quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] Optimization of Brent Solver

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

Hi Sebastian,
    I applied the patch to the repository.  Thanks!

Luigi

On Thu, Jul 26, 2012 at 4:30 PM, Sebastian Poloczek
<Seb...@gm...> wrote:
>
> Hi,
>
> it seems that in the current implementation of Brent solver the commited
> guess value is not used at all. The method Solver1D::solve(const F& f, Real
> accuracy, Real guess, Real xMin, Real xMax) does set root_ = guess. The next
> command line calls the solver ( return this->impl().solveImpl(f, accuracy);
> ).
>
> In case of the Brent solver the function Brent::solveImpl(const F& f, eal
> xAccuracy) is called. At the beginning of this function root_ is reset to
> xMax_: root_ = xMax_ and the guess value is lost.
>
> Especially Brent Solver is used in the iterativebootstrap class. In case of
> the "discounting version" the guess for the next discount factor is
> calculated by extrapolating the already bootstrapped curve. This is simple,
> yet quite efficient. In the current Brent solver implementation this guessed
> value is lost. To improve this the following codechange seems to work:
>
>       // guess is ignored in current implementation... this should improve
> the solver performance
>       froot = f(root_);
>       if (froot * fxMin_ < 0){
>              xMax_ = xMin_;
>         fxMax_ = fxMin_;
>       }
>       else {
>         xMin_ = xMax_;
>         fxMin_ = fxMax_;
>       }
>       e=d=root_- xMax_;
>
>    instead of the existing lines:
>    root_ = xMax_;
>    froot = fxMax_;
>
> In the case of yield curve bootstrapping I get a speed benefit of about 45%
> ( 100000 bootstrap calculations of the same curve using both
> implementations). Calculated discount factors are (of course) identical in
> both cases.
>
> Regards
> Sebastian
>
> --
> View this message in context: http://old.nabble.com/Optimization-of-Brent-Solver-tp34215920p34215920.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
>
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Re: [Quantlib-dev] CAT Bond valuation

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

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] mortgage bond

[Baoho <bao...@gm...>]

Hello, Nathan.  It has been several years since your original post.  I am
wondering where you are in terms of developing a mortgage class in QuantLib
because I am now working on using Quantlib for mortgage valuation too.  I
would greatly appreciate if you or any one else have any new information to
offer on the subject.

Thank you very much.

Baoho Chang 

-- 
View this message in context: http://old.nabble.com/mortgage-bond-tp22403757p34373806.html
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Re: [Quantlib-dev] QuantLib Vega and Delta

[ray 1. <ra...@gm...>]

hi Guys,
can anyone advice if the below is possible with the current solution, i
would like to use it for Forex market
Regards
Ray

On 28 August 2012 17:03, ray 176 <ra...@gm...> wrote:

> 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
>

[Quantlib-dev] Items being worked on

[Candy C. <can...@gm...>]

Luigi,

What's the best way to keep track of the items being worked on?  Thanks.

Candy

Re: [Quantlib-dev] QuantLib Vega and Delta

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

For what kind of instruments?

Luigi

On Tue, Aug 28, 2012 at 3:03 PM, ray 176 <ra...@gm...> wrote:
> 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
>
> ------------------------------------------------------------------------------
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>

[Quantlib-dev] QuantLib Vega and Delta

[ray 1. <ra...@gm...>]

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

[Quantlib-dev] Trying to extend functions into Lua

[Tawanda G. <tg...@gm...>]

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] print vs assign output in QuantLib-SWIG

[Tawanda G. <tg...@gm...>]

I've solved it.

I needed to say  

    ff:zeroRate(zDate,daycount,Annual):rate()

I had not realized there was an InterestRate wrapper in interestrate.i.



