quantlib-dev — Discussion of QuantLib development

[Quantlib-dev] [ quantlib-Bugs-3568164 ] mistake in calendar?

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

Bugs item #3568164, was opened at 2012-09-16 07:19
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3568164&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: Sebastien Gurrieri (sebgur)
Assigned to: Nobody/Anonymous (nobody)
Summary: mistake in calendar?

Initial Comment:
I think there is a mistake in your implementation of the holidays of the Japanese calendar. It seems to produce a different answer as to the "golden week" which is a series of holidays in the beginning of May in Japan. The results are inconsistent with other calculators such as Bloomberg. I also compared your code with legal Japanese websites and I believe there is a misunderstanding in your code as to what happens when one or more of the holidays fall in a week-end.

Best Regards,

Sebastien

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2012-09-17 01:59

Message:
May you provide some examples of correct data?

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3568164&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-3568164 ] mistake in calendar?

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

Bugs item #3568164, was opened at 2012-09-16 07:19
Message generated for change (Tracker Item Submitted) made by sebgur
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3568164&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: Sebastien Gurrieri (sebgur)
Assigned to: Nobody/Anonymous (nobody)
Summary: mistake in calendar?

Initial Comment:
I think there is a mistake in your implementation of the holidays of the Japanese calendar. It seems to produce a different answer as to the "golden week" which is a series of holidays in the beginning of May in Japan. The results are inconsistent with other calculators such as Bloomberg. I also compared your code with legal Japanese websites and I believe there is a misunderstanding in your code as to what happens when one or more of the holidays fall in a week-end.

Best Regards,

Sebastien

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3568164&group_id=12740

Re: [Quantlib-dev] ODE

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

Hi Luigi,
here are some tests. I hope they are sufficient for the moment.
Thank you, have a nice weekend
Peter

Am 12.09.2012 14:17, schrieb Luigi Ballabio:
> Hi Peter,
>      no, there's no support in the library.  And yes, a unit test would
> be nice :)
>
> Thanks,
>      Luigi
>
> On Sat, Sep 8, 2012 at 7:20 PM, Peter Caspers<pca...@gm...>  wrote:
>> Hi Luigi, Nando,
>> is there support for ODE integration in QuantLib ? I think I looked for it
>> several times but did not find anything obvious.
>> I have translated the Runge Kutta method from the numerical recipes to
>> QuantLib style (or my perception of it ;-) ) with support for real and
>> complex valued ODEs. If you want, you can add it to the lib. Also, if you
>> want I can provide a unit test.
>> with regards
>> Peter
>>
>>

Re: [Quantlib-dev] Piecewise Yield curve test

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

Hi,
    while it's possible that someone on this list can answer, this is
the mailing list for the C++ version.  You might have better luck
asking on the JQuantLib forums or mailing lists.  The links for both
are available at <http://www.jquantlib.org/index.php/Contact_us>.

Luigi

On Fri, Sep 14, 2012 at 1:08 PM, Hari <hve...@gm...> wrote:
> Hi,
>   I am a new person into this QuantLib (both C++ and Java) world and trying to
> understand the various models published and particularly on piece wise yield
> curve
> (for ALM yield curve modelling). I am using the version 1.2. When I try to test
> a simple piece wise (Discount, LogLinear) model, I get the below stack trace.
>
>
> Exception in thread "main" java.lang.NullPointerException
>         at
> org.jquantlib.termstructures.yieldcurves.InterpolatedZeroCurve.maxDate(Interpola
> tedZeroCurve.java:234)
>         at
> org.jquantlib.termstructures.AbstractTermStructure.checkRange(AbstractTermStruct
> ure.java:286)
>         at
> org.jquantlib.termstructures.AbstractYieldTermStructure.discount(AbstractYieldTe
> rmStructure.java:375)
>         at
> org.jquantlib.termstructures.AbstractYieldTermStructure.discount(AbstractYieldTe
> rmStructure.java:367)
>         at
> org.jquantlib.termstructures.yieldcurves.PiecewiseYieldCurve.discount(PiecewiseY
> ieldCurve.java:687)
>         at org.jquantlib.indexes.IborIndex.forecastFixing(IborIndex.java:240)
>         at
> org.jquantlib.indexes.InterestRateIndex.fixing(InterestRateIndex.java:175)
>         at
> org.jquantlib.indexes.InterestRateIndex.fixing(InterestRateIndex.java:180)
>         at
> org.jquantlib.testsuite.termstructures.yieldcurves.PiecewiseYieldCurveTest.testC
> urveConsistency(PiecewiseYieldCurveTest.java:407)
>         at
> org.jquantlib.testsuite.termstructures.yieldcurves.PiecewiseYieldCurveTest.testC
> urveConsistency(PiecewiseYieldCurveTest.java:381)
>         at
> org.jquantlib.testsuite.termstructures.yieldcurves.PiecewiseYieldCurveTest.testS
> plineZeroConsistency(PiecewiseYieldCurveTest.java:718)
>
> I used the sample test program provided in the 'testsuite'. I tried to debug and
> finally understand that 'Interpolation' curve is not initialized at all.
> Can anyone help to provide me a working sample of a piece wise yield curve in
> Java using JQuantLib (v1.2)? Thanks.
>
>
> ------------------------------------------------------------------------------
> Got visibility?
> Most devs has no idea what their production app looks like.
> Find out how fast your code is with AppDynamics Lite.
> http://ad.doubleclick.net/clk;262219671;13503038;y?
> http://info.appdynamics.com/FreeJavaPerformanceDownload.html
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Quantlib-dev] Piecewise Yield curve test

