quantlib-dev — Discussion of QuantLib development

[Quantlib-dev] 64 bit QuantLib

[Johannes Göttker-S. <jsc...@gm...>]

Hi,

since I am using QuantLib in a 64 bit environment (Visual Studio C++ 2010)
I have to add the x64 configuration with each release/update. I have
read Luigi's suggestion  to add such a configuration on the quantlib-users
mailing list last december.

The trunk still contains only 32 bit compilation for Windows - is someone
working on a x64 configuration at the moment? Otherwise I could submit my
*.vcproj- and *.sln-files (just straight-forward addition of the x64 build
configuration in addition to the existing Win32 configuration).

Related to that: The 64 bit compilation throws a lot of warnings. The bulk
of those are caused by assigning QuantLib::Size to QuantLib::Integer. The
first ends up as a __int64 on a 64 bit Windows systems, the latter as an
int, which is 32 bit. This is a known issue when porting to 64 bit, at
least on Windows (
http://msdn.microsoft.com/en-us/library/3b2e7499(v=vs.100).aspx). All tests
are passed nevertheless.

Changing QL_INTEGER and QL_BIG_INTEGER to 64 bit cures most of the
warnings, but causes some new ones when assigning integer types to
QuantLib::Real.
Changing QuantLib::Size to a 32 bit type is not a viable alternative
because it causes loads of warnings again, mostly from using standard
library methods which return std:size_t, not QuantLib::Size.
The third possibility to get rid of the warnings is to use static_casts or
dynamic_casts where appropriate.

What do you think?

Kind regards,
Johannes

Re: [Quantlib-dev] fd operators update

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

Thank you Klaus, Ralph, this is very interesting. Very nice blog too. 
The default implementation surely looks like a good idea (though for me 
backward compatibility is not highest priority and in this case it is 
really easy to stay compliant).
kind regards
Peter

Am 21.04.2013 13:39, schrieb Klaus Spanderen:
>
> Hi Peter
>
> the rational behind this method was to get an easy way to create 
> sparse matrices out of a FdmLinearOpComposite or more precise to get an
>
> boost::numeric::ublas::compressed_matrix<Real> object. This class can 
> then be used as an interface to highly efficient sparse matrix library 
> like MKL or cusip. I have seen significant performance improvements 
> while moving to a "tailor-made" sparse matrix library.
>
> But looking at your posting I now realize that I've broken backwards 
> compatibility and we should define
>
> virtual Disposable<std::vector<SparseMatrix> > toMatrixDecomp() const {
>
> QL_FAIL("method not implemented");
>
> }
>
> Then you don't have implement a method to provide functionality you 
> are not interest in. What do you think?
>
> regards
>
> Klaus
>
> On Saturday, April 20, 2013 08:25:24 PM Peter Caspers wrote:
>
> > Hi,
>
> >
>
> > when updating to the current trunk I notice that my operators do not
>
> > compile any more due to an extended interface of FdmLinearOpComposite.
>
> > Seems I have to implement
>
> >
>
> > virtual Disposable<std::vector<SparseMatrix> > toMatrixDecomp() const=0;
>
> >
>
> > and looking at other operators I think I should return a vector of
>
> > SparseMatrix'es corresponding to
>
> >
>
> > apply_direction(0,...)
>
> > apply_direction(1,...)
>
> > ...
>
> > apply_direction(n,...)
>
> > apply_mixed(...)
>
> >
>
> > , yes ? What is the improvement when using UBLAS ? Sorry in case I
>
> > overlooked any documentation on this.
>
> >
>
> > thank you
>
> > Peter
>
> >
>
> >
>
> >
>
> >
>
> >
>
> > 
> ----------------------------------------------------------------------------
>
> > -- Precog is a next-generation analytics platform capable of advanced
>
> > analytics on semi-structured data. The platform includes APIs for 
> building
>
> > apps and a phenomenal toolset for data science. Developers can use our
>
> > toolset for easy data analysis & visualization. Get a free account!
>
> > http://www2.precog.com/precogplatform/slashdotnewsletter
>
> > _______________________________________________
>
> > QuantLib-dev mailing list
>
> > Qua...@li...
>
> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Re: [Quantlib-dev] fd operators update

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

Hi Peter

the rational behind this method was to get an easy way to create sparse 
matrices out of a FdmLinearOpComposite or more precise to get an 
boost::numeric::ublas::compressed_matrix<Real> object. This class can then be 
used as an interface to highly efficient sparse matrix library like MKL or 
cusip. I have seen significant performance improvements while moving to a 
"tailor-made" sparse matrix library.

But looking at your posting I now realize that I've broken backwards 
compatibility and we should define 

virtual Disposable<std::vector<SparseMatrix> > toMatrixDecomp() const {
	QL_FAIL("method not implemented");
}

Then you don't have implement a method to provide functionality you are not 
interest in. What do you think? 

regards
 Klaus


On Saturday, April 20, 2013 08:25:24 PM Peter Caspers wrote:
> Hi,
> 
> when updating to the current trunk I notice that my operators do not
> compile any more due to an extended interface of FdmLinearOpComposite.
> Seems I have to implement
> 
> virtual Disposable<std::vector<SparseMatrix> > toMatrixDecomp() const=0;
> 
> and looking at other operators I think I should return a vector of
> SparseMatrix'es corresponding to
> 
> apply_direction(0,...)
> apply_direction(1,...)
> ...
> apply_direction(n,...)
> apply_mixed(...)
> 
> , yes ? What is the improvement when using UBLAS ? Sorry in case I
> overlooked any documentation on this.
> 
> thank you
> Peter
> 
> 
> 
> 
> 
> ----------------------------------------------------------------------------
> -- Precog is a next-generation analytics platform capable of advanced
> analytics on semi-structured data. The platform includes APIs for building
> apps and a phenomenal toolset for data science. Developers can use our
> toolset for easy data analysis & visualization. Get a free account!
> http://www2.precog.com/precogplatform/slashdotnewsletter
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] fd operators update

[Ralph S. <ori...@we...>]

Hi Peter,

yes, either you define QL_NO_UBLAS_SUPPORT or you implement toMatrixDecomp() as you described it. Providing toMatrixDecomp() has the advantage that it delivers the components for toMatrix() of FdmLinearOp and in this way you get a matrix representation of the P(I)DE as a SparseMatrix, such that you can e. g. directly invert it in order to solve it.

This was e.g. used by Klaus Spanderen in his GPU example

	http://hpcquantlib.wordpress.com/2012/12/27/multi-dimensional-finite-difference-methods-on-a-gpu/

where the QuantLib fdm framework was brought on the GPU via the toMatrix() interface and the CUDA cuSPARSE library.

Furthermore, you can use the matrix representation to precondition the finite difference solution.


