quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] BOOST_MESSAGE undefined

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

Hello,
    I'll copy the answer that I just gave you on Stack Overflow:

I'm afraid you gave us more credit than we deserved :)

We haven't compiled QuantLib against Boost svn yet. The latest I've
tried is Boost 1.53 (the latest released version) in which
BOOST_MESSAGE was still available.

Thanks for the heads-up, though. I'll patch the library so that it's
ready for next version. As mentioned in the comments, it should be as
simple as adding

#if BOOST_VERSION > 105300
#define BOOST_MESSAGE(msg) BOOST_TEST_MESSAGE(msg)
#endif

to test-suite/utilities.hpp.

Luigi


On Mon, Mar 4, 2013 at 10:23 AM, cf16-2 <cf1...@gm...> wrote:
>
> I have just installed boost_1_54 by checkout from svn and then
>
> bootstrap
> .\b2
>
> it compiles well all but one project: test-suite which uses BOOST_MESSAGE.
> this is undefined. I see that there is no BOOST_MESSAGE in my version of
> boost. is this QuantLib incompatibility or I've missed something? on my
> linux boost version the same thing applies to BOOST_MESSAGE - it is
> undefined
>
> I have seen that this is now deprecated
> http://www.boost.org/doc/libs/1_34_0/libs/test/doc/components/test_tools/reference/deprecated.html
>
> shouldn't we do #define BOOST_MESSAGE(msg) BOOST_TEST_MESSAGE(msg)
> or have I just missed something?
> the same with BOOST_ERROR
>
> regards,
> cf16
>
>
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/BOOST-MESSAGE-undefined-tp14086.html
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>
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[Quantlib-dev] BOOST_MESSAGE undefined

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

I have just installed boost_1_54 by checkout from svn and then

bootstrap
.\b2

it compiles well all but one project: test-suite which uses BOOST_MESSAGE.
this is undefined. I see that there is no BOOST_MESSAGE in my version of
boost. is this QuantLib incompatibility or I've missed something? on my
linux boost version the same thing applies to BOOST_MESSAGE - it is
undefined

I have seen that this is now deprecated 
http://www.boost.org/doc/libs/1_34_0/libs/test/doc/components/test_tools/reference/deprecated.html

shouldn't we do #define BOOST_MESSAGE(msg) BOOST_TEST_MESSAGE(msg) 
or have I just missed something?
the same with BOOST_ERROR

regards,
cf16





--
View this message in context: http://quantlib.10058.n7.nabble.com/BOOST-MESSAGE-undefined-tp14086.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

Re: [Quantlib-dev] C# versions

[Okash K. <oka...@gm...>]

Hi,

Thanks Luigi for your input. That certainly seems to be the prevailing view
in financial industry regarding C#.  Following up on that thought then, is
there anything that can be done in a C# version (specifically C# 5.0) of
the library which brings it into wider acceptance? Given the size of the C#
community and its rate of growth, such a milestone --- if it can be
achieved --- should be quite beneficial.

It would be great to hear ideas from author(s) of QLNet as well.

Best regards
Okash

On Sat, Mar 2, 2013 at 4:48 PM, Luigi Ballabio <lui...@gm...>wrote:

> Hi,
>     there are also the C# wrappers generated via SWIG.  As for the
> value, I guess it's the .Net ecosystem. I haven't used it myself, but
> I hear C# is more convenient than C++ with regard to building user
> interfaces, talking to databases, etc.
>
> Luigi
>
> On Sat, Mar 2, 2013 at 4:56 PM, Okash Khawaja <oka...@gm...>
> wrote:
> > Hi all,
> >
> > While going through the source code, I was wondering how many C#
> versions of
> > QuantLib are out there. I know of QLNet which seems like the official
> one.
> > Then came across NQuantLib on GitHub
> > (https://github.com/spolnik/NQuantLib/tree/master/NQuantLib). Are there
> any
> > others?
> >
> > Also, is there any value to be derived from a C# version of the library?
> >
> > Many thanks
> > Okash
> >
> >
> ------------------------------------------------------------------------------
> > 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] C# versions

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

Hi,
    there are also the C# wrappers generated via SWIG.  As for the
value, I guess it's the .Net ecosystem. I haven't used it myself, but
I hear C# is more convenient than C++ with regard to building user
interfaces, talking to databases, etc.

Luigi

On Sat, Mar 2, 2013 at 4:56 PM, Okash Khawaja <oka...@gm...> wrote:
> Hi all,
>
> While going through the source code, I was wondering how many C# versions of
> QuantLib are out there. I know of QLNet which seems like the official one.
> Then came across NQuantLib on GitHub
> (https://github.com/spolnik/NQuantLib/tree/master/NQuantLib). Are there any
> others?
>
> Also, is there any value to be derived from a C# version of the library?
>
> Many thanks
> Okash
>
> ------------------------------------------------------------------------------
> 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] C# versions

[Okash K. <oka...@gm...>]

Hi all,

While going through the source code, I was wondering how many C# versions
of QuantLib are out there. I know of QLNet which seems like the official
one. Then came across NQuantLib on GitHub (
https://github.com/spolnik/NQuantLib/tree/master/NQuantLib). Are there any
others?

Also, is there any value to be derived from a C# version of the library?

Many thanks
Okash

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

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

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
>> >
>>
>
>

Re: [Quantlib-dev] Operation opposite to dayCounter.yearFraction()

[Grześ A. <gan...@gm...>]

Hi,

The problem is that all the models seem to be continuous time, so I have to
convert to days at some point... (luckily I don't have to worry about
hours).