[Hari <hve...@gm...>]

Hi,
  I am a new person into this QuantLib (both C++ and Java) world and trying to 
understand the various models published and particularly on piece wise yield 
curve 
(for ALM yield curve modelling). I am using the version 1.2. When I try to test 
a simple piece wise (Discount, LogLinear) model, I get the below stack trace.


Exception in thread "main" java.lang.NullPointerException
	at 
org.jquantlib.termstructures.yieldcurves.InterpolatedZeroCurve.maxDate(Interpola
tedZeroCurve.java:234)
	at 
org.jquantlib.termstructures.AbstractTermStructure.checkRange(AbstractTermStruct
ure.java:286)
	at 
org.jquantlib.termstructures.AbstractYieldTermStructure.discount(AbstractYieldTe
rmStructure.java:375)
	at 
org.jquantlib.termstructures.AbstractYieldTermStructure.discount(AbstractYieldTe
rmStructure.java:367)
	at 
org.jquantlib.termstructures.yieldcurves.PiecewiseYieldCurve.discount(PiecewiseY
ieldCurve.java:687)
	at org.jquantlib.indexes.IborIndex.forecastFixing(IborIndex.java:240)
	at 
org.jquantlib.indexes.InterestRateIndex.fixing(InterestRateIndex.java:175)
	at 
org.jquantlib.indexes.InterestRateIndex.fixing(InterestRateIndex.java:180)
	at 
org.jquantlib.testsuite.termstructures.yieldcurves.PiecewiseYieldCurveTest.testC
urveConsistency(PiecewiseYieldCurveTest.java:407)
	at 
org.jquantlib.testsuite.termstructures.yieldcurves.PiecewiseYieldCurveTest.testC
urveConsistency(PiecewiseYieldCurveTest.java:381)
	at 
org.jquantlib.testsuite.termstructures.yieldcurves.PiecewiseYieldCurveTest.testS
plineZeroConsistency(PiecewiseYieldCurveTest.java:718)

I used the sample test program provided in the 'testsuite'. I tried to debug and 
finally understand that 'Interpolation' curve is not initialized at all.
Can anyone help to provide me a working sample of a piece wise yield curve in 
Java using JQuantLib (v1.2)? Thanks.

Re: [Quantlib-dev] CAT Bond valuation

[Grześ A. <gan...@gm...>]

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] Trying to extend functions into Lua

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

Hi Tawanda,
    sorry it took so long.  The default typemaps provided by SWIG let
native objects for a few languages (such as PyObject* for Python) pass
through unmodified.  I don't think the support is there for Lua,
though.  You should extend the typemaps to do this, but I think you'd
have more luck asking on the SWIG mailing list; I guess they would be
interested in adding your patches to their repository.

Later,
    Luigi

On Tue, Aug 28, 2012 at 3:03 AM, Tawanda Gwena <tg...@gm...> wrote:
> Hi again (Luigi)
>
> I am trying to emulate the way you built the UnaryFunction class in functions.i.
>
> My question is how did you know or arranged for the UnaryFunction constructor to accept the PyObject* object (or the Scheme_Object* and function_ in scheme). I am trying to figure out what Lua sends. I guess this is more about understanding SWIG.
>
> Thanks
>
>

Re: [Quantlib-dev] ODE

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

Hi Peter,
    no, there's no support in the library.  And yes, a unit test would
be nice :)

Thanks,
    Luigi

On Sat, Sep 8, 2012 at 7:20 PM, Peter Caspers <pca...@gm...> wrote:
> Hi Luigi, Nando,
> is there support for ODE integration in QuantLib ? I think I looked for it
> several times but did not find anything obvious.
> I have translated the Runge Kutta method from the numerical recipes to
> QuantLib style (or my perception of it ;-) ) with support for real and
> complex valued ODEs. If you want, you can add it to the lib. Also, if you
> want I can provide a unit test.
> with regards
> Peter
>
>

[Quantlib-dev] ODE

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

Hi Luigi, Nando,
is there support for ODE integration in QuantLib ? I think I looked for 
it several times but did not find anything obvious.
I have translated the Runge Kutta method from the numerical recipes to 
QuantLib style (or my perception of it ;-) ) with support for real and 
complex valued ODEs. If you want, you can add it to the lib. Also, if 
you want I can provide a unit test.
with regards
Peter

Re: [Quantlib-dev] Marketmodel AbcdVol

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

Hi Nando,

I added a test case to the marketmodel suite.

