quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] RelinkableHandle<YieldTermStructure> reset to Null

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

Hi,
    link it to an empty shared_ptr.

Luigi
 On Oct 18, 2013 4:01 PM, "Breig, Dr. Christoph (IDS GmbH)" <
CHR...@in...> wrote:

> **
> Dear all,
>
> has anybody an idea how to set a Relinkable Handle who is already linked
> to a YieldTermStructure object back to Null, so that the function
> "empty()" returns again true?
>
> Best and thanks
> Chris
>
>
> ------------------------------------------------------------------------------
> October Webinars: Code for Performance
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> the latest Intel processors and coprocessors. See abstracts and register >
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> _______________________________________________
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> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>

[Quantlib-dev] RelinkableHandle<YieldTermStructure> reset to Null

[Breig, D. C. (I. GmbH) <CHR...@IN...>]

Dear all,

has anybody an idea how to set a Relinkable Handle who is already linked to a YieldTermStructure object back to Null, so that the function
"empty()" returns again true?

Best and thanks
Chris

[Quantlib-dev] test suite errors (VC9, boost 1.52)

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

Hi all

I've just noticed two errors in the test-suite: my git clone of
fballabio, VC9, boost 1.52

Error 1 fatal error in
"QuantLib::detail::quantlib_test_case(&FdHestonTest::testSquareRootEvolveWithStationaryDensity)":
std::exception: interpolation range is [0.118827, 0.304616]: extrapolation
at 0.118827 not allowed unknown location
Error 2 fatal error in
"QuantLib::detail::quantlib_test_case(&MarkovFunctionalTest::testKahaleSmileSection)":
Invalid parameter detected by C runtime library unknown location

I cannot personally look into it for the time being, but I'm sure there are
braver souls out there...

ciao -- Nando

[Quantlib-dev] OpenMP heads up

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

I just checked in my OpenMP changes into github and issued a pull request.

The changes parallelize some of the loops in the FD engine.  The big speed
gains would be in the MC code, but it looks like that there needs to be a
bit of restructuring before that can happen.

Re: [Quantlib-dev] OpenMP heads up

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

Great. Is your code on GitHub?

Luigi

On Thu, Oct 17, 2013 at 2:15 PM, Joseph Wang <joe...@gm...> wrote:
> Just a heads up.  I'm working on getting QuantLib working with parallel
> computing.  I've got the system built with OpenMP, and I'm going to be
> playing with getting it working with OpenMPI afterwards.
>
> I'm going to start with the "obvious" parallel areas (i.e. parallelize monte
> carlo paths) but if someone has ideas on non-obvious places to look at
> parallel coding let me know.  One non-obvious place I can think of is the
> tridiagonalization routine where you have to use a different algorithm to
> get any parallel speedup.
>
> ------------------------------------------------------------------------------
> 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=/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>

[Quantlib-dev] OpenMP heads up

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

Just a heads up.  I'm working on getting QuantLib working with parallel
computing.  I've got the system built with OpenMP, and I'm going to be
playing with getting it working with OpenMPI afterwards.

I'm going to start with the "obvious" parallel areas (i.e. parallelize
monte carlo paths) but if someone has ideas on non-obvious places to look
at parallel coding let me know.  One non-obvious place I can think of is
the tridiagonalization routine where you have to use a different algorithm
to get any parallel speedup.

Re: [Quantlib-dev] Timing issues when recalculating an XL spreadsheet with Quantlib

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

Hi Grzegorz,

On 2013-06-13 16:47, Grześ Andruszkiewicz wrote:
> Hi,
>
> I just noticed that my QuantLib spreadsheet has issues when
> recalculating in Excel: sometimes Excel reads the value of the
> instrument before the pricing engine is set, hence resulting in an
> error. Any ideas how to get around it?

Please see

     http://quantlib.org/objecthandler/references.html

Kind 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] QuantLib-SWIG port to Python3

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

The relative-import syntax seems to have limitations in Python 2.5.  I
can import specific names, but if I try to import everything I get
    SyntaxError: 'import *' not allowed with 'from .'