Regards,
Grzegorz
On 18 Feb 2013 12:07, "Luigi Ballabio" <lui...@gm...> wrote:

> So that it gives you some kind of conversion factor? Possibly.
>
> However, if you want to deal with days, are you sure you don't want
> nextEvent() to return a Date instead?
>
> Luigi
>
>
> On Mon, Feb 18, 2013 at 12:21 PM, Grześ Andruszkiewicz
> <gan...@gm...> wrote:
> > Hi Luigi,
> >
> > I am using ActualActual currently. The reason is that I am dealing
> > with natural events. Does it make sense?
> >
> > I have an end date as well, so would it make sense to use:
> >
> > Integer days = t*dayCounter.dayCount(start,
> > end)/dayCounter.yearFraction(start, end);
> >
> > ?
> >
> > Ciao,
> > Grzegorz
> >
> > On 18 February 2013 11:13, Luigi Ballabio <lui...@gm...>
> wrote:
> >> Hi,
> >>     unfortunately, there's no defined inverse for yearFraction.  You
> >> can probably get close by writing
> >>
> >> Date eventDate = start+(t*365)*Days;
> >>
> >> but then again, depending on the day counter that 365 might have to be
> >> 360 instead. You'll have to check what day counter is used in
> >> nextEvent().
> >>
> >> Luigi
> >>
> >> On Mon, Feb 18, 2013 at 12:01 PM, Grześ Andruszkiewicz
> >> <gan...@gm...> wrote:
> >>> Hi,
> >>>
> >>> I have the following code:
> >>>
> >>> Real t = nextEvent();//years
> >>> Date eventDate = start+t*Years;
> >>>
> >>> but this seems to be incorrect, because Period rounds t to an Integer.
> >>> In the opposite direction I can get a year fraction using
> >>> dayCounter.yearFraction(). How can I get a date, when I know the start
> >>> date and the year fraction (possibly greater than 1)?
> >>>
> >>> Regards,
> >>> 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
>

Re: [Quantlib-dev] Operation opposite to dayCounter.yearFraction()

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

So that it gives you some kind of conversion factor? Possibly.

However, if you want to deal with days, are you sure you don't want
nextEvent() to return a Date instead?

Luigi


On Mon, Feb 18, 2013 at 12:21 PM, Grześ Andruszkiewicz
<gan...@gm...> wrote:
> Hi Luigi,
>
> I am using ActualActual currently. The reason is that I am dealing
> with natural events. Does it make sense?
>
> I have an end date as well, so would it make sense to use:
>
> Integer days = t*dayCounter.dayCount(start,
> end)/dayCounter.yearFraction(start, end);
>
> ?
>
> Ciao,
> Grzegorz
>
> On 18 February 2013 11:13, Luigi Ballabio <lui...@gm...> wrote:
>> Hi,
>>     unfortunately, there's no defined inverse for yearFraction.  You
>> can probably get close by writing
>>
>> Date eventDate = start+(t*365)*Days;
>>
>> but then again, depending on the day counter that 365 might have to be
>> 360 instead. You'll have to check what day counter is used in
>> nextEvent().
>>
>> Luigi
>>
>> On Mon, Feb 18, 2013 at 12:01 PM, Grześ Andruszkiewicz
>> <gan...@gm...> wrote:
>>> Hi,
>>>
>>> I have the following code:
>>>
>>> Real t = nextEvent();//years
>>> Date eventDate = start+t*Years;
>>>
>>> but this seems to be incorrect, because Period rounds t to an Integer.
>>> In the opposite direction I can get a year fraction using
>>> dayCounter.yearFraction(). How can I get a date, when I know the start
>>> date and the year fraction (possibly greater than 1)?
>>>
>>> Regards,
>>> 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

Re: [Quantlib-dev] Operation opposite to dayCounter.yearFraction()

[Grześ A. <gan...@gm...>]

Hi Luigi,

I am using ActualActual currently. The reason is that I am dealing
with natural events. Does it make sense?

I have an end date as well, so would it make sense to use:

Integer days = t*dayCounter.dayCount(start,
end)/dayCounter.yearFraction(start, end);

?

Ciao,
Grzegorz

On 18 February 2013 11:13, Luigi Ballabio <lui...@gm...> wrote:
> Hi,
>     unfortunately, there's no defined inverse for yearFraction.  You
> can probably get close by writing
>
> Date eventDate = start+(t*365)*Days;
>
> but then again, depending on the day counter that 365 might have to be
> 360 instead. You'll have to check what day counter is used in
> nextEvent().
>
> Luigi
>
> On Mon, Feb 18, 2013 at 12:01 PM, Grześ Andruszkiewicz
> <gan...@gm...> wrote:
>> Hi,
>>
>> I have the following code:
>>
>> Real t = nextEvent();//years
>> Date eventDate = start+t*Years;
>>
>> but this seems to be incorrect, because Period rounds t to an Integer.
>> In the opposite direction I can get a year fraction using
>> dayCounter.yearFraction(). How can I get a date, when I know the start
>> date and the year fraction (possibly greater than 1)?
>>
>> Regards,
>> 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

Re: [Quantlib-dev] Operation opposite to dayCounter.yearFraction()

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

Hi,
    unfortunately, there's no defined inverse for yearFraction.  You
can probably get close by writing

Date eventDate = start+(t*365)*Days;

but then again, depending on the day counter that 365 might have to be
360 instead. You'll have to check what day counter is used in
nextEvent().

