quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] QuantLib 1.3 released

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

On 24 July 2013 at 15:50, Luigi Ballabio wrote:
| A pull request would be great.

Preferably "when it is done" and not in increments? Or in increments?

A first working package is in my 'swig-R-package' branch. See

   https://github.com/eddelbuettel/quantlib/tree/swig-R-package/QuantLib-SWIG/R

We now do this:

   cd QuantLib-SWIG
   ./autogen.sh                    # config/* files missing
   ./configure
   make -C R		           # creates QuantLib.cpp, also
                                   # creates QuantLib.R which we then move
   R CMD INSTALL R                 # standard R behaviour, using standard
                                   # R build facilities; I add about four files 
A use case (from shell script) is

   cat | R --no-save <<EOF         # just invoke R
   library(QuantLib)               # load the new package we now have
   demo(package="QuantLib")        # list what demo files we have (old examples/)
   demo("fd-option.R")             # run one
   print(head(priceCurve))         # inspect top of priceCurve object
   EOF

There is a lot of small stuff still to be done, but the very basics work. And
if Joe has some time maybe we can do some work on the SWIG/R interface.

Dirk

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

Re: [Quantlib-dev] QuantLib 1.3 released

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

A pull request would be great.

Later,
    Luigi


On Wed, Jul 24, 2013 at 3:46 PM, Dirk Eddelbuettel <ed...@de...> wrote:
>
> Congrats on getting 1.3 out -- the release built without a hitch and Debian
> binaries have been uploaded.
>
> So now with 1.3 out of the way ... we have 'open season' for the schedule
> changes in the R module of QuantLib-SWIG.  I presume you want me to create a
> pull request against the master branch?
>
> Dirk
>
> --
> Dirk Eddelbuettel | ed...@de... | http://dirk.eddelbuettel.com



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

Re: [Quantlib-dev] QuantLib 1.3 released

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

Congrats on getting 1.3 out -- the release built without a hitch and Debian
binaries have been uploaded.

So now with 1.3 out of the way ... we have 'open season' for the schedule
changes in the R module of QuantLib-SWIG.  I presume you want me to create a
pull request against the master branch?

Dirk

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

[Quantlib-dev] QuantLib 1.3 released

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

QuantLib is a cross-platform, free/open-source quantitative finance
C++ library for modeling, pricing, trading, and risk management in
real-life.

Version 1.3 has been released and is available for download at
<http://quantlib.org/download.shtml>.

Please log any problems you have with this release in the SourceForge
bug tracker at
<http://sourceforge.net/tracker/?group_id=12740&atid=112740>
specifying that you're using QuantLib 1.3.

        The QuantLib group

[Quantlib-dev] annuity in conundrumpricer

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

Hi all,

I think we should rathher use

            static const Spread bp = 1.0e-4;
            annuity_ = std::fabs(swap->fixedLegBPS()/bp); 

instead of

            static const Spread bp = 1.0e-4;
            annuity_ = (swap->floatingLegBPS()/bp);

in conundrumpricer.cpp, lines 106 / 107, shouldn't we ? However, this
change breaks the test suite as follows

Testing Hagan-pricer flat-vol equivalence for swaps...
cms.cpp(386): fatal error in "QuantLib::detail::quantlib_test_case(&CmsTest::testCmsSwap)": 
Length in Years:  10
swap index:       EuriborSwapIsdaFixA10Y Actual/360
ibor index:       Euribor6M Actual/360
spread:           0.000000 %
YieldCurve Model: ExactYield
Numerical Pricer: -1.562514 %
Analytic Pricer:  -1.548953 %
difference:       0.013561 %
tolerance:        0.010000 %

so we would have to increase the tolerance. Maybe I am also not seeing
what is going on here. Can anybody help ?

Thank you
   Peter

Re: [Quantlib-dev] Compiling quantlib on Solaris X86 using Workshop

[<Pau...@de...>]

Hm.
I just did the following:
* Get the .zip from github for the master repository.
* Configured & tried to compile that

After a while I get:
<snip>
/bin/bash ../../libtool --tag=CXX    --mode=compile CC -DHAVE_CONFIG_H -I. 
-I../../ql   -I../.. -I../.. -I/home/raedpau/quantlib/boost_1_53_0 
-library=stlport4 -m64 -c -o cpicoupon.lo cpicoupon.cpp
libtool: compile:  CC -DHAVE_CONFIG_H -I. -I../../ql -I../.. -I../.. 
-I/home/raedpau/quantlib/boost_1_53_0 -library=stlport4 -m64 -c 
cpicoupon.cpp  -KPIC -DPIC -o .libs/cpicoupon.o
"../../ql/cashflows/cpicoupon.hpp", line 141: Error: The function "fabs" 
must have a prototype.
"cpicoupon.cpp", line 55: Error: The function "fabs" must have a 
prototype.
"cpicoupon.cpp", line 108: Error: The function "exit" must have a 
prototype.
"cpicoupon.cpp", line 109: Warning: "QuantLib::CPICashFlow::baseDate() 
const" is expected to return a value.
3 Error(s) and 1 Warning(s) detected.
*** Error code 1
make: Fatal error: Command failed for target `cpicoupon.lo'
Current working directory 
/home/raedpau/quantlib/quantlib-master/quantlib-master/QuantLib/ql/cashflows
*** Error code 1
<snip>

This looks like the prob I had before?