Luigi


On Mon, Oct 7, 2013 at 8:59 PM, Minjae David Kim <min...@gm...> wrote:
> I reviewed your changes and ran the tests in Python 3.  Also, thanks for
> updating the examples.
>
> One minor comment I have is that I see some changes in the relative import
> syntax (in QuantLib/__init__.py line 19 - 26).  Your implementation
> certainly works, but I am curious why the previous implementation ("import
> .QuantLib [...]") did not work.  Due to PEP 328, all major versions of
> Python (including 2.5) should support the prefix dot import syntax, but
> unfortunately, I don't have Python 2.5 on my system to test it.  Python 2.7
> worked with the previous implementation.
>
> Anyhow, the above comment is just a minor one.  The code works fine as far
> as I can see from the tests in Python 2.7 and 3.3.
>
>
> Best Regards,
> Minjae
>
>
> On Mon, Oct 7, 2013 at 8:07 AM, Luigi Ballabio <lui...@gm...>
> wrote:
>>
>> Minjae,
>>     I've merged the pull request.  I've made a few small changes to
>> ensure compatibility with older versions (such as the ancient Python
>> 2.5, with which QuantLib still works) so please check that I haven't
>> broken anything.
>>
>> Thanks,
>>     Luigi
>>
>>
>> On Sun, Oct 6, 2013 at 6:06 AM, Minjae David Kim <min...@gm...>
>> wrote:
>> > Hello Luigi,
>> >
>> > I have accordingly made a pull request on GitHub.  I tested the code in
>> > both
>> > Python 2 and Python 3 to ensure that we are maintaining full
>> > compatibility.
>> > If people are using Python, it would be great if they could test the new
>> > code and give feedback.
>> >
>> > Best Regards,
>> > Minjae
>> >
>> >
>> > On Thu, Oct 3, 2013 at 10:49 AM, Luigi Ballabio
>> > <lui...@gm...>
>> > wrote:
>> >>
>> >> Hello Minjae,
>> >>     yes, it would be great if you contributed your fixes (a pull
>> >> request
>> >> on GitHub would be best, but you can send it in whatever format works
>> >> for
>> >> you). The same goes for the test cases.
>> >>
>> >> Thanks,
>> >>     Luigi
>> >>
>> >> On Oct 3, 2013 7:01 PM, "Minjae David Kim" <min...@gm...>
>> >> wrote:
>> >>>
>> >>> Hello,
>> >>>
>> >>> I was wondering if there is any interest in porting QuantLib-SWIG to
>> >>> work
>> >>> with Python3.x.  Currently, it seems to work only with Python2.x.
>> >>>
>> >>> I have done some quick fixes on SWIG interface files so that it works
>> >>> with Python3.x  Works well with me so far and passes all the tests.
>> >>> If
>> >>> there is interest, I will be happy to contribute -- please let me
>> >>> know.
>> >>> Also, I was hoping to add more to the test cases.
>> >>>
>> >>> Best Regards,
>> >>> Minjae
>> >>>
>> >>>
>> >>>
>> >>> ------------------------------------------------------------------------------
>> >>> 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=60134791&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>
>
>



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

Re: [Quantlib-dev] QuantLib-SWIG port to Python3

[Minjae D. K. <min...@gm...>]

I reviewed your changes and ran the tests in Python 3.  Also, thanks for
updating the examples.

One minor comment I have is that I see some changes in the relative import
syntax (in QuantLib/__init__.py line 19 - 26).  Your implementation
certainly works, but I am curious why the previous implementation ("import
.QuantLib [...]") did not work.  Due to PEP 328, all major versions of
Python (including 2.5) should support the prefix dot import syntax, but
unfortunately, I don't have Python 2.5 on my system to test it.  Python 2.7
worked with the previous implementation.

Anyhow, the above comment is just a minor one.  The code works fine as far
as I can see from the tests in Python 2.7 and 3.3.


