quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] Including quantlib.hpp in Linux

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

On 18 March 2013 at 15:10, Luigi Ballabio wrote:
| Hi Grzegorz,
|     if it's still of any interest (apologies for the delay) this was
| fixed in 1.2.1, but it still hasn't made it into Debian.  You can
| either download 1.2.1 from the QuantLib site, or patch your Debian
| installation.  The required patch is the one at
| <https://github.com/lballabio/quantlib-1.2/commit/cf0afdfced766903948f3faf5523ca29a879a2f4>.

If the fix is in the released 1.2.1, then the Debian package for 1.2.1 will
have it to.

That package is however in 'sid' aka 'unstable', not testing, see

     http://packages.debian.org/quantlib

I cannot alter the package in testing, we have to wait til it migrates down
from unstable.

Dirk

| 
| Luigi
| 
| 
| On Sun, Feb 17, 2013 at 9:54 PM, Grześ Andruszkiewicz
| <gan...@gm...> wrote:
| > Hi,
| >
| > I am trying to compile my stuff against Quantlib in Debian Testing
| > (with quantlib installed from the standard package), but when I try to
| > include the mail file <quantlib.hpp> then I get the following
| > compilation error:
| >
| > /usr/include/ql/experimental/math/autocovariance.hpp:47:78: error: no
| > matching function for call to
| > ‘transform(std::vector<std::complex<double> >::iterator,
| > std::vector<std::complex<double> >::iterator,
| > QuantLib::Array::iterator, <unresolved overloaded function type>)’
| >
| > Any ideas?
| >
| > Grzegorz
| >
| > ------------------------------------------------------------------------------
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-- 
Dirk Eddelbuettel | ed...@de... | http://dirk.eddelbuettel.com  

Re: [Quantlib-dev] Including quantlib.hpp in Linux

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

Hi Grzegorz,
    if it's still of any interest (apologies for the delay) this was
fixed in 1.2.1, but it still hasn't made it into Debian.  You can
either download 1.2.1 from the QuantLib site, or patch your Debian
installation.  The required patch is the one at
<https://github.com/lballabio/quantlib-1.2/commit/cf0afdfced766903948f3faf5523ca29a879a2f4>.

Luigi


On Sun, Feb 17, 2013 at 9:54 PM, Grześ Andruszkiewicz
<gan...@gm...> wrote:
> Hi,
>
> I am trying to compile my stuff against Quantlib in Debian Testing
> (with quantlib installed from the standard package), but when I try to
> include the mail file <quantlib.hpp> then I get the following
> compilation error:
>
> /usr/include/ql/experimental/math/autocovariance.hpp:47:78: error: no
> matching function for call to
> ‘transform(std::vector<std::complex<double> >::iterator,
> std::vector<std::complex<double> >::iterator,
> QuantLib::Array::iterator, <unresolved overloaded function type>)’
>
> Any ideas?
>
> Grzegorz
>
> ------------------------------------------------------------------------------
> The Go Parallel Website, sponsored by Intel - in partnership with Geeknet,
> is your hub for all things parallel software development, from weekly thought
> leadership blogs to news, videos, case studies, tutorials, tech docs,
> whitepapers, evaluation guides, and opinion stories. Check out the most
> recent posts - join the conversation now. http://goparallel.sourceforge.net/
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Quantlib-dev] [ quantlib-Patches-3568787 ] Cross currency rate helper

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

Patches item #3568787, was opened at 2012-09-18 00:04
Message generated for change (Comment added) made by mbouassab
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3568787&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,
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Andre Miemiec (miemiec)
Assigned to: Nobody/Anonymous (nobody)
Summary: Cross currency rate helper

Initial Comment:
This file contributes new rate helpers to the QuantLib library in order to support the building of discount curves from cross currency swaps. 
Implemented are constant notional cross currency swaps. I've checked the code for the pair EUR/USD in two directions: Bootstrapping of the 
yield curve on the spread leg and on the flat leg. Both are checked against results from productive environments and seemed to work. 
There are two obvious things left to do:
- Implementation of the forward start feature
- based on the previous step, implementation of mtm cross currency swaps. 
Both extensions should be minor exercises. 

