quantlib-dev — Discussion of QuantLib development

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

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

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
>

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

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

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?

Luigi

[Quantlib-dev] CMake build system for QuantLib

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

Hello All,

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?

Best regards,
João Paulo Magalhães

Re: [Quantlib-dev] QuantLib-dev Digest, boostrapping multiple interest rate yield curves

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

On Mon, Jul 16, 2012 at 6:55 PM, Ferdinando Ametrano <na...@am...> wrote:
> code example shouldn't teach finance...

It can teach what classes to use without hunting in the code, though.
Like the current bootstrapping example does.

Anyway, how about we just agree to disagree, you point me at a
spreadsheet in the QuantLibXL tree where you do the
double-bootstrapping thing, and someone else takes care of the rest?

Luigi

Re: [Quantlib-dev] QuantLib-dev Digest, boostrapping multiple interest rate yield curves

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

code example shouldn't teach finance... and a comment about the need to use
ON discounting might be enough.
Maybe just bootstrap a discount curve with a single OISHelper...

On Mon, Jul 16, 2012 at 6:09 PM, Luigi Ballabio <lui...@gm...>wrote:

> On Mon, Jul 16, 2012 at 6:02 PM, Ferdinando Ametrano <na...@am...>
> wrote:
> > I would just add a fictitious flat discount curve in the existing
> > bootstrapping example, passing it to the SwapRateHelpers. A realistic
> > coherent dataset would get old anyway without adding to much to the
> > example logic.
>
> Except that it doesn't seem clear to many people how to get the discount
> curve.
> A given dataset might get old, but it would at least show what
> instruments to use and how.
>
> Luigi
>

Re: [Quantlib-dev] QuantLib-dev Digest, boostrapping multiple interest rate yield curves

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

On Mon, Jul 16, 2012 at 6:02 PM, Ferdinando Ametrano <na...@am...> wrote:
> I would just add a fictitious flat discount curve in the existing
> bootstrapping example, passing it to the SwapRateHelpers. A realistic
> coherent dataset would get old anyway without adding to much to the
> example logic.

Except that it doesn't seem clear to many people how to get the discount curve.
A given dataset might get old, but it would at least show what
instruments to use and how.

Luigi

Re: [Quantlib-dev] QuantLib-dev Digest, boostrapping multiple interest rate yield curves

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

I would just add a fictitious flat discount curve in the existing
bootstrapping example, passing it to the SwapRateHelpers. A realistic
coherent dataset would get old anyway without adding to much to the
example logic.

If we want to go the extra mile it might be better to show in the
example the difference in the implied fwd rates obtained bootstrapping
the same swap rates with exogenous discounting.

do you agree?