Best Regards,
Minjae


On Mon, Oct 7, 2013 at 8:07 AM, Luigi Ballabio <lui...@gm...>wrote:

> Minjae,
>     I've merged the pull request.  I've made a few small changes to
> ensure compatibility with older versions (such as the ancient Python
> 2.5, with which QuantLib still works) so please check that I haven't
> broken anything.
>
> Thanks,
>     Luigi
>
>
> On Sun, Oct 6, 2013 at 6:06 AM, Minjae David Kim <min...@gm...>
> wrote:
> > Hello Luigi,
> >
> > I have accordingly made a pull request on GitHub.  I tested the code in
> both
> > Python 2 and Python 3 to ensure that we are maintaining full
> compatibility.
> > If people are using Python, it would be great if they could test the new
> > code and give feedback.
> >
> > Best Regards,
> > Minjae
> >
> >
> > On Thu, Oct 3, 2013 at 10:49 AM, Luigi Ballabio <
> lui...@gm...>
> > wrote:
> >>
> >> Hello Minjae,
> >>     yes, it would be great if you contributed your fixes (a pull request
> >> on GitHub would be best, but you can send it in whatever format works
> for
> >> you). The same goes for the test cases.
> >>
> >> Thanks,
> >>     Luigi
> >>
> >> On Oct 3, 2013 7:01 PM, "Minjae David Kim" <min...@gm...>
> wrote:
> >>>
> >>> Hello,
> >>>
> >>> I was wondering if there is any interest in porting QuantLib-SWIG to
> work
> >>> with Python3.x.  Currently, it seems to work only with Python2.x.
> >>>
> >>> I have done some quick fixes on SWIG interface files so that it works
> >>> with Python3.x  Works well with me so far and passes all the tests.  If
> >>> there is interest, I will be happy to contribute -- please let me know.
> >>> Also, I was hoping to add more to the test cases.
> >>>
> >>> Best Regards,
> >>> Minjae
> >>>
> >>>
> >>>
> ------------------------------------------------------------------------------
> >>> 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=60134791&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] QuantLib-SWIG port to Python3

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

Minjae,
    I've merged the pull request.  I've made a few small changes to
ensure compatibility with older versions (such as the ancient Python
2.5, with which QuantLib still works) so please check that I haven't
broken anything.

Thanks,
    Luigi


On Sun, Oct 6, 2013 at 6:06 AM, Minjae David Kim <min...@gm...> wrote:
> Hello Luigi,
>
> I have accordingly made a pull request on GitHub.  I tested the code in both
> Python 2 and Python 3 to ensure that we are maintaining full compatibility.
> If people are using Python, it would be great if they could test the new
> code and give feedback.
>
> Best Regards,
> Minjae
>
>
> On Thu, Oct 3, 2013 at 10:49 AM, Luigi Ballabio <lui...@gm...>
> wrote:
>>
>> Hello Minjae,
>>     yes, it would be great if you contributed your fixes (a pull request
>> on GitHub would be best, but you can send it in whatever format works for
>> you). The same goes for the test cases.
>>
>> Thanks,
>>     Luigi
>>
>> On Oct 3, 2013 7:01 PM, "Minjae David Kim" <min...@gm...> wrote:
>>>
>>> Hello,
>>>
>>> I was wondering if there is any interest in porting QuantLib-SWIG to work
>>> with Python3.x.  Currently, it seems to work only with Python2.x.
>>>
>>> I have done some quick fixes on SWIG interface files so that it works
>>> with Python3.x  Works well with me so far and passes all the tests.  If
>>> there is interest, I will be happy to contribute -- please let me know.
>>> Also, I was hoping to add more to the test cases.
>>>
>>> Best Regards,
>>> Minjae
>>>
>>>
>>> ------------------------------------------------------------------------------
>>> 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=60134791&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] QuantLib-SWIG port to Python3

[Minjae D. K. <min...@gm...>]

Hello Luigi,

I have accordingly made a pull request on GitHub.  I tested the code in
both Python 2 and Python 3 to ensure that we are maintaining full
compatibility.  If people are using Python, it would be great if they could
test the new code and give feedback.