Best regards
Ralph

Am 20.04.2013 um 20:25 schrieb Peter Caspers:

> Hi,
> 
> when updating to the current trunk I notice that my operators do not 
> compile any more due to an extended interface of FdmLinearOpComposite. 
> Seems I have to implement
> 
> virtual Disposable<std::vector<SparseMatrix> > toMatrixDecomp() const=0;
> 
> and looking at other operators I think I should return a vector of 
> SparseMatrix'es corresponding to
> 
> apply_direction(0,...)
> apply_direction(1,...)
> ...
> apply_direction(n,...)
> apply_mixed(...)
> 
> , yes ? What is the improvement when using UBLAS ? Sorry in case I 
> overlooked any documentation on this.
> 
> thank you
> Peter
> 
> 
> 
> 
> 
> ------------------------------------------------------------------------------
> Precog is a next-generation analytics platform capable of advanced
> analytics on semi-structured data. The platform includes APIs for building
> apps and a phenomenal toolset for data science. Developers can use
> our toolset for easy data analysis & visualization. Get a free account!
> http://www2.precog.com/precogplatform/slashdotnewsletter
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Quantlib-dev] fd operators update

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

Hi,

when updating to the current trunk I notice that my operators do not 
compile any more due to an extended interface of FdmLinearOpComposite. 
Seems I have to implement

virtual Disposable<std::vector<SparseMatrix> > toMatrixDecomp() const=0;

and looking at other operators I think I should return a vector of 
SparseMatrix'es corresponding to

apply_direction(0,...)
apply_direction(1,...)
...
apply_direction(n,...)
apply_mixed(...)

, yes ? What is the improvement when using UBLAS ? Sorry in case I 
overlooked any documentation on this.

thank you
Peter

[Quantlib-dev] asking for a discrete hedging with xlw

[Changmin C. <Cha...@st...>]

Hi,

I am a financial engineering student in the uk and I am doing my C++ project. Do you have a a discrete hedging sample project with xlw implementation ? It would be of great help to my project and improve my understanding of it. Best wishes

Chen

Re: [Quantlib-dev] Excel interface

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

At which level do you want to create a new project? It consist of several ones; one dependent on the previous (the log tools, the serialization, the excel objects, etc..) QLXL itself is already linked and ready to roll.
If what you want is a lighter add-in you might want to replicate another one with less interface, removing the generated functions, that is going to give you a bit of work and headaches (dependencies).... 
If what you want is to separate your work put it into separate XML and qlo-project files. Then remember to add the generated files into the QLXL project. It is a complex project, I would recomend to start playing around with simple things and debugging the sample workbooks.

I am not sure this answers your question. And definitely I am not the local expert so take my waffle with a pinch of salt.

Best
pp

PS You guys are at IC? 

----- Original Message -----
From: "Grześ Andruszkiewicz" <gan...@gm...>
To: ja...@fr...
Cc: "Lorenzo Pitotti" <l.p...@im...>, qua...@li...
Sent: Friday, 12 April, 2013 5:47:05 PM
Subject: Re: [Quantlib-dev] Excel interface

Thanks! I haven't actually seen these before!

After having a quick look: is it possible to extend the Excel
interface by creating a new project rather than extending the main
one?

Regards,
Grzegorz

On 12 April 2013 16:28,  <ja...@fr...> wrote:
> Hi,
> did you look at these ones?
> http://quantlib.org/quantlibaddin/extend_tutorial.html
> http://quantlib.org/quantlibaddin/extend_template_tutorial.html
>
> Also theres the QLXL-docs coming along the release.
>
> I learned also by starting with simple classes and reverse eng/debugging the thing. Its not as bad as it sounds.
>
> Best
> pp
>
>
> ----- Original Message -----
> From: "Grześ Andruszkiewicz" <gan...@gm...>
> To: qua...@li...
> Cc: "Lorenzo Pitotti" <l.p...@im...>
> Sent: Friday, 12 April, 2013 5:08:41 PM
> Subject: [Quantlib-dev] Excel interface
>
> Hi,
>
> I would like to use the instrument I developed in QuantLib in Excel. I
> was looking at the QuantLibXL project, but it is not obvious how to
> use it nor extend it. Also, I haven't actually used the Excel add-in
> even with the standard instruments...
>
> 1). Where can I find a tutorial to see how to use the existing add-in,
> run the example workbooks, etc.?
> 2). Is there any documentation on how to add new stuff to the project?
>
> I would be grateful for any other hints.
>
> Regards,
> Grzegorz
>
> ------------------------------------------------------------------------------
> Precog is a next-generation analytics platform capable of advanced
> analytics on semi-structured data. The platform includes APIs for building
> apps and a phenomenal toolset for data science. Developers can use
> our toolset for easy data analysis & visualization. Get a free account!
> http://www2.precog.com/precogplatform/slashdotnewsletter
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] Excel interface

[Grześ A. <gan...@gm...>]

Thanks! I haven't actually seen these before!

After having a quick look: is it possible to extend the Excel
interface by creating a new project rather than extending the main
one?

Regards,
Grzegorz

On 12 April 2013 16:28,  <ja...@fr...> wrote:
> Hi,
> did you look at these ones?
> http://quantlib.org/quantlibaddin/extend_tutorial.html
> http://quantlib.org/quantlibaddin/extend_template_tutorial.html
>
> Also theres the QLXL-docs coming along the release.
>
> I learned also by starting with simple classes and reverse eng/debugging the thing. Its not as bad as it sounds.
>
> Best
> pp
>
>
> ----- Original Message -----
> From: "Grześ Andruszkiewicz" <gan...@gm...>
> To: qua...@li...
> Cc: "Lorenzo Pitotti" <l.p...@im...>
> Sent: Friday, 12 April, 2013 5:08:41 PM
> Subject: [Quantlib-dev] Excel interface
>
> Hi,
>
> I would like to use the instrument I developed in QuantLib in Excel. I
> was looking at the QuantLibXL project, but it is not obvious how to
> use it nor extend it. Also, I haven't actually used the Excel add-in
> even with the standard instruments...
>
> 1). Where can I find a tutorial to see how to use the existing add-in,
> run the example workbooks, etc.?
> 2). Is there any documentation on how to add new stuff to the project?
>
> I would be grateful for any other hints.
>
> Regards,
> Grzegorz
>
> ------------------------------------------------------------------------------
> Precog is a next-generation analytics platform capable of advanced
> analytics on semi-structured data. The platform includes APIs for building
> apps and a phenomenal toolset for data science. Developers can use
> our toolset for easy data analysis & visualization. Get a free account!
> http://www2.precog.com/precogplatform/slashdotnewsletter
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] Excel interface

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

Hi,
did you look at these ones?
http://quantlib.org/quantlibaddin/extend_tutorial.html
http://quantlib.org/quantlibaddin/extend_template_tutorial.html

Also theres the QLXL-docs coming along the release.

I learned also by starting with simple classes and reverse eng/debugging the thing. Its not as bad as it sounds.

Best
pp


----- Original Message -----
From: "Grześ Andruszkiewicz" <gan...@gm...>
To: qua...@li...
Cc: "Lorenzo Pitotti" <l.p...@im...>
Sent: Friday, 12 April, 2013 5:08:41 PM
Subject: [Quantlib-dev] Excel interface

Hi,

I would like to use the instrument I developed in QuantLib in Excel. I
was looking at the QuantLibXL project, but it is not obvious how to
use it nor extend it. Also, I haven't actually used the Excel add-in
even with the standard instruments...

1). Where can I find a tutorial to see how to use the existing add-in,
run the example workbooks, etc.?
2). Is there any documentation on how to add new stuff to the project?

