievement ever, and I would love to
receive feedback, privately or on the following forums:
http://redd.it/24p2qt
https://bitcointalk.org/index.php?topic=595588

thank you

ciao -- Nando

Abstract: The Bitcoin protocol has enabled competition between digital
cryptocurrencies and traditional legal tender fiat currencies. Despite
impressive cryptocurrency adoption rate, dramatic inflationary price
instability has thwarted affirmation of the cryptocurrency leadership.
Price stability can be achieved by dynamically rebasing the outstanding
amount of money: the number of currency units in every digital wallet is
adjusted instead of each single unit changing its value. This monetary base
adjustment has neutral impact on the overall wallet wealth, as it does not
introduce any arbitrary distortion into the intrinsic value dynamics of the
wallet. The adjustment is based on a commodity price index determined with
a resilient consensus process that does not rely on central third party
authorities. It is posited in this paper that a digital cryptocurrency
adopting such monetary policy is Hayek Money, so named from the Nobel
Prize-winning economist: namely the best money ever devised, the new good
money standard providing stable prices for a new economic era.

[Quantlib-dev] Quantlib-SWIG (Java) test error

[benedict 1 <ben...@ho...>]

Hi All,
so sorry that I am posting a simple question here. I am new to Quantlib-swig(java). I have run the methods posted by the Skwash project in Eclipse to generate the java .class and .java files in my QuantlibJavaWrapper and also the quantlib.cxx file in QuantlibCppWrapper. However, I cannt run the test suite for the SwapValuation.java as it prints out the error.

SwapValuation failedjava.lang.UnsatisfiedLinkError: no QuantLibCppWrapper in java.library.path      at java.lang.ClassLoader.loadLibrary(Unknown Source)      at java.lang.Runtime.loadLibrary0(Unknown Source)      at java.lang.System.loadLibrary(Unknown Source)      at org.quantlib.examples.SwapValuation.main(SwapValuation.java:7)

I realise one strange thing for my QuantlibCppWrapper Project.1.   It has no Debug file.2.   The file prsent there is quantlib.cxx, and quantlib.h.

This means the only PATH I include in the run configuration of SwapValuation.java is in the Quantlib/Debug,   but not the QuantlibCppWrapper\Debug as it is missing.
I hope someone can help me as I have been trying this for almost 1 week and came up to no solution for this. I believe I am probably just missing one step. Will any kind souls give me a hand on this ??
Will appreciate your help very very very much.Thank you
 		 	   		  

Re: [Quantlib-dev] "end must be large than start" from uniform1dmesher.cpp

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

Hi Mikael,

can you please post an example code sniplet, which reproduces the error. It is difficult 
to guess the issue w/o an example.

regards
Klaus

On Tuesday, April 22, 2014 05:07:11 PM Mik...@su... wrote:
> Hi,
> 
> I have built a valuation of an FX barrier option. When I call NPV()
> (calculate()) in the BarrierOption class it throws the message "end must be
> large than start" and I am unable to resolve it. What am I doing wrong?
> 
> Kind regards,
> 
> Mikael Johansson * Consultant  * Capital Markets Consulting Services *
> Capital Markets * SunGard * Kungsbron 2, P.O. Box 70351, SE - 107 24
> Stockholm, Sweden * Tel +46 769 68 22 77 *
> mik...@su...<mailto:mik...@su...> * 
> www.sungard.com<http://www.sungard.com/> [Capital Markets Awards Banner May
> 2013]
> Join the online conversation with SunGard's customers, partners and Industry
> experts and find an event near you at:
> www.sungard.com/ten<http://www.capitalize-on-change.com/?email=70150000000Y
> 1Et> CONFIDENTIALITY: This e-mail (including any attachments) may contain
> confidential, proprietary and privileged information, and unauthorized
> disclosure or use is prohibited.  If you receive this e-mail in error,
> please notify the sender and delete this e-mail from your system.

Re: [Quantlib-dev] bivariate student cdf?

[Michal K. <mic...@gm...>]

Luigi,

I have a small test case, you can get it from https://db.tt/eYcPFP15 
(too big to send by email).
In addition, I have included a slightly updated version of the 
implementation note.

There are four tests in the file:
1. Prints an equivalent of Table 1 from the paper I am using for 
formulas (needs manual comparison with the values in the table).