Luigi

On Mon, Feb 18, 2013 at 12:01 PM, Grześ Andruszkiewicz
<gan...@gm...> wrote:
> Hi,
>
> I have the following code:
>
> Real t = nextEvent();//years
> Date eventDate = start+t*Years;
>
> but this seems to be incorrect, because Period rounds t to an Integer.
> In the opposite direction I can get a year fraction using
> dayCounter.yearFraction(). How can I get a date, when I know the start
> date and the year fraction (possibly greater than 1)?
>
> Regards,
> 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] Operation opposite to dayCounter.yearFraction()

[Grześ A. <gan...@gm...>]

Hi,

I have the following code:

Real t = nextEvent();//years
Date eventDate = start+t*Years;

but this seems to be incorrect, because Period rounds t to an Integer.
In the opposite direction I can get a year fraction using
dayCounter.yearFraction(). How can I get a date, when I know the start
date and the year fraction (possibly greater than 1)?

Regards,
Grzegorz

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

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

On 17 February 2013 at 20:54, Grześ Andruszkiewicz 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?

A small reproducible examples would help. It may be the header file order
which upsets things. But that is just a guess.

Dirk

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

[Quantlib-dev] Including quantlib.hpp in Linux

[Grześ A. <gan...@gm...>]

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

Re: [Quantlib-dev] CAT Bond valuation

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

Hi Grzegorz,
    as usual, apologies for the delay.

I've been looking at the RiskyBond class---I didn't remember it---and
I'm not sure of its approach. It tries to model bonds that can
default, but that's simply all bonds; it's just more or less likely
(and in fact, even when just discounting the amounts, one rarely uses
the risk-free curve; usually there's a spread added to the curve that
somewhat takes into account the possibility of default as an increased
discount factor that decreases the present value of the cash flows).

For modeling default explicitly, I wouldn't use a different class; I'd
just keep the existing one and, instead of a pricing engine that just
discounts, I'd use a pricing engine that takes default probability
into account in order to weigh the cash flow amounts. This way, the
same bond instance could be priced either way.

However, the above applies to the usual kind of bonds, in which a
coupon might disappear if the bond defaults but is otherwise fixed. In
your case, the coupon survives but varies in notional and amount,
which probably makes it a different beast, and the approach in
RiskyBond might work.  You could calculate your expected cash flows
based on your model (as RiskyBond does in expectedCashflows) and pass
those to the BondFunctions class for yield calculation etc.  Of course
this sidesteps the issues you found (such as amount() returning the
risk-free amount) but I think it can get you started quicker.