On Mon, Jul 16, 2012 at 5:46 PM, Luigi Ballabio
<lui...@gm...> wrote:
> We do need an example of this, though.  Nando, do you have a dataset
> we can use?  I'll try and find a volunteer for the example...
>
> Luigi
>
> On Tue, Jul 10, 2012 at 2:39 PM, Ferdinando Ametrano <na...@am...> wrote:
>> check
>> a) iterative boostrap
>> b) SwapRateHelper which can be used with a discount curve different
>> from the forwarding one being boostrapped
>>
>> On Tue, Jul 10, 2012 at 1:34 PM,  <tb...@ao...> wrote:
>>> Hi Ferdinando,
>>>
>>> I have a question on the paper Bootstrapping the Illiquidity. Please where
>>> in Quantlib is the code for boostrapping multiple interest rate yield curves
>>> implemented?
>>>
>>> Is there an example in Quantlib?
>>>
>>> Regards
>>>
>>> Theo
>>>
>>>
>>> -----Original Message-----
>>> From: quantlib-dev-request <qua...@li...>
>>> To: quantlib-dev <qua...@li...>
>>> Sent: Tue, 10 Jul 2012 9:56
>>> Subject: QuantLib-dev Digest, Vol 74, Issue 2
>>>
>>> Send QuantLib-dev mailing list submissions to
>>>       qua...@li...
>>>
>>> To subscribe or unsubscribe via the World Wide Web, visit
>>>       https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>> or, via email, send a message with subject or body 'help' to
>>>       qua...@li...
>>>
>>> You can reach the person managing the list at
>>>       qua...@li...
>>>
>>> When replying, please edit your Subject line so it is more specific
>>> than "Re: Contents of QuantLib-dev digest..."
>>>
>>>
>>> Today's Topics:
>>>
>>>    1. Re: Use QuantLib Swig Python Extension with VS2010
>>>       (Ferdinando Ametrano)
>>>    2. Re: Use QuantLib Swig Python Extension with VS2010 (Didrik Pinte)
>>>    3. Re: Use QuantLib Swig Python Extension with VS2010
>>>       (Luigi Ballabio)
>>>    4. Re: Use QuantLib Swig Python Extension with VS2010
>>>       (Ferdinando Ametrano)
>>>    5. Re: Use QuantLib Swig Python Extension with VS2010 (Eric Ehlers)
>>>    6. swapindex clone (Peter Caspers)
>>>    7. Re: QuantLibXL / ObjectHandler 1.2 Prerelease Files (Eric Ehlers)
>>>    8. [ quantlib-Patches-3541625 ] Math macros        redefinition
>>>       warnings on VC++ (SourceForge.net)
>>>    9. [ quantlib-Patches-3541627 ] Upgrade    boost::filesystem
>>>       functions to version 3 (SourceForge.net)
>>>
>>>
>>> ----------------------------------------------------------------------
>>>
>>> Message: 1
>>> Date: Thu, 5 Jul 2012 16:40:00 +0200
>>> From: Ferdinando Ametrano <na...@am...>
>>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>>>       VS2010
>>> To: Luigi Ballabio <lui...@gm...>
>>> Cc: Michael <mdr...@we...>, qua...@li...
>>> Message-ID:
>>>       <CAE...@ma...>
>>> Content-Type: text/plain; charset=ISO-8859-1
>>>
>>>>     I agree with VC2008 being the preferred compiler for the Python
>>>> module, but what do you mean with "QL is not friendly with VC2010"?
>>>
>>> Is the 2010 project actively maintained?
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 2
>>> Date: Thu, 5 Jul 2012 16:22:59 +0200
>>> From: Didrik Pinte <dp...@en...>
>>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>>>       VS2010
>>> To: Ferdinando Ametrano <na...@am...>
>>> Cc: Michael <mdr...@we...>, qua...@li...
>>> Message-ID:
>>>       <CAD...@ma...>
>>> Content-Type: text/plain; charset=UTF-8
>>>
>>> On 5 July 2012 16:09, Ferdinando Ametrano <na...@am...> wrote:
>>>> Hi Micheal
>>>>
>>>> in order to achieve your goal you should compile Python with VC2010,
>>>> or Pyhton and QL bindings would never link.
>>>> Anyway that is definitely not the suggested way to go, as you might
>>>> discover that also QL is not friendly with VC2010.
>>>>
>>>> Try to go back to VC2008. I for one would probably just skip VC2010
>>>> altogheter
>>>>
>>>> ciao -- Nando
>>>>
>>>> On Wed, Jul 4, 2012 at 10:00 PM, Michael <mdr...@we...> wrote:
>>>>> Dear all,
>>>>>
>>>>> I'm trying to compile the python swig extension. Unfortunately this is
>>>>> not
>>>>> working. My current setup looks like this.
>>>>>
>>>>> - QuantLib Version 1.1
>>>>> - Python Version 2.7.2
>>>>> - Visual Studio 2010 SP1
>>>>>
>>>>> When I try to compile the python swig extensions I get the following
>>>>> error:
>>>>>
>>>>> running build
>>>>> running build_py
>>>>> running build_ext
>>>>> building 'QuantLib._QuantLib' extension