Best regards,
Paul Rädle



Luigi Ballabio <lui...@gm...> 
13/06/2013 12:09

To
Pau...@de...
cc
"qua...@li..." <qua...@li...>, 
Zhe...@de...
Subject
Re: [Quantlib-dev] Compiling quantlib on Solaris X86 using Workshop







Hi Paul,
    after a couple of recent changes, <cmath> should be included by
all files. Do you still need to include math.h if you check out and
compile the latest version of the library on GitHub? And does Mark's
fix (which is also included) prevent the linking error?

Thanks,
    Luigi



On Fri, May 24, 2013 at 3:18 PM,  <Pau...@de...> wrote:
>
> Hello!
>
> We compiled quantlib on a SunOS 5.10, using Sun Workshop 12.2 (cc: Sun C
> 5.11 SunOS_i386 2010/08/13) for 64bit.
> We used the latest boost  (1.53.0).
> Our configure was not special:
> ./configure --with-boost-include=../boost_1_53_0
> --with-boost-lib=../boost_1_53_0/libs
>
> However we used:
> CXXFLAGS=-library=stlport4 -m64
>
> We managed to compile the lib, but had to do some changes:
> a) includes
> We had to include "math.h and stdlib.h" to cpicoupon.cpp
>
> We had to include math.h to:
> riskyassetswapoption.cpp
> blackdeltacalculator.cpp
> cpicapfloorengines.cpp
> zigguratrng.cpp
> analyticvariancegammaengine.cpp
> fftvanillaengine.cpp
> fftvariancegammaengine.cpp
> cpiswap.cpp
> cpibond.cpp
> analyticgjrgarchengine.cpp
> seasonality.hpp
>
> b) Unresolved external
> We had a problem with the linker for
> const long *const PrimitivePolynomials[N_MAX_DEGREE];
>
>  coming from "primitivepolynonimals.h" / "primitivepolynominals.c"
>
> Somehow the linker didn't linke the function to the sobolrsg.cpp
> Couldn't find out why, but the nm-command showed the symbol twice: once
> defined and once undefined.
>
> After changing the file to .hpp and .cpp all worked fine.
>
> We addidionaly compiled the Swig for java, because we'll call from java 
to
> calc theo option prices.
> For java we additionaly had to include -Kpic for the linker.
>
> I wanted to let you know of the these problems.
> Maybe there is a better way or maybe the ql can be adepted? I think the
> changes don't harm for other compilers?
>
> (By the way: we didn't have any problems on Windows)
>
> And thanx for the great work. We're using the lib only in a sample up to
> now, but that might change in the future...
>
> Best regards,
> Paul Rädle
>
>
>
>
> 
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Executive Board/Vorstand:
Dr. Reto Francioni (Chief Executive Officer/Vorsitzender),
Andreas Preuss (Deputy Chief Executive Officer/
stellv. Vorsitzender), Gregor Pottmeyer,
Hauke Stars, Jeffrey Tessler.
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Re: [Quantlib-dev] Compiling quantlib on Solaris X86 using Workshop

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

Yes.  But instead of including the headers, please try editing the file as
follows:

- at line 55, use std::fabs instead of fabs;
- at line 108, replace exit(-1) with QL_FAIL("no base date available");

and see if it works.  If is does, please send me the other places where the
compilation fail.

Thanks,
    Luigi





On Thu, Jun 13, 2013 at 6:02 PM, <Pau...@de...> wrote:

>
> Hm.
> I just did the following:
> * Get the .zip from github for the master repository.
> * Configured & tried to compile that
>
> After a while I get:
> <snip>
> /bin/bash ../../libtool --tag=CXX    --mode=compile CC -DHAVE_CONFIG_H -I.
> -I../../ql   -I../.. -I../.. -I/home/raedpau/quantlib/boost_1_53_0
>  -library=stlport4 -m64 -c -o cpicoupon.lo cpicoupon.cpp
> libtool: compile:  CC -DHAVE_CONFIG_H -I. -I../../ql -I../.. -I../..
> -I/home/raedpau/quantlib/boost_1_53_0 -library=stlport4 -m64 -c
> cpicoupon.cpp  -KPIC -DPIC -o .libs/cpicoupon.o
> "../../ql/cashflows/cpicoupon.hpp", line 141: Error: The function "fabs"
> must have a prototype.
> "cpicoupon.cpp", line 55: Error: The function "fabs" must have a prototype.
> "cpicoupon.cpp", line 108: Error: The function "exit" must have a
> prototype.
> "cpicoupon.cpp", line 109: Warning: "QuantLib::CPICashFlow::baseDate()
> const" is expected to return a value.
> 3 Error(s) and 1 Warning(s) detected.
> *** Error code 1
> make: Fatal error: Command failed for target `cpicoupon.lo'
> Current working directory
> /home/raedpau/quantlib/quantlib-master/quantlib-master/QuantLib/ql/cashflows
> *** Error code 1
> <snip>
>
> This looks like the prob I had before?
>
>
> Best regards,
> Paul Rädle
>
>
>  *Luigi Ballabio <lui...@gm...>*
>
> 13/06/2013 12:09
>   To
> Pau...@de...
> cc
> "qua...@li..." <qua...@li...>,
> Zhe...@de...
> Subject
> Re: [Quantlib-dev] Compiling quantlib on Solaris X86 using Workshop
>
>
>
>
> Hi Paul,
>    after a couple of recent changes, <cmath> should be included by
> all files. Do you still need to include math.h if you check out and
> compile the latest version of the library on GitHub? And does Mark's
> fix (which is also included) prevent the linking error?
>
> Thanks,
>    Luigi
>
>
>
> On Fri, May 24, 2013 at 3:18 PM,  <Pau...@de...> wrote:
> >
> > Hello!
> >
> > We compiled quantlib on a SunOS 5.10, using Sun Workshop 12.2 (cc: Sun C
> > 5.11 SunOS_i386 2010/08/13) for 64bit.
> > We used the latest boost  (1.53.0).
> > Our configure was not special:
> > ./configure --with-boost-include=../boost_1_53_0
> > --with-boost-lib=../boost_1_53_0/libs
> >
> > However we used:
> > CXXFLAGS=-library=stlport4 -m64
> >
> > We managed to compile the lib, but had to do some changes:
> > a) includes
> > We had to include "math.h and stdlib.h" to cpicoupon.cpp
> >
> > We had to include math.h to:
> > riskyassetswapoption.cpp
> > blackdeltacalculator.cpp
> > cpicapfloorengines.cpp
> > zigguratrng.cpp
> > analyticvariancegammaengine.cpp
> > fftvanillaengine.cpp
> > fftvariancegammaengine.cpp
> > cpiswap.cpp
> > cpibond.cpp
> > analyticgjrgarchengine.cpp
> > seasonality.hpp
> >
> > b) Unresolved external
> > We had a problem with the linker for
> > const long *const PrimitivePolynomials[N_MAX_DEGREE];
> >
> >  coming from "primitivepolynonimals.h" / "primitivepolynominals.c"
> >
> > Somehow the linker didn't linke the function to the sobolrsg.cpp
> > Couldn't find out why, but the nm-command showed the symbol twice: once
> > defined and once undefined.
> >
> > After changing the file to .hpp and .cpp all worked fine.
> >
> > We addidionaly compiled the Swig for java, because we'll call from java
> to
> > calc theo option prices.
> > For java we additionaly had to include -Kpic for the linker.
> >
> > I wanted to let you know of the these problems.
> > Maybe there is a better way or maybe the ql can be adepted? I think the
> > changes don't harm for other compilers?
> >
> > (By the way: we didn't have any problems on Windows)
> >
> > And thanx for the great work. We're using the lib only in a sample up to
> > now, but that might change in the future...
> >
> > Best regards,
> > Paul Rädle
> >
> >
> >
> >
> > -------------------------------------------------------------------------
> > Deutsche Börse AG
> > Chairman of the Supervisory Board/
> > Vorsitzender des Aufsichtsrats:
> > Dr. Joachim Faber
> > Executive Board/Vorstand:
> > Dr. Reto Francioni (Chief Executive Officer/Vorsitzender),
> > Andreas Preuss (Deputy Chief Executive Officer/
> > stellv. Vorsitzender), Gregor Pottmeyer,
> > Hauke Stars, Jeffrey Tessler.
> > Aktiengesellschaft with registered seat in/mit Sitz in
> > Frankfurt am Main.
> > Commercial register/Handelsregister: HRB 32232
> > Local court/Amtsgericht Frankfurt am Main.
> >
> > -----------------------------------------
> > Diese E-Mail enthaelt vertrauliche oder rechtlich geschuetzte
> Informationen.
> > Wenn Sie nicht der beabsichtigte Empfaenger sind, informieren Sie bitte
> > sofort den Absender und loeschen Sie diese E-Mail. Das unbefugte Kopieren
> > dieser E-Mail oder die unbefugte Weitergabe der enthaltenen Informationen
> > ist nicht gestattet.
> >
> > The information contained in this message is confidential or protected by
> > law. If you are not the intended recipient, please contact the sender and
> > delete this message. Any unauthorised copying of this message or
> > unauthorised distribution of the information contained herein is
> prohibited.
> >
> > Legally required information for business correspondence/
> > Gesetzliche Pflichtangaben fuer Geschaeftskorrespondenz:
> > http://deutsche-boerse.com/letterhead
> >
> >
> >
> ------------------------------------------------------------------------------
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> > that delivers powerful full stack analytics. Optimize and monitor your
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> > and get this awesome Nerd Life shirt!
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> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> >
>
>
>
>
> -------------------------------------------------------------------------
> Deutsche Börse AG
> Chairman of the Supervisory Board/
> Vorsitzender des Aufsichtsrats:
> Dr. Joachim Faber
> Executive Board/Vorstand:
> Dr. Reto Francioni (Chief Executive Officer/Vorsitzender),
> Andreas Preuss (Deputy Chief Executive Officer/
> stellv. Vorsitzender), Gregor Pottmeyer,
> Hauke Stars, Jeffrey Tessler.
> Aktiengesellschaft with registered seat in/mit Sitz in
> Frankfurt am Main.
> Commercial register/Handelsregister: HRB 32232
> Local court/Amtsgericht Frankfurt am Main.
>
> -----------------------------------------
> Diese E-Mail enthaelt vertrauliche oder rechtlich geschuetzte
> Informationen.
> Wenn Sie nicht der beabsichtigte Empfaenger sind, informieren Sie bitte
> sofort den Absender und loeschen Sie diese E-Mail. Das unbefugte Kopieren
> dieser E-Mail oder die unbefugte Weitergabe der enthaltenen Informationen
> ist nicht gestattet.
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> The information contained in this message is confidential or protected by
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Re: [Quantlib-dev] c++0x

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

Hi Luigi,

    the errors are indeed fixed in the master branch and this was the most
important thing, i.e. to be able to compile using the 11 standard.  The
rest
can wait.