I would be grateful for any other hints.

Regards,
Grzegorz

------------------------------------------------------------------------------
Precog is a next-generation analytics platform capable of advanced
analytics on semi-structured data. The platform includes APIs for building
apps and a phenomenal toolset for data science. Developers can use
our toolset for easy data analysis & visualization. Get a free account!
http://www2.precog.com/precogplatform/slashdotnewsletter
_______________________________________________
QuantLib-dev mailing list
Qua...@li...
https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Quantlib-dev] Excel interface

[Grześ A. <gan...@gm...>]

Hi,

I would like to use the instrument I developed in QuantLib in Excel. I
was looking at the QuantLibXL project, but it is not obvious how to
use it nor extend it. Also, I haven't actually used the Excel add-in
even with the standard instruments...

1). Where can I find a tutorial to see how to use the existing add-in,
run the example workbooks, etc.?
2). Is there any documentation on how to add new stuff to the project?

I would be grateful for any other hints.

Regards,
Grzegorz

Re: [Quantlib-dev] SourceForge project upgrades start April 22

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

Ok, so it turns out that the public repository didn't change its address.
Developers with write access should already have received from
Sourceforge their new custom URL; if not, drop me a line.

Luigi

On Mon, Apr 8, 2013 at 12:17 PM, Luigi Ballabio
<lui...@gm...> wrote:
> Hi all,
>     according to the email below, Sourceforge is about to do some kind
> of upgrade that will change the Subversion URLs (as far as I can see,
> that seems to be the only relevant change).  Rather than having them
> perform the upgrade at some random time, I think I'll upgrade myself
> in the next few days.  I'll post the new URLs on the mailing list as
> soon as it's done.
>
> Later,
>     Luigi
>
>
> ---------- Forwarded message ----------
> From: SourceForge.net Team <no...@so...>
> Date: Fri, Apr 5, 2013 at 8:35 PM
> Subject: SourceForge project upgrades start April 22
> To: lui...@gm...
>
>
> Dear SourceForge project member,
>
> As you're no doubt already aware, we're in the process of upgrading
> projects to our new developer platform. The new platform is named Allura,
> and is in incubation at the Apache Software Foundation
> (http://incubator.apache.org/allura/).
>
> In recent weeks, we've been upgrading projects that have been inactive for
> a while. Now, it's time to start upgrading everyone else. As you can no
> doubt understand, we're anxious to complete this process so we can spend
> less time maintaining the old platform, and more time improving the new
> one. However, we also want to be sure that you have plenty of time to check
> out the new platform and have your concerns, if any, addressed.
>
> We're going to start upgrading active projects starting on Monday, April
> 22, starting with the longest-inactive and moving forward. Since each
> upgrade takes a different amount of time, depending on the size of the
> repositories, mailing list archives, and so on, we can't tell for sure when
> we'll get to your project.
>
> If you're ready to go ahead and upgrade your project now, you can do that
> at http://sf.net/p/upgrade/
>
> If you have a specific concern about the upgrade, or need to delay the
> upgrade of your project, due to a release or other project activity, please
> get in touch NOW, at com...@so... so that we can work
> something out.
>
> --
> SourceForge Community Team
> com...@so...
> http://sourceforge.net/
>
> ----------------------------------------------------------------------
> SourceForge.net has made this mailing to you as a registered user of
> the SourceForge.net site to convey important information regarding
> your SourceForge.net account or your use of SourceForge.net services.
>
> We make a small number of directed mailings to registered users each
> year regarding their account or data, to help preserve the security of
> their account or prevent loss of data or service access.
>
> If you have concerns about this mailing please contact our Support
> team per: http://sourceforge.net/support

Re: [Quantlib-dev] Extrapolation classes

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

No, there's not.  When asked to extrapolate, interpolations just
extend the same formula they use in the regular range.  Classes using
an interpolation object and needing a different behavior currently
implement it themselves.  I agree that it would be useful to
generalize it as you sketched, though.

Luigi


On Wed, Apr 10, 2013 at 5:54 PM, Ibbotson, Simon
<Sim...@ba...> wrote:
> Hi all,
>
> Is there a class that allows you to specify a behaviour for extrapolation?
> Perhaps a wrapper class around Interpolation that allows you to specify a
> different behaviour for extrapolation than for interpolation? I know this is
> a fairly common thing (e.g. using a constant value for extrapolation), so
> was expecting to see it – perhaps I’m being blind…
>
> All assistance welcome!
>
> Simon
>
>
>
> Simon Ibbotson
>
> Technical Specialist
>
> Prudential Regulation Authority
>
> Bank of England | 20 Moorgate | London EC2R 6DA | +44 (0)20 3461 7549
>
> Sim...@ba...
>
>
>
> ***********************************************************************************
> This e-mail is intended for the addressee(s) named above and any
> other use is prohibited. It may contain confidential information. If you
> received this e-mail in error please contact the sender by return e-mail.
>
> The Bank of England does not accept legal responsibility for the contents
> of this message if it has reached you via the Internet, as Internet
> communications are not secure. Any opinions expressed are those of the
> author and are not necessarily endorsed by the Bank of England.
>
> Recipients are advised to apply their own virus checks to this message .
> ***********************************************************************************
>
>
> _____________________________________________________________________
> This e-mail has been scanned for known viruses by the Messagelabs SkyScan
> Service.
>
> ------------------------------------------------------------------------------
> Precog is a next-generation analytics platform capable of advanced
> analytics on semi-structured data. The platform includes APIs for building
> apps and a phenomenal toolset for data science. Developers can use
> our toolset for easy data analysis & visualization. Get a free account!
> http://www2.precog.com/precogplatform/slashdotnewsletter
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

[Quantlib-dev] Extrapolation classes

[Ibbotson, S. <Sim...@ba...>]

Hi all,
Is there a class that allows you to specify a behaviour for extrapolation? Perhaps a wrapper class around Interpolation that allows you to specify a different behaviour for extrapolation than for interpolation? I know this is a fairly common thing (e.g. using a constant value for extrapolation), so was expecting to see it - perhaps I'm being blind...
All assistance welcome!
Simon

Simon Ibbotson
Technical Specialist
Prudential Regulation Authority
Bank of England | 20 Moorgate | London EC2R 6DA | +44 (0)20 3461 7549
Sim...@ba...


***********************************************************************************
This e-mail is intended for the addressee(s) named above and any other use is prohibited. It may contain confidential information. If you  received this e-mail in error please contact the sender by return e-mail.

The Bank of England does not accept legal responsibility for the contents of this message if it has reached you via the Internet, as Internet communications are not secure. Any opinions expressed are those of the 
author and are not necessarily endorsed by the Bank of England.

Recipients are advised to apply their own virus checks to this message .
*********************************************************************************** 


_____________________________________________________________________
This e-mail has been scanned for known viruses by the Messagelabs SkyScan Service.