2. Ditto for Table 2.

Both the tables include only tables on the diagonal (y=x), so this is 
not a sufficient test.

3. Compare results of cdf with dof = 10000 to normal distribution, for a 
range of correlations. This uses the bivariate normal cdf from QuantLib.
The reasoning behind the test is that since normal is the limit case of 
student with dof equal to infinity, dof=10000 should be enough for the 
two to be virtually equal.

4. Compare results to the values generated by a Matlab file bvtl.m from 
http://www.math.wsu.edu/math/faculty/genz/software/software.html.
Note that I have included not only the generated tables, but also bvtl.m 
and my script for generating the tables - this is only for you to check 
what I did, bvtl.m cannot be distributed with QuantLib as it is under GPL.
The test code expects the comparison tables to reside in folder ./test, 
though this is easily changed.

Hope this helps.

Regards,
Michal



On 16/04/14 15:18, Luigi Ballabio wrote:
> Thanks, Michal. Do you have any test cases for the function?
>
> Luigi
>
>
> On Tue, Apr 15, 2014 at 10:06 PM, Michal Kaut <mic...@gm...
> <mailto:mic...@gm...>> wrote:
>
>     Dear Luigi,
>
>     please find the code attached.
>     (I have only limited experience with GitHub and, moreover, the code
>     needs some QuantLib-ization before it can be added to the library..)
>
>     I have also included a short note with a link to the original paper
>     and explaining some details of the implementation.
>
>     By the way, here is the link with the only other implementation of
>     the bivariate student cdf, which I used for
>     checking:http://www.math.wsu.__edu/math/faculty/genz/__software/software.html
>     <http://www.math.wsu.edu/math/faculty/genz/software/software.html>.
>     (They are based on the same paper, but the codes are GPL.)
>
>     I hope you find the code useful.
>
>     Michal
>
>
>
>     On 15/04/14 21:40, Luigi Ballabio wrote:
>
>         Hello,
>               if you have use for it, then we probably have, too.  :)
>         You can either post the code here, or (if you're familiar with
>         GitHub)
>         send me a pull request.
>
>         Luigi
>
>         On Apr 15, 2014 9:34 PM, "Michal Kaut" <mic...@gm...
>         <mailto:mic...@gm...>
>         <mailto:mic...@gm... <mailto:mic...@gm...>>> wrote:
>
>              Hello,
>
>              I am wandering whether you (the QuantLib team) would be
>         interested in a
>              code for bivariate student cdf?
>              I needed it for my code and since I did not find any
>         implementation with
>              a suitable license, I have implemented it myself.
>              I did it in my free time, using formulas from a published
>         paper (from
>              1954), so I have all rights to the code.
>              I checked the code against another library (in Matlab) and
>         it gives the
>              same results.
>
>              At the moment, the code uses standard C/C++ types (double
>         etc), but it
>              should not be a big problem to QuantLib-tify it.
>
>              My question is, do you have use for this (bivariate Student
>         cdf) in
>              QuanLib? And if yes, what is the next step? (I have to
>         admit I have very
>              little experience in contributing code to projects.)
>
>
>              Regards,
>              Michal
>
>
>         ------------------------------__------------------------------__------------------
>              Learn Graph Databases - Download FREE O'Reilly Book
>              "Graph Databases" is the definitive new guide to graph
>         databases and
>              their
>              applications. Written by three acclaimed leaders in the field,
>              this first edition is now available. Download your free
>         book today!
>         http://p.sf.net/sfu/NeoTech
>              _________________________________________________
>              QuantLib-dev mailing list
>         QuantLib-dev@lists.__sourceforge.net
>         <mailto:Qua...@li...>
>              <mailto:QuantLib-dev@lists.__sourceforge.net
>         <mailto:Qua...@li...>>
>         https://lists.sourceforge.net/__lists/listinfo/quantlib-dev
>         <https://lists.sourceforge.net/lists/listinfo/quantlib-dev>
>
>
>
>
> --
> <https://implementingquantlib.blogspot.com>
> <https://twitter.com/lballabio>

Re: [Quantlib-dev] bivariate student cdf?

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

Hello Krishnan,
    we have a number of generators in the library already. Do yours add any
particular features?