Thanks a lot
   Peter
On 13 June 2013 11:57, Luigi Ballabio <lui...@gm...> wrote:

> Hi Peter,
>     as for the errors: are they still there with the current master
> (that is, what used to be trunk in svn)? a couple of weeks ago I've
> added to the methods an explicit conversion to bool that should have
> fixed the issue.
>
> I would delay introducing C++11 features for the time being (and leave
> it to you to add -Wno-deprecated to your flags...)
>
> Later,
>     Luigi
>
>
> On Sat, May 25, 2013 at 8:13 PM, Peter Caspers <pca...@gm...>
> wrote:
> > Hi Luigi, all,
> >
> > we discussed compiling the core lib under the c++11 standard (e.g. with
> > g++ -std=c++0x). This produces some errors which can be fixed easily
> > (keeping backward compatibility):
> >
> >
> https://github.com/pcaspers/quantlib/commit/5b32b7705530264551e0622d0a2673813067be5b
> >
> > What is left is a bunch of warnings saying that std::auto_ptr is
> > depricated under c++11, the replacement being std::unique_ptr. A
> > possible solution is to replace the auto_ptr in the source by unique_ptr
> > (thus upgrading the code to c++11 already) and replace the unique_ptr by
> > auto_ptr again in case that compilation is done under c++ versions <
> > 11. I have done this here
> >
> >
> https://github.com/pcaspers/quantlib/commit/3e47a82a936112f12e3bb502292833d860f5aac9
> >
> > with a #define in qldefines.hpp resetting the pointers to auto_ptr again
> > based on the boost macro BOOST_NO_CXX_SMART_PTR. Unfortunately this
> > macro is available only in later boost versions so if one uses an older
> > one and provides no c++11 support he or she will get errors. Therefore
> > the following solution might be better
> >
> >
> https://github.com/pcaspers/quantlib/commit/6db965375b02094a7ea0da4e48efd7e0a1b8fd85
> >
> > using the __cplusplus macro to identify c++11. However since gcc sets
> > this macro simply to 1 in versions 4.6 (should be solved starting in
> > 4.7), I had to add another criterion for gcc based on
> > __GXX_EXPERIMENTAL_CXX0X_.
> >
> > For msvc 2010 the __cplusplus is also not 201103L but still 199711L. This
> > seems also to be the case in 2012 and this specific case was reported as
> a bug to
> > Microsoft,
> >
> >
> http://connect.microsoft.com/VisualStudio/feedback/details/763051/a-value-of-predefined-macro-cplusplus-is-still-199711l
> >
> > though not solved yet. Therefore I added a direct test on msvc 2010 or
> > higher versions based on _MSC_VER
> >
> >
> https://github.com/pcaspers/quantlib/commit/796beb89e2a707f951b77869bf869694e67ac769
> >
> > This final solution should work for all versions of msvc and gcc. I can
> not check other
> > compilers however.
> >
> > Since the #define seems a bit like a dirty hack we also thought of a
> > typedef. But then we would need a template typedef which is available
> only in
> > c++11 again and a metaprogramming-like workaround a la
> >
> > template<class T> struct PTR {
> >     typedef std::unique_ptr<T> Type;
> > };
> >
> > PTR<double>::Type a(new double(0.0));
> >
> > does not seem to improve the code either.
> >
> > Do you think we should do the upgrade to c++11 like propsed above or is
> there
> > maybe a better solution (I bet there is...). Or should we defer the
> > upgrade until a later release ? I personally would very much like to be
> > able to compile under c++11 without warnings already now.
> >
> > Thank you
> >  Peter
> >
> >
> >
> >
> >
> >
> >
> ------------------------------------------------------------------------------
> > Try New Relic Now & We'll Send You this Cool Shirt
> > New Relic is the only SaaS-based application performance monitoring
> service
> > that delivers powerful full stack analytics. Optimize and monitor your
> > browser, app, & servers with just a few lines of code. Try New Relic
> > and get this awesome Nerd Life shirt!
> http://p.sf.net/sfu/newrelic_d2d_may
>  > _______________________________________________
> > QuantLib-dev mailing list
> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

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

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

Are you using the dependency trigger?
In 
qlInstrumentNPV("InstrumentCELL", "CellWhereEngineIsSetToTheInstrument")

is the second entry.

Sometimes it bites me if I dont set the dependencies in an orderly manner (that one depends on others and so on...)

Best
pp


----- Original Message -----
From: "Grześ Andruszkiewicz" <gan...@gm...>
To: qua...@li...
Sent: Thursday, 13 June, 2013 4:47:27 PM
Subject: [Quantlib-dev] Timing issues when recalculating an XL spreadsheet	with Quantlib






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? 