Re: [Quantlib-dev] Fwd: SourceForge project upgrades start April 22

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

On 8 April 2013 at 12:17, Luigi Ballabio wrote:
| Hi all,
|     according to the email below, Sourceforge is about to do some kind
| of upgrade that will change the Subversion URLs (as far as I can see,
| that seems to be the only relevant change).  Rather than having them

Yup -- had that happen with two other repos recently. A bit annoying to loose
all timestamps, again, but such is life with a free service.

| perform the upgrade at some random time, I think I'll upgrade myself
| in the next few days.  I'll post the new URLs on the mailing list as
| soon as it's done.

Thanks, as always!

Dirk

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

[Quantlib-dev] Fwd: SourceForge project upgrades start April 22

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

Hi all,
    according to the email below, Sourceforge is about to do some kind
of upgrade that will change the Subversion URLs (as far as I can see,
that seems to be the only relevant change).  Rather than having them
perform the upgrade at some random time, I think I'll upgrade myself
in the next few days.  I'll post the new URLs on the mailing list as
soon as it's done.

Later,
    Luigi


---------- Forwarded message ----------
From: SourceForge.net Team <no...@so...>
Date: Fri, Apr 5, 2013 at 8:35 PM
Subject: SourceForge project upgrades start April 22
To: lui...@gm...


Dear SourceForge project member,

As you're no doubt already aware, we're in the process of upgrading
projects to our new developer platform. The new platform is named Allura,
and is in incubation at the Apache Software Foundation
(http://incubator.apache.org/allura/).

In recent weeks, we've been upgrading projects that have been inactive for
a while. Now, it's time to start upgrading everyone else. As you can no
doubt understand, we're anxious to complete this process so we can spend
less time maintaining the old platform, and more time improving the new
one. However, we also want to be sure that you have plenty of time to check
out the new platform and have your concerns, if any, addressed.

We're going to start upgrading active projects starting on Monday, April
22, starting with the longest-inactive and moving forward. Since each
upgrade takes a different amount of time, depending on the size of the
repositories, mailing list archives, and so on, we can't tell for sure when
we'll get to your project.

If you're ready to go ahead and upgrade your project now, you can do that
at http://sf.net/p/upgrade/

If you have a specific concern about the upgrade, or need to delay the
upgrade of your project, due to a release or other project activity, please
get in touch NOW, at com...@so... so that we can work
something out.

--
SourceForge Community Team
com...@so...
http://sourceforge.net/

----------------------------------------------------------------------
SourceForge.net has made this mailing to you as a registered user of
the SourceForge.net site to convey important information regarding
your SourceForge.net account or your use of SourceForge.net services.

We make a small number of directed mailings to registered users each
year regarding their account or data, to help preserve the security of
their account or prevent loss of data or service access.

If you have concerns about this mailing please contact our Support
team per: http://sourceforge.net/support

Re: [Quantlib-dev] In arrears adjustment

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

Peter,
    I committed the fix.  Thanks for the heads-up.

Luigi

On Sat, Nov 3, 2012 at 7:09 PM, Peter Caspers <pca...@gm...> wrote:
> Hi,
>
> I think the in arrears adjustment in couponpricer.cpp is computed
> slightly wrong. Shouldn't it be like in the adjusted code below?
>
> Thanks, Peter
>
> ql/cashflows/couponpricer.cpp
>
>               // see Hull, 4th ed., page 550
>               QL_REQUIRE(!capletVolatility().empty(),
>                          "missing optionlet volatility");
>               Date d1 = coupon_->fixingDate(),
> +                 d2 = coupon_->index()->valueDate(d1),
>                    referenceDate = capletVolatility()->referenceDate();
>               if (d1 <= referenceDate) {
>                   adjustement = 0.0;
>               } else {
> -                Date d2 = coupon_->index()->maturityDate(d1);
> -                Time tau =
> coupon_->index()->dayCounter().yearFraction(d1, d2);
> +                Date d3 = coupon_->index()->maturityDate(d2);
> +                Time tau =
> coupon_->index()->dayCounter().yearFraction(d2, d3);
>                   Real variance = capletVolatility()->blackVariance(d1,
> fixing);
>                   adjustement = fixing*fixing*variance*tau/(1.0+fixing*tau);
>               }
>
>
>
> ------------------------------------------------------------------------------
> LogMeIn Central: Instant, anywhere, Remote PC access and management.
> Stay in control, update software, and manage PCs from one command center
> Diagnose problems and improve visibility into emerging IT issues
> Automate, monitor and manage. Do more in less time with Central
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> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] BlackSwaptionEngine

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

Correct. The good news is that this was already fixed a short while
ago in the subversion repository.

Luigi

On Sun, Mar 24, 2013 at 8:59 PM, Peter Caspers <pca...@gm...> wrote:
> Hi,
>
> why is the atm level in line 78 and following computed with the
> forwarding and not the discount curve ?
>
>          // using the forecasting curve
> swap.setPricingEngine(boost::shared_ptr<PricingEngine>(new
> DiscountingSwapEngine(swap.iborIndex()->forwardingTermStructure(),
>                                    false)));
>          Rate atmForward = swap.fairRate();
>
> I think in a usual curve setup it would be better to replace
> swap.iborIndex()->forwardingTermStructure() by discountCurve_, wouldn't it ?
>
> Thanks a lot
> Peter
>
> ------------------------------------------------------------------------------
> Everyone hates slow websites. So do we.
> Make your web apps faster with AppDynamics
> Download AppDynamics Lite for free today:
> http://p.sf.net/sfu/appdyn_d2d_mar
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> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Quantlib-dev] BlackSwaptionEngine

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

Hi,

why is the atm level in line 78 and following computed with the 
forwarding and not the discount curve ?

         // using the forecasting curve
swap.setPricingEngine(boost::shared_ptr<PricingEngine>(new
DiscountingSwapEngine(swap.iborIndex()->forwardingTermStructure(),
                                   false)));
         Rate atmForward = swap.fairRate();

I think in a usual curve setup it would be better to replace 
swap.iborIndex()->forwardingTermStructure() by discountCurve_, wouldn't it ?

Thanks a lot
Peter

Re: [Quantlib-dev] Interest in fixing MSVC Level 4 warnings

[Mike S. <ma...@gm...>]

Hi Luigi,

Thank you for a taking a look and getting the changes applied. I've updated
my repository and found no problems with the modifications.

Maintaining a git repository and branch to track these changes seemed more
appropriate since there would have been a lot of small patches
generated. I'm also not particularly concerned with maintaining authorship
information, though I do appreciate that you track this in quantlib for
everyone involved in development of the library.

I look forward to working with you again in the future.