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

Comment By: Mehdi Bouassab (mbouassab)
Date: 2013-03-17 15:01

Message:
I have tried first to use the XCCySwapRateHelper class for calculating a
EUR/USD basis spread   through the impliedQuote() method. After setting
appropriate yield termstructures for each currency,  calling 
impliedQuote() cause the program to crash with an empty handle exception in
the BlackIborCouponPricer::initialize method. To solve that, one need to
ensure that  the yield term structure is not empty in  flatLegIborIndex_
and sprdLegIborIndex_ in order to calculate the spread , contrary to other
RateHelper (Swap,Deposit...). I think that this case should be handled in t
XCCySwapRateHelper::impliedQuote() .

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

Comment By: Luigi Ballabio (lballabio)
Date: 2012-10-24 07:12

Message:
May you contribute a test case for these?

Thanks,
    Luigi


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3568787&group_id=12740

Re: [Quantlib-dev] Quantlib: Mortgage Backed Securities

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

Indeed. Prepayments need to be linked (using some model) to interest-rates at the least. 

-----Original Message-----
From: Luigi Ballabio [mailto:lui...@gm...] 
Sent: Tuesday, March 12, 2013 2:13 PM
To: Navtej Singh-Riyait
Cc: qua...@li...
Subject: Re: [Quantlib-dev] Quantlib: Mortgage Backed Securities

No, it doesn't.  The closest you can get is to model prepayments externally and feed the results to the amortizing-bond classes in <ql/experimental/amortizingbonds>.  But this will probably misprice the optionality of the prepayments.

Luigi

On Tue, Mar 12, 2013 at 2:57 PM, Navtej Singh-Riyait <Nav...@fi...> wrote:
> Does quant-lib have any classes for Mortgage Backed Securities to 
> calculate Accrued Interest, Price and/or Yield ?
>
>
>
> This message is intended only for the stated addressee(s) and may be 
> confidential. Access to this email by anyone else is unauthorised. Any 
> opinions expressed in this email do not necessarily reflect the 
> opinions of Fidessa. Any unauthorised disclosure, use or 
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> ----------------------------------------------------------------------
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> Forrester
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------------------------------------------------------------------------------
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Wave(TM): Endpoint Security, Q1 2013 and "remains a good choice" in the endpoint security space. For insight on selecting the right partner to tackle endpoint security challenges, access the full report. 
http://p.sf.net/sfu/symantec-dev2dev
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Re: [Quantlib-dev] Quantlib: Mortgage Backed Securities

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

No, it doesn't.  The closest you can get is to model prepayments
externally and feed the results to the amortizing-bond classes in
<ql/experimental/amortizingbonds>.  But this will probably misprice
the optionality of the prepayments.

Luigi

On Tue, Mar 12, 2013 at 2:57 PM, Navtej Singh-Riyait
<Nav...@fi...> wrote:
> Does quant-lib have any classes for Mortgage Backed Securities to calculate
> Accrued Interest, Price and/or Yield ?
>
>
>
> This message is intended only for the stated addressee(s) and may be
> confidential. Access to this email by anyone else is unauthorised. Any
> opinions expressed in this email do not necessarily reflect the opinions of
> Fidessa. Any unauthorised disclosure, use or dissemination, either whole or
> in part is prohibited. If you are not the intended recipient of this
> message, please notify the sender immediately.
> Fidessa plc registered in England and Wales no. 3781700. VAT registration
> no. GB688900878. Registered office - Dukes Court, Duke Street, Woking,
> Surrey, GU21 5BH, UK
> Fidessa buy-side ltd registered in England and Wales no. 3656437. VAT
> registration no. GB688900878. Registered office - Dukes Court, Duke Street,
> Woking, Surrey, GU21 5BH, UK
> Fidessa group plc registered in England and Wales no. 3234176. VAT
> registration no. GB688900878. Registered office - Dukes Court, Duke Street,
> Woking, Surrey, GU21 5BH, UK
>
>
> ------------------------------------------------------------------------------
> Symantec Endpoint Protection 12 positioned as A LEADER in The Forrester
> Wave(TM): Endpoint Security, Q1 2013 and "remains a good choice" in the
> endpoint security space. For insight on selecting the right partner to
> tackle endpoint security challenges, access the full report.
> http://p.sf.net/sfu/symantec-dev2dev
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

[Quantlib-dev] Quantlib: Mortgage Backed Securities

[Navtej Singh-R. <Nav...@fi...>]

Does quant-lib have any classes for Mortgage Backed Securities to calculate Accrued Interest, Price and/or Yield ?