On Aug 27, 2012, at 10:55 AM, Luigi Ballabio <lui...@gm...> wrote:

> Hi Tawanda,
>    I'm not sure what you mean by "I get the same string when I assign".
> Do you mean that if you write "x = ff:zeroRate(zDate,daycount,Annual)"
> (or whatever the syntax for assignment is in Lua) then x holds the
> string instead of an InterestRate instance?  If so, it looks like an
> issue of the Lua wrappers to me...
> 
> Luigi
> 
> On Sun, Aug 26, 2012 at 1:08 AM, Tawanda Gwena <tg...@gm...> wrote:
>> I am working on quantlib-swig and porting it to Lua.
>> 
>> I have been working with the interest rate curves. They mostly work except at the output stage. I successfully created the PiecewiseFlatForward object "ff". When I issue the command
>> 
>>      print(ff:zeroRate(zDate,daycount,Annual)
>> 
>> I get the output
>> 
>>    0.443772 % Actual/360 Annual compounding
>> 
>> Unfortunately I get the same string when I assign, which is generally not easy to work with.
>> 
>> 
>> I would like to know how the other languages deal with it (Python for instance) and pointers to where I may be able to fix it.
>> 
>> Thanks
>> ------------------------------------------------------------------------------
>> 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] TARGET() macro and default calendar (RuntimeError: option expired)

[Morpheous <tak...@ho...>]

Hi Luigi,

Hope you had a nice relaxing holiday!. Thanks for the reply. BTW, I am using
QuantLib with C++ too, so the original snippet is useful too :)

Thanks


Luigi Ballabio wrote:
> 
> Oh, you're using Python.  Then the statement would be
> 
> Settings.instance().evaluationDate = Date(8,February,2011)
> 
> instead.
> 
> Luigi
> 
> On Fri, Aug 24, 2012 at 1:01 PM, Luigi Ballabio
> <lui...@gm...> wrote:
>> Hi,
>>     apologies for the delay, I was on vacation.  The TARGET calendar
>> only specifies what days are business days and what days are holidays.
>>  If you want to set an evaluation date, you'll have to add, say,
>>
>> Settings::instance().evaluationDate() = Date(8,February,2011);
>>
>> before performing the calculations.  If the evaluation date is not
>> set, it defaults to the system date as you inferred.
>>
>> Luigi
>>
>> On Wed, Aug 1, 2012 at 3:45 AM, Morpheous <tak...@ho...>
>> wrote:
>>>
>>> I am using the Python binding to Quantlib to perform calculations on
>>> historic
>>> data.
>>>
>>> After setting up the required framework (curves etc), When I call
>>> `option.ImpliedVolatility()` I get the following exception thrown (for
>>> options that have expired):
>>>
>>>
>>>       File
>>> "/usr/local/lib/python2.6/dist-packages/QuantLib/QuantLib.py",
>>> line 3683, in impliedVolatility
>>>         def impliedVolatility(self, *args): return
>>> _QuantLib.VanillaOption_impliedVolatility(self, *args)
>>>     RuntimeError: option expired
>>>
>>>
>>> A snippet of the lines of code for setting up required curves etc is
>>> shown
>>> below:
>>>
>>>             dividend_yield = YieldTermStructureHandle(FlatForward(0,
>>> TARGET(), div_yield, Actual365Fixed()))
>>>             risk_free_rate = YieldTermStructureHandle(FlatForward(0,
>>> TARGET(), rf_rate, Actual365Fixed()))
>>>             volatility = BlackVolTermStructureHandle(BlackConstantVol(0,
>>> TARGET(), annualized_histvol, Actual360()))
>>>
>>>
>>> I **STRONGLY** suspect that the `TARGET()` macro used defaults to the
>>> current system date.
>>>
>>> How may I set up the library to use a specific historic date?
>>> --
>>> View this message in context:
>>> http://old.nabble.com/TARGET%28%29-macro-and-default-calendar-%28RuntimeError%3A-option-expired%29-tp34238686p34238686.html
>>> Sent from the quantlib-dev mailing list archive at Nabble.com.
>>>
>>>
>>> ------------------------------------------------------------------------------
>>> 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
> 
> 

-- 
View this message in context: http://old.nabble.com/TARGET%28%29-macro-and-default-calendar-%28RuntimeError%3A-option-expired%29-tp34238686p34348195.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

Re: [Quantlib-dev] print vs assign output in QuantLib-SWIG

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

Hi Tawanda,
    I'm not sure what you mean by "I get the same string when I assign".
Do you mean that if you write "x = ff:zeroRate(zDate,daycount,Annual)"
(or whatever the syntax for assignment is in Lua) then x holds the
string instead of an InterestRate instance?  If so, it looks like an
issue of the Lua wrappers to me...