>>>>> error: Unable to find vcvarsall.ba
>>>
>>> This is an issue with distutils that is not aware of VC2010. By
>>> tweaking your environment variables, you can bypass that.
>>>
>>> You might have issues related to the manifest in you files. I have
>>> solved that issue with Cython and some wrappers built under VS2010
>>> lately. I don't know how SWIG behaves though.
>>>
>>> -- Didrik
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 3
>>> Date: Thu, 5 Jul 2012 17:37:41 +0200
>>> From: Luigi Ballabio <lui...@gm...>
>>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>>>       VS2010
>>> To: Ferdinando Ametrano <na...@am...>
>>> Cc: Michael <mdr...@we...>, qua...@li...
>>> Message-ID:
>>>       <CAJ...@ma...>
>>> Content-Type: text/plain; charset=ISO-8859-1
>>>
>>> Sure it is.  At the very least, the one released in 1.2 works.
>>>
>>> Luigi
>>>
>>> On Thu, Jul 5, 2012 at 4:40 PM, Ferdinando Ametrano <na...@am...>
>>> wrote:
>>>> Is the 2010 project actively maintained?
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 4
>>> Date: Thu, 5 Jul 2012 17:48:44 +0200
>>> From: Ferdinando Ametrano <na...@am...>
>>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>>>       VS2010
>>> To: Luigi Ballabio <lui...@gm...>
>>> Cc: Michael <mdr...@we...>, qua...@li...
>>> Message-ID:
>>>       <CAE...@ma...>
>>> Content-Type: text/plain; charset=ISO-8859-1
>>>
>>> ok... so shame on me as the problem is just for QLXL which is not
>>> supported in 2010... :-(
>>>
>>> On Thu, Jul 5, 2012 at 5:37 PM, Luigi Ballabio <lui...@gm...>
>>> wrote:
>>>> Sure it is.  At the very least, the one released in 1.2 works.
>>>>
>>>> Luigi
>>>>
>>>> On Thu, Jul 5, 2012 at 4:40 PM, Ferdinando Ametrano <na...@am...>
>>> wrote:
>>>>> Is the 2010 project actively maintained?
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 5
>>> Date: Thu, 05 Jul 2012 22:21:40 +0200
>>> From: Eric Ehlers <eri...@na...>
>>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>>>       VS2010
>>> To: Ferdinando Ametrano <na...@am...>
>>> Cc: Michael <mdr...@we...>, qua...@li...,
>>>       Luigi Ballabio <lui...@gm...>
>>> Message-ID: <201...@mi...>
>>> Content-Type: text/plain; charset=ISO-8859-1; DelSp="Yes";
>>>       format="flowed"
>>>
>>> Quoting Ferdinando Ametrano <na...@am...>:
>>>
>>>> ok... so shame on me as the problem is just for QLXL which is not
>>>> supported in 2010... :-(
>>>
>>> i can try to rectify that when i package up the final release.
>>>
>>> ===================================================
>>> Eric Ehlers
>>> nazcatech sprl | Brussels | http://www.nazcatech.be
>>> * Distributed computing for pricing analytics
>>> * Use Microsoft Excel as a client to the Grid
>>>
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 6
>>> Date: Fri, 06 Jul 2012 20:24:32 +0200
>>> From: Peter Caspers <pca...@vo...>
>>> Subject: [Quantlib-dev] swapindex clone
>>> To: qua...@li...
>>> Message-ID: <4FF...@vo...>
>>> Content-Type: text/plain; charset=ISO-8859-15; format=flowed
>>>
>>> Hi,
>>>
>>> can we add the following to swapindex ?
>>>
>>> Peter
>>>
>>> //! returns a copy of itself linked to a different forwarding curve and
>>> discount curve
>>>          virtual boost::shared_ptr<SwapIndex> clone(
>>>                          const Handle<YieldTermStructure>& forwarding,
>>>                          const Handle<YieldTermStructure>& discount) const;
>>>
>>> shared_ptr<SwapIndex>
>>>      SwapIndex::clone(const Handle<YieldTermStructure>& forwarding,
>>>                       const Handle<YieldTermStructure>& discount) const {
>>>
>>>              return shared_ptr<SwapIndex>(new
>>>                  SwapIndex(familyName(),
>>>                            tenor(),
>>>                            fixingDays(),
>>>                            currency(),
>>>                            fixingCalendar(),
>>>                            fixedLegTenor(),
>>>                            fixedLegConvention(),
>>>                            dayCounter(),
>>>                            iborIndex_->clone(forwarding),
>>>                            discount));
>>>
>>>      }
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 7
>>> Date: Fri, 06 Jul 2012 21:57:40 +0200
>>> From: Eric Ehlers <eri...@na...>
>>> Subject: Re: [Quantlib-dev] QuantLibXL / ObjectHandler 1.2 Prerelease