In fact while doing this I noticed that AbcdFunction::primitive(...) 
fails when c is zero. I fixed that and added another test case covering 
this.

Peter

> Hi Peter
>
>> [...] the particular choice of the evolutionTimes grid being
>> strictly finer than the rateTimes grid (which is equal to the correlation
>> times grid coming from a TimeHomogeneousForwardCorrelation). This case is in
>> my opinion not handled correctly when computing the covariance matrices for
>> the evolution steps in the constructor of AbcdVol.
> yes, you're right: I've just committed your bug-fix to both AbcdVol
> and FlatVol (which was affected too).
> Thank you and sorry it took so long.
>
> Any chance you might contribute a unit test to avoid regressions? I am
> thinking about a simple flat vol (and degenerate abcd vol with
> a=b=c=0.0) test case where for N evolution times there are 1, N, 2N,
> 2N+1 correlation matrices, checking that total variances are correct
>
> ciao -- Nando

Re: [Quantlib-dev] Multicurve discounting

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

The 1m-4m EUR FRA mid is around 0.2460. When you estimate that rate from 1m
and 4m depos, you get 0.3783. The 3m-6m FRA is at 0.2180. Estimation on 3m
depo and 6m depo gives 0.7186. If you use 3m depo and 0x6 FRA you
get 0.8215. If I tweaked my system correcty ... ;-)  - obviously you can
mess things up very easily in the new world...

You have to ensure to use solely instruments linked to the 3m index e.g.
0d, 1d x 3, 1x4, 2x5 ... FRAs, Swaps vs. 3m, which already gives a good
forward curve in my opinion. The modeling of the very short end is not easy
I believe. Also cash quotes even with the 'right' maturity have to be
handled with care. Concerning interpolation a new promising direction seems
to be the direct interpolation of the (discrete) forwards.

Peter
2012/9/6 Simon Ibbotson <Sim...@fs...>

>  Really? So a 3M tenor swap fixing in 1M has no dependency on 1M depos
> (and a 4M point obviously)? Things have obviously changed since I did this
> type of stuff… do people now interpolate the 3M depo with the next Future
> (convexity adjusted) and a 3x6 rate derived from a 6M swap (if available)?
> ****
>
> ** **
>
> Very interested.****
>
> ** **
>
> Simon****
>
> ** **
>  ------------------------------
>
> *From:* Peter Caspers [mailto:pca...@gm...]
> *Sent:* 06 September 2012 10:22
> *To:* Roland Lichters
> *Cc:* qua...@li...
> *Subject:* Re: [Quantlib-dev] Multicurve discounting****
>
> ** **
>
> ... yes, except you wouldn't build a forward curve from deposits (which
> gives rather bumpy forwards in my experience - this being a possible source
> for serious problems for e.g. FRAs and Caps), would you? There is no useful
> information in a 1m deposit quote for the estimation of a 3m index.****
>
> Peter****
>
> 2012/9/3 Roland Lichters <rol...@qu...>****
>
> Hi Grzegorz,
>
> yes, it does. Have a look at the SwapRateHelper class that allows
> specifying an exogenous discounting curve. This is the essential thing you
> need (in the single currency world). So you build the discounting curve
> first (e.g. bootstrapping from ON, TN and OIS quotes). In a second step you
> build e.g. a 3M tenor Swap curve from Deposits, FRAs and 3M tenor Swaps,
> where you use the former curve as exogenous discounting curve with your
> SwapRateHelpers.
>
> Kind regards,
> Roland****
>
>
> On 3 Sep 2012, at 17:11, Grześ Andruszkiewicz wrote:
>
> > Hi,
> >
> > Does QuantLib support multicurve discounting, i.e. when you discount
> > using one curve (OIS), but use another curve (i.e. 3M LIBOR) for
> > determining of the cash flows?
> >
> > See e.g.
> http://blog.numerix.com/public/2011/02/otc-derivatives-valuation-adoption-of-multiple-pricing-curves.html
> > for more information.
> >
> > Kind regards,
> > Grzegorz
> >
> >
> ------------------------------------------------------------------------------
> > Live Security Virtual Conference
> > Exclusive live event will cover all the ways today's security and
> > threat landscape has changed and how IT managers can respond. Discussions
> > will include endpoint security, mobile security and the latest in malware
> > threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
> > _______________________________________________
> > QuantLib-dev mailing list
> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>
>
> ------------------------------------------------------------------------------
> Live Security Virtual Conference
> Exclusive live event will cover all the ways today's security and
> threat landscape has changed and how IT managers can respond. Discussions
> will include endpoint security, mobile security and the latest in malware
> threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev****
>
> ** **
>
>
>
> This communication and any attachments contains information which is
> confidential and may be subject to legal privilege. It is for intended
> recipients only. If you are not the intended recipient you must not copy,
> distribute, publish, rely on or otherwise use it without our consent. Some
> of our communications may contain confidential information which it could
> be a criminal offence for you to disclose or use without authority. If you
> have received this email in error please notify pos...@fs... and delete the email from your computer.
>
> The FSA reserves the right to monitor all email communications for
> compliance with legal, regulatory and professional standards.
>
> This email is not intended to nor should it be taken to create any legal
> relations or contractual relationships. This email has originated from
>
> The Financial Services Authority (FSA)
> 25 The North Colonnade,
> Canary Wharf,
> London
> E14 5HS
> United Kingdom
>
> Registered as a Limited Company in England and Wales No.1920623.
> Registered Office as above
>
> Switchboard: 020 7066 1000
> Web Site: http://www.fsa.gov.uk
> *****************************************************************
>