Luigi

On Sun, Aug 26, 2012 at 1:08 AM, Tawanda Gwena <tg...@gm...> wrote:
> I am working on quantlib-swig and porting it to Lua.
>
> I have been working with the interest rate curves. They mostly work except at the output stage. I successfully created the PiecewiseFlatForward object "ff". When I issue the command
>
>       print(ff:zeroRate(zDate,daycount,Annual)
>
> I get the output
>
>     0.443772 % Actual/360 Annual compounding
>
> Unfortunately I get the same string when I assign, which is generally not easy to work with.
>
>
> I would like to know how the other languages deal with it (Python for instance) and pointers to where I may be able to fix it.
>
> Thanks
> ------------------------------------------------------------------------------
> 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] print vs assign output in QuantLib-SWIG

[Tawanda G. <tg...@gm...>]

I am working on quantlib-swig and porting it to Lua. 

I have been working with the interest rate curves. They mostly work except at the output stage. I successfully created the PiecewiseFlatForward object "ff". When I issue the command 

      print(ff:zeroRate(zDate,daycount,Annual)

I get the output

    0.443772 % Actual/360 Annual compounding

Unfortunately I get the same string when I assign, which is generally not easy to work with. 


I would like to know how the other languages deal with it (Python for instance) and pointers to where I may be able to fix it.

Thanks

Re: [Quantlib-dev] CAT Bond valuation

[Grześ A. <gan...@gm...>]

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?

Kind regards,
Grzegorz

On 24 August 2012 11:24, Luigi Ballabio <lui...@gm...> wrote:
> Hi,
>     apologies for the delay; I was on vacation without email (yes, it
> felt nice).
>
> I don't have experience with CAT bonds, but I might give hints on the
> library side.
> What model would you implement? And are you familiar with QuantLib already?
>
> Luigi
>
> On Thu, Jul 26, 2012 at 2:25 PM, Grześ Andruszkiewicz
> <gan...@gm...> wrote:
>> Hi,
>>
>> As part of a bigger project we are planning to implement valuation of
>> CAT (Catastrophe) Bonds, and we were thinking to do it as part of
>> QuantLib to leverage all the functionality that is not specific for
>> these products (like term structure, etc.). The bigger project will
>> produce the distribution of the losses of the underlying insurance
>> contract (against CAT events), so we will assume this as an input.
>>
>> Does anyone have any experience with CAT Bonds? Or at least could give
>> us hints on where to start?
>>
>> 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] TARGET() macro and default calendar (RuntimeError: option expired)

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

Oh, you're using Python.  Then the statement would be

Settings.instance().evaluationDate = Date(8,February,2011)

instead.

Luigi

On Fri, Aug 24, 2012 at 1:01 PM, Luigi Ballabio
<lui...@gm...> wrote:
> Hi,
>     apologies for the delay, I was on vacation.  The TARGET calendar
> only specifies what days are business days and what days are holidays.
>  If you want to set an evaluation date, you'll have to add, say,
>
> Settings::instance().evaluationDate() = Date(8,February,2011);
>
> before performing the calculations.  If the evaluation date is not
> set, it defaults to the system date as you inferred.
>
> Luigi
>
> On Wed, Aug 1, 2012 at 3:45 AM, Morpheous <tak...@ho...> wrote:
>>
>> I am using the Python binding to Quantlib to perform calculations on historic
>> data.
>>
>> After setting up the required framework (curves etc), When I call
>> `option.ImpliedVolatility()` I get the following exception thrown (for
>> options that have expired):
>>
>>
>>       File "/usr/local/lib/python2.6/dist-packages/QuantLib/QuantLib.py",
>> line 3683, in impliedVolatility
>>         def impliedVolatility(self, *args): return
>> _QuantLib.VanillaOption_impliedVolatility(self, *args)
>>     RuntimeError: option expired
>>
>>
>> A snippet of the lines of code for setting up required curves etc is shown
>> below:
>>
>>             dividend_yield = YieldTermStructureHandle(FlatForward(0,
>> TARGET(), div_yield, Actual365Fixed()))
>>             risk_free_rate = YieldTermStructureHandle(FlatForward(0,
>> TARGET(), rf_rate, Actual365Fixed()))
>>             volatility = BlackVolTermStructureHandle(BlackConstantVol(0,
>> TARGET(), annualized_histvol, Actual360()))
>>
>>
>> I **STRONGLY** suspect that the `TARGET()` macro used defaults to the
>> current system date.
>>
>> How may I set up the library to use a specific historic date?
>> --
>> View this message in context: http://old.nabble.com/TARGET%28%29-macro-and-default-calendar-%28RuntimeError%3A-option-expired%29-tp34238686p34238686.html
>> Sent from the quantlib-dev mailing list archive at Nabble.com.
>>
>>
>> ------------------------------------------------------------------------------
>> 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] TARGET() macro and default calendar (RuntimeError: option expired)