This message is intended only for the stated addressee(s) and may be confidential. Access to this email by anyone else is unauthorised. Any opinions expressed in this email do not necessarily reflect the opinions of Fidessa. Any unauthorised disclosure, use or dissemination, either whole or in part is prohibited. If you are not the intended recipient of this message, please notify the sender immediately.
Fidessa plc registered in England and Wales no. 3781700. VAT registration no. GB688900878. Registered office - Dukes Court, Duke Street, Woking, Surrey, GU21 5BH, UK
Fidessa buy-side ltd registered in England and Wales no. 3656437. VAT registration no. GB688900878. Registered office - Dukes Court, Duke Street, Woking, Surrey, GU21 5BH, UK
Fidessa group plc registered in England and Wales no. 3234176. VAT registration no. GB688900878. Registered office - Dukes Court, Duke Street, Woking, Surrey, GU21 5BH, UK

[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: 2013-03-12 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

[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: 2013-03-11 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] [Quantlib-users] SWIG: FittedBondDiscountCurve::FittingMethod Conversion?

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

Oh, I see.  My bad.  You can't use "using" for getting at an inner
class, it only strips away namespaces.  You'll just have to use

using QuantLib::FittedBondDiscountCurve;

and then refer to FittingMethod in full as
FittedBondDiscountCurve::FittingMethod.

Otherwise, you can use a typedef instead of a using declaration, as in:

typedef QuantLib::FittedBondDiscountCurve::FittingMethod FittingMethod;

which will then let you use the short name.

Luigi


On Fri, Mar 8, 2013 at 9:35 AM, Billy Ng <mai...@gm...> wrote:
> %{
> using QuantLib::InterpolatedDiscountCurve;
> using QuantLib::FittedBondDiscountCurve;
> using QuantLib::BondHelper;
> using QuantLib::FittedBondDiscountCurve::FittingMethod;
> %}
>
> The error is .\quantlib_wrapper.cpp(5282) : error C2885: 'QuantLib::FittedBondDiscountCurve::FittingMethod': not a valid using-declaration at non-class scope
>
> I add both the FittedBondDiscountCurve and FittingMethod definitions in discountcurve.i,  using
> %define export_fitted_bond_discount_curve(Name,FittingMethod) to generate different fitting mothods
>
> Billy
>
> -----Original Message-----
> From: Luigi Ballabio [mailto:lui...@gm...]
> Sent: Friday, March 08, 2013 4:22 PM
> To: Billy Ng
> Cc: QuantLib QuantLib; qua...@li...
> Subject: Re: [Quantlib-users] SWIG: FittedBondDiscountCurve::FittingMethod Conversion?
>
>
> Billy,
>     using QuantLib::FittedBondDiscountCurve::FittingMethod;
> seems correct.  What do you mean by "doesn't work"? What error do you get?
>
> Luigi
>
> On Fri, Mar 8, 2013 at 9:05 AM, Billy Ng <mai...@gm...> wrote:
>>  Hi,
>>
>> Any example/clue in translating the Class
>> FittedBondDiscountCurve::FittingMethod to java using SWIG
>> (ql/termstructures/yield/fittedbonddiscountcurve.hpp)?
>> And thus, the subsequent Nonlinear Fitting Methods Derived Classes such as
>> CubicBSplinesFitting (ql/termstructures/yield/nonlinearfittingmethods.hpp)?
>>
>> My issue is that either staement in my i-File does not work
>>         using QuantLib::FittedBondDiscountCurve::FittingMethod;
>>         using QuantLib::FittingMethod;
>>
>> Billy
>>
>> ------------------------------------------------------------------------------
>> Symantec Endpoint Protection 12 positioned as A LEADER in The Forrester
>> Wave(TM): Endpoint Security, Q1 2013 and "remains a good choice" in the
>> endpoint security space. For insight on selecting the right partner to
>> tackle endpoint security challenges, access the full report.
>> http://p.sf.net/sfu/symantec-dev2dev
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>

Re: [Quantlib-dev] [Quantlib-users] SWIG: FittedBondDiscountCurve::FittingMethod Conversion?