Best,

Mike




On Fri, Mar 22, 2013 at 3:30 AM, Luigi Ballabio <lui...@gm...>wrote:

> Hi Mike,
>     I just committed a bunch of your changes; basically, all of them
> except those related to warning C4512 and related (4510, 4610).  As
> you said, inheriting from boost::noncopyable seems overkill.
> Personally, I'd rather disable the warning if I wanted to get a clean
> build.
> You might want to get the updated code from the repository and check
> that I didn't botch the thing; I just pushed them to the github
> mirror.
>
> By the way: thanks for using github for the thing. It really made
> easier to merge them into my working copy (the only problem I had was
> that sometimes, your editor had changed all the line endings from Unix
> to Windows, but that was easily solved). Unfortunately, passing
> through subversion has erased your authorship information from the
> commits, so I've mentioned it in the commit message instead.
>
> Thanks,
>     Luigi
>
>
> On Thu, Feb 28, 2013 at 5:46 AM, Mike Sharpe <ma...@gm...> wrote:
> > I apologize for the late follow up to looking into getting these warnings
> > fixed, but I have a VC++ 2012 warning free fork of the github mirror at
> > https://github.com/masrtis/quantlib. I've created a branch,
> > VC11Level4WarningFixes, that contains the changes I've made.
> >
> > The vast majority of warnings were C4512: cannot generate an assignment
> > operator for 'class'. This is because of the use of const members and
> > references in classes. To silence these warnings as I was going through,
> I
> > used boost::noncopyable and that seems to be a bit overkill. Ideally it
> > would be nice to fix these warnings by adding a similar class that just
> > disables the assignment operator for classes with const members and maybe
> > keep using boost::noncopyable if a class has reference members, but I
> think
> > the amount of files affected for the amount of benefit gained is pretty
> > small. Because of this, I recommend not merging down the entire branch.
> >
> > I did, however, find some bugs and do some minor refactoring for other
> > warnings. I've created tags on the branch that mark changes that should
> be
> > made and also changes that would be good to get reviewed. A summary of
> these
> > is below.
> >
> > FIX1: Disables the conditional expression is constant warning for the
> > QL_FAIL macro using Microsoft specific pragmas that work correctly with
> > macro expansion. It's worth considering because this change fixes 1,276
> > warnings on its own.
> >
> > FIX2: Removes unreachable code from CPICouponPricer::optionletPriceImp. I
> > wasn't sure if the code was left in for documentation purposes, but if
> so it
> > should be commented out.
> >
> > FIX3: Disables a bunch of warnings that leaked from uBLAS headers.
> >
> > FIX4: Replaced a runtime check of a numeric template parameter with
> > BOOST_STATIC_ASSERT to catch the programming error at compile time
> instead
> > of runtime.
> >
> > FIX5: Fixed uninitialized variable in CPICapFloorTermPriceSurface.
> >
> > FIX6: Fixed uninitialized variable in CPICapFloor.
> >
> > FIX7: Refactored code in Concentrating1dMesher to improve variable scope.
> >
> > REVIEW1: I wasn't sure why RendistatoCalculator was using private
> > inheritance from LazyObject. I fixed the warning by using
> > boost::noncopyable, but I suspect there's a missing public keyword here.
> >
> > FIX8: Disables some more warnings from uBLAS.
> >
> > REVIEW2: There might need to be some code added to the check a return
> value
> > in Garch11::calibrate_r2().
> >
> > FIX9: Remove a duplicated return statement from
> > OptionletStripper::optionletStrikes().
> >
> > FIX10: Added a static_cast around a toupper() call in
> > PeriodParser::parseOnePeriod() to silence a size conversion warning.
> >
> > REVIEW3, REVIEW4: There is a lot of commented out code in function
> bodies in
> > experimental/credit/distribution.cpp and
> > experimental/credit/lossdistribution.cpp. I ended up commenting out what
> > appeared to be similar code that was actually active and therefore
> > generating unreachable code warnings. It's worth reviewing these files to
> > see if the commented out code is still needed.
> >
> > FIX11: Made sure that a const array declaration in
> > math/randomnumbers/primitivepolynomials.h was always considered extern,
> even
> > when it was included in the companion .c file.
> >
> > FIX12: Disabled a conditional expression is constant warning in
> > ZigguratRng::nextGaussian().
> >
> > FIX13: Added files to the VC11 projects that were checked in after I had
> > created my branch.
> >
> > I hope this information is useful. Let me know if there's any questions
> or
> > if I can do anything to help get these changes integrated into quantlib.
> >
> > Mike
> >
> >
> > On Mon, Jan 14, 2013 at 9:20 PM, Mike Sharpe <ma...@gm...> wrote:
> >>
> >> Hi Luigi,
> >>
> >> Thanks for your reply.
> >>
> >> A quick upper bound on the amount of warnings that would need to be
> fixed
> >> is 1800. This is high because VS reports the same warning multiple
> times if
> >> the code in question is in headers, and also because boost has some
> level 4
> >> warnings in uBLAS headers.
> >>
> >> I'm more than willing to use my spare time to generate patches that
> would
> >> fix all the warnings, especially if they appear in headers so people who
> >> include quantlib headers can do so without needing to resort to
> workarounds
> >> if they want to bump up the warning level. When I submit the patches,
> I'll
> >> describe which warning the patch fixes and we can go from there.
> >>
> >> Look for patches over the next week or two.
> >>
> >> Mike
> >>
> >>
> >> On Thu, Jan 10, 2013 at 9:31 AM, Luigi Ballabio <
> lui...@gm...>
> >> wrote:
> >>>
> >>> Hi Mike,
> >>>     given that we won't be able to go entirely warning-free (due to
> >>> QL_FAIL etc.) I wouldn't want you to invest too much time on this.
> >>> But if you want to have a look at the warnings and check if there's
> >>> anything that should be fixed, by all means go ahead.  A count might
> >>> indeed be useful in order to assess if the thing is worth pursuing.
> >>>
> >>> Later,
> >>>     Luigi
> >>>
> >>>
> >>>
> >>> On Sun, Jan 6, 2013 at 11:35 PM, Mike Sharpe <ma...@gm...>
> wrote:
> >>> > Hi all,
> >>> >
> >>> > First, I'd like to start off by saying thanks for your hard work on
> >>> > quantlib! This is my first post to a quantlib mailing list. I've
> >>> > recently
> >>> > developed an interest in mathematical finance and discovered quantlib
> >>> > over
> >>> > the holidays, which has only piqued my interest more.
> >>> >
> >>> > As I'm still new to the codebase and most of the techniques that are
> >>> > used in
> >>> > the code, I'd like to give back in some other way and one of the
> ways I
> >>> > can
> >>> > do that is by looking into fixing some of the level 4 warnings for
> the
> >>> > Microsoft compilers. Because the warnings could appear anywhere and I
> >>> > don't
> >>> > want to cause any difficulties for other work, I wanted to check here
> >>> > to see
> >>> > if there was any interest in seeing these warnings fixed.
> >>> >
> >>> > I'm not necessarily proposing fixing all of the warnings that I've
> seen
> >>> > in
> >>> > the code (QL_FAIL triggers C4127 "conditional expression is constant"
> >>> > because of the do { } while(false) macro guard, for example), but I
> do
> >>> > think
> >>> > it'd a good idea to look through the list and fix some of them. If a
> >>> > count
> >>> > of warnings would help, I can follow up with that soon.
> >>> >
> >>> > Mike
> >>> >
> >>> >
> >>> >
> >>> >
> ------------------------------------------------------------------------------
> >>> > Master Visual Studio, SharePoint, SQL, ASP.NET, C# 2012, HTML5, CSS,
> >>> > MVC, Windows 8 Apps, JavaScript and much more. Keep your skills
> current
> >>> > with LearnDevNow - 3,200 step-by-step video tutorials by Microsoft
> >>> > MVPs and experts. ON SALE this month only -- learn more at:
> >>> > http://p.sf.net/sfu/learnmore_123012
> >>> > _______________________________________________
> >>> > QuantLib-dev mailing list
> >>> > Qua...@li...
> >>> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> >>> >
> >>
> >>
> >
> >
> >
> ------------------------------------------------------------------------------
> > Everyone hates slow websites. So do we.
> > Make your web apps faster with AppDynamics
> > Download AppDynamics Lite for free today:
> > http://p.sf.net/sfu/appdyn_d2d_feb
> > _______________________________________________
> > QuantLib-dev mailing list
> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> >
>

Re: [Quantlib-dev] Interest in fixing MSVC Level 4 warnings

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

Hi Mike,
    I just committed a bunch of your changes; basically, all of them
except those related to warning C4512 and related (4510, 4610).  As
you said, inheriting from boost::noncopyable seems overkill.
Personally, I'd rather disable the warning if I wanted to get a clean
build.
You might want to get the updated code from the repository and check
that I didn't botch the thing; I just pushed them to the github
mirror.