>>>       Files
>>> To: QuantLib developers <qua...@li...>
>>> Message-ID: <201...@mi...>
>>> Content-Type: text/plain; charset=ISO-8859-1; DelSp="Yes";
>>>       format="flowed"
>>>
>>> Hi All,
>>>
>>> Many thanks to those who have gotten back to me so far with feedback.
>>>
>>> I will be offline for the next few days, I will try to resolve any
>>> open issues before the final release, which I hope to ship on 30 July.
>>>
>>> Kind Regards,
>>> Eric
>>>
>>> Quoting Eric Ehlers <eri...@na...>:
>>>
>>>> Hi All,
>>>>
>>>> The prerelease files for version 1.2 of QuantLibXL, QuantLibAddin,
>>>> and ObjectHandler are available at this link:
>>>>
>>>> http://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/
>>>>
>>>> I'd be grateful to anyone who could spare some time to test the files and
>>>> let
>>>> me know how it goes.
>>>>
>>>> Kind Regards,
>>>> Eric
>>>>
>>>> ===================================================
>>>> Eric Ehlers
>>>> nazcatech sprl | Brussels | http://www.nazcatech.be
>>>> * Distributed computing for pricing analytics
>>>> * Use Microsoft Excel as a client to the Grid
>>>>
>>>>
>>>>
>>>> ------------------------------------------------------------------------------
>>>> 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
>>>
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 8
>>> Date: Mon, 09 Jul 2012 08:27:10 -0700
>>> From: SourceForge.net <no...@so...>
>>> Subject: [Quantlib-dev] [ quantlib-Patches-3541625 ] Math macros
>>>       redefinition warnings on VC++
>>> To: SourceForge.net <no...@so...>
>>> Message-ID:
>>>       <mai...@li...>
>>> Content-Type: text/plain; charset=UTF-8
>>>
>>> Patches item #3541625, was opened at 2012-07-09 08:27
>>> Message generated for change (Tracker Item Submitted) made by piterdias
>>> You can respond by visiting:
>>> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541625&group_id=12740
>>>
>>> Please note that this message will contain a full copy of the comment
>>> thread,
>>> including the initial issue submission, for this request,
>>> not just the latest update.
>>> Category: None
>>> Group: None
>>> Status: Open
>>> Resolution: None
>>> Priority: 5
>>> Private: No
>>> Submitted By: Piter Dias (piterdias)
>>> Assigned to: Nobody/Anonymous (nobody)
>>> Summary: Math macros redefinition warnings on VC++
>>>
>>> Initial Comment:
>>> Macro redefinition warnings on VC++ due to math.h and qldefines.h math
>>> constants.
>>> Proposed solution is control QL macro creation based on _USE_MATH_DEFINES
>>> definition.
>>>
>>> ----------------------------------------------------------------------
>>>
>>> You can respond by visiting:
>>> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541625&group_id=12740
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 9
>>> Date: Mon, 09 Jul 2012 08:31:37 -0700
>>> From: SourceForge.net <no...@so...>
>>> Subject: [Quantlib-dev] [ quantlib-Patches-3541627 ] Upgrade
>>>       boost::filesystem functions to version 3
>>> To: SourceForge.net <no...@so...>
>>> Message-ID:
>>>       <mai...@li...>
>>> Content-Type: text/plain; charset=UTF-8
>>>
>>> Patches item #3541627, was opened at 2012-07-09 08:31
>>> Message generated for change (Tracker Item Submitted) made by piterdias
>>> You can respond by visiting:
>>> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&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: Piter Dias (piterdias)
>>> Assigned to: Nobody/Anonymous (nobody)
>>> Summary: Upgrade boost::filesystem functions to version 3
>>>
>>> Initial Comment:
>>> Newest Boost (1.50.0) does not support version 2 as explained at
>>> http://www.boost.org/doc/libs/1_50_0/libs/filesystem/doc/index.htm.
>>>
>>> ----------------------------------------------------------------------
>>>
>>> You can respond by visiting:
>>> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&group_id=12740
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> ------------------------------------------------------------------------------
>>> 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
>>>
>>>
>>> End of QuantLib-dev Digest, Vol 74, Issue 2
>>> *******************************************
>>>
>>>
>>> ------------------------------------------------------------------------------
>>> 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