Re: [Quantlib-dev] Multicurve discounting

[Simon I. <Sim...@fs...>]

Really? So a 3M tenor swap fixing in 1M has no dependency on 1M depos (and a 4M point obviously)? Things have obviously changed since I did this type of stuff... do people now interpolate the 3M depo with the next Future (convexity adjusted) and a 3x6 rate derived from a 6M swap (if available)?

 

Very interested.

 

Simon

 

________________________________

From: Peter Caspers [mailto:pca...@gm...] 
Sent: 06 September 2012 10:22
To: Roland Lichters
Cc: qua...@li...
Subject: Re: [Quantlib-dev] Multicurve discounting

 

... yes, except you wouldn't build a forward curve from deposits (which gives rather bumpy forwards in my experience - this being a possible source for serious problems for e.g. FRAs and Caps), would you? There is no useful information in a 1m deposit quote for the estimation of a 3m index.

Peter

2012/9/3 Roland Lichters <rol...@qu...>

Hi Grzegorz,

yes, it does. Have a look at the SwapRateHelper class that allows specifying an exogenous discounting curve. This is the essential thing you need (in the single currency world). So you build the discounting curve first (e.g. bootstrapping from ON, TN and OIS quotes). In a second step you build e.g. a 3M tenor Swap curve from Deposits, FRAs and 3M tenor Swaps, where you use the former curve as exogenous discounting curve with your SwapRateHelpers.

Kind regards,
Roland


On 3 Sep 2012, at 17:11, Grześ Andruszkiewicz wrote:

> Hi,
>
> Does QuantLib support multicurve discounting, i.e. when you discount
> using one curve (OIS), but use another curve (i.e. 3M LIBOR) for
> determining of the cash flows?
>
> See e.g. http://blog.numerix.com/public/2011/02/otc-derivatives-valuation-adoption-of-multiple-pricing-curves.html
> for more information.
>
> Kind regards,
> Grzegorz
>
> ------------------------------------------------------------------------------
> Live Security Virtual Conference
> Exclusive live event will cover all the ways today's security and
> threat landscape has changed and how IT managers can respond. Discussions
> will include endpoint security, mobile security and the latest in malware
> threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev


------------------------------------------------------------------------------
Live Security Virtual Conference
Exclusive live event will cover all the ways today's security and
threat landscape has changed and how IT managers can respond. Discussions
will include endpoint security, mobile security and the latest in malware
threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
_______________________________________________
QuantLib-dev mailing list
Qua...@li...
https://lists.sourceforge.net/lists/listinfo/quantlib-dev

 




This communication and any attachments contains information which is confidential and may be subject to legal privilege. It is for intended recipients only. If you are not the intended recipient you must not copy, distribute, publish, rely on or otherwise use it without our consent. Some of our communications may contain confidential information which it could be a criminal offence for you to disclose or use without authority. If you have received this email in error please notify pos...@fs... immediately and delete the email from your computer.

The FSA reserves the right to monitor all email communications for compliance with legal, regulatory and professional standards.
This email is not intended to nor should it be taken to create any legal relations or contractual relationships. This email has originated from

The Financial Services Authority (FSA)
25 The North Colonnade,
Canary Wharf,
London
E14 5HS
United Kingdom

Registered as a Limited Company in England and Wales No.1920623.
Registered Office as above

Switchboard: 020 7066 1000
Web Site: http://www.fsa.gov.uk
*****************************************************************

Re: [Quantlib-dev] Multicurve discounting

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

... yes, except you wouldn't build a forward curve from deposits (which
gives rather bumpy forwards in my experience - this being a possible source
for serious problems for e.g. FRAs and Caps), would you? There is no useful
information in a 1m deposit quote for the estimation of a 3m index.
Peter
2012/9/3 Roland Lichters <rol...@qu...>