By the way: thanks for using github for the thing. It really made
easier to merge them into my working copy (the only problem I had was
that sometimes, your editor had changed all the line endings from Unix
to Windows, but that was easily solved). Unfortunately, passing
through subversion has erased your authorship information from the
commits, so I've mentioned it in the commit message instead.

Thanks,
    Luigi


On Thu, Feb 28, 2013 at 5:46 AM, Mike Sharpe <ma...@gm...> wrote:
> I apologize for the late follow up to looking into getting these warnings
> fixed, but I have a VC++ 2012 warning free fork of the github mirror at
> https://github.com/masrtis/quantlib. I've created a branch,
> VC11Level4WarningFixes, that contains the changes I've made.
>
> The vast majority of warnings were C4512: cannot generate an assignment
> operator for 'class'. This is because of the use of const members and
> references in classes. To silence these warnings as I was going through, I
> used boost::noncopyable and that seems to be a bit overkill. Ideally it
> would be nice to fix these warnings by adding a similar class that just
> disables the assignment operator for classes with const members and maybe
> keep using boost::noncopyable if a class has reference members, but I think
> the amount of files affected for the amount of benefit gained is pretty
> small. Because of this, I recommend not merging down the entire branch.
>
> I did, however, find some bugs and do some minor refactoring for other
> warnings. I've created tags on the branch that mark changes that should be
> made and also changes that would be good to get reviewed. A summary of these
> is below.
>
> FIX1: Disables the conditional expression is constant warning for the
> QL_FAIL macro using Microsoft specific pragmas that work correctly with
> macro expansion. It's worth considering because this change fixes 1,276
> warnings on its own.
>
> FIX2: Removes unreachable code from CPICouponPricer::optionletPriceImp. I
> wasn't sure if the code was left in for documentation purposes, but if so it
> should be commented out.
>
> FIX3: Disables a bunch of warnings that leaked from uBLAS headers.
>
> FIX4: Replaced a runtime check of a numeric template parameter with
> BOOST_STATIC_ASSERT to catch the programming error at compile time instead
> of runtime.
>
> FIX5: Fixed uninitialized variable in CPICapFloorTermPriceSurface.
>
> FIX6: Fixed uninitialized variable in CPICapFloor.
>
> FIX7: Refactored code in Concentrating1dMesher to improve variable scope.
>
> REVIEW1: I wasn't sure why RendistatoCalculator was using private
> inheritance from LazyObject. I fixed the warning by using
> boost::noncopyable, but I suspect there's a missing public keyword here.
>
> FIX8: Disables some more warnings from uBLAS.
>
> REVIEW2: There might need to be some code added to the check a return value
> in Garch11::calibrate_r2().
>
> FIX9: Remove a duplicated return statement from
> OptionletStripper::optionletStrikes().
>
> FIX10: Added a static_cast around a toupper() call in
> PeriodParser::parseOnePeriod() to silence a size conversion warning.
>
> REVIEW3, REVIEW4: There is a lot of commented out code in function bodies in
> experimental/credit/distribution.cpp and
> experimental/credit/lossdistribution.cpp. I ended up commenting out what
> appeared to be similar code that was actually active and therefore
> generating unreachable code warnings. It's worth reviewing these files to
> see if the commented out code is still needed.
>
> FIX11: Made sure that a const array declaration in
> math/randomnumbers/primitivepolynomials.h was always considered extern, even
> when it was included in the companion .c file.
>
> FIX12: Disabled a conditional expression is constant warning in
> ZigguratRng::nextGaussian().
>
> FIX13: Added files to the VC11 projects that were checked in after I had
> created my branch.
>
> I hope this information is useful. Let me know if there's any questions or
> if I can do anything to help get these changes integrated into quantlib.
>
> Mike
>
>
> On Mon, Jan 14, 2013 at 9:20 PM, Mike Sharpe <ma...@gm...> wrote:
>>
>> Hi Luigi,
>>
>> Thanks for your reply.
>>
>> A quick upper bound on the amount of warnings that would need to be fixed
>> is 1800. This is high because VS reports the same warning multiple times if
>> the code in question is in headers, and also because boost has some level 4
>> warnings in uBLAS headers.
>>
>> I'm more than willing to use my spare time to generate patches that would
>> fix all the warnings, especially if they appear in headers so people who
>> include quantlib headers can do so without needing to resort to workarounds
>> if they want to bump up the warning level. When I submit the patches, I'll
>> describe which warning the patch fixes and we can go from there.
>>
>> Look for patches over the next week or two.
>>
>> Mike
>>
>>
>> On Thu, Jan 10, 2013 at 9:31 AM, Luigi Ballabio <lui...@gm...>
>> wrote:
>>>
>>> Hi Mike,
>>>     given that we won't be able to go entirely warning-free (due to
>>> QL_FAIL etc.) I wouldn't want you to invest too much time on this.
>>> But if you want to have a look at the warnings and check if there's
>>> anything that should be fixed, by all means go ahead.  A count might
>>> indeed be useful in order to assess if the thing is worth pursuing.
>>>
>>> Later,
>>>     Luigi
>>>
>>>
>>>
>>> On Sun, Jan 6, 2013 at 11:35 PM, Mike Sharpe <ma...@gm...> wrote:
>>> > Hi all,
>>> >
>>> > First, I'd like to start off by saying thanks for your hard work on
>>> > quantlib! This is my first post to a quantlib mailing list. I've
>>> > recently
>>> > developed an interest in mathematical finance and discovered quantlib
>>> > over
>>> > the holidays, which has only piqued my interest more.
>>> >
>>> > As I'm still new to the codebase and most of the techniques that are
>>> > used in
>>> > the code, I'd like to give back in some other way and one of the ways I
>>> > can
>>> > do that is by looking into fixing some of the level 4 warnings for the
>>> > Microsoft compilers. Because the warnings could appear anywhere and I
>>> > don't
>>> > want to cause any difficulties for other work, I wanted to check here
>>> > to see
>>> > if there was any interest in seeing these warnings fixed.
>>> >
>>> > I'm not necessarily proposing fixing all of the warnings that I've seen
>>> > in
>>> > the code (QL_FAIL triggers C4127 "conditional expression is constant"
>>> > because of the do { } while(false) macro guard, for example), but I do
>>> > think
>>> > it'd a good idea to look through the list and fix some of them. If a
>>> > count
>>> > of warnings would help, I can follow up with that soon.
>>> >
>>> > Mike
>>> >
>>> >
>>> >
>>> > ------------------------------------------------------------------------------
>>> > Master Visual Studio, SharePoint, SQL, ASP.NET, C# 2012, HTML5, CSS,
>>> > MVC, Windows 8 Apps, JavaScript and much more. Keep your skills current
>>> > with LearnDevNow - 3,200 step-by-step video tutorials by Microsoft
>>> > MVPs and experts. ON SALE this month only -- learn more at:
>>> > http://p.sf.net/sfu/learnmore_123012
>>> > _______________________________________________
>>> > QuantLib-dev mailing list
>>> > Qua...@li...
>>> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>> >
>>
>>
>
>
> ------------------------------------------------------------------------------
> Everyone hates slow websites. So do we.
> Make your web apps faster with AppDynamics
> Download AppDynamics Lite for free today:
> http://p.sf.net/sfu/appdyn_d2d_feb
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