Later,
    Luigi


On Fri, Jan 4, 2013 at 5:33 PM, Grześ Andruszkiewicz <gan...@gm...> wrote:
> Hi,
>
> Coming back to the risky bonds, I am still trying to figure out what would
> be the best design. Obviously I know a few not-so-elegant ways to just make
> it work, so this is not what I am after.
>
> The first and maybe main question is what do CashFlow::amount() and
> Coupon::nominal() represent. By looking at Luigi's QL book, and the Bond
> class implementation, I would say that amount() is the expected amount of
> the coupon (this is implied by the implementation of NPV calculation for
> bonds), and nominal() is the risk-free nominal value (implied by the
> calculation of the capital repayments in the Bond class again).
>
> All this makes sense for risk-free coupons, but not really for the risky
> ones. To make the current NPV calculation work, we should assume that
> amount() returns the expected amount as I said, but this breaks the yield
> calculation. The yield in the risky case is usually used to compare the
> market-implied riskiness of two different bonds, because obviously comparing
> just the market price is not enough. Hence one should use the risk-free
> amount() for this calculation. As for the nominal(), one could safely use
> the risk-free value, but it might be inconsistent with amount() for notes
> where the notional changes (decreases) as e.g. defaults or catastrophes
> happen.
>
> Also I am not sure about what things like the clean and dirty price mean for
> a risky bond.
>
> A few immediate ideas:
> (1) Add a new virtual method to CashFlow for the riskfreeAmount() (a better
> name anyone?) with default implementation to return the amount(). Then we
> could change the Bond class to use the new value for appropriate quantities
> (yield() for example). This seems the cleanest way to do it, but it is a
> fundamental change in some core classes.
>
> (2) Create a base class for risky bonds, that inherits from the Bond class.
> Inside keep two copies of the the coupon list (or dynamically calculate one
> of these from the other)---one with expected amount(), and one with
> risk-free amount(). Override appropriate methods (yield() again for example)
> accordingly. This introduces obvious data and partly code duplication, but
> leaves the core classes unchanged.
>
> (3) Just go the same way as RiskyBond and subclasses (from
> experimental/credit) went---forget about the Bond subclass and use the
> amount() for risk-free values.  This is maybe the most pragmatic approach,
> but then some bonds are not a Bond... And we get loads of code duplication.
>
> I would be grateful for all comments and suggestions.
>
> Cheers,
> Grzegorz
>
> PS. What is the process for committing changes to the code base? Should I
> just commit using my Sourceforge account, or do I need extra permission? Are
> the changes reviewed by anyone?
>
>
> On 19 December 2012 15:18, Grześ Andruszkiewicz <gan...@gm...> wrote:
>>
>> Hi Luigi,
>>
>> After spending way too much time on reading termsheets and talking to
>> people I am finally ready to write some code :)
>>
>> I managed to find a class that seems rather similar to what I am trying to
>> achieve: RiskyFloatingBond in experimental/credit. It seems to create
>> coupons as if there was no credit (CAT in my case) risk. The risk is only
>> taken into account while calculating (1) NPV (2) expectedCashflows(). In my
>> case I would still need to run Monte Carlo simulation in these two places.
>> If I ignore (2) for now, then I hopefully will be able to use the standard
>> approach for MC.
>>
>> Have you seen this class before? It was written by Roland Lichters in
>> 2008. Unfortunately a quick search didn't find any associated tests. Is it
>> actually used?
>>
>> This kind of approach gives me an easy way to calculate the yield of the
>> bond (disregarding the risks), which is often used by practitioners to
>> compare different bonds, combined with expected loss.
>>
>> Kind regards,
>> Grzegorz
>>
>>
>>
>> On 15 October 2012 15:11, Luigi Ballabio <lui...@gm...> wrote:
>>>
>>> Grześ,
>>>     apologies for the delay.  As I was telling you, there's currently
>>> no example for coupon amounts calculated in a MC simulation.  If you
>>> want to go that route, you'll have to:
>>>
>>> - write the simulation itself.  There are a number of engines you can
>>> use as an example, so you should be covered with regards to creating a
>>> path generator, a path pricer and the several other pieces you'll
>>> need.  The notable difference in your case is that you'll want to
>>> return a number of cashflow amounts from the simulation, not a single
>>> number.  To do that, you'll have to use the second template argument
>>> of PathPricer: I think all the existing engines use its default (that
>>> is, Real for a single number) but you'll have to specify that you'll
>>> return a vector<Real> or something like it.
>>>
>>> - link the coupons to the simulation.  Again, there's no code doing
>>> this yet.  What I'd do is to create a new class inheriting from
>>> CashFlow and taking a pointer to the MC simulation.  When their
>>> amount() method is called, instances of this class should ask the
>>> simulation for the corresponding result.  In turn, this means that a)
>>> they should know which cashflow they are (the 1st, the 2nd...) among
>>> those calculated by the simulation and b) the simulation must
>>> implement some kind of caching to avoid being run several times as the
>>> Bond class asks its cashflows for their amounts.
>>>
>>> The above should keep you busy for a while :)
>>> Let me know when you need further advice...
>>>
>>> Later,
>>>     Luigi
>>>
>>>
>>> On Thu, Sep 13, 2012 at 5:56 PM, Grześ Andruszkiewicz
>>> <gan...@gm...> wrote:
>>> > Hi Luigi,
>>> >
>>> > Thanks for a long reply. We were just trying to follow your advice and
>>> > extend the Bond class, but we found a few potential issues:
>>> > 1. The Coupon class seems to have a fixed notional, whereas in our
>>> > case the notional could become smaller as a result of CAT events (that
>>> > deplete the notional of the CAT bond)
>>> > 2. The Bond class seems to assume that we can always calculate the
>>> > coupon amounts (independently for every coupon). I am not sure that
>>> > this is possible for CAT bonds (i.e. that coupons will be correlated
>>> > as a result of depleting the notional, catastrophe seasonality, etc.),
>>> > at least I am not comfortable to assume it at this point.
>>> > 3. Moreover, we wanted to have a way to price these instruments using
>>> > Monte Carlo techniques, i.e. use the underlying CAT engine to generate
>>> > random scenarios of events, given the events calculate the NPV of the
>>> > bond for every case, and average the results at the end. It is not
>>> > clear to how to achieve this with the Bond class...
>>> >
>>> > Are there other types of instruments in QuantLib with similar
>>> > characteristics, that we could use as examples?
>>> >
>>> > Kind regards,
>>> > Grzegorz
>>> >
>>> > On 31 August 2012 15:45, Luigi Ballabio <lui...@gm...>
>>> > wrote:
>>> >> Hi Grześ,
>>> >>     I'd start by doing the least possible coding :)   Let me
>>> >> elaborate.
>>> >>
>>> >> In the architecture of QuantLib, you'll need an instrument class
>>> >> (describing the contract) and an engine class (doing the actual
>>> >> pricing).  You can ask your resident expert (hi, Lorenzo) or read
>>> >> chapter 2 of <https://sites.google.com/site/luigiballabio/>.
>>> >>
>>> >> As for the instrument, it is very tempting to inherit it from the
>>> >> existing Bond class (it's a bond, after all).  In the short term,
>>> >> that's what I advice.
>>> >>
>>> >> In the long term, I'm a bit worried that functions taking a Bond
>>> >> instance (such as, for instance, BondFunctions::yield, which
>>> >> calculates the bond yield) would take a CAT bond and do their job like
>>> >> they do for each other bond; that is, extract its coupons and perform
>>> >> the yield calculations disregarding the catastrophe feature.  This
>>> >> might or might not be what you want.
>>> >>
>>> >> In the _very_ short term, though, I'd just use the existing fixed-rate
>>> >> and floating-rate bond classes and use those until you see that the
>>> >> thing works.  It will save you some development time which I'd rather
>>> >> use for getting to a first working version.
>>> >>
>>> >> Which brings me to the second part, i.e., the engine class.  It will
>>> >> probably need to contain a discount curve and your loss distribution.
>>> >> Any idea about how you'll use them?
>>> >>
>>> >> Later,
>>> >>     Luigi
>>> >>
>>> >>
>>> >> On Fri, Aug 24, 2012 at 5:08 PM, Grześ Andruszkiewicz
>>> >> <gan...@gm...> wrote:
>>> >>> Hi Luigi,
>>> >>>
>>> >>> Thanks for your reply! I personally can't claim to be proficient with
>>> >>> Quantlib, but my colleague Lorenzo (CC'd) did the 3-day course in
>>> >>> London with yourself, so he must be an expert ;)
>>> >>>
>>> >>> I don't think there are any established models for CAT bonds. We are
>>> >>> actually part of one of these academic-industry projects and one of
>>> >>> the goals is to come up with a model and implementation for these
>>> >>> instruments. We thought it might be a good idea to make this
>>> >>> implementation part of quantlib, to make it potentially useful for
>>> >>> someone.
>>> >>>
>>> >>> To start with, I would be grateful for any hints on where to start,
>>> >>> e.g. what would be your first guess on the place in the class
>>> >>> hierarchy where this instrument would fit?
>>
>>
>