[Billy N. <mai...@gm...>]

%{
using QuantLib::InterpolatedDiscountCurve;
using QuantLib::FittedBondDiscountCurve;
using QuantLib::BondHelper;
using QuantLib::FittedBondDiscountCurve::FittingMethod;
%}

The error is .\quantlib_wrapper.cpp(5282) : error C2885: 'QuantLib::FittedBondDiscountCurve::FittingMethod': not a valid using-declaration at non-class scope

I add both the FittedBondDiscountCurve and FittingMethod definitions in discountcurve.i,  using 
%define export_fitted_bond_discount_curve(Name,FittingMethod) to generate different fitting mothods

Billy

-----Original Message-----
From: Luigi Ballabio [mailto:lui...@gm...]
Sent: Friday, March 08, 2013 4:22 PM
To: Billy Ng
Cc: QuantLib QuantLib; qua...@li...
Subject: Re: [Quantlib-users] SWIG: FittedBondDiscountCurve::FittingMethod Conversion?


Billy,
    using QuantLib::FittedBondDiscountCurve::FittingMethod;
seems correct.  What do you mean by "doesn't work"? What error do you get?

Luigi

On Fri, Mar 8, 2013 at 9:05 AM, Billy Ng <mai...@gm...> wrote:
>  Hi,
>
> Any example/clue in translating the Class
> FittedBondDiscountCurve::FittingMethod to java using SWIG
> (ql/termstructures/yield/fittedbonddiscountcurve.hpp)?
> And thus, the subsequent Nonlinear Fitting Methods Derived Classes such as
> CubicBSplinesFitting (ql/termstructures/yield/nonlinearfittingmethods.hpp)?
>
> My issue is that either staement in my i-File does not work
>         using QuantLib::FittedBondDiscountCurve::FittingMethod;
>         using QuantLib::FittingMethod;
>
> Billy
>
> ------------------------------------------------------------------------------
> Symantec Endpoint Protection 12 positioned as A LEADER in The Forrester
> Wave(TM): Endpoint Security, Q1 2013 and "remains a good choice" in the
> endpoint security space. For insight on selecting the right partner to
> tackle endpoint security challenges, access the full report.
> http://p.sf.net/sfu/symantec-dev2dev
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Re: [Quantlib-dev] [Quantlib-users] SWIG: FittedBondDiscountCurve::FittingMethod Conversion?

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

Billy,
    using QuantLib::FittedBondDiscountCurve::FittingMethod;
seems correct.  What do you mean by "doesn't work"? What error do you get?

Luigi

On Fri, Mar 8, 2013 at 9:05 AM, Billy Ng <mai...@gm...> wrote:
>  Hi,
>
> Any example/clue in translating the Class
> FittedBondDiscountCurve::FittingMethod to java using SWIG
> (ql/termstructures/yield/fittedbonddiscountcurve.hpp)?
> And thus, the subsequent Nonlinear Fitting Methods Derived Classes such as
> CubicBSplinesFitting (ql/termstructures/yield/nonlinearfittingmethods.hpp)?
>
> My issue is that either staement in my i-File does not work
>         using QuantLib::FittedBondDiscountCurve::FittingMethod;
>         using QuantLib::FittingMethod;
>
> Billy
>
> ------------------------------------------------------------------------------
> Symantec Endpoint Protection 12 positioned as A LEADER in The Forrester
> Wave(TM): Endpoint Security, Q1 2013 and "remains a good choice" in the
> endpoint security space. For insight on selecting the right partner to
> tackle endpoint security challenges, access the full report.
> http://p.sf.net/sfu/symantec-dev2dev
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

[Quantlib-dev] SWIG: FittedBondDiscountCurve::FittingMethod Conversion?

[Billy N. <mai...@gm...>]

 Hi,

Any example/clue in translating the Class FittedBondDiscountCurve::FittingMethod to java using SWIG (ql/termstructures/yield/fittedbonddiscountcurve.hpp)?
And thus, the subsequent Nonlinear Fitting Methods Derived Classes such as CubicBSplinesFitting (ql/termstructures/yield/nonlinearfittingmethods.hpp)?

My issue is that either staement in my i-File does not work
        using QuantLib::FittedBondDiscountCurve::FittingMethod;
        using QuantLib::FittingMethod;
 
Billy 

[Quantlib-dev] SwaptionVolCube2 - bug

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

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

Re: [Quantlib-dev] BOOST_MESSAGE undefined

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

I'll try and check out Boost from svn when I have some time.

In the meantime, I suggest you stick with released versions to avoid
having to do local changes.