Best Regards,
Minjae


On Thu, Oct 3, 2013 at 10:49 AM, Luigi Ballabio <lui...@gm...>wrote:

> Hello Minjae,
>     yes, it would be great if you contributed your fixes (a pull request
> on GitHub would be best, but you can send it in whatever format works for
> you). The same goes for the test cases.
>
> Thanks,
>     Luigi
> On Oct 3, 2013 7:01 PM, "Minjae David Kim" <min...@gm...> wrote:
>
>> Hello,
>>
>> I was wondering if there is any interest in porting QuantLib-SWIG to work
>> with Python3.x.  Currently, it seems to work only with Python2.x.
>>
>> I have done some quick fixes on SWIG interface files so that it works
>> with Python3.x  Works well with me so far and passes all the tests.  If
>> there is interest, I will be happy to contribute -- please let me know.
>>  Also, I was hoping to add more to the test cases.
>>
>> Best Regards,
>> Minjae
>>
>>
>> ------------------------------------------------------------------------------
>> 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=60134791&iu=/4140/ostg.clktrk
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
>>

Re: [Quantlib-dev] Options pricing not dependent on Settings evaluationDate

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

Hello,
    the several curves are set up explicitly so that their reference
date is the settlement date (they are passed it in their constructor
at line 112 and following); this causes the discount factor to equal 1
there.  If you want the curves to move with the evaluation dates, you
can use something like

        Handle<YieldTermStructure> flatTermStructure(
            boost::shared_ptr<YieldTermStructure>(
                new FlatForward(0, calendar, riskFreeRate, dayCounter)));

that tells the curve that its reference date is the evaluation date +
0 days; this will cause the option payoff to be discounted to the
evaluation date.  The option doesn't have information on the
settlement date, so it doesn't manage the discounting between
settlement date and evaluation date. You can add it afterwards by
dividing by the corresponding discount factor.

More info on the way curves are set up are at
<http://implementingquantlib.blogspot.com/2013/09/chapter-3-part-1-of-n-term-structures.html>.

Hope this helps,
    Luigi



On Fri, Oct 4, 2013 at 4:53 AM, Minjae David Kim <min...@gm...> wrote:
> Hello,
>
> I am not sure what I have here:  I was playing with EquityOption.cpp in the
> Examples directory, and realized even if I change the evaluationDate, the
> option prices do not change.  Changing the settlementDate indeed influences
> the option price as expected.
>
> Now, with the assumption that my observation above is correct, shouldn't
> there be a discounting logic as a function of the duration between the
> settlementDate and the evaluationDate?
>
> Before I look into the code, if someone could quickly confirm or explain the
> observation, that would be great.  Thank you.
>
> Best Regards,
> Minjae
>
> ------------------------------------------------------------------------------
> 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=60134791&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>

[Quantlib-dev] Options pricing not dependent on Settings evaluationDate

[Minjae D. K. <min...@gm...>]

Hello,

I am not sure what I have here:  I was playing with EquityOption.cpp in the
Examples directory, and realized even if I change the evaluationDate, the
option prices do not change.  Changing the settlementDate indeed influences
the option price as expected.

Now, with the assumption that my observation above is correct, shouldn't
there be a discounting logic as a function of the duration between the
settlementDate and the evaluationDate?

Before I look into the code, if someone could quickly confirm or explain
the observation, that would be great.  Thank you.

Best Regards,
Minjae

Re: [Quantlib-dev] QuantLib-SWIG port to Python3

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

Hello Minjae,
    yes, it would be great if you contributed your fixes (a pull request on
GitHub would be best, but you can send it in whatever format works for
you). The same goes for the test cases.

Thanks,
    Luigi
On Oct 3, 2013 7:01 PM, "Minjae David Kim" <min...@gm...> wrote:

> Hello,
>
> I was wondering if there is any interest in porting QuantLib-SWIG to work
> with Python3.x.  Currently, it seems to work only with Python2.x.
>
> I have done some quick fixes on SWIG interface files so that it works with
> Python3.x  Works well with me so far and passes all the tests.  If there is
> interest, I will be happy to contribute -- please let me know.  Also, I was
> hoping to add more to the test cases.
>
> Best Regards,
> Minjae
>
>
> ------------------------------------------------------------------------------
> 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=60134791&iu=/4140/ostg.clktrk
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>

[Quantlib-dev] QuantLib-SWIG port to Python3

[Minjae D. K. <min...@gm...>]

Hello,

I was wondering if there is any interest in porting QuantLib-SWIG to work
with Python3.x.  Currently, it seems to work only with Python2.x.