Re: [Quantlib-dev] Generating gamma distributed random variables

[Grześ A. <gan...@gm...>]

Hi Peter,

It is implemented in boost, see e.g.
http://stackoverflow.com/questions/5499967/gamma-distributed-random-variables-in-c.
You would have to look at the boost code to get the actual details
though.

Cheers,
Grzegorz

On 7 February 2013 18:53, Peter Caspers <pca...@gm...> wrote:
> Hi,
>
> there is an implementation of the gamma function and the incomplete gamma
> function in ql (be careful, "incomplete gamma function" seems to be defined
> differently at different places confusingly). With these it is easy to
> compute your pdf and cdf. The inverse cdf seems not to be available in ql. I
> implemented it using a numerical zero search. I am not sure if there are
> better ways to do this ?
>
> Peter
>
> Am 07.02.2013 14:52, schrieb Grześ Andruszkiewicz:
>>
>> Hi,
>>
>> Is the generation of gamma distributed random variables implemented in
>> QuantLib (e.g. the inverse cumulative function)? There is a
>> GammaDistribution class, but it might be only density...
>>
>>   I can always use boost if the answer is negative.
>>
>> Cheers,
>> Grzegorz
>>
>>
>> ------------------------------------------------------------------------------
>> Free Next-Gen Firewall Hardware Offer
>> Buy your Sophos next-gen firewall before the end March 2013
>> and get the hardware for free! Learn more.
>> http://p.sf.net/sfu/sophos-d2d-feb
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>

Re: [Quantlib-dev] Generating gamma distributed random variables

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

Hi,

there is an implementation of the gamma function and the incomplete 
gamma function in ql (be careful, "incomplete gamma function" seems to 
be defined differently at different places confusingly). With these it 
is easy to compute your pdf and cdf. The inverse cdf seems not to be 
available in ql. I implemented it using a numerical zero search. I am 
not sure if there are better ways to do this ?

Peter

Am 07.02.2013 14:52, schrieb Grześ Andruszkiewicz:
> Hi,
>
> Is the generation of gamma distributed random variables implemented in
> QuantLib (e.g. the inverse cumulative function)? There is a
> GammaDistribution class, but it might be only density...
>
>   I can always use boost if the answer is negative.
>
> Cheers,
> Grzegorz
>
> ------------------------------------------------------------------------------
> Free Next-Gen Firewall Hardware Offer
> Buy your Sophos next-gen firewall before the end March 2013
> and get the hardware for free! Learn more.
> http://p.sf.net/sfu/sophos-d2d-feb
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Quantlib-dev] Generating gamma distributed random variables

[Grześ A. <gan...@gm...>]

Hi,

Is the generation of gamma distributed random variables implemented in
QuantLib (e.g. the inverse cumulative function)? There is a
GammaDistribution class, but it might be only density...

 I can always use boost if the answer is negative.

Cheers,
Grzegorz

Re: [Quantlib-dev] Silly linker question

[Grześ A. <gan...@gm...>]

Hi,

Thanks for your replies, I found it finally! Indeed as Peter suggested
the autolinker thing was missing, so adding:
#include <ql/auto_link.hpp>

to the main file fixed the issue. In the project that worked Lorenzo
added the whole #include <ql/quantlib.hpp>, so I didn't even realize
that the autolinker was needed and that it was hidden inside it!