[Quantlib-dev] [ quantlib-Patches-3555090 ] Irregular Swaption Pricing Engine

[SourceForge.net <no...@so...>]

Patches item #3555090, was opened at 2012-08-07 04:43
Message generated for change (Comment added) made by miemiec
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3555090&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Andre Miemiec (miemiec)
Assigned to: Nobody/Anonymous (nobody)
Summary: Irregular Swaption Pricing Engine

Initial Comment:
This code implements the method of Hunt / Kennedy (Finance Stochast. 2, 275–293 (1998)) to find the price of a irregular european swaption; 

For getting the code running one has to do some additional work on setting up  the instruments expected, i.e. an irregular swap and an irregular swaption. The irregular swap shall be  set up by using appropriate legs. Legs are used because here the irregular features can be specified easily. Therefore it  is basically derived from the swap and only altered in respect of adding the ususal Payer/Receiver specification.
For the same reason the swaption instrument must be alteres to make it working with this particular type of swap.


  

----------------------------------------------------------------------

Comment By: Andre Miemiec (miemiec)
Date: 2013-03-19 11:59

Message:
I've done so already. Problem is, that I do not want to create lots of
similar instruments in the library. If its is useful I can of course
provide the code for the instruments as well. Just give me a hint.

Yours sincerely
André 

----------------------------------------------------------------------

Comment By: Luigi Ballabio (lballabio)
Date: 2013-03-19 07:24

Message:
Andre,
    are you planning to implement the instrument as well?

Later,
    Luigi


----------------------------------------------------------------------

Comment By: Andre Miemiec (miemiec)
Date: 2013-03-12 01:00

Message:
Dear Luigi,

 the code is mine. So an appropriate copyright should be 

Copyright (C) 2012 Andre Miemiec

But please keep a reference to the papers I used. It is more useful to
others if they can find the appropriate papers.  

Yours sincerely 

A. Miemiec

----------------------------------------------------------------------

Comment By: Luigi Ballabio (lballabio)
Date: 2013-03-11 07:38

Message:
A question before I can apply the patch: who owns the copyright of the code
you contributed? Is it you, your employer, your own company...? Posting the
copyright attribution I should use, i.e., something like
    Copyright (C) 2010 Random J. Hacker
or
    Copyright (C) 2010 ACME inc.
would be best.


----------------------------------------------------------------------

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3555090&group_id=12740

Re: [Quantlib-dev] Interest in fixing MSVC Level 4 warnings

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

Mike,
    thanks a lot, there's a lot of useful information in there. I'll
try and get at least some of those changes into next release. I'll get
back to you if I have questions.