Regards, 
Grzegorz 

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

[Grześ A. <gan...@gm...>]

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?

Regards,
Grzegorz

Re: [Quantlib-dev] gensrc.py fails

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

Any chance you might be using Python 3? I think you need 2.x for gensrc.

Luigi

On Thu, Jun 13, 2013 at 12:51 PM, Grześ Andruszkiewicz
<gan...@gm...> wrote:
> Hi,
>
> I am trying to compile QuantlibXL on a new laptop and I am getting the
> following error:
> 1>------ Build started: Project: qlgensrc, Configuration: All Win32 ------
> 1>Build started 13/06/2013 11:47:33.
> 1>Build:
> 1>
> 1>  Microsoft (R) Program Maintenance Utility Version 10.00.30319.01
> 1>  Copyright (C) Microsoft Corporation.  All rights reserved.
> 1>
> 1>      ..\..\gensrc\gensrc.py -a --oh_dir=..\..\ObjectHandler
> 1>    File "C:\Users\Grzes\Documents\quantlib\gensrc\gensrc.py", line 51
> 1>      print USAGE_ERROR % { 'scriptName' : sys.argv[0] }
> 1>                      ^
> 1>  SyntaxError: invalid syntax
> 1>NMAKE : fatal error U1077: '..\..\gensrc\gensrc.py' : return code '0x1'
> 1>  Stop.
>
> Any ideas? Unfortunately I don't know python well enough myself...
>
> Grzegorz
>
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[Quantlib-dev] gensrc.py fails

[Grześ A. <gan...@gm...>]

Hi,

I am trying to compile QuantlibXL on a new laptop and I am getting the
following error:
1>------ Build started: Project: qlgensrc, Configuration: All Win32 ------
1>Build started 13/06/2013 11:47:33.
1>Build:
1>
1>  Microsoft (R) Program Maintenance Utility Version 10.00.30319.01
1>  Copyright (C) Microsoft Corporation.  All rights reserved.
1>
1>      ..\..\gensrc\gensrc.py -a --oh_dir=..\..\ObjectHandler
1>    File "C:\Users\Grzes\Documents\quantlib\gensrc\gensrc.py", line 51
1>      print USAGE_ERROR % { 'scriptName' : sys.argv[0] }
1>                      ^
1>  SyntaxError: invalid syntax
1>NMAKE : fatal error U1077: '..\..\gensrc\gensrc.py' : return code '0x1'
1>  Stop.

Any ideas? Unfortunately I don't know python well enough myself...

Grzegorz

Re: [Quantlib-dev] Compiling quantlib on Solaris X86 using Workshop

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

Hi Paul,
    after a couple of recent changes, <cmath> should be included by
all files. Do you still need to include math.h if you check out and
compile the latest version of the library on GitHub? And does Mark's
fix (which is also included) prevent the linking error?

Thanks,
    Luigi



On Fri, May 24, 2013 at 3:18 PM,  <Pau...@de...> wrote:
>
> Hello!
>
> We compiled quantlib on a SunOS 5.10, using Sun Workshop 12.2 (cc: Sun C
> 5.11 SunOS_i386 2010/08/13) for 64bit.
> We used the latest boost  (1.53.0).
> Our configure was not special:
> ./configure --with-boost-include=../boost_1_53_0
> --with-boost-lib=../boost_1_53_0/libs
>
> However we used:
> CXXFLAGS=-library=stlport4 -m64
>
> We managed to compile the lib, but had to do some changes:
> a) includes
> We had to include "math.h and stdlib.h" to cpicoupon.cpp
>
> We had to include math.h to:
> riskyassetswapoption.cpp
> blackdeltacalculator.cpp
> cpicapfloorengines.cpp
> zigguratrng.cpp
> analyticvariancegammaengine.cpp
> fftvanillaengine.cpp
> fftvariancegammaengine.cpp
> cpiswap.cpp
> cpibond.cpp
> analyticgjrgarchengine.cpp
> seasonality.hpp
>
> b) Unresolved external
> We had a problem with the linker for
> const long *const PrimitivePolynomials[N_MAX_DEGREE];
>
>  coming from "primitivepolynonimals.h" / "primitivepolynominals.c"
>
> Somehow the linker didn't linke the function to the sobolrsg.cpp
> Couldn't find out why, but the nm-command showed the symbol twice: once
> defined and once undefined.
>
> After changing the file to .hpp and .cpp all worked fine.
>
> We addidionaly compiled the Swig for java, because we'll call from java to
> calc theo option prices.
> For java we additionaly had to include -Kpic for the linker.
>
> I wanted to let you know of the these problems.
> Maybe there is a better way or maybe the ql can be adepted? I think the
> changes don't harm for other compilers?
>
> (By the way: we didn't have any problems on Windows)
>
> And thanx for the great work. We're using the lib only in a sample up to
> now, but that might change in the future...
>
> Best regards,
> Paul Rädle
>
>
>
>
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Re: [Quantlib-dev] c++0x

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

Hi Peter,
    as for the errors: are they still there with the current master
(that is, what used to be trunk in svn)? a couple of weeks ago I've
added to the methods an explicit conversion to bool that should have
fixed the issue.