Cheers,
Grzegorz

On 6 February 2013 09:19, Luigi Ballabio <lui...@gm...> wrote:
> Besides the library path, did you add the library itself? (It is done
> implicitly if you add its project as a dependency; otherwise, you have
> to add it in the linker options.)
>
> Luigi
>
> On Mon, Feb 4, 2013 at 3:46 PM, Grześ Andruszkiewicz <gan...@gm...> wrote:
>> Hi,
>>
>> I have some blackout currently... I just added a test project to my
>> solution, but it fails to link:
>> 1>------ Rebuild All started: Project: CatBonds, Configuration:
>> Release Win32 ------
>> 1>  CatBond.cpp
>> 1>  catcoupon.cpp
>> 1>  CatRisk.cpp
>> 1>  Main.cpp
>> 1>  riskynotional.cpp
>> 1>  Generating code
>> 1>  Finished generating code
>> 1>  CatBonds.vcxproj ->
>> C:\Users\ga\Documents\dev\imperial\Oasis\Release\CatBonds.exe
>> 2>------ Rebuild All started: Project: Test, Configuration: Release Win32 ------
>> 2>  catrisktests.cpp
>> 2>  exampletests.cpp
>> 2>  testrunner.cpp
>> 2>catrisktests.obj : error LNK2001: unresolved external symbol
>> "private: static long __cdecl QuantLib::Date::yearOffset(int)"
>> (?yearOffset@Date@QuantLib@@CAJH@Z)
>> 2>catrisktests.obj : error LNK2001: unresolved external symbol
>> "private: static int __cdecl QuantLib::Date::monthOffset(enum
>> QuantLib::Month,bool)" (?monthOffset@Date@QuantLib@@CAHW4Month@2@_N@Z)
>> 2>catrisktests.obj : error LNK2001: unresolved external symbol
>> "public: static bool __cdecl QuantLib::Date::isLeap(int)"
>> (?isLeap@Date@QuantLib@@SA_NH@Z)
>> 2>catrisktests.obj : error LNK2001: unresolved external symbol
>> "public: int __thiscall QuantLib::Date::year(void)const "
>> (?year@Date@QuantLib@@QBEHXZ)
>> 2>catrisktests.obj : error LNK2001: unresolved external symbol
>> "public: enum QuantLib::Month __thiscall
>> QuantLib::Date::month(void)const "
>> (?month@Date@QuantLib@@QBE?AW4Month@2@XZ)
>> 2>catrisktests.obj : error LNK2001: unresolved external symbol
>> "public: __thiscall QuantLib::Date::Date(void)"
>> (??0Date@QuantLib@@QAE@XZ)
>> 2>catrisktests.obj : error LNK2001: unresolved external symbol
>> "public: __thiscall QuantLib::Date::Date(int,enum
>> QuantLib::Month,int)" (??0Date@QuantLib@@QAE@HW4Month@1@H@Z)
>> 2>C:\Users\ga\Documents\dev\imperial\Oasis\Release\Test.exe : fatal
>> error LNK1120: 7 unresolved externals
>> ========== Rebuild All: 1 succeeded, 1 failed, 0 skipped ==========
>>
>> It seems to have the same library paths as the first project that
>> works... What am I missing?
>>
>>
>> Cheers,
>> Grzegorz
>>
>> ------------------------------------------------------------------------------
>> 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_jan
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] Silly linker question

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

Besides the library path, did you add the library itself? (It is done
implicitly if you add its project as a dependency; otherwise, you have
to add it in the linker options.)

Luigi

On Mon, Feb 4, 2013 at 3:46 PM, Grześ Andruszkiewicz <gan...@gm...> wrote:
> Hi,
>
> I have some blackout currently... I just added a test project to my
> solution, but it fails to link:
> 1>------ Rebuild All started: Project: CatBonds, Configuration:
> Release Win32 ------
> 1>  CatBond.cpp
> 1>  catcoupon.cpp
> 1>  CatRisk.cpp
> 1>  Main.cpp
> 1>  riskynotional.cpp
> 1>  Generating code
> 1>  Finished generating code
> 1>  CatBonds.vcxproj ->
> C:\Users\ga\Documents\dev\imperial\Oasis\Release\CatBonds.exe
> 2>------ Rebuild All started: Project: Test, Configuration: Release Win32 ------
> 2>  catrisktests.cpp
> 2>  exampletests.cpp
> 2>  testrunner.cpp
> 2>catrisktests.obj : error LNK2001: unresolved external symbol
> "private: static long __cdecl QuantLib::Date::yearOffset(int)"
> (?yearOffset@Date@QuantLib@@CAJH@Z)
> 2>catrisktests.obj : error LNK2001: unresolved external symbol
> "private: static int __cdecl QuantLib::Date::monthOffset(enum
> QuantLib::Month,bool)" (?monthOffset@Date@QuantLib@@CAHW4Month@2@_N@Z)
> 2>catrisktests.obj : error LNK2001: unresolved external symbol
> "public: static bool __cdecl QuantLib::Date::isLeap(int)"
> (?isLeap@Date@QuantLib@@SA_NH@Z)
> 2>catrisktests.obj : error LNK2001: unresolved external symbol
> "public: int __thiscall QuantLib::Date::year(void)const "
> (?year@Date@QuantLib@@QBEHXZ)
> 2>catrisktests.obj : error LNK2001: unresolved external symbol
> "public: enum QuantLib::Month __thiscall
> QuantLib::Date::month(void)const "
> (?month@Date@QuantLib@@QBE?AW4Month@2@XZ)
> 2>catrisktests.obj : error LNK2001: unresolved external symbol
> "public: __thiscall QuantLib::Date::Date(void)"
> (??0Date@QuantLib@@QAE@XZ)
> 2>catrisktests.obj : error LNK2001: unresolved external symbol
> "public: __thiscall QuantLib::Date::Date(int,enum
> QuantLib::Month,int)" (??0Date@QuantLib@@QAE@HW4Month@1@H@Z)
> 2>C:\Users\ga\Documents\dev\imperial\Oasis\Release\Test.exe : fatal
> error LNK1120: 7 unresolved externals
> ========== Rebuild All: 1 succeeded, 1 failed, 0 skipped ==========
>
> It seems to have the same library paths as the first project that
> works... What am I missing?
>
>
> Cheers,
> Grzegorz
>
> ------------------------------------------------------------------------------
> 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_jan
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Quantlib-dev] Silly linker question

[Grześ A. <gan...@gm...>]