Luigi


On Tue, Mar 5, 2013 at 1:51 AM, cf16-2 <cf1...@gm...> wrote:
> on Linux I develop other application. It is OK now, I just didn't know what
> to include.
> but on Windows, after romoval or function
> _use_check
> changed to not have pointers to TEMPLATE functions as default, so changed
> to:
>
> void _use_check(
>                         const void*,
>                         const void*) const {}
>
> there were still errors while building test-suite project. unresolved
> externals: fdmhestonfwdop, fdmblackscholesfwdop, fdmsquarerootfwdop.
> obviously this classes (headrs+source) I had to add to Quantlib project,
> build library QuantLib-vc110-mt-gd.lib again and rebuild test-suite project
> then. It's interesting how always some headers, sources are missing in main
> project, and test-suite can't link, at least I have always this issue.
> after pleasure with VS linker error "lnk1210 exceeded internal ilk size
> limit link with incremental no" (it really likes RAM, but on windows I have
> this resource quite limited), it is OK. compiled. : p
> test-suite: 1 test failed.
>
> what will be a solution to _use_check function?
> we can declare _use_check as template called with pointers to appropriate
> functions, or leave them as void* as above, or just remove this function.
> I prefer rather to update my local repository with valid and up-to-date
> version of utilities.hpp to keep cohesion and green mark on folders, I don't
> like red.
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/BOOST-MESSAGE-undefined-tp14086p14102.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
> ------------------------------------------------------------------------------
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Re: [Quantlib-dev] BOOST_MESSAGE undefined

[cf16-2 <cf1...@gm...>]

on Linux I develop other application. It is OK now, I just didn't know what
to include.
but on Windows, after romoval or function
_use_check
changed to not have pointers to TEMPLATE functions as default, so changed
to:

void _use_check(
                        const void*,
                        const void*) const {}

there were still errors while building test-suite project. unresolved
externals: fdmhestonfwdop, fdmblackscholesfwdop, fdmsquarerootfwdop.
obviously this classes (headrs+source) I had to add to Quantlib project,
build library QuantLib-vc110-mt-gd.lib again and rebuild test-suite project
then. It's interesting how always some headers, sources are missing in main
project, and test-suite can't link, at least I have always this issue.
after pleasure with VS linker error "lnk1210 exceeded internal ilk size
limit link with incremental no" (it really likes RAM, but on windows I have
this resource quite limited), it is OK. compiled. : p
test-suite: 1 test failed.

what will be a solution to _use_check function?
we can declare _use_check as template called with pointers to appropriate
functions, or leave them as void* as above, or just remove this function.
I prefer rather to update my local repository with valid and up-to-date
version of utilities.hpp to keep cohesion and green mark on folders, I don't
like red.



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Re: [Quantlib-dev] credit on Saturdays

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

Great,
thank you.
Pepe


----- Original Message -----
From: "Luigi Ballabio" <lui...@gm...>
To: ja...@fr...
Cc: qua...@li...
Sent: Monday, 4 March, 2013 3:18:10 PM
Subject: Re: [Quantlib-dev] credit on Saturdays

Hi Pepe,
    since there were no objections, I've added the fix to the repository.

Later,
    Luigi

On Fri, Dec 14, 2012 at 11:49 AM, Luigi Ballabio
<lui...@gm...> wrote:
> It doesn't seem bad to me.  Any others wanting to weigh in?
>
> Luigi
>
>
> On Tue, Dec 4, 2012 at 11:25 AM,  <ja...@fr...> wrote:
>>
>> If I define CDS helpers on a Saturday. The curve ref date is then the next monday.
>> Now use the curve to price a coupon with that Saturday (i.e. today) placed within the coupon period, that date becomes the effective start date for the coupon and the pricing fails because of the negative time requested to the default probability (see below)
>>
>> I am not saying it is a bug. Something similar happens in FI defining a reference date for an index on a Saturday and calling for a fixing which now falls before the index  ref date.
>>
>> Anyway, all this to ask you what do you think of modifying the code below
>> (see: ql/termstructures/defaulttermstructure.cpp)
>> -------------------------------------------------------------------------------
>>     Probability DefaultProbabilityTermStructure::defaultProbability(
>>                                                      const Date& d1,
>>                                                      const Date& d2,
>>                                                      bool extrapolate) const {
>>         QL_REQUIRE(d1 <= d2,
>>                    "initial date (" << d1 << ") "
>>                    "later than final date (" << d2 << ")");
>>         Probability p1 = (d1<=referenceDate()) ? 0. : defaultProbability(d1,extrapolate);//<<<<<<<<<<
>>         Probability p2 = defaultProbability(d2,extrapolate);
>>
>>         return p2 - p1;
>>     }
>> -------------------------------------------------------------------------------
>> and similarly for the Time version.
>> It bypasses the negative time check by assuming survival before the curve reference date.
>>
>> What do you think?
>>
>> Best regards
>> Pepe
>>
>> ------------------------------------------------------------------------------
>> LogMeIn Rescue: Anywhere, Anytime Remote support for IT. Free Trial
>> Remotely access PCs and mobile devices and provide instant support
>> Improve your efficiency, and focus on delivering more value-add services
>> Discover what IT Professionals Know. Rescue delivers
>> http://p.sf.net/sfu/logmein_12329d2d
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] BOOST_MESSAGE undefined