I would delay introducing C++11 features for the time being (and leave
it to you to add -Wno-deprecated to your flags...)

Later,
    Luigi


On Sat, May 25, 2013 at 8:13 PM, Peter Caspers <pca...@gm...> wrote:
> Hi Luigi, all,
>
> we discussed compiling the core lib under the c++11 standard (e.g. with
> g++ -std=c++0x). This produces some errors which can be fixed easily
> (keeping backward compatibility):
>
> https://github.com/pcaspers/quantlib/commit/5b32b7705530264551e0622d0a2673813067be5b
>
> What is left is a bunch of warnings saying that std::auto_ptr is
> depricated under c++11, the replacement being std::unique_ptr. A
> possible solution is to replace the auto_ptr in the source by unique_ptr
> (thus upgrading the code to c++11 already) and replace the unique_ptr by
> auto_ptr again in case that compilation is done under c++ versions <
> 11. I have done this here
>
> https://github.com/pcaspers/quantlib/commit/3e47a82a936112f12e3bb502292833d860f5aac9
>
> with a #define in qldefines.hpp resetting the pointers to auto_ptr again
> based on the boost macro BOOST_NO_CXX_SMART_PTR. Unfortunately this
> macro is available only in later boost versions so if one uses an older
> one and provides no c++11 support he or she will get errors. Therefore
> the following solution might be better
>
> https://github.com/pcaspers/quantlib/commit/6db965375b02094a7ea0da4e48efd7e0a1b8fd85
>
> using the __cplusplus macro to identify c++11. However since gcc sets
> this macro simply to 1 in versions 4.6 (should be solved starting in
> 4.7), I had to add another criterion for gcc based on
> __GXX_EXPERIMENTAL_CXX0X_.
>
> For msvc 2010 the __cplusplus is also not 201103L but still 199711L. This
> seems also to be the case in 2012 and this specific case was reported as a bug to
> Microsoft,
>
> http://connect.microsoft.com/VisualStudio/feedback/details/763051/a-value-of-predefined-macro-cplusplus-is-still-199711l
>
> though not solved yet. Therefore I added a direct test on msvc 2010 or
> higher versions based on _MSC_VER
>
> https://github.com/pcaspers/quantlib/commit/796beb89e2a707f951b77869bf869694e67ac769
>
> This final solution should work for all versions of msvc and gcc. I can not check other
> compilers however.
>
> Since the #define seems a bit like a dirty hack we also thought of a
> typedef. But then we would need a template typedef which is available only in
> c++11 again and a metaprogramming-like workaround a la
>
> template<class T> struct PTR {
>     typedef std::unique_ptr<T> Type;
> };
>
> PTR<double>::Type a(new double(0.0));
>
> does not seem to improve the code either.
>
> Do you think we should do the upgrade to c++11 like propsed above or is there
> maybe a better solution (I bet there is...). Or should we defer the
> upgrade until a later release ? I personally would very much like to be
> able to compile under c++11 without warnings already now.
>
> Thank you
>  Peter
>
>
>
>
>
>
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Re: [Quantlib-dev] Applying svn patches to the new git repository

[Grześ A. <gan...@gm...>]

Thanks Luigi,

This seems to have worked with git apply -3 <patch name>. Hopefully I will
not have to do it again :)

Cheers,
Grzegorz


On 7 June 2013 16:12, Luigi Ballabio <lui...@gm...> wrote:

> Running
>
> patch -p0 < CatBond_QuantLib_wXL.patch
>
> applied most of the changes on my machine. The VC++ projects had
> problems because they were changed in the meantime and patch wasn't
> able to find the place to patch. Emacs did, though, except for a
> couple of places that were easy to fix by hand anyway.
>
> So, sorry I don't have an answer to "what to do next time", but the
> patch I'm attaching was generated by git after I applied your changes.
>  You should be able to apply it to your repository by running "git am"
> on it.  It doesn't include files such as
> qlo/serialization/create/create_catbonds.cpp etc, because those are
> autogenerated and shouldn't be added to the repository. Your build
> process will recreate them.
>
> Hope this helps,
>     Luigi
>
>
>
> On Fri, Jun 7, 2013 at 4:34 PM, Grześ Andruszkiewicz <gan...@gm...>
> wrote:
> > Hi Luigi,
> >
> > Sending to the mailing list? Please find attached.
> >
> > Regards,
> > Grzegorz
> >
> >
> > On 7 June 2013 15:33, Luigi Ballabio <lui...@gm...> wrote:
> >>
> >> Hi Grzegorz,
> >>     try sending the patch.
> >>
> >> Luigi
> >>
> >>
> >> On Fri, Jun 7, 2013 at 4:24 PM, Grześ Andruszkiewicz <
> gan...@gm...>
> >> wrote:
> >> > Has anyone succeeded in applying a svn patch to the new git
> repository?
> >> >
> >> > Details of my problem are in this stackoverflow question:
> >> >
> >> >
> http://stackoverflow.com/questions/16984144/how-can-i-apply-a-tortoisesvn-generated-patch-to-a-git-repository-in-windows
> >> >
> >> > Regards,
> >> > Grzegorz
> >> >
> >> >
> >> >
> ------------------------------------------------------------------------------
> >> > How ServiceNow helps IT people transform IT departments:
> >> > 1. A cloud service to automate IT design, transition and operations
> >> > 2. Dashboards that offer high-level views of enterprise services
> >> > 3. A single system of record for all IT processes
> >> > http://p.sf.net/sfu/servicenow-d2d-j
> >> > _______________________________________________
> >> > QuantLib-dev mailing list
> >> > Qua...@li...
> >> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> >> >
> >
> >
>