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

Hi,
    apologies for the delay, I was on vacation.  The TARGET calendar
only specifies what days are business days and what days are holidays.
 If you want to set an evaluation date, you'll have to add, say,

Settings::instance().evaluationDate() = Date(8,February,2011);

before performing the calculations.  If the evaluation date is not
set, it defaults to the system date as you inferred.

Luigi

On Wed, Aug 1, 2012 at 3:45 AM, Morpheous <tak...@ho...> wrote:
>
> I am using the Python binding to Quantlib to perform calculations on historic
> data.
>
> After setting up the required framework (curves etc), When I call
> `option.ImpliedVolatility()` I get the following exception thrown (for
> options that have expired):
>
>
>       File "/usr/local/lib/python2.6/dist-packages/QuantLib/QuantLib.py",
> line 3683, in impliedVolatility
>         def impliedVolatility(self, *args): return
> _QuantLib.VanillaOption_impliedVolatility(self, *args)
>     RuntimeError: option expired
>
>
> A snippet of the lines of code for setting up required curves etc is shown
> below:
>
>             dividend_yield = YieldTermStructureHandle(FlatForward(0,
> TARGET(), div_yield, Actual365Fixed()))
>             risk_free_rate = YieldTermStructureHandle(FlatForward(0,
> TARGET(), rf_rate, Actual365Fixed()))
>             volatility = BlackVolTermStructureHandle(BlackConstantVol(0,
> TARGET(), annualized_histvol, Actual360()))
>
>
> I **STRONGLY** suspect that the `TARGET()` macro used defaults to the
> current system date.
>
> How may I set up the library to use a specific historic date?
> --
> View this message in context: http://old.nabble.com/TARGET%28%29-macro-and-default-calendar-%28RuntimeError%3A-option-expired%29-tp34238686p34238686.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
>
> ------------------------------------------------------------------------------
> 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] CAT Bond valuation

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

Hi,
    apologies for the delay; I was on vacation without email (yes, it
felt nice).

I don't have experience with CAT bonds, but I might give hints on the
library side.
What model would you implement? And are you familiar with QuantLib already?

Luigi

On Thu, Jul 26, 2012 at 2:25 PM, Grześ Andruszkiewicz
<gan...@gm...> wrote:
> Hi,
>
> As part of a bigger project we are planning to implement valuation of
> CAT (Catastrophe) Bonds, and we were thinking to do it as part of
> QuantLib to leverage all the functionality that is not specific for
> these products (like term structure, etc.). The bigger project will
> produce the distribution of the losses of the underlying insurance
> contract (against CAT events), so we will assume this as an input.
>
> Does anyone have any experience with CAT Bonds? Or at least could give
> us hints on where to start?
>
> 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

[Quantlib-dev] [ quantlib-Bugs-3559725 ] No session support in QuantLibXL

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

Bugs item #3559725, was opened at 2012-08-19 20:43
Message generated for change (Tracker Item Submitted) made by 
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3559725&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: https://www.google.com/accounts ()
Assigned to: Nobody/Anonymous (nobody)
Summary: No session support in QuantLibXL

Initial Comment:
When trying to compile QuantLib and QuantLibXL with QL_ENABLE_SESSIONS enabled the compiler complains about missing ohxl/conversions.hpp.
I tried to replace it with other file names which seemed relevant but nothing helped so far. If this is not worth fixing I suggest you remove information on session support from QuantLibXL documentation.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3559725&group_id=1274