I have done some quick fixes on SWIG interface files so that it works with
Python3.x  Works well with me so far and passes all the tests.  If there is
interest, I will be happy to contribute -- please let me know.  Also, I was
hoping to add more to the test cases.

Best Regards,
Minjae

[Quantlib-dev] OCaml bindings

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

I'm trying to get the Ocaml bindings to work.  Does anyone have a Hello
World example?  If not, I'll make some, but I'd like to check first.

Re: [Quantlib-dev] contribution proposal

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

No, it's not available.


On Thu, Sep 19, 2013 at 3:14 PM, ray ham <ra...@gm...> wrote:

> do you know if tailor approximation is supported in the library. if it is
> the case can you point to it.
> On Sep 19, 2013 8:26 PM, "Luigi Ballabio" <lui...@gm...>
> wrote:
>
>>  [image: Boxbe] <https://www.boxbe.com/overview> This message is
>> eligible for Automatic Cleanup! (lui...@gm...) Add cleanup
>> rule<https://www.boxbe.com/popup?url=https%3A%2F%2Fwww.boxbe.com%2Fcleanup%3Ftoken%3Df7A8RNQsSIyXaV4t8HJp8sxTim0SAXTsUxEkN9fBE3cEC%252BH4LKcrmRAQNHUwQa3gQ8q5qEC4r1EidGt0hzOUawLNDKuKiyqI6izlrhlAV%252BQUiRHaKEG3p5sYSKXawlfcPSF1rV6JJ7FmKZ7ySyPOOg%253D%253D%26key%3DINRKHrdEFRGiorPwNiXpE87BcOIff5wufXeAXd594Dk%253D&tc_serial=15176133303&tc_rand=2018188202&utm_source=stf&utm_medium=email&utm_campaign=ANNO_CLEANUP_ADD&utm_content=001>| More
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>>
>> The method was not implemented, and yes, I'd consider the
>> implementation if it fits with the rest of the library.
>>
>> Luigi
>>
>> On Fri, Sep 13, 2013 at 3:51 AM, hps <han...@gm...> wrote:
>> > Has the method been already implemented in the meantime?
>> >
>> > If not, is there would it an implementation be taken under
>> consideration?
>> >
>> >
>> >
>> > --
>> > View this message in context:
>> http://quantlib.10058.n7.nabble.com/contribution-proposal-tp11542p14517.html
>> > Sent from the quantlib-dev mailing list archive at Nabble.com.
>> >
>> >
>> ------------------------------------------------------------------------------
>> > How ServiceNow helps IT people transform IT departments:
>> > 1. Consolidate legacy IT systems to a single system of record for IT
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>> http://pubads.g.doubleclick.net/gampad/clk?id=51271111&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>
>>
>>
>> ------------------------------------------------------------------------------
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>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
>>


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

Re: [Quantlib-dev] contribution proposal

[ray h. <ra...@gm...>]

do you know if tailor approximation is supported in the library. if it is
the case can you point to it.
On Sep 19, 2013 8:26 PM, "Luigi Ballabio" <lui...@gm...> wrote:

>  [image: Boxbe] <https://www.boxbe.com/overview> This message is eligible
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>
> The method was not implemented, and yes, I'd consider the
> implementation if it fits with the rest of the library.
>
> Luigi
>
> On Fri, Sep 13, 2013 at 3:51 AM, hps <han...@gm...> wrote:
> > Has the method been already implemented in the meantime?
> >
> > If not, is there would it an implementation be taken under consideration?
> >
> >
> >
> > --
> > View this message in context:
> http://quantlib.10058.n7.nabble.com/contribution-proposal-tp11542p14517.html
> > Sent from the quantlib-dev mailing list archive at Nabble.com.
> >
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Re: [Quantlib-dev] contribution proposal

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

The method was not implemented, and yes, I'd consider the
implementation if it fits with the rest of the library.