We don't have clean-cut rules on contributions. If I were to try and write
some guidelines: contributions of new instruments and/or models are
obviously ok. Math code should have some use case in the rest of the
library; Michal's is somewhat borderline (no actual use case yet) but it's
an extension of the 1-D case and I can imagine it being used for some
simulation. But in general, I'm not very selective and I tend to accept
stuff (which sometimes leads to entire directories being in the library and
not being used at all as far as I know, which is the reason I'm trying to
filter a bit more these days).

As for bugs: known ones are filed at <
http://sourceforge.net/p/quantlib/bugs/> Some of those are quite old, so it
would be of help if someone were to go through them, check if they can
still be reproduced, and let me know so I can close some of them. We used
to have a feature-request tracker, but it was rather useless; as a rule,
potential contributors stick to coding if something is useful to them, but
lose interest quickly if the feature was requested by someone else...

One thing that might be needed are more tests. Of course this falls into
the feature-request problem I just wrote about. But if someone starts using
some feature of the library for their work, then it would be useful to all
parties involved to add some test cases.

I hope this starts to answer your question.

Later,
    Luigi




On Wed, Apr 16, 2014 at 12:19 AM, kri...@gm... <
kri...@gm...> wrote:

> Hi Luigi,
>
> I had a question in this context as well. Like Michal, I have little
> experience contributing to projects. My question is - how can we know what
> we can contribute? Like bugs, feature requests etc. Apologies, if this has
> been covered elsewhere.
>
> Before C++11, which now supports normal distribution random number
> generators, I wrote code to generate these myself (Polar Marsaglia
> algorithm etc). Would this be of interest to Quantlib project? Please bear
> with my questions as I'm a newbie.
>
> Regards,
>
> -Krishnan
>
> ----- Reply message -----
> From: "Luigi Ballabio" <lui...@gm...>
> To: "Michal Kaut" <mic...@gm...>
> Cc: "QuantLib developers" <qua...@li...>
> Subject: [Quantlib-dev] bivariate student cdf?
> Date: Tue, Apr 15, 2014 20:40
>
> Hello,
>     if you have use for it, then we probably have, too.  :)
> You can either post the code here, or (if you're familiar with GitHub)
> send me a pull request.
>
> Luigi
> On Apr 15, 2014 9:34 PM, "Michal Kaut" <mic...@gm...> wrote:
>
>> Hello,
>>
>> I am wandering whether you (the QuantLib team) would be interested in a
>> code for bivariate student cdf?
>> I needed it for my code and since I did not find any implementation with
>> a suitable license, I have implemented it myself.
>> I did it in my free time, using formulas from a published paper (from
>> 1954), so I have all rights to the code.
>> I checked the code against another library (in Matlab) and it gives the
>> same results.
>>
>> At the moment, the code uses standard C/C++ types (double etc), but it
>> should not be a big problem to QuantLib-tify it.
>>
>> My question is, do you have use for this (bivariate Student cdf) in
>> QuanLib? And if yes, what is the next step? (I have to admit I have very
>> little experience in contributing code to projects.)
>>
>>
>> Regards,
>> Michal
>>
>>
>> ------------------------------------------------------------------------------
>> Learn Graph Databases - Download FREE O'Reilly Book
>> "Graph Databases" is the definitive new guide to graph databases and their
>> applications. Written by three acclaimed leaders in the field,
>> this first edition is now available. Download your free book today!
>> http://p.sf.net/sfu/NeoTech
>> _______________________________________________
>> 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] bivariate student cdf?

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

Thanks, Michal. Do you have any test cases for the function?

Luigi


On Tue, Apr 15, 2014 at 10:06 PM, Michal Kaut <mic...@gm...> wrote:

> Dear Luigi,
>
> please find the code attached.
> (I have only limited experience with GitHub and, moreover, the code needs
> some QuantLib-ization before it can be added to the library..)
>
> I have also included a short note with a link to the original paper and
> explaining some details of the implementation.
>
> By the way, here is the link with the only other implementation of the
> bivariate student cdf, which I used for checking:http://www.math.wsu.
> edu/math/faculty/genz/software/software.html.
> (They are based on the same paper, but the codes are GPL.)
>
> I hope you find the code useful.
>
> Michal
>
>
>
> On 15/04/14 21:40, Luigi Ballabio wrote:
>
>> Hello,
>>      if you have use for it, then we probably have, too.  :)
>> You can either post the code here, or (if you're familiar with GitHub)
>> send me a pull request.
>>
>> Luigi
>>
>> On Apr 15, 2014 9:34 PM, "Michal Kaut" <mic...@gm...
>> <mailto:mic...@gm...>> wrote:
>>
>>     Hello,
>>
>>     I am wandering whether you (the QuantLib team) would be interested in
>> a
>>     code for bivariate student cdf?
>>     I needed it for my code and since I did not find any implementation
>> with
>>     a suitable license, I have implemented it myself.
>>     I did it in my free time, using formulas from a published paper (from
>>     1954), so I have all rights to the code.
>>     I checked the code against another library (in Matlab) and it gives
>> the
>>     same results.
>>
>>     At the moment, the code uses standard C/C++ types (double etc), but it
>>     should not be a big problem to QuantLib-tify it.
>>
>>     My question is, do you have use for this (bivariate Student cdf) in
>>     QuanLib? And if yes, what is the next step? (I have to admit I have
>> very
>>     little experience in contributing code to projects.)
>>
>>
>>     Regards,
>>     Michal
>>
>>     ------------------------------------------------------------
>> ------------------
>>     Learn Graph Databases - Download FREE O'Reilly Book
>>     "Graph Databases" is the definitive new guide to graph databases and
>>     their
>>     applications. Written by three acclaimed leaders in the field,
>>     this first edition is now available. Download your free book today!
>>     http://p.sf.net/sfu/NeoTech
>>     _______________________________________________
>>     QuantLib-dev mailing list
>>     Qua...@li...
>>     <mailto:Qua...@li...>
>>     https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
>>


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

Re: [Quantlib-dev] bivariate student cdf?

[<kri...@gm...>]

Hi Luigi,

I had a question in this context as well. Like Michal, I have little experience contributing to projects. My question is - how can we know what we can contribute? Like bugs, feature requests etc. Apologies, if this has been covered elsewhere.

Before C++11, which now supports normal distribution random number generators, I wrote code to generate these myself (Polar Marsaglia algorithm etc). Would this be of interest to Quantlib project? Please bear with my questions as I'm a newbie.

Regards,

-Krishnan

----- Reply message -----
From: "Luigi Ballabio" <lui...@gm...>
To: "Michal Kaut" <mic...@gm...>
Cc: "QuantLib developers" <qua...@li...>
Subject: [Quantlib-dev] bivariate student cdf?
Date: Tue, Apr 15, 2014 20:40

Hello, 

    if you have use for it, then we probably have, too.  :)

You can either post the code here, or (if you're familiar with GitHub) send me a pull request. 
Luigi 
On Apr 15, 2014 9:34 PM, "Michal Kaut" <mic...@gm...> wrote:
Hello,



I am wandering whether you (the QuantLib team) would be interested in a

code for bivariate student cdf?

I needed it for my code and since I did not find any implementation with

a suitable license, I have implemented it myself.

I did it in my free time, using formulas from a published paper (from

1954), so I have all rights to the code.

I checked the code against another library (in Matlab) and it gives the

same results.



At the moment, the code uses standard C/C++ types (double etc), but it

should not be a big problem to QuantLib-tify it.



My question is, do you have use for this (bivariate Student cdf) in

QuanLib? And if yes, what is the next step? (I have to admit I have very

little experience in contributing code to projects.)





Regards,

Michal



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Re: [Quantlib-dev] bivariate student cdf?

[Michal K. <mic...@gm...>]

Dear Luigi,

please find the code attached.
(I have only limited experience with GitHub and, moreover, the code 
needs some QuantLib-ization before it can be added to the library..)

I have also included a short note with a link to the original paper and 
explaining some details of the implementation.

By the way, here is the link with the only other implementation of the 
bivariate student cdf, which I used for 
checking:http://www.math.wsu.edu/math/faculty/genz/software/software.html.
(They are based on the same paper, but the codes are GPL.)

I hope you find the code useful.