[Quantlib-dev] QuantLibXL / ObjectHandler 1.2.0 Released

[Eric E. <eri...@na...>]

QuantLibXL, QuantLibAddin, and ObjectHandler version
1.2.0 have been released and are available for download:
http://sourceforge.net/projects/quantlib/files/

QuantLibAddin
http://www.quantlibaddin.org

QuantLibAddin exports the QuantLib interface to a variety
of end user platforms including OpenOffice.Org Calc.

QuantLibXL
http://www.quantlibxl.org

QuantLibXL is the implementation of QuantLibAddin for
Microsoft Excel.  The QuantLibXL project includes a binary
release comprising a compiled Addin and example
workbooks.

ObjectHandler
http://www.objecthandler.org

ObjectHandler implements a repository where objects can be
stored, shared, updated, interrogated, and destroyed.  This
facilitates object orientation in procedural environments
such as spreadsheets.

         The QuantLib group

-- 
===================================================
Eric Ehlers
nazcatech sprl | Brussels | http://www.nazcatech.be
* Distributed computing for pricing analytics
* Use Microsoft Excel as a client to the Grid

[Quantlib-dev] [ quantlib-Bugs-3513775 ] Addin Error for QuantLibXl on Excel 2010 64-Bit

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

Bugs item #3513775, was opened at 2012-03-31 13:12
Message generated for change (Comment added) made by x-ralf-x
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: TriRalf (x-ralf-x)
Assigned to: Nobody/Anonymous (nobody)
Summary: Addin Error for QuantLibXl on Excel 2010 64-Bit

Initial Comment:
Hi all,

I get an error when I open the "QuantLibXL.xla" addin on Excel 2010 64-bit:
    "Compile error: The code in this project must be updated for use on 64-bit systems" 
Microsoft explains: error message when you edit a VBA macro in the 64-bit version of an Office 2010 program (see http://support.microsoft.com/kb/983043)

The error comes from the line:
    Private Declare Function SetCurrentDirectory Lib "kernel32" Alias "SetCurrentDirectoryA" (ByVal lpPathName As String) As Long

Can you please update the addin accordingly.


Best regards,
Ralf


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

Comment By: TriRalf (x-ralf-x)
Date: 2012-08-14 12:04

Message:
Hi,

why doesn't anyone pick this item up? There is only one line of code to
change.

Regards,
Ralf

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Re: [Quantlib-dev] CMake build system for QuantLib

[Joao P. M. <jpm...@is...>]

Hello all,

I have setup a git repo for this project in 
https://github.com/jppm/QuantLib-cmake.
If you prefer, you can download an archive:

zip: https://github.com/jppm/QuantLib-cmake/zipball/master

tar.gz: https://github.com/jppm/QuantLib-cmake/tarball/master

Best,
João


On 07/26/2012 08:06 AM, Luigi Ballabio wrote:
> Thanks.  I'll try thjs when I get back from vacations.  In the
> meantime, if anybody wants to try it out and report, please do.
>
> Luigi
>
> P.S. About test-suite/main.cpp: it is needed or not depending on the
> version of the Boost libraries (I don't remember the details now, so
> the configure check might not be needed anymore.  Or maybe you could
> provide a switch to turn on and off the generation?)
>
>
> On Thu, Jul 26, 2012 at 12:10 AM, Joao Paulo Magalhaes
> <jpm...@is...> wrote:
>> On 07/25/2012 04:00 PM, Luigi Ballabio wrote:
>>> On Wed, Jul 25, 2012 at 4:55 PM, Joao Paulo Magalhaes
>>> <jpm...@is...> wrote:
>>>> I have created a CMake build system for QuantLib, retaining the
>>>> behaviour of the current autotools build system: the same
>>>> configuration options are provided, and the resulting install is the
>>>> same (apart from one or two wrinkles which are not yet sorted out). My
>>>> intent is to provide the QuantLib user with both build systems.
>>>>
>>>> Would you be interested in trying it out? Is it OK if I send the
>>>> archive as an attachment?
>>> Sure.  The archive contains the cmake files, not the whole distribution,
>>> right?
>>>
>> Right. The archive contains only the following files:
>>
>>
>> QuantLib-1.2-cmake/CMakeLists.txt             # the main cmake file:
>> provides the options and builds the library
>> QuantLib-1.2-cmake/files.cmake                # the list of source files in
>> ql/
>> QuantLib-1.2-cmake/config.cmake               # process the user options and
>> creates ql/config.hpp
>> QuantLib-1.2-cmake/ql/config.hpp.cmake        # the input to obtain
>> ql/config.hpp
>> QuantLib-1.2-cmake/Examples/CMakeLists.txt    # deals with examples
>> QuantLib-1.2-cmake/test-suite/CMakeLists.txt  # deals with the test suite
>> QuantLib-1.2-cmake/test-suite/files.cmake     # the list of source files in
>> the test suite
>> QuantLib-1.2-cmake/test-suite/main.cpp        # see below
>>
>>
>> To get things ready to roll, you need first to put the files in the archive
>> into a clean QuantLib source tree:
>>
>> # untar the archive in a place of your choice
>> cd /path/to ; tar xvfz QuantLib-1.2-cmake.tar.gz
>>
>> # copy its contents into your fresh & clean QuantLib folder:
>> cd /to/your/QuantLib-1.2 ; cp -r /path/to/QuantLib-1.2-cmake/* .
>>
>>
>> Instructions for a console build & install.
>>
>> I presume most of you are already familiar with usage of cmake, but I'll
>> outline the procedure just in case.
>>
>> # configure & build (out of source)
>> cd /to/your/QuantLib-1.2/build
>> cmake -DCMAKE_INSTALL_PREFIX=/your/install/folder ..         # note the path
>> to the location of the main CMakeLists.txt
>> make
>>
>> # install
>> make install
>>
>> I've setup the options so that defaults are the same as in autotools. So the
>> above procedure won't compile examples or benchmarks. To get that, you can
>> either use the command line or a GUI. Using the command line, the cmake
>> command becomes
>>
>> cmake -DCMAKE_INSTALL_PREFIX=/your/install/folder -DQuantLib_WITH_EXAMPLES
>> -DQuantLib_WITH_BENCHMARK ..
>>
>> with all the rest being equal. Each -D above is the definition of the value
>> of a cmake option. If, for example, you want to disable deprecated code, set
>> the value of the option QuantLib_ENABLE_DEPRECATED_CODE to OFF using .
>>
>> cmake -DCMAKE_INSTALL_PREFIX=/your/install/folder -DQuantLib_WITH_EXAMPLES
>> -DQuantLib_WITH_BENCHMARK -DQuantLib_ENABLE_DEPRECATED_CODE=OFF ..
>>
>> Since it can be bothersome to remember all the names for these options, the
>> cmake GUI can be handy. For the GUI, there are two choices: a curses-based
>> console GUI (ccmake in ubuntu) and a Qt-based GUI (cmake-gui). I'll start
>> with the curses GUI. The cmake command now can simply be instead:
>>
>> ccmake ..
>>
>> Now you'll be able to see and edit the available options, following the
>> instructions at the bottom of the screen. Basically, the procedure consists
>> of iterating between setting an option (or options) and pressing 'c' to
>> configure - until nothing changes (please note that some options activate
>> other options). Then hit 'g' to generate the Makefiles, and exit. The
>> procedure is exactly the same for the Qt GUI, only now you must use the
>> mouse to carry it out.
>>
>>
>> CAVEAT: There are currently two places which raise issues of compatibility
>> of cmake with autotools (which I hope you'll help me fix):
>>
>> - the obtaining of ql/config.hpp . Currently I've added ql/config.hpp.cmake
>> which is processed into config.hpp . This is done from the file config.cmake
>> . As it stands, this is not actually incompatible, but it will always
>> require sync between changes to any input config.hpp.
>>
>> - in the test suite, autotools creates automatically a main.cpp. It was not
>> easy for me to see the reason for this, so I've put it statically in the
>> test folder.
>>
>> It is because of these caveats that I started above by advising use of a
>> clean QuantLib tree. Nevertheless, I was able to have a tree with both build
>> systems working.
>>
>>
>> OK - done for now. Please tell me what you think of this.
>>
>>
>> Best regards,
>> João Paulo Magalhães
>>
>>
>>
>>
>> ------------------------------------------------------------------------------
>> 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] Fwd: Marketmodel AbcdVol