Re: [Quantlib-dev] SwapIndex::clone

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

alright, I will send a pull request on github

On 11 June 2013 19:20, Ferdinando Ametrano <na...@am...> wrote:

>  fine with me
>
>
>  On Sat, May 25, 2013 at 8:40 PM, Peter Caspers <pca...@gm...>wrote:
>
>>  Hi,
>>
>> can we add another clone method to SwapIndex which allows to change
>> the tenor ? I think this could make life easier in some situations. At
>> least I often create a new swap index from an existing one only changing
>> the tenor.
>>
>>
>> https://github.com/pcaspers/quantlib/commit/416713b23fd855b64f6c51824304f2524744b185
>>
>> regards
>>  Peter
>>
>>
>> ------------------------------------------------------------------------------
>> Try New Relic Now & We'll Send You this Cool Shirt
>> New Relic is the only SaaS-based application performance monitoring
>> service
>> that delivers powerful full stack analytics. Optimize and monitor your
>> browser, app, & servers with just a few lines of code. Try New Relic
>> and get this awesome Nerd Life shirt!
>> http://p.sf.net/sfu/newrelic_d2d_may
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
>
>

Re: [Quantlib-dev] SwapIndex::clone

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

fine with me


On Sat, May 25, 2013 at 8:40 PM, Peter Caspers <pca...@gm...>wrote:

> Hi,
>
> can we add another clone method to SwapIndex which allows to change
> the tenor ? I think this could make life easier in some situations. At
> least I often create a new swap index from an existing one only changing
> the tenor.
>
>
> https://github.com/pcaspers/quantlib/commit/416713b23fd855b64f6c51824304f2524744b185
>
> regards
>  Peter
>
>
> ------------------------------------------------------------------------------
> Try New Relic Now & We'll Send You this Cool Shirt
> New Relic is the only SaaS-based application performance monitoring service
> that delivers powerful full stack analytics. Optimize and monitor your
> browser, app, & servers with just a few lines of code. Try New Relic
> and get this awesome Nerd Life shirt! http://p.sf.net/sfu/newrelic_d2d_may
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Re: [Quantlib-dev] Stochastic yield curve models

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

There's Mark Joshi's implementation of the LIBOR market model, in
ql/models/marketmodels.  It's not very well integrated with the rest
of the library, though.

Luigi

On Thu, Jun 6, 2013 at 12:11 PM, Grześ Andruszkiewicz
<gan...@gm...> wrote:
> Hi,
>
> Are there any stochastic yield curve models in QuantLib, that I could use in
> a Monte Carlo type simulation to take interest rate risk into account when
> calculating risk of my instrument?
>
> Regards,
> Grzegorz
>
> ------------------------------------------------------------------------------
> How ServiceNow helps IT people transform IT departments:
> 1. A cloud service to automate IT design, transition and operations
> 2. Dashboards that offer high-level views of enterprise services
> 3. A single system of record for all IT processes
> http://p.sf.net/sfu/servicenow-d2d-j
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Re: [Quantlib-dev] Risk analysis using QuantLib

[Grześ A. <gan...@gm...>]

Thanks, I will look at it at my earliest convenience.


On 7 June 2013 15:34, Luigi Ballabio <lui...@gm...> wrote:

> Yes, the stuff in ql/math/statistics all we have.  It provides the
> statistics functions (VaR etc) but leaves it to you to produce the
> data.
>
> Luigi
>
>
> On Thu, Jun 6, 2013 at 12:26 PM,  <ja...@fr...> wrote:
> > Hi,
> > did you look at:
> > ql/math/statistics/*
> >
> > ----- Original Message -----
> > From: "Grześ Andruszkiewicz" <gan...@gm...>
> > To: qua...@li...
> > Sent: Thursday, 6 June, 2013 12:09:47 PM
> > Subject: [Quantlib-dev] Risk analysis using QuantLib
> >
> >
> >
> >
> > Hi everyone,
> >
> > Is there a standard way to do basic risk analysis/optimisation using
> QuantLib? I am thinking about exposing some risk metrics, e.g. VaR, StdDev
> of payout, etc. in say a year from the valuation date (or some defined
> date, or maturity of the instrument, etc.), so at least one could do basic
> mean-variance type of optimisation with VaR constraints in Excel (I don't
> want to optimize this stuff automatically, just expose appropriate metrics).
> >
> > Regards,
> > Grzegorz
> >
> >
> ------------------------------------------------------------------------------
> > How ServiceNow helps IT people transform IT departments:
> > 1. A cloud service to automate IT design, transition and operations
> > 2. Dashboards that offer high-level views of enterprise services
> > 3. A single system of record for all IT processes
> > http://p.sf.net/sfu/servicenow-d2d-j
> > _______________________________________________
> > QuantLib-dev mailing list
> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> >
> >
> ------------------------------------------------------------------------------
> > How ServiceNow helps IT people transform IT departments:
> > 1. A cloud service to automate IT design, transition and operations
> > 2. Dashboards that offer high-level views of enterprise services
> > 3. A single system of record for all IT processes
> > http://p.sf.net/sfu/servicenow-d2d-j
> > _______________________________________________
> > QuantLib-dev mailing list
> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Re: [Quantlib-dev] Risk analysis using QuantLib

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

Yes, the stuff in ql/math/statistics all we have.  It provides the
statistics functions (VaR etc) but leaves it to you to produce the
data.