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

Sorry, what are you using on Linux? libboost_unit_test_framework.so
should have been added to the makefile options by configure.  Also,
<boost/test/unit_test.hpp> is already included in
test-suite/utilities.hpp, which is included by all the cpp files in
the test suite.

Luigi

On Mon, Mar 4, 2013 at 4:24 PM, cf16-2 <cf1...@gm...> wrote:
> on linux I had to add
>
>> libboost_unit_test_framework.so
>
> to the Linker->Libraries and  #include <boost/test/unit_test.hpp>.
>
>     #define BOOST_MESSAGE( M )                  BOOST_TEST_MESSAGE( M )
>
> is already present in test/test_tools.hpp.
> on windows I have different #defines and this is not present, so I added it
> to the
>
>> unit_test_log.hpp
>
> where BOOST_TEST_MESSAGE is defined (in boost files to avoid same issue
> again in the case of other applications using BOOST_MESSAGE). BOOST_MESSAGE
> issue resolved but still can't default initialize
> const void* = boost::test_tools::check_is_close
> and  void* = boost::test_tools::check_is_small
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/BOOST-MESSAGE-undefined-tp14086p14097.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
> ------------------------------------------------------------------------------
> 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
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> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] BOOST_MESSAGE undefined

[cf16-2 <cf1...@gm...>]

on linux I had to add 

> libboost_unit_test_framework.so

to the Linker->Libraries and  #include <boost/test/unit_test.hpp>.

    #define BOOST_MESSAGE( M )                  BOOST_TEST_MESSAGE( M )

is already present in test/test_tools.hpp.
on windows I have different #defines and this is not present, so I added it
to the 

> unit_test_log.hpp

where BOOST_TEST_MESSAGE is defined (in boost files to avoid same issue
again in the case of other applications using BOOST_MESSAGE). BOOST_MESSAGE
issue resolved but still can't default initialize 
const void* = boost::test_tools::check_is_close
and  void* = boost::test_tools::check_is_small



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[Quantlib-dev] [ quantlib-Patches-3599230 ] Fixed a forward looking bias issue in Garch11::calculate

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

Patches item #3599230, was opened at 2013-01-02 09:02
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3599230&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: Fixed
Priority: 5
Private: No
Submitted By: Slava Mazur (shlagbaum)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Fixed a forward looking bias issue in Garch11::calculate 

Initial Comment:
Garch11::calculate re-implemented so that the current volatility estimate depends on a prior return and a prior volatility estimator. A corresponding test case is added to the test suite.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2013-03-04 06:20

Message:
The patch was applied to the code repository.
It will be included in next release.
Thank you.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3599230&group_id=12740

[Quantlib-dev] [ quantlib-Patches-3599229 ] Precision issue in calculation of autocovariances fixed

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

Patches item #3599229, was opened at 2013-01-02 08:22
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3599229&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: Accepted
Priority: 5
Private: No
Submitted By: Slava Mazur (shlagbaum)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Precision issue in calculation of autocovariances fixed

Initial Comment:
On Win32 platform when input data vector is sufficiently long there is an issue with final calculation of autocovariances. The proposed patch fixes it.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2013-03-04 06:19

Message:
The patch was applied to the code repository.
It will be included in next release.
Thank you.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3599229&group_id=12740

Re: [Quantlib-dev] Exposing the BondFunctions class using SWIG.

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

Hi Simon,
    thanks, I've added your code to the repository.