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

------------------------------------------------------------------------------
Live Security Virtual Conference
Exclusive live event will cover all the ways today's security and 
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[Quantlib-dev] [ quantlib-Patches-3555090 ] Irregular Swaption Pricing Engine

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

Patches item #3555090, was opened at 2012-08-07 04:43
Message generated for change (Tracker Item Submitted) made by miemiec
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Andre Miemiec (miemiec)
Assigned to: Nobody/Anonymous (nobody)
Summary: Irregular Swaption Pricing Engine

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

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


  

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[Quantlib-dev] TARGET() macro and default calendar (RuntimeError: option expired)

[Morpheous <tak...@ho...>]

I am using the Python binding to Quantlib to perform calculations on historic
data.

After setting up the required framework (curves etc), When I call
`option.ImpliedVolatility()` I get the following exception thrown (for
options that have expired):


      File "/usr/local/lib/python2.6/dist-packages/QuantLib/QuantLib.py",
line 3683, in impliedVolatility
        def impliedVolatility(self, *args): return
_QuantLib.VanillaOption_impliedVolatility(self, *args)
    RuntimeError: option expired


A snippet of the lines of code for setting up required curves etc is shown
below:

            dividend_yield = YieldTermStructureHandle(FlatForward(0,
TARGET(), div_yield, Actual365Fixed()))
            risk_free_rate = YieldTermStructureHandle(FlatForward(0,
TARGET(), rf_rate, Actual365Fixed()))
            volatility = BlackVolTermStructureHandle(BlackConstantVol(0,
TARGET(), annualized_histvol, Actual360()))


I **STRONGLY** suspect that the `TARGET()` macro used defaults to the
current system date.

How may I set up the library to use a specific historic date?
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[Quantlib-dev] Optimization of Brent Solver

[Sebastian P. <Seb...@gm...>]

Hi,

it seems that in the current implementation of Brent solver the commited
guess value is not used at all. The method Solver1D::solve(const F& f, Real
accuracy, Real guess, Real xMin, Real xMax) does set root_ = guess. The next
command line calls the solver ( return this->impl().solveImpl(f, accuracy);
).

In case of the Brent solver the function Brent::solveImpl(const F& f, eal
xAccuracy) is called. At the beginning of this function root_ is reset to
xMax_: root_ = xMax_ and the guess value is lost. 

Especially Brent Solver is used in the iterativebootstrap class. In case of
the "discounting version" the guess for the next discount factor is
calculated by extrapolating the already bootstrapped curve. This is simple,
yet quite efficient. In the current Brent solver implementation this guessed
value is lost. To improve this the following codechange seems to work:  

      // guess is ignored in current implementation... this should improve
the solver performance
      froot = f(root_);
      if (froot * fxMin_ < 0){
    	     xMax_ = xMin_;
	fxMax_ = fxMin_;
      } 
      else {
	xMin_ = xMax_;
	fxMin_ = fxMax_;
      }
      e=d=root_- xMax_;

   instead of the existing lines:
   root_ = xMax_;
   froot = fxMax_;

In the case of yield curve bootstrapping I get a speed benefit of about 45%
( 100000 bootstrap calculations of the same curve using both
implementations). Calculated discount factors are (of course) identical in
both cases.

Regards
Sebastian 
   
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[Quantlib-dev] CAT Bond valuation

[Grześ A. <gan...@gm...>]

Hi,

As part of a bigger project we are planning to implement valuation of
CAT (Catastrophe) Bonds, and we were thinking to do it as part of
QuantLib to leverage all the functionality that is not specific for
these products (like term structure, etc.). The bigger project will
produce the distribution of the losses of the underlying insurance
contract (against CAT events), so we will assume this as an input.

Does anyone have any experience with CAT Bonds? Or at least could give
us hints on where to start?

Kind regards,
Grzegorz