Re: [Quantlib-dev] Negative Rates - Failed tests for PiecewiseYieldCurve

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

Hi Ahmad,
    apologies for the late reply.  That test uses log-linear
interpolation of rates, which of course breaks for negative rates due
to the logarithm.  The test case should just be disabled when negative
rates are allowed.  You can ignore the failure.

Luigi

On Thu, Jun 14, 2012 at 11:31 AM, Ahmad Mahomed <ahm...@gm...> wrote:
> Hi,
>
> I'm building QL 1.1 with QL_NEGATIVE_RATES enabled in the userconfig.hpp
> file and receive the following failure when running the test suite. The same
> error occurred on two builds on two machines. Both machines are x64 Win7
> machines, using VS2010. The builds are 32 bit though.
>
> The following is a snippet from the build output.
>
> =====================
> Testing consistency of piecewise-log-linear discount curve...
> Testing consistency of piecewise-linear discount curve...
> Testing consistency of piecewise-log-linear zero-yield curve...
> unknown location(0): fatal error in
> "QuantLib::detail::quantlib_test_case(&PiecewiseYieldCurveTest::testLogLinearZeroConsistency)":
> std::exception: 1st iteration: failed at 1st alive instrument, maturity June
> 25th, 2012, reference date June 18th, 2012: invalid value (-3) at index 0
>
> c:\code\quantlib\quantlib-1.1\quantlib-1.1\test-suite\utilities.hpp(78):
> last checkpoint
> Testing consistency of piecewise-linear zero-yield curve...
> Testing consistency of piecewise-cubic zero-yield curve...
> Testing consistency of piecewise-linear forward-rate curve...
> Testing consistency of piecewise-flat forward-rate curve...
> Testing consistency of convex monotone forward-rate curve......
> ...
> ...
>
> Tests completed in 19 m 56 s
>
> Test suite "Master Test Suite" failed with:
>            1703 assertions out of 1704 passed
>            1 assertion out of 1704 failed
>            459 test cases out of 460 passed
>            1 test case out of 460 failed
>            1 test case out of 460 aborted
> ======================
>
> I have seen 2 previous issues remotely similar to this, so there is not much
> in terms of what the solution could be. Please assist.
>
> Regards,
>
> --
> Ahmad Mahomed
>
> ------------------------------------------------------------------------------
> 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] QuantLib-dev Digest, boostrapping multiple interest rate yield curves

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

We do need an example of this, though.  Nando, do you have a dataset
we can use?  I'll try and find a volunteer for the example...