> Hi Grzegorz,
>
> yes, it does. Have a look at the SwapRateHelper class that allows
> specifying an exogenous discounting curve. This is the essential thing you
> need (in the single currency world). So you build the discounting curve
> first (e.g. bootstrapping from ON, TN and OIS quotes). In a second step you
> build e.g. a 3M tenor Swap curve from Deposits, FRAs and 3M tenor Swaps,
> where you use the former curve as exogenous discounting curve with your
> SwapRateHelpers.
>
> Kind regards,
> Roland
>
> On 3 Sep 2012, at 17:11, Grześ Andruszkiewicz wrote:
>
> > Hi,
> >
> > Does QuantLib support multicurve discounting, i.e. when you discount
> > using one curve (OIS), but use another curve (i.e. 3M LIBOR) for
> > determining of the cash flows?
> >
> > See e.g.
> http://blog.numerix.com/public/2011/02/otc-derivatives-valuation-adoption-of-multiple-pricing-curves.html
> > for more information.
> >
> > Kind regards,
> > Grzegorz
> >
> >
> ------------------------------------------------------------------------------
> > Live Security Virtual Conference
> > Exclusive live event will cover all the ways today's security and
> > threat landscape has changed and how IT managers can respond. Discussions
> > will include endpoint security, mobile security and the latest in malware
> > threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
> > _______________________________________________
> > QuantLib-dev mailing list
> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>
>
> ------------------------------------------------------------------------------
> Live Security Virtual Conference
> Exclusive live event will cover all the ways today's security and
> threat landscape has changed and how IT managers can respond. Discussions
> will include endpoint security, mobile security and the latest in malware
> threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

[Quantlib-dev] Two design questions about quantlib

[David E. <id...@ya...>]

(html didn't post well before, re-posting both quantlib-dev and quantlib-users)
 
I've been writing quant software for almost 20 years, and this is my first look at quantlib. It's very impressive, but I have two design questions that I wanted to float in the quantlib-dev list, and see what kind of thoughtful responses there might be. No need to respond instantly: I'd like to hear considered responses.

This is all descended from the Observer design pattern, plus some other support. Which is nice, I did a bunch of event-driven systems back in the 1990s, very cool. And it scales reasonably well, within a single OS and machine.

1) Poll: How many users/developers have ever wanted to use this product without the Observer design pattern, which I find impedes distributed computing, general transparency, and audit?

2) Has anybody thought about how one might implement the subject matter independently, as Singleton, and embed it within a design pattern of ones own choosing? E.g. I'd like to be able to use these methods in a Command/Visitor context, but see a rewrite as codebase divergence, a big no-no for me.

Thanks,

Dave Eaves

Re: [Quantlib-dev] Multicurve discounting

[Roland L. <rol...@qu...>]

Hi Grzegorz,

yes, it does. Have a look at the SwapRateHelper class that allows specifying an exogenous discounting curve. This is the essential thing you need (in the single currency world). So you build the discounting curve first (e.g. bootstrapping from ON, TN and OIS quotes). In a second step you build e.g. a 3M tenor Swap curve from Deposits, FRAs and 3M tenor Swaps, where you use the former curve as exogenous discounting curve with your SwapRateHelpers.

Kind regards,
Roland

On 3 Sep 2012, at 17:11, Grześ Andruszkiewicz wrote:

> Hi,
> 
> Does QuantLib support multicurve discounting, i.e. when you discount
> using one curve (OIS), but use another curve (i.e. 3M LIBOR) for
> determining of the cash flows?
> 
> See e.g. http://blog.numerix.com/public/2011/02/otc-derivatives-valuation-adoption-of-multiple-pricing-curves.html
> for more information.
> 
> Kind regards,
> Grzegorz
> 
> ------------------------------------------------------------------------------
> Live Security Virtual Conference
> Exclusive live event will cover all the ways today's security and 
> threat landscape has changed and how IT managers can respond. Discussions 
> will include endpoint security, mobile security and the latest in malware 
> threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] Multicurve discounting

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

On Mon, Sep 3, 2012 at 5:11 PM, Grześ Andruszkiewicz <gan...@gm...> wrote:
> Does QuantLib support multicurve discounting, i.e. when you discount
> using one curve (OIS), but use another curve (i.e. 3M LIBOR) for
> determining of the cash flows?

yes it does


ciao -- Nando

Re: [Quantlib-dev] Marketmodel AbcdVol

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

Hi Peter

> [...] the particular choice of the evolutionTimes grid being
> strictly finer than the rateTimes grid (which is equal to the correlation
> times grid coming from a TimeHomogeneousForwardCorrelation). This case is in
> my opinion not handled correctly when computing the covariance matrices for
> the evolution steps in the constructor of AbcdVol.

yes, you're right: I've just committed your bug-fix to both AbcdVol
and FlatVol (which was affected too).
Thank you and sorry it took so long.