Hi,

I have some blackout currently... I just added a test project to my
solution, but it fails to link:
1>------ Rebuild All started: Project: CatBonds, Configuration:
Release Win32 ------
1>  CatBond.cpp
1>  catcoupon.cpp
1>  CatRisk.cpp
1>  Main.cpp
1>  riskynotional.cpp
1>  Generating code
1>  Finished generating code
1>  CatBonds.vcxproj ->
C:\Users\ga\Documents\dev\imperial\Oasis\Release\CatBonds.exe
2>------ Rebuild All started: Project: Test, Configuration: Release Win32 ------
2>  catrisktests.cpp
2>  exampletests.cpp
2>  testrunner.cpp
2>catrisktests.obj : error LNK2001: unresolved external symbol
"private: static long __cdecl QuantLib::Date::yearOffset(int)"
(?yearOffset@Date@QuantLib@@CAJH@Z)
2>catrisktests.obj : error LNK2001: unresolved external symbol
"private: static int __cdecl QuantLib::Date::monthOffset(enum
QuantLib::Month,bool)" (?monthOffset@Date@QuantLib@@CAHW4Month@2@_N@Z)
2>catrisktests.obj : error LNK2001: unresolved external symbol
"public: static bool __cdecl QuantLib::Date::isLeap(int)"
(?isLeap@Date@QuantLib@@SA_NH@Z)
2>catrisktests.obj : error LNK2001: unresolved external symbol
"public: int __thiscall QuantLib::Date::year(void)const "
(?year@Date@QuantLib@@QBEHXZ)
2>catrisktests.obj : error LNK2001: unresolved external symbol
"public: enum QuantLib::Month __thiscall
QuantLib::Date::month(void)const "
(?month@Date@QuantLib@@QBE?AW4Month@2@XZ)
2>catrisktests.obj : error LNK2001: unresolved external symbol
"public: __thiscall QuantLib::Date::Date(void)"
(??0Date@QuantLib@@QAE@XZ)
2>catrisktests.obj : error LNK2001: unresolved external symbol
"public: __thiscall QuantLib::Date::Date(int,enum
QuantLib::Month,int)" (??0Date@QuantLib@@QAE@HW4Month@1@H@Z)
2>C:\Users\ga\Documents\dev\imperial\Oasis\Release\Test.exe : fatal
error LNK1120: 7 unresolved externals
========== Rebuild All: 1 succeeded, 1 failed, 0 skipped ==========

It seems to have the same library paths as the first project that
works... What am I missing?


Cheers,
Grzegorz

Re: [Quantlib-dev] Availability of interest rate market data

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

Hi,

there are some 3m and 6m Euribor swap quotes on

https://www.helaba.de/en/MaerkteUndAnalysen/Zinsderivate

And here are eonia swap fixings, but they are only available out to 2 years

http://www.euribor-ebf.eu/eoniaswap-org/eoniaswap-rates.html

Maybe that's a start.

Peter


Am 31.01.2013 22:22, schrieb Grześ Andruszkiewicz:
> Hi,
>
> Is it possible to obtain market data for free to be able to calibrate
> OIS, LIBOR-3M and LIBOR-1Y in QuantLib? I need it for academic
> purposes, so it doesn't need to be super up to date.
>
> Regards,
> Grzegorz
>
> ------------------------------------------------------------------------------
> 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_jan
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Quantlib-dev] Availability of interest rate market data

[Grześ A. <gan...@gm...>]

Hi,

Is it possible to obtain market data for free to be able to calibrate
OIS, LIBOR-3M and LIBOR-1Y in QuantLib? I need it for academic
purposes, so it doesn't need to be super up to date.

Regards,
Grzegorz

Re: [Quantlib-dev] QuantLib in JavaScript

[Ismael G. <is...@st...>]

Interesting...

We'll, we're considering starting a project licensed under MIT for a full
port, in case you're interested.

More details there:

http://sutoiku.com/post/41792579007/quantlib-port-to-javascript

-Ismael

On Tue, Jan 29, 2013 at 11:13 AM, tar...@li... <tar...@li...
> wrote:

> Hi Ismael,
>
>
>
> I done a similar job for a client implementing JNI and using QuantLib as a
> benchmark for some analytics...
>
> Paolo
>
> ----Messaggio originale----
> Da: is...@st...
> Data: 29/01/2013 18.10
> A: "Luigi Ballabio"<lui...@gm...>
> Cc: "qua...@li..."<
> qua...@li...>
> Ogg: Re: [Quantlib-dev] QuantLib in JavaScript
>
>
> Will do!
>
> On Tue, Jan 29, 2013 at 9:08 AM, Luigi Ballabio <lui...@gm...>wrote:
>
>> No idea of the effort.  You might try asking the JQuantLib people; I
>> think their port is the most complete.
>>
>> Luigi
>>
>> On Tue, Jan 29, 2013 at 6:04 PM, Ismael Ghalimi <is...@st...> wrote:
>> > Luigi,
>> >
>> > Thanks for the answer, much appreciated.
>> >
>> > SWIG would be a great start, but for the kind of tools we're considering
>> > building, a native port will be necessary (we need everything to run in
>> the
>> > client).
>> >
>> > For previous ports to other languages, do you have an idea of how much
>> > efforts in took (person-months)?
>> >
>> > Thanks again for your help.
>> >
>> > -Ismael
>> >
>> >
>> > On Tue, Jan 29, 2013 at 8:19 AM, Luigi Ballabio <
>> lui...@gm...>
>> > wrote:
>> >>
>> >> No plans that I know of.  And I don't want to discourage you, but the
>> >> effort would be substantial (we're talking between 200k and 300k lines
>> >> of code).  Is there any specific parts of the library you're
>> >> interested in? This might narrow the scope and make it easier to get
>> >> something working.
>> >>
>> >> Another way might be to wait for JavaScript support in SWIG (last I
>> >> heard, they were working on it).  If/when that happens, you could use
>> >> the existing SWIG interfaces to call the library from JavaScript.
>> >>
>> >> Luigi
>> >>
>> >>
>> >> On Sun, Jan 20, 2013 at 2:58 PM, Ismael Ghalimi <is...@st...>
>> wrote:
>> >> > Hello,
>> >> >
>> >> > Is there any plans to do a JavaScript port of QuantLib that could run
>> >> > either
>> >> > on the client or on the server (using something like Node.js)? I know
>> >> > quite
>> >> > a few people who would be interested by this.
>> >> >
>> >> > If not, what would be the best way to approach such a project?
>> >> >
>> >> > Thanks in advance for your help.
>> >> >
>> >> > -Ismael
>> >> >
>> >> >
>> >> >
>> ------------------------------------------------------------------------------
>> >> > Master Visual Studio, SharePoint, SQL, ASP.NET <http://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
>> >> >
>> >
>> >
>>
>
>
>
>