Luigi

On Fri, Dec 7, 2012 at 2:59 PM, Simon Shakeshaft
<sim...@es...> wrote:
> Hi,
>
> Recently I needed to use the BondFunctions class from C#.  I don’t believe
> this is exposed from the current SWIG implementation, so please find
> attached a SWIG interface file which exposes most of the methods.  Please
> note this has only been tested in a C# environment.
>
> Also attached are some changes to the date.i class to make use of C#
> operator overloading for ==, !=, >, <, +,  -  and also overrides for
> Equals(object) and GetHashCode() methods – conditional on SWIGCSHARP as the
> target.
>
> (ql.i has the minor change to include bondfunctions.i.)
>
> I also have a small C# unit test project [28 tests] covering these changes,
> which I can upload at some point if of any interest.
>
> Cheers
> Simon
>
>
>
>
> ------------------------------------------------------------------------------
> LogMeIn Rescue: Anywhere, Anytime Remote support for IT. Free Trial
> Remotely access PCs and mobile devices and provide instant support
> Improve your efficiency, and focus on delivering more value-add services
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> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Re: [Quantlib-dev] credit on Saturdays

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

Hi Pepe,
    since there were no objections, I've added the fix to the repository.

Later,
    Luigi

On Fri, Dec 14, 2012 at 11:49 AM, Luigi Ballabio
<lui...@gm...> wrote:
> It doesn't seem bad to me.  Any others wanting to weigh in?
>
> Luigi
>
>
> On Tue, Dec 4, 2012 at 11:25 AM,  <ja...@fr...> wrote:
>>
>> If I define CDS helpers on a Saturday. The curve ref date is then the next monday.
>> Now use the curve to price a coupon with that Saturday (i.e. today) placed within the coupon period, that date becomes the effective start date for the coupon and the pricing fails because of the negative time requested to the default probability (see below)
>>
>> I am not saying it is a bug. Something similar happens in FI defining a reference date for an index on a Saturday and calling for a fixing which now falls before the index  ref date.
>>
>> Anyway, all this to ask you what do you think of modifying the code below
>> (see: ql/termstructures/defaulttermstructure.cpp)
>> -------------------------------------------------------------------------------
>>     Probability DefaultProbabilityTermStructure::defaultProbability(
>>                                                      const Date& d1,
>>                                                      const Date& d2,
>>                                                      bool extrapolate) const {
>>         QL_REQUIRE(d1 <= d2,
>>                    "initial date (" << d1 << ") "
>>                    "later than final date (" << d2 << ")");
>>         Probability p1 = (d1<=referenceDate()) ? 0. : defaultProbability(d1,extrapolate);//<<<<<<<<<<
>>         Probability p2 = defaultProbability(d2,extrapolate);
>>
>>         return p2 - p1;
>>     }
>> -------------------------------------------------------------------------------
>> and similarly for the Time version.
>> It bypasses the negative time check by assuming survival before the curve reference date.
>>
>> What do you think?
>>
>> Best regards
>> Pepe
>>
>> ------------------------------------------------------------------------------
>> LogMeIn Rescue: Anywhere, Anytime Remote support for IT. Free Trial
>> Remotely access PCs and mobile devices and provide instant support
>> Improve your efficiency, and focus on delivering more value-add services
>> Discover what IT Professionals Know. Rescue delivers
>> http://p.sf.net/sfu/logmein_12329d2d
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] BOOST_MESSAGE undefined

[cf16-2 <cf1...@gm...>]

other projects compile well, so it seems there is only issue with BOOST TEST 



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Re: [Quantlib-dev] BOOST_MESSAGE undefined

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

Ok, let me know if you solve the issue.

But for the time being, I suggest you stick with Boost 1.53.

Luigi

On Mon, Mar 4, 2013 at 11:21 AM, cf16-2 <cf1...@gm...> wrote:
> Hi Luigi, thanks for the answer, let me copy from Stack Overflow too:.
>
> (..)
> BOOST_TEST_MESSAGE is undefined too, but I am still searching
>
> and there are more things: BOOST_ERROR, BOOST_CHECK, also ambiguities
> regarding const void*=&boost::test_tools::check_is_close
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/BOOST-MESSAGE-undefined-tp14086p14088.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
> ------------------------------------------------------------------------------
> 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
> _______________________________________________
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> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] BOOST_MESSAGE undefined

[cf16-2 <cf1...@gm...>]

Hi Luigi, thanks for the answer, let me copy from Stack Overflow too:.

(..)
BOOST_TEST_MESSAGE is undefined too, but I am still searching
	
and there are more things: BOOST_ERROR, BOOST_CHECK, also ambiguities
regarding const void*=&boost::test_tools::check_is_close 



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