Any chance you might contribute a unit test to avoid regressions? I am
thinking about a simple flat vol (and degenerate abcd vol with
a=b=c=0.0) test case where for N evolution times there are 1, N, 2N,
2N+1 correlation matrices, checking that total variances are correct

ciao -- Nando

[Quantlib-dev] Multicurve discounting

[Grześ A. <gan...@gm...>]

Hi,

Does QuantLib support multicurve discounting, i.e. when you discount
using one curve (OIS), but use another curve (i.e. 3M LIBOR) for
determining of the cash flows?

See e.g. http://blog.numerix.com/public/2011/02/otc-derivatives-valuation-adoption-of-multiple-pricing-curves.html
for more information.

Kind regards,
Grzegorz

Re: [Quantlib-dev] Small code/build cleanup patches

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

Applied, thanks.

Luigi

On Sun, Sep 2, 2012 at 11:53 AM, Bojan Nikolic <bo...@bn...> wrote:
>
> Hi Luigi et al,
>
> Here are some very small cleanup patches I had to apply to get the build
> work satisfactorily with mingw32 4.2.1 and boost 1.50:
>
> - Boost v1.50 seems to need an assertion_failed function version which
>   also takes a message:
>
> --- a/QuantLib/ql/errors.cpp
> +++ b/QuantLib/ql/errors.cpp
> @@ -81,6 +81,16 @@
>  namespace boost {
>
>      // must be defined by the user
> +    void assertion_failed_msg(char const * expr, char const * function,
> +                              char const * file, char const *mm, long line) {
> +        throw std::runtime_error(format(file, line, function,
> +                                        "Boost assertion failed: " +
> +                                        std::string(expr)+
> +                                        " with message: "+
> +                                        std::string(mm)));
> +    }
> +
> +    // must be defined by the user
>      void assertion_failed(char const * expr, char const * function,
>                            char const * file, long line) {
>          throw std::runtime_error(format(file, line, function,
>
>
> - GammaFunction class does not have a user-specified default
>   constructor, so const instances needs to be explicitly
>   default-constructed
>
> --- a/QuantLib/ql/pricingengines/vanilla/analytich1hwengine.cpp
> +++ b/QuantLib/ql/pricingengines/vanilla/analytich1hwengine.cpp
> @@ -81,7 +81,7 @@
>      }
>
>      Real AnalyticH1HWEngine::Fj_Helper::Lambda(Time t) const {
> -        const GammaFunction g;
> +        const GammaFunction g=GammaFunction();
>          const Size maxIter = 1000;
>          const Real lambdaT = lambda(t);
>
>
> - Libraries to link against should ideally go in LDADD postfix variables
>
> --- a/QuantLib/test-suite/Makefile.am
> +++ b/QuantLib/test-suite/Makefile.am
> @@ -179,12 +179,12 @@
>  endif
>
>  quantlib_test_suite_SOURCES = ${QL_TESTS}
> -quantlib_test_suite_LDADD = libUnitMain.la ${top_builddir}/ql/libQuantLib.la
> -quantlib_test_suite_LDFLAGS = -l${BOOST_UNIT_TEST_LIB}
> +quantlib_test_suite_LDADD = libUnitMain.la ${top_builddir}/ql/libQuantLib.la -\
> l${BOOST_UNIT_TEST_LIB}
> +quantlib_test_suite_LDFLAGS =
>
>  quantlib_benchmark_SOURCES = ${QL_BENCHMARKS}
> -quantlib_benchmark_LDADD = libUnitMain.la ${top_builddir}/ql/libQuantLib.la
> -quantlib_benchmark_LDFLAGS = -l${BOOST_UNIT_TEST_LIB}
> +quantlib_benchmark_LDADD = libUnitMain.la ${top_builddir}/ql/libQuantLib.la -l\
> ${BOOST_UNIT_TEST_LIB}
> +quantlib_benchmark_LDFLAGS =
>
>  TESTS = quantlib-test-suite$(EXEEXT)
>  TESTS_ENVIRONMENT = BOOST_TEST_LOG_LEVEL=message
>
>
> --
> Bojan Nikolic          ||          http://www.bnikolic.co.uk
>
> ------------------------------------------------------------------------------
> Live Security Virtual Conference
> Exclusive live event will cover all the ways today's security and
> threat landscape has changed and how IT managers can respond. Discussions
> will include endpoint security, mobile security and the latest in malware
> threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Quantlib-dev] [ quantlib-Bugs-3415446 ] Build error when comiling with VC11

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

Bugs item #3415446, was opened at 2011-09-29 12:12
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3415446&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: Thomas A Sullivan (tomsullivan34)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Build error when comiling with VC11