Michal


On 15/04/14 21:40, Luigi Ballabio wrote:
> Hello,
>      if you have use for it, then we probably have, too.  :)
> You can either post the code here, or (if you're familiar with GitHub)
> send me a pull request.
>
> Luigi
>
> On Apr 15, 2014 9:34 PM, "Michal Kaut" <mic...@gm...
> <mailto:mic...@gm...>> wrote:
>
>     Hello,
>
>     I am wandering whether you (the QuantLib team) would be interested in a
>     code for bivariate student cdf?
>     I needed it for my code and since I did not find any implementation with
>     a suitable license, I have implemented it myself.
>     I did it in my free time, using formulas from a published paper (from
>     1954), so I have all rights to the code.
>     I checked the code against another library (in Matlab) and it gives the
>     same results.
>
>     At the moment, the code uses standard C/C++ types (double etc), but it
>     should not be a big problem to QuantLib-tify it.
>
>     My question is, do you have use for this (bivariate Student cdf) in
>     QuanLib? And if yes, what is the next step? (I have to admit I have very
>     little experience in contributing code to projects.)
>
>
>     Regards,
>     Michal
>
>     ------------------------------------------------------------------------------
>     Learn Graph Databases - Download FREE O'Reilly Book
>     "Graph Databases" is the definitive new guide to graph databases and
>     their
>     applications. Written by three acclaimed leaders in the field,
>     this first edition is now available. Download your free book today!
>     http://p.sf.net/sfu/NeoTech
>     _______________________________________________
>     QuantLib-dev mailing list
>     Qua...@li...
>     <mailto:Qua...@li...>
>     https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Re: [Quantlib-dev] bivariate student cdf?

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

Hello,
    if you have use for it, then we probably have, too.  :)
You can either post the code here, or (if you're familiar with GitHub) send
me a pull request.

Luigi
On Apr 15, 2014 9:34 PM, "Michal Kaut" <mic...@gm...> wrote:

> Hello,
>
> I am wandering whether you (the QuantLib team) would be interested in a
> code for bivariate student cdf?
> I needed it for my code and since I did not find any implementation with
> a suitable license, I have implemented it myself.
> I did it in my free time, using formulas from a published paper (from
> 1954), so I have all rights to the code.
> I checked the code against another library (in Matlab) and it gives the
> same results.
>
> At the moment, the code uses standard C/C++ types (double etc), but it
> should not be a big problem to QuantLib-tify it.
>
> My question is, do you have use for this (bivariate Student cdf) in
> QuanLib? And if yes, what is the next step? (I have to admit I have very
> little experience in contributing code to projects.)
>
>
> Regards,
> Michal
>
>
> ------------------------------------------------------------------------------
> Learn Graph Databases - Download FREE O'Reilly Book
> "Graph Databases" is the definitive new guide to graph databases and their
> applications. Written by three acclaimed leaders in the field,
> this first edition is now available. Download your free book today!
> http://p.sf.net/sfu/NeoTech
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

[Quantlib-dev] bivariate student cdf?

[Michal K. <mic...@gm...>]

Hello,

I am wandering whether you (the QuantLib team) would be interested in a 
code for bivariate student cdf?
I needed it for my code and since I did not find any implementation with 
a suitable license, I have implemented it myself.
I did it in my free time, using formulas from a published paper (from 
1954), so I have all rights to the code.
I checked the code against another library (in Matlab) and it gives the 
same results.

At the moment, the code uses standard C/C++ types (double etc), but it 
should not be a big problem to QuantLib-tify it.

My question is, do you have use for this (bivariate Student cdf) in 
QuanLib? And if yes, what is the next step? (I have to admit I have very 
little experience in contributing code to projects.)


Regards,
Michal

Re: [Quantlib-dev] Port for Google Go

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

Hi Steve,
    as Peter said, SWIG can give you a head start if you manage to make the
existing interfaces work with its Go module (they're in the QuantLib-SWIG
release, inside the SWIG folder). Also, any class exported to one of the
other languages would also be available in Go.

The disadvantage is that using the bindings might cause you to write
non-idiomatic Go, and you won't get a chance to reimplement the
architecture in terms of the facilities provided by Go. So you'd be calling
the library from Go, but the underlying mechanics (observables etc) would
still be in C++. And most of the library is not thread-safe, which is
probably a big no-no in Go.

I'll leave it to you to weigh pros and cons against each other.