Luigi

On Fri, Sep 13, 2013 at 3:51 AM, hps <han...@gm...> wrote:
> Has the method been already implemented in the meantime?
>
> If not, is there would it an implementation be taken under consideration?
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/contribution-proposal-tp11542p14517.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
> ------------------------------------------------------------------------------
> How ServiceNow helps IT people transform IT departments:
> 1. Consolidate legacy IT systems to a single system of record for IT
> 2. Standardize and globalize service processes across IT
> 3. Implement zero-touch automation to replace manual, redundant tasks
> http://pubads.g.doubleclick.net/gampad/clk?id=51271111&iu=/4140/ostg.clktrk
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev



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

Re: [Quantlib-dev] contribution proposal

[hps <han...@gm...>]

Has the method been already implemented in the meantime? 

If not, is there would it an implementation be taken under consideration?



--
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Sent from the quantlib-dev mailing list archive at Nabble.com.

[Quantlib-dev] Fwd: Handle memory problem

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

case closed, the problem is of course exactly storing a reference to
the temporary default
value Handle<YieldTermStructure>() in the constructor ...
thank you, Klaus for pointing that out
   Peter

---------- Forwarded message ----------
From: Peter Caspers <pca...@gm...>
Date: Fri, 16 Aug 2013 20:28:13 +0200
Subject: Handle memory problem
To: qua...@li...

Hello Luigi, all,

   I ran into a memory problem using a Handle<>, which I thought may
be worth sharing.
A version of the code producing the problem can be found below. In
fact I did not intend
to store a reference to the Handle in A, but rather a copy. Still the
code below looks
legal and reasonable to me, so maybe it is worth a second look?
Clang's address sanitizer
throws a message which I also paste below.

regards
   Peter


#include <ql/quantlib.hpp>
#include <iostream>

using namespace QuantLib;

struct A {

    A(const Handle<YieldTermStructure>&
b=Handle<YieldTermStructure>()) : b_(b) {}

    ~A() {}

    const Handle<YieldTermStructure>& b_;

};

int main(int, char**) {

    A a1;

    std::vector<boost::shared_ptr<A> > tmp;
    for(std::size_t i=0;i<100;i++)
       tmp.push_back(boost::shared_ptr<A>(new A()));

    std::cout << "the handle is "
              << (a1.b_.empty() ? "empty, which is ok" : "not empty,
why ?!?") << std::endl;

    return 0;