Initial Comment:
1>------ Build started: Project: QuantLib, Configuration: Debug Win32 ------
1>Build started 9/29/2011 3:09:10 PM.
1>ClCompile:
1>  symmetricschurdecomposition.cpp
1>ql\math\matrixutilities\symmetricschurdecomposition.cpp(123): error C2664: 'std::make_pair' : cannot convert parameter 1 from 'QuantLib::Real' to 'QuantLib::Real &&'
1>          You cannot bind an lvalue to an rvalue reference
1>
1>Build FAILED.
1>
1>Time Elapsed 00:00:03.09
========== Build: 0 succeeded, 1 failed, 0 up-to-date, 0 skipped ==========

I modified this code:
            temp[col] = std::make_pair<Real, std::vector<Real> >(
                diagonal_[col], eigenVector);

to this:
            temp[col] = std::make_pair<Real, std::vector<Real> >(
                (Real&&)diagonal_[col], (std::vector<Real>&&)eigenVector);

and it built ok.


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

>Comment By: Luigi Ballabio (lballabio)
Date: 2012-09-03 06:56

Message:
Alvin's patch was applied to the Subversion repository.
Thank you for the report and the fix.


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

Comment By: Alvin (Xiangyu Hong) (alvinchalon)
Date: 2012-08-31 14:21

Message:
change it to:
   temp[col] = std::make_pair(diagonal_[col], eigenVector);
would be fine.
--------
one could refer to
http://connect.microsoft.com/VisualStudio/feedback/details/691756/std-make-pair-error-in-vc11
as "make_pair()'s whole purpose in life is to be used WITHOUT explicit
template arguments."


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3415446&group_id=12740

[Quantlib-dev] Small code/build cleanup patches

[Bojan N. <bo...@bn...>]

Hi Luigi et al,

Here are some very small cleanup patches I had to apply to get the build
work satisfactorily with mingw32 4.2.1 and boost 1.50:

- Boost v1.50 seems to need an assertion_failed function version which
  also takes a message:

--- a/QuantLib/ql/errors.cpp                                                    
+++ b/QuantLib/ql/errors.cpp                                                    
@@ -81,6 +81,16 @@
 namespace boost {                                                              
                                                                                
     // must be defined by the user                                             
+    void assertion_failed_msg(char const * expr, char const * function,        
+                              char const * file, char const *mm, long line) {  
+        throw std::runtime_error(format(file, line, function,                  
+                                        "Boost assertion failed: " +           
+                                        std::string(expr)+                     
+                                        " with message: "+                     
+                                        std::string(mm)));                     
+    }                                                                          
+                                                                               
+    // must be defined by the user                                             
     void assertion_failed(char const * expr, char const * function,            
                           char const * file, long line) {                      
         throw std::runtime_error(format(file, line, function,                  


- GammaFunction class does not have a user-specified default
  constructor, so const instances needs to be explicitly
  default-constructed

--- a/QuantLib/ql/pricingengines/vanilla/analytich1hwengine.cpp                 
+++ b/QuantLib/ql/pricingengines/vanilla/analytich1hwengine.cpp                 
@@ -81,7 +81,7 @@
     }                                                                          
                                                                                
     Real AnalyticH1HWEngine::Fj_Helper::Lambda(Time t) const {                 
-        const GammaFunction g;                                                 
+        const GammaFunction g=GammaFunction();                                 
         const Size maxIter = 1000;                                             
         const Real lambdaT = lambda(t);                                        


- Libraries to link against should ideally go in LDADD postfix variables

--- a/QuantLib/test-suite/Makefile.am                                           
+++ b/QuantLib/test-suite/Makefile.am                                           
@@ -179,12 +179,12 @@
 endif                                                                          
                                                                                
 quantlib_test_suite_SOURCES = ${QL_TESTS}                                      
-quantlib_test_suite_LDADD = libUnitMain.la ${top_builddir}/ql/libQuantLib.la   
-quantlib_test_suite_LDFLAGS = -l${BOOST_UNIT_TEST_LIB}                         
+quantlib_test_suite_LDADD = libUnitMain.la ${top_builddir}/ql/libQuantLib.la -\
l${BOOST_UNIT_TEST_LIB}                                                         
+quantlib_test_suite_LDFLAGS =                                                  
                                                                                
 quantlib_benchmark_SOURCES = ${QL_BENCHMARKS}                                  
-quantlib_benchmark_LDADD = libUnitMain.la ${top_builddir}/ql/libQuantLib.la    
-quantlib_benchmark_LDFLAGS = -l${BOOST_UNIT_TEST_LIB}                          
+quantlib_benchmark_LDADD = libUnitMain.la ${top_builddir}/ql/libQuantLib.la -l\
${BOOST_UNIT_TEST_LIB}                                                          
+quantlib_benchmark_LDFLAGS =                                                   
                                                                                
 TESTS = quantlib-test-suite$(EXEEXT)                                           
 TESTS_ENVIRONMENT = BOOST_TEST_LOG_LEVEL=message                               