Later,
    Luigi



On Mon, Apr 14, 2014 at 1:45 PM, Piter Dias <pit...@pi...>wrote:

> Steve,
>
> Hi. How are you?
>
> I know nothing about Go but if you want to interface, instead of porting,
> SWIG may be your best friend - http://www.swig.org/Doc3.0/Go.html#Go.
>
> Porting seems to be harder, not only because of the amount of existing
> code, but the evolution of the library itself. QuantLibXL, for example, is
> very close to QuantLib but it is always some weeks behind in terms of
> releases. However, I admit that porting may be funnier to work on. :-)
>
> PS.: I only a casual contributor.
>
> Regards,
>
> _____________________
> Piter Dias
> pit...@pi...
> www.piterdias.com
>
>
>
> > Date: Mon, 14 Apr 2014 13:43:52 +1000
> > From: sy...@st...
> > To: Qua...@li...
> > Subject: [Quantlib-dev] Port for Google Go
>
> >
> >
> > Hi Dev's, I am interested in creating a port of QuantLib for the
> > Google Go language at http://code.google.com/p/go/ .
> >
> > Is this something the community would be interested in?
> >
> > -Steve
> >
> >
> >
> ------------------------------------------------------------------------------
> > Learn Graph Databases - Download FREE O'Reilly Book
> > "Graph Databases" is the definitive new guide to graph databases and
> their
> > applications. Written by three acclaimed leaders in the field,
> > this first edition is now available. Download your free book today!
> > http://p.sf.net/sfu/NeoTech
> > _______________________________________________
> > QuantLib-dev mailing list
> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>
> ------------------------------------------------------------------------------
> Learn Graph Databases - Download FREE O'Reilly Book
> "Graph Databases" is the definitive new guide to graph databases and their
> applications. Written by three acclaimed leaders in the field,
> this first edition is now available. Download your free book today!
> http://p.sf.net/sfu/NeoTech
> _______________________________________________
> 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] Port for Google Go

[Piter D. <pit...@pi...>]

Steve,
Hi. How are you?
I know nothing about Go but if you want to interface, instead of porting, SWIG may be your best friend - http://www.swig.org/Doc3.0/Go.html#Go.
Porting seems to be harder, not only because of the amount of existing code, but the evolution of the library itself. QuantLibXL, for example, is very close to QuantLib but it is always some weeks behind in terms of releases. However, I admit that porting may be funnier to work on. :-)

PS.: I only a casual contributor.

Regards,

_____________________Piter Dia...@pi...


> Date: Mon, 14 Apr 2014 13:43:52 +1000
> From: sy...@st...
> To: Qua...@li...
> Subject: [Quantlib-dev] Port for Google Go
> 
> 
> Hi Dev's, I am interested in creating a port of QuantLib for the  
> Google Go language at http://code.google.com/p/go/ .
> 
> Is this something the community would be interested in?
> 
> -Steve
> 
> 
> ------------------------------------------------------------------------------
> Learn Graph Databases - Download FREE O'Reilly Book
> "Graph Databases" is the definitive new guide to graph databases and their
> applications. Written by three acclaimed leaders in the field,
> this first edition is now available. Download your free book today!
> http://p.sf.net/sfu/NeoTech
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
 		 	   		  

[Quantlib-dev] Port for Google Go

[<sy...@st...>]

Hi Dev's, I am interested in creating a port of QuantLib for the  
Google Go language at http://code.google.com/p/go/ .

Is this something the community would be interested in?

-Steve

Re: [Quantlib-dev] R: Re: QuantLib in JavaScript

[Alexander <for...@gm...>]

Hi Ismael,

At moment i do the implementation  (REST paradigm) of Web Service for
Forecasting of Stocks volatility (on the fly) on the base R Server +
Protovis + Node js + UI with backbone js + Mongoose ( on the platform AWS
(EC2))
and would like to add the implementation of QuantLib as a service and i am
looking for developers or solutions for implementation a JavaScript port of
QuantLib that could run either on the client or on the server (using like
Node.js) 

You wrote 1 year ago: " I know quite a few people who would be interested by
this ( means JavaScript port of QuantLib). If not, what would be the best
way to approach such a project "

Question: "Can you inform me the contacts of people how was it said  above "

Thanks,

Alexander
Email: forecasting (at) gmx de





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View this message in context: http://quantlib.10058.n7.nabble.com/R-Re-QuantLib-in-JavaScript-tp13970p15143.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

Re: [Quantlib-dev] Deprecated example in Bonds.cpp

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

On 18 March 2014 at 06:38, Dirk Eddelbuettel wrote:
| 
| Hi Luigi,
| 
| On 18 March 2014 at 11:20, Luigi Ballabio wrote:
| | Hi Dirk,
| |     it's not FixedRateBondHelper that is deprecated; it's just that
| | particular constructor of FittedBondDiscountCurve, which takes a
| | vector<shared_ptr<FixedRateBondHelper>> and now is superseded by the
| | one that takes a more general vector<shared_ptr<BondHelper>>.
| 
| Sorry, that is what I meant.
| 
| | You should be able to fix your code simply by changing the type of the
| | vector you're passing.
| 
| I think I tried that.  I shall try again...