}


==30977==ERROR: AddressSanitizer: heap-use-after-free on address
0x60d00000cfe0 at pc 0x461c00 bp 0x7fff6aeee0d0 sp 0x7fff6aeee0c8
READ of size 8 at 0x60d00000cfe0 thread T0
    #0 0x461bff (/home/peter/quantlibpc/QuantLib/Examples/Lmm/Lmm+0x461bff)
    #1 0x7fb4276a276c (/lib/x86_64-linux-gnu/libc.so.6+0x2176c)
    #2 0x4611fc (/home/peter/quantlibpc/QuantLib/Examples/Lmm/Lmm+0x4611fc)
0x60d00000cfe0 is located 112 bytes inside of 136-byte region
[0x60d00000cf70,0x60d00000cff8)
freed by thread T0 here:
    #0 0x44eb65 (/home/peter/quantlibpc/QuantLib/Examples/Lmm/Lmm+0x44eb65)
    #1 0x461421 (/home/peter/quantlibpc/QuantLib/Examples/Lmm/Lmm+0x461421)
    #2 0x7fb4276a276c (/lib/x86_64-linux-gnu/libc.so.6+0x2176c)
previously allocated by thread T0 here:
    #0 0x44e8a5 (/home/peter/quantlibpc/QuantLib/Examples/Lmm/Lmm+0x44e8a5)
    #1 0x462ee8 (/home/peter/quantlibpc/QuantLib/Examples/Lmm/Lmm+0x462ee8)
Shadow bytes around the buggy address:
  0x0c1a7fff99a0: fd fd fd fd fd fd fd fd fd fd fd fd fd fd fd fd
  0x0c1a7fff99b0: fd fa fa fa fa fa fa fa fa fa fd fd fd fd fd fd
  0x0c1a7fff99c0: fd fd fd fd fd fd fd fd fd fd fd fa fa fa fa fa
  0x0c1a7fff99d0: fa fa fa fa fd fd fd fd fd fd fd fd fd fd fd fd
  0x0c1a7fff99e0: fd fd fd fd fd fa fa fa fa fa fa fa fa fa fd fd
=>0x0c1a7fff99f0: fd fd fd fd fd fd fd fd fd fd fd fd[fd]fd fd fa
  0x0c1a7fff9a00: fa fa fa fa fa fa fa fa fa fa fa fa fa fa fa fa
  0x0c1a7fff9a10: fa fa fa fa fa fa fa fa fa fa fa fa fa fa fa fa
  0x0c1a7fff9a20: fa fa fa fa fa fa fa fa fa fa fa fa fa fa fa fa
  0x0c1a7fff9a30: fa fa fa fa fa fa fa fa fa fa fa fa fa fa fa fa
  0x0c1a7fff9a40: fa fa fa fa fa fa fa fa fa fa fa fa fa fa fa fa
Shadow byte legend (one shadow byte represents 8 application bytes):
  Addressable:           00
  Partially addressable: 01 02 03 04 05 06 07
  Heap left redzone:     fa
  Heap right redzone:    fb
  Freed heap region:     fd
  Stack left redzone:    f1
  Stack mid redzone:     f2
  Stack right redzone:   f3
  Stack partial redzone: f4
  Stack after return:    f5
  Stack use after scope: f8
  Global redzone:        f9
  Global init order:     f6
  Poisoned by user:      f7
  ASan internal:         fe
==30977==ABORTING

Re: [Quantlib-dev] [ quantlib-Bugs-3588371 ] (with fix) error C2679: no operator .. with stlp_std::string

[marcelloptr <mar...@gm...>]

You're right

was forgotten

I looked around
http://stackoverflow.com/questions/8679473/error-c2679-binary-no-operator-found-which-takes-a-right-hand-operand-of




On QuantLib 1.3 only three files need this fix:
ql\patterns\observable.hpp
ql\currency.cpp
ql\errors.cpp
and they all include ql\errors.hpp

so my proposed fix is to add

in ql\errors.hpp
and it works.

Cheers,
Marcello



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View this message in context: http://quantlib.10058.n7.nabble.com/quantlib-Bugs-3588371-with-fix-error-C2679-no-operator-with-stlp-std-string-tp13596p14498.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

[Quantlib-dev] Handle memory problem

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

Hello Luigi, all,

   I ran into a memory problem using a Handle<>, which I thought may
be worth sharing.
A version of the code producing the problem can be found below. In
fact I did not intend
to store a reference to the Handle in A, but rather a copy. Still the
code below looks
legal and reasonable to me, so maybe it is worth a second look?
Clang's address sanitizer
throws a message which I also paste below.

regards
   Peter


#include <ql/quantlib.hpp>
#include <iostream>

using namespace QuantLib;

struct A {

    A(const Handle<YieldTermStructure>&
b=Handle<YieldTermStructure>()) : b_(b) {}

    ~A() {}

    const Handle<YieldTermStructure>& b_;

};

int main(int, char**) {

    A a1;

    std::vector<boost::shared_ptr<A> > tmp;
    for(std::size_t i=0;i<100;i++)
       tmp.push_back(boost::shared_ptr<A>(new A()));

    std::cout << "the handle is "
              << (a1.b_.empty() ? "empty, which is ok" : "not empty,
why ?!?") << std::endl;

    return 0;