Luigi


On Thu, Jun 6, 2013 at 12:26 PM,  <ja...@fr...> wrote:
> Hi,
> did you look at:
> ql/math/statistics/*
>
> ----- Original Message -----
> From: "Grześ Andruszkiewicz" <gan...@gm...>
> To: qua...@li...
> Sent: Thursday, 6 June, 2013 12:09:47 PM
> Subject: [Quantlib-dev] Risk analysis using QuantLib
>
>
>
>
> Hi everyone,
>
> Is there a standard way to do basic risk analysis/optimisation using QuantLib? I am thinking about exposing some risk metrics, e.g. VaR, StdDev of payout, etc. in say a year from the valuation date (or some defined date, or maturity of the instrument, etc.), so at least one could do basic mean-variance type of optimisation with VaR constraints in Excel (I don't want to optimize this stuff automatically, just expose appropriate metrics).
>
> Regards,
> Grzegorz
>
> ------------------------------------------------------------------------------
> How ServiceNow helps IT people transform IT departments:
> 1. A cloud service to automate IT design, transition and operations
> 2. Dashboards that offer high-level views of enterprise services
> 3. A single system of record for all IT processes
> http://p.sf.net/sfu/servicenow-d2d-j
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
> ------------------------------------------------------------------------------
> How ServiceNow helps IT people transform IT departments:
> 1. A cloud service to automate IT design, transition and operations
> 2. Dashboards that offer high-level views of enterprise services
> 3. A single system of record for all IT processes
> http://p.sf.net/sfu/servicenow-d2d-j
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] Applying svn patches to the new git repository

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

Hi Grzegorz,
    try sending the patch.

Luigi


On Fri, Jun 7, 2013 at 4:24 PM, Grześ Andruszkiewicz <gan...@gm...> wrote:
> Has anyone succeeded in applying a svn patch to the new git repository?
>
> Details of my problem are in this stackoverflow question:
> http://stackoverflow.com/questions/16984144/how-can-i-apply-a-tortoisesvn-generated-patch-to-a-git-repository-in-windows
>
> Regards,
> Grzegorz
>
> ------------------------------------------------------------------------------
> How ServiceNow helps IT people transform IT departments:
> 1. A cloud service to automate IT design, transition and operations
> 2. Dashboards that offer high-level views of enterprise services
> 3. A single system of record for all IT processes
> http://p.sf.net/sfu/servicenow-d2d-j
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

[Quantlib-dev] Applying svn patches to the new git repository

[Grześ A. <gan...@gm...>]

Has anyone succeeded in applying a svn patch to the new git repository?

Details of my problem are in this stackoverflow question:
http://stackoverflow.com/questions/16984144/how-can-i-apply-a-tortoisesvn-generated-patch-to-a-git-repository-in-windows

Regards,
Grzegorz

Re: [Quantlib-dev] Risk analysis using QuantLib

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

Hi, 
did you look at:
ql/math/statistics/*

----- Original Message -----
From: "Grześ Andruszkiewicz" <gan...@gm...>
To: qua...@li...
Sent: Thursday, 6 June, 2013 12:09:47 PM
Subject: [Quantlib-dev] Risk analysis using QuantLib




Hi everyone, 

Is there a standard way to do basic risk analysis/optimisation using QuantLib? I am thinking about exposing some risk metrics, e.g. VaR, StdDev of payout, etc. in say a year from the valuation date (or some defined date, or maturity of the instrument, etc.), so at least one could do basic mean-variance type of optimisation with VaR constraints in Excel (I don't want to optimize this stuff automatically, just expose appropriate metrics). 

Regards, 
Grzegorz 

------------------------------------------------------------------------------
How ServiceNow helps IT people transform IT departments:
1. A cloud service to automate IT design, transition and operations
2. Dashboards that offer high-level views of enterprise services
3. A single system of record for all IT processes
http://p.sf.net/sfu/servicenow-d2d-j
_______________________________________________
QuantLib-dev mailing list
Qua...@li...
https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Quantlib-dev] Stochastic yield curve models

[Grześ A. <gan...@gm...>]

Hi,

Are there any stochastic yield curve models in QuantLib, that I could use
in a Monte Carlo type simulation to take interest rate risk into account
when calculating risk of my instrument?

Regards,
Grzegorz

[Quantlib-dev] Risk analysis using QuantLib

[Grześ A. <gan...@gm...>]

Hi everyone,

Is there a standard way to do basic risk analysis/optimisation using
QuantLib? I am thinking about exposing some risk metrics, e.g. VaR, StdDev
of payout, etc. in say a year from the valuation date (or some defined
date, or maturity of the instrument, etc.), so at least one could do basic
mean-variance type of optimisation with VaR constraints in Excel (I don't
want to optimize this stuff automatically, just expose appropriate metrics).

Regards,
Grzegorz