-- 
Bojan Nikolic          ||          http://www.bnikolic.co.uk

[Quantlib-dev] [ quantlib-Bugs-3415446 ] Build error when comiling with VC11

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

Bugs item #3415446, was opened at 2011-09-29 12:12
Message generated for change (Comment added) made by alvinchalon
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3415446&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: Thomas A Sullivan (tomsullivan34)
Assigned to: Nobody/Anonymous (nobody)
Summary: Build error when comiling with VC11

Initial Comment:
1>------ Build started: Project: QuantLib, Configuration: Debug Win32 ------
1>Build started 9/29/2011 3:09:10 PM.
1>ClCompile:
1>  symmetricschurdecomposition.cpp
1>ql\math\matrixutilities\symmetricschurdecomposition.cpp(123): error C2664: 'std::make_pair' : cannot convert parameter 1 from 'QuantLib::Real' to 'QuantLib::Real &&'
1>          You cannot bind an lvalue to an rvalue reference
1>
1>Build FAILED.
1>
1>Time Elapsed 00:00:03.09
========== Build: 0 succeeded, 1 failed, 0 up-to-date, 0 skipped ==========

I modified this code:
            temp[col] = std::make_pair<Real, std::vector<Real> >(
                diagonal_[col], eigenVector);

to this:
            temp[col] = std::make_pair<Real, std::vector<Real> >(
                (Real&&)diagonal_[col], (std::vector<Real>&&)eigenVector);

and it built ok.


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

Comment By: Alvin (Xiangyu Hong) (alvinchalon)
Date: 2012-08-31 14:21

Message:
change it to:
   temp[col] = std::make_pair(diagonal_[col], eigenVector);
would be fine.
--------
one could refer to
http://connect.microsoft.com/VisualStudio/feedback/details/691756/std-make-pair-error-in-vc11
as "make_pair()'s whole purpose in life is to be used WITHOUT explicit
template arguments."


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3415446&group_id=12740

[Quantlib-dev] Two design questions about quantlib

[David E. <id...@ya...>]

I've been writing quant software for about 20 years now, and this is my first look at quantlib. It's quite impressive, but I have two big design questions that I wanted to float in the quantlib-dev list, and see what kind of thoughtful responses there might be. No need to respond instantly: I'd like to hear considered responses.
 
It's all descended from the Observer design pattern, plus some other support. Which is nice, I did a bunch of event-driven systems back in the 1990s, very cool. And it scales reasonably well, within a single OS and machine.
 
1) Can I take an informal poll to see how many users/developers feel the need to have the same open source approach, but without the containing system implementation (call it Observer++), which impedes distributed computing, as well as transparency and audit?
 
2) Has anybody given thought to how one might implement the financial quant subject matter *independently* of the system implementation. That would be the ideal: a single canonical implementation. I'd like to be able to use these methods in a Command/Visitor context, but see a rewrite as just recreating the same problems in different form. Plus, codebase divergence is a no-no for me.
 
Has this been under discussion at any point? I looked through the last year or so of threads, but no related subjects it seems.
 
Thanks,
 
Dave Eaves
408-260-0901 (office)
650-619-7598 (cell)

Re: [Quantlib-dev] QuantLib Vega and Delta

[Edouard T. <tal...@ly...>]

Hi Ray.
Please, have a look at the following pages, for example codes:
http://quantlib.org/reference/_discrete_hedging_8cpp-example.html
http://quantlib.org/slides/dima-ql-intro-2.pdf
https://quantcorner.wordpress.com/2011/02/06/quantlib-the-greeks-and-other-useful-option-related-values/
Best
Édouard

_________________
   3. QuantLib Vega and Delta (ray 176)
------------------------------

Message: 3
Date: Tue, 28 Aug 2012 17:03:12 +0400
From: ray 176 
Subject: [Quantlib-dev] QuantLib Vega and Delta
To: Qua...@li...
Message-ID:
	
Content-Type: text/plain; charset="iso-8859-1"

Hi there,
i am new to QuantLib, can anyone please point me to a c++ Delta and Vega
examples or classes that i can use for the calculation.
Regards
Ray

Re: [Quantlib-dev] Items being worked on

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

Candy,
    I'm afraid there's no best way.  Unfortunately, we never had a
decent issue manager in place.  It will be a prerequisite when we
start making plans for some kind of 2.0 version...

In the meantime, there's not a lot going on.  Looking at the
subversion logs (or subscribing to the quantlib-cvs mailing list) will
show you what code is committed--and as I said, there's not a lot of
traffic.  If you want to work on something in particular, just write
to this list and say what you're going to do.

Later,
    Luigi

On Tue, Aug 28, 2012 at 5:12 PM, Candy Chiu <can...@gm...> wrote:
> Luigi,
>
> What's the best way to keep track of the items being worked on?  Thanks.
>
> Candy