}


==30977==ERROR: AddressSanitizer: heap-use-after-free on address
0x60d00000cfe0 at pc 0x461c00 bp 0x7fff6aeee0d0 sp 0x7fff6aeee0c8
READ of size 8 at 0x60d00000cfe0 thread T0
    #0 0x461bff (/home/peter/quantlibpc/QuantLib/Examples/Lmm/Lmm+0x461bff)
    #1 0x7fb4276a276c (/lib/x86_64-linux-gnu/libc.so.6+0x2176c)
    #2 0x4611fc (/home/peter/quantlibpc/QuantLib/Examples/Lmm/Lmm+0x4611fc)
0x60d00000cfe0 is located 112 bytes inside of 136-byte region
[0x60d00000cf70,0x60d00000cff8)
freed by thread T0 here:
    #0 0x44eb65 (/home/peter/quantlibpc/QuantLib/Examples/Lmm/Lmm+0x44eb65)
    #1 0x461421 (/home/peter/quantlibpc/QuantLib/Examples/Lmm/Lmm+0x461421)
    #2 0x7fb4276a276c (/lib/x86_64-linux-gnu/libc.so.6+0x2176c)
previously allocated by thread T0 here:
    #0 0x44e8a5 (/home/peter/quantlibpc/QuantLib/Examples/Lmm/Lmm+0x44e8a5)
    #1 0x462ee8 (/home/peter/quantlibpc/QuantLib/Examples/Lmm/Lmm+0x462ee8)
Shadow bytes around the buggy address:
  0x0c1a7fff99a0: fd fd fd fd fd fd fd fd fd fd fd fd fd fd fd fd
  0x0c1a7fff99b0: fd fa fa fa fa fa fa fa fa fa fd fd fd fd fd fd
  0x0c1a7fff99c0: fd fd fd fd fd fd fd fd fd fd fd fa fa fa fa fa
  0x0c1a7fff99d0: fa fa fa fa fd fd fd fd fd fd fd fd fd fd fd fd
  0x0c1a7fff99e0: fd fd fd fd fd fa fa fa fa fa fa fa fa fa fd fd
=>0x0c1a7fff99f0: fd fd fd fd fd fd fd fd fd fd fd fd[fd]fd fd fa
  0x0c1a7fff9a00: fa fa fa fa fa fa fa fa fa fa fa fa fa fa fa fa
  0x0c1a7fff9a10: fa fa fa fa fa fa fa fa fa fa fa fa fa fa fa fa
  0x0c1a7fff9a20: fa fa fa fa fa fa fa fa fa fa fa fa fa fa fa fa
  0x0c1a7fff9a30: fa fa fa fa fa fa fa fa fa fa fa fa fa fa fa fa
  0x0c1a7fff9a40: fa fa fa fa fa fa fa fa fa fa fa fa fa fa fa fa
Shadow byte legend (one shadow byte represents 8 application bytes):
  Addressable:           00
  Partially addressable: 01 02 03 04 05 06 07
  Heap left redzone:     fa
  Heap right redzone:    fb
  Freed heap region:     fd
  Stack left redzone:    f1
  Stack mid redzone:     f2
  Stack right redzone:   f3
  Stack partial redzone: f4
  Stack after return:    f5
  Stack use after scope: f8
  Global redzone:        f9
  Global init order:     f6
  Poisoned by user:      f7
  ASan internal:         fe
==30977==ABORTING

Re: [Quantlib-dev] QuantLib 1.3 released

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

On 25 July 2013 at 14:53, Luigi Ballabio wrote:
| On Thu, Jul 25, 2013 at 4:38 AM, Dirk Eddelbuettel <ed...@de...> wrote:
| >
| > Preferably "when it is done" and not in increments? Or in increments?
| >
| > A first working package is in my 'swig-R-package' branch.
| 
| We can do it incrementally.

Nice, I like that. "Commit early, commit often."  

May make the changesets more manageable.  Just sent one off comprising last
evenings four commits.

Thanks,  Dirk

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

Re: [Quantlib-dev] QuantLib 1.3 released

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

On Thu, Jul 25, 2013 at 4:38 AM, Dirk Eddelbuettel <ed...@de...> wrote:
>
> Preferably "when it is done" and not in increments? Or in increments?
>
> A first working package is in my 'swig-R-package' branch.

We can do it incrementally.

Luigi


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