Gosh was that ever simple, but as usual I need three runs around the class
hierarchy until I realized that FixedRateBond is what I wanted...

Sent you a pull request updating the example.

Dirk

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

Re: [Quantlib-dev] Retiring quantlib-dev

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

Hi Dirk,
    thanks for your opinion (which is not discounted as much as you
say, since I guess you're the one with most experience in
participating to open-source projects...)
In fact I might have to jump a few hoops in order to disable the list
(which is also mirrored at Nabble and Gmane) so it might be more work
that it's worth. Hmm.

Later,
    Luigi


On Tue, Mar 18, 2014 at 2:52 PM, Dirk Eddelbuettel <ed...@de...> wrote:
>
> On 18 March 2014 at 14:38, Luigi Ballabio wrote:
> | Hi all,
> |     as the amount of traffic is not so high that we need to divide it
> | between two lists, and as the difference between them wasn't always so
> | clear to begin with, the other admins and I were thinking of retiring
> | the quantlib-dev list and only rely on quantlib-users. The dev list
> | will remain online as a searchable archive, but we'll close it for
> | posting. Those of you that still aren't subscribed to quantlib-users
> | (close to none, I guess) can subscribe at
> | <https://lists.sourceforge.net/lists/listinfo/quantlib-users>. We're
> | still open to hear any objection, of course.
>
> Count me in as voting against. [1]
>
> The infrastructure is set up, it costs as nothing and having the optionality
> of discussing _implementation details_ is worth something.
>
> Dirk
>
> [1] Steep discuountactor applicable as I am not that visible.
>
> --
> Dirk Eddelbuettel | ed...@de... | http://dirk.eddelbuettel.com



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

Re: [Quantlib-dev] Retiring quantlib-dev

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

On 18 March 2014 at 14:38, Luigi Ballabio wrote:
| Hi all,
|     as the amount of traffic is not so high that we need to divide it
| between two lists, and as the difference between them wasn't always so
| clear to begin with, the other admins and I were thinking of retiring
| the quantlib-dev list and only rely on quantlib-users. The dev list
| will remain online as a searchable archive, but we'll close it for
| posting. Those of you that still aren't subscribed to quantlib-users
| (close to none, I guess) can subscribe at
| <https://lists.sourceforge.net/lists/listinfo/quantlib-users>. We're
| still open to hear any objection, of course.

Count me in as voting against. [1]

The infrastructure is set up, it costs as nothing and having the optionality
of discussing _implementation details_ is worth something. 

Dirk

[1] Steep discuountactor applicable as I am not that visible.

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

[Quantlib-dev] Retiring quantlib-dev

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

Hi all,
    as the amount of traffic is not so high that we need to divide it
between two lists, and as the difference between them wasn't always so
clear to begin with, the other admins and I were thinking of retiring
the quantlib-dev list and only rely on quantlib-users. The dev list
will remain online as a searchable archive, but we'll close it for
posting. Those of you that still aren't subscribed to quantlib-users
(close to none, I guess) can subscribe at
<https://lists.sourceforge.net/lists/listinfo/quantlib-users>. We're
still open to hear any objection, of course.

Later,
    Luigi

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

Re: [Quantlib-dev] Deprecated example in Bonds.cpp

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

Hi Luigi,

On 18 March 2014 at 11:20, Luigi Ballabio wrote:
| Hi Dirk,
|     it's not FixedRateBondHelper that is deprecated; it's just that
| particular constructor of FittedBondDiscountCurve, which takes a
| vector<shared_ptr<FixedRateBondHelper>> and now is superseded by the
| one that takes a more general vector<shared_ptr<BondHelper>>.

Sorry, that is what I meant.

| You should be able to fix your code simply by changing the type of the
| vector you're passing.

I think I tried that.  I shall try again...

Dirk

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