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

[<tar...@li...>]

Hi Ismael,

 

I done a similar job for a client implementing JNI and using QuantLib as a benchmark for some analytics...

Paolo
----Messaggio originale----
Da: is...@st...
Data: 29/01/2013 18.10
A: "Luigi Ballabio"<lui...@gm...>
Cc: "qua...@li..."<qua...@li...>
Ogg: Re: [Quantlib-dev] QuantLib in JavaScript

Will do!


On Tue, Jan 29, 2013 at 9:08 AM, Luigi Ballabio <lui...@gm...> wrote:

No idea of the effort.  You might try asking the JQuantLib people; I
think their port is the most complete.

Luigi



On Tue, Jan 29, 2013 at 6:04 PM, Ismael Ghalimi <is...@st...> wrote:
> Luigi,
>
> Thanks for the answer, much appreciated.
>
> SWIG would be a great start, but for the kind of tools we're considering
> building, a native port will be necessary (we need everything to run in the
> client).
>
> For previous ports to other languages, do you have an idea of how much
> efforts in took (person-months)?
>
> Thanks again for your help.
>
> -Ismael
>
>
> On Tue, Jan 29, 2013 at 8:19 AM, Luigi Ballabio <lui...@gm...>
> wrote:
>>
>> No plans that I know of.  And I don't want to discourage you, but the
>> effort would be substantial (we're talking between 200k and 300k lines
>> of code).  Is there any specific parts of the library you're
>> interested in? This might narrow the scope and make it easier to get
>> something working.
>>
>> Another way might be to wait for JavaScript support in SWIG (last I
>> heard, they were working on it).  If/when that happens, you could use
>> the existing SWIG interfaces to call the library from JavaScript.
>>
>> Luigi
>>
>>
>> On Sun, Jan 20, 2013 at 2:58 PM, Ismael Ghalimi <is...@st...> wrote:
>> > Hello,
>> >
>> > Is there any plans to do a JavaScript port of QuantLib that could run
>> > either
>> > on the client or on the server (using something like Node.js)? I know
>> > quite
>> > a few people who would be interested by this.
>> >
>> > If not, what would be the best way to approach such a project?
>> >
>> > Thanks in advance for your help.
>> >
>> > -Ismael
>> >
>> >
>> > ------------------------------------------------------------------------------
>> > 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
>> >
>
>

Re: [Quantlib-dev] QuantLib in JavaScript

[Ismael G. <is...@st...>]

Will do!

On Tue, Jan 29, 2013 at 9:08 AM, Luigi Ballabio <lui...@gm...>wrote:

> No idea of the effort.  You might try asking the JQuantLib people; I
> think their port is the most complete.
>
> Luigi
>
> On Tue, Jan 29, 2013 at 6:04 PM, Ismael Ghalimi <is...@st...> wrote:
> > Luigi,
> >
> > Thanks for the answer, much appreciated.
> >
> > SWIG would be a great start, but for the kind of tools we're considering
> > building, a native port will be necessary (we need everything to run in
> the
> > client).
> >
> > For previous ports to other languages, do you have an idea of how much
> > efforts in took (person-months)?
> >
> > Thanks again for your help.
> >
> > -Ismael
> >
> >
> > On Tue, Jan 29, 2013 at 8:19 AM, Luigi Ballabio <
> lui...@gm...>
> > wrote:
> >>
> >> No plans that I know of.  And I don't want to discourage you, but the
> >> effort would be substantial (we're talking between 200k and 300k lines
> >> of code).  Is there any specific parts of the library you're
> >> interested in? This might narrow the scope and make it easier to get
> >> something working.
> >>
> >> Another way might be to wait for JavaScript support in SWIG (last I
> >> heard, they were working on it).  If/when that happens, you could use
> >> the existing SWIG interfaces to call the library from JavaScript.
> >>
> >> Luigi
> >>
> >>
> >> On Sun, Jan 20, 2013 at 2:58 PM, Ismael Ghalimi <is...@st...>
> wrote:
> >> > Hello,
> >> >
> >> > Is there any plans to do a JavaScript port of QuantLib that could run
> >> > either
> >> > on the client or on the server (using something like Node.js)? I know
> >> > quite
> >> > a few people who would be interested by this.
> >> >
> >> > If not, what would be the best way to approach such a project?
> >> >
> >> > Thanks in advance for your help.
> >> >
> >> > -Ismael
> >> >
> >> >
> >> >
> ------------------------------------------------------------------------------
> >> > 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
> >> >
> >
> >
>