Later,
    Luigi


On Thu, Feb 28, 2013 at 5:46 AM, Mike Sharpe <ma...@gm...> wrote:
> I apologize for the late follow up to looking into getting these warnings
> fixed, but I have a VC++ 2012 warning free fork of the github mirror at
> https://github.com/masrtis/quantlib. I've created a branch,
> VC11Level4WarningFixes, that contains the changes I've made.
>
> The vast majority of warnings were C4512: cannot generate an assignment
> operator for 'class'. This is because of the use of const members and
> references in classes. To silence these warnings as I was going through, I
> used boost::noncopyable and that seems to be a bit overkill. Ideally it
> would be nice to fix these warnings by adding a similar class that just
> disables the assignment operator for classes with const members and maybe
> keep using boost::noncopyable if a class has reference members, but I think
> the amount of files affected for the amount of benefit gained is pretty
> small. Because of this, I recommend not merging down the entire branch.
>
> I did, however, find some bugs and do some minor refactoring for other
> warnings. I've created tags on the branch that mark changes that should be
> made and also changes that would be good to get reviewed. A summary of these
> is below.
>
> FIX1: Disables the conditional expression is constant warning for the
> QL_FAIL macro using Microsoft specific pragmas that work correctly with
> macro expansion. It's worth considering because this change fixes 1,276
> warnings on its own.
>
> FIX2: Removes unreachable code from CPICouponPricer::optionletPriceImp. I
> wasn't sure if the code was left in for documentation purposes, but if so it
> should be commented out.
>
> FIX3: Disables a bunch of warnings that leaked from uBLAS headers.
>
> FIX4: Replaced a runtime check of a numeric template parameter with
> BOOST_STATIC_ASSERT to catch the programming error at compile time instead
> of runtime.
>
> FIX5: Fixed uninitialized variable in CPICapFloorTermPriceSurface.
>
> FIX6: Fixed uninitialized variable in CPICapFloor.
>
> FIX7: Refactored code in Concentrating1dMesher to improve variable scope.
>
> REVIEW1: I wasn't sure why RendistatoCalculator was using private
> inheritance from LazyObject. I fixed the warning by using
> boost::noncopyable, but I suspect there's a missing public keyword here.
>
> FIX8: Disables some more warnings from uBLAS.
>
> REVIEW2: There might need to be some code added to the check a return value
> in Garch11::calibrate_r2().
>
> FIX9: Remove a duplicated return statement from
> OptionletStripper::optionletStrikes().
>
> FIX10: Added a static_cast around a toupper() call in
> PeriodParser::parseOnePeriod() to silence a size conversion warning.
>
> REVIEW3, REVIEW4: There is a lot of commented out code in function bodies in
> experimental/credit/distribution.cpp and
> experimental/credit/lossdistribution.cpp. I ended up commenting out what
> appeared to be similar code that was actually active and therefore
> generating unreachable code warnings. It's worth reviewing these files to
> see if the commented out code is still needed.
>
> FIX11: Made sure that a const array declaration in
> math/randomnumbers/primitivepolynomials.h was always considered extern, even
> when it was included in the companion .c file.
>
> FIX12: Disabled a conditional expression is constant warning in
> ZigguratRng::nextGaussian().
>
> FIX13: Added files to the VC11 projects that were checked in after I had
> created my branch.
>
> I hope this information is useful. Let me know if there's any questions or
> if I can do anything to help get these changes integrated into quantlib.
>
> Mike
>
>
> On Mon, Jan 14, 2013 at 9:20 PM, Mike Sharpe <ma...@gm...> wrote:
>>
>> Hi Luigi,
>>
>> Thanks for your reply.
>>
>> A quick upper bound on the amount of warnings that would need to be fixed
>> is 1800. This is high because VS reports the same warning multiple times if
>> the code in question is in headers, and also because boost has some level 4
>> warnings in uBLAS headers.
>>
>> I'm more than willing to use my spare time to generate patches that would
>> fix all the warnings, especially if they appear in headers so people who
>> include quantlib headers can do so without needing to resort to workarounds
>> if they want to bump up the warning level. When I submit the patches, I'll
>> describe which warning the patch fixes and we can go from there.
>>
>> Look for patches over the next week or two.
>>
>> Mike
>>
>>
>> On Thu, Jan 10, 2013 at 9:31 AM, Luigi Ballabio <lui...@gm...>
>> wrote:
>>>
>>> Hi Mike,
>>>     given that we won't be able to go entirely warning-free (due to
>>> QL_FAIL etc.) I wouldn't want you to invest too much time on this.
>>> But if you want to have a look at the warnings and check if there's
>>> anything that should be fixed, by all means go ahead.  A count might
>>> indeed be useful in order to assess if the thing is worth pursuing.
>>>
>>> Later,
>>>     Luigi
>>>
>>>
>>>
>>> On Sun, Jan 6, 2013 at 11:35 PM, Mike Sharpe <ma...@gm...> wrote:
>>> > Hi all,
>>> >
>>> > First, I'd like to start off by saying thanks for your hard work on
>>> > quantlib! This is my first post to a quantlib mailing list. I've
>>> > recently
>>> > developed an interest in mathematical finance and discovered quantlib
>>> > over
>>> > the holidays, which has only piqued my interest more.
>>> >
>>> > As I'm still new to the codebase and most of the techniques that are
>>> > used in
>>> > the code, I'd like to give back in some other way and one of the ways I
>>> > can
>>> > do that is by looking into fixing some of the level 4 warnings for the
>>> > Microsoft compilers. Because the warnings could appear anywhere and I
>>> > don't
>>> > want to cause any difficulties for other work, I wanted to check here
>>> > to see
>>> > if there was any interest in seeing these warnings fixed.
>>> >
>>> > I'm not necessarily proposing fixing all of the warnings that I've seen
>>> > in
>>> > the code (QL_FAIL triggers C4127 "conditional expression is constant"
>>> > because of the do { } while(false) macro guard, for example), but I do
>>> > think
>>> > it'd a good idea to look through the list and fix some of them. If a
>>> > count
>>> > of warnings would help, I can follow up with that soon.
>>> >
>>> > Mike
>>> >
>>> >
>>> >
>>> > ------------------------------------------------------------------------------
>>> > Master Visual Studio, SharePoint, SQL, ASP.NET, C# 2012, HTML5, CSS,
>>> > MVC, Windows 8 Apps, JavaScript and much more. Keep your skills current
>>> > with LearnDevNow - 3,200 step-by-step video tutorials by Microsoft
>>> > MVPs and experts. ON SALE this month only -- learn more at:
>>> > http://p.sf.net/sfu/learnmore_123012
>>> > _______________________________________________
>>> > QuantLib-dev mailing list
>>> > Qua...@li...
>>> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>> >
>>
>>
>
>
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[Quantlib-dev] [ quantlib-Patches-3541625 ] Math macros redefinition warnings on VC++

[SourceForge.net <no...@so...>]

Patches item #3541625, was opened at 2012-07-09 08:27
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541625&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
>Status: Closed
>Resolution: Rejected
Priority: 5
Private: No
Submitted By: Piter Dias (piterdias)
Assigned to: Nobody/Anonymous (nobody)
Summary: Math macros redefinition warnings on VC++

Initial Comment:
Macro redefinition warnings on VC++ due to math.h and qldefines.h math constants.
Proposed solution is control QL macro creation based on _USE_MATH_DEFINES definition.

----------------------------------------------------------------------

>Comment By: Luigi Ballabio (lballabio)
Date: 2013-03-19 07:26

Message:
Hi Piter,
    the warnings were removed recently by making sure of the correct
inclusion order of headers, so this becomes obsolete.

Thanks anyway,
    Luigi




----------------------------------------------------------------------

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541625&group_id=12740

[Quantlib-dev] [ quantlib-Patches-3555090 ] Irregular Swaption Pricing Engine

[SourceForge.net <no...@so...>]

Patches item #3555090, was opened at 2012-08-07 04:43
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3555090&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Andre Miemiec (miemiec)
Assigned to: Nobody/Anonymous (nobody)
Summary: Irregular Swaption Pricing Engine

Initial Comment:
This code implements the method of Hunt / Kennedy (Finance Stochast. 2, 275–293 (1998)) to find the price of a irregular european swaption; 

For getting the code running one has to do some additional work on setting up  the instruments expected, i.e. an irregular swap and an irregular swaption. The irregular swap shall be  set up by using appropriate legs. Legs are used because here the irregular features can be specified easily. Therefore it  is basically derived from the swap and only altered in respect of adding the ususal Payer/Receiver specification.
For the same reason the swaption instrument must be alteres to make it working with this particular type of swap.


  

----------------------------------------------------------------------

>Comment By: Luigi Ballabio (lballabio)
Date: 2013-03-19 07:24

Message:
Andre,
    are you planning to implement the instrument as well?

Later,
    Luigi


----------------------------------------------------------------------

Comment By: Andre Miemiec (miemiec)
Date: 2013-03-12 01:00

Message:
Dear Luigi,

 the code is mine. So an appropriate copyright should be 

Copyright (C) 2012 Andre Miemiec

But please keep a reference to the papers I used. It is more useful to
others if they can find the appropriate papers.  

Yours sincerely 

A. Miemiec

----------------------------------------------------------------------

Comment By: Luigi Ballabio (lballabio)
Date: 2013-03-11 07:38

Message:
A question before I can apply the patch: who owns the copyright of the code
you contributed? Is it you, your employer, your own company...? Posting the
copyright attribution I should use, i.e., something like
    Copyright (C) 2010 Random J. Hacker
or
    Copyright (C) 2010 ACME inc.
would be best.


----------------------------------------------------------------------

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3555090&group_id=12740

Re: [Quantlib-dev] SwaptionVolCube2 - bug

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

Peter,
    it's fixed now.  Thanks for the heads-up.

Luigi

On Thu, Mar 7, 2013 at 5:26 PM, Peter Caspers <pca...@gm...> wrote:
> Hi,
>
> I guess there is a little bug in swaptionvolcube2.cpp. Starting in line 95
> we have
>
>
>         return boost::shared_ptr<SmileSection>(new
>             InterpolatedSmileSection<Linear>(optionTime,
>                                              strikes,
>                                              stdDevs,
>                                              atmVol));
>
> but this should be
>
>         return boost::shared_ptr<SmileSection>(new
>             InterpolatedSmileSection<Linear>(optionTime,
>                                              strikes,
>                                              stdDevs,
>                                              atmForward));
>
> Kind regards
> Peter
>
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