Luigi

On Tue, Jul 10, 2012 at 2:39 PM, Ferdinando Ametrano <na...@am...> wrote:
> check
> a) iterative boostrap
> b) SwapRateHelper which can be used with a discount curve different
> from the forwarding one being boostrapped
>
> On Tue, Jul 10, 2012 at 1:34 PM,  <tb...@ao...> wrote:
>> Hi Ferdinando,
>>
>> I have a question on the paper Bootstrapping the Illiquidity. Please where
>> in Quantlib is the code for boostrapping multiple interest rate yield curves
>> implemented?
>>
>> Is there an example in Quantlib?
>>
>> Regards
>>
>> Theo
>>
>>
>> -----Original Message-----
>> From: quantlib-dev-request <qua...@li...>
>> To: quantlib-dev <qua...@li...>
>> Sent: Tue, 10 Jul 2012 9:56
>> Subject: QuantLib-dev Digest, Vol 74, Issue 2
>>
>> Send QuantLib-dev mailing list submissions to
>>       qua...@li...
>>
>> To subscribe or unsubscribe via the World Wide Web, visit
>>       https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>> or, via email, send a message with subject or body 'help' to
>>       qua...@li...
>>
>> You can reach the person managing the list at
>>       qua...@li...
>>
>> When replying, please edit your Subject line so it is more specific
>> than "Re: Contents of QuantLib-dev digest..."
>>
>>
>> Today's Topics:
>>
>>    1. Re: Use QuantLib Swig Python Extension with VS2010
>>       (Ferdinando Ametrano)
>>    2. Re: Use QuantLib Swig Python Extension with VS2010 (Didrik Pinte)
>>    3. Re: Use QuantLib Swig Python Extension with VS2010
>>       (Luigi Ballabio)
>>    4. Re: Use QuantLib Swig Python Extension with VS2010
>>       (Ferdinando Ametrano)
>>    5. Re: Use QuantLib Swig Python Extension with VS2010 (Eric Ehlers)
>>    6. swapindex clone (Peter Caspers)
>>    7. Re: QuantLibXL / ObjectHandler 1.2 Prerelease Files (Eric Ehlers)
>>    8. [ quantlib-Patches-3541625 ] Math macros        redefinition
>>       warnings on VC++ (SourceForge.net)
>>    9. [ quantlib-Patches-3541627 ] Upgrade    boost::filesystem
>>       functions to version 3 (SourceForge.net)
>>
>>
>> ----------------------------------------------------------------------
>>
>> Message: 1
>> Date: Thu, 5 Jul 2012 16:40:00 +0200
>> From: Ferdinando Ametrano <na...@am...>
>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>>       VS2010
>> To: Luigi Ballabio <lui...@gm...>
>> Cc: Michael <mdr...@we...>, qua...@li...
>> Message-ID:
>>       <CAE...@ma...>
>> Content-Type: text/plain; charset=ISO-8859-1
>>
>>>     I agree with VC2008 being the preferred compiler for the Python
>>> module, but what do you mean with "QL is not friendly with VC2010"?
>>
>> Is the 2010 project actively maintained?
>>
>>
>>
>> ------------------------------
>>
>> Message: 2
>> Date: Thu, 5 Jul 2012 16:22:59 +0200
>> From: Didrik Pinte <dp...@en...>
>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>>       VS2010
>> To: Ferdinando Ametrano <na...@am...>
>> Cc: Michael <mdr...@we...>, qua...@li...
>> Message-ID:
>>       <CAD...@ma...>
>> Content-Type: text/plain; charset=UTF-8
>>
>> On 5 July 2012 16:09, Ferdinando Ametrano <na...@am...> wrote:
>>> Hi Micheal
>>>
>>> in order to achieve your goal you should compile Python with VC2010,
>>> or Pyhton and QL bindings would never link.
>>> Anyway that is definitely not the suggested way to go, as you might
>>> discover that also QL is not friendly with VC2010.
>>>
>>> Try to go back to VC2008. I for one would probably just skip VC2010
>>> altogheter
>>>
>>> ciao -- Nando
>>>
>>> On Wed, Jul 4, 2012 at 10:00 PM, Michael <mdr...@we...> wrote:
>>>> Dear all,
>>>>
>>>> I'm trying to compile the python swig extension. Unfortunately this is
>>>> not
>>>> working. My current setup looks like this.
>>>>
>>>> - QuantLib Version 1.1
>>>> - Python Version 2.7.2
>>>> - Visual Studio 2010 SP1
>>>>
>>>> When I try to compile the python swig extensions I get the following
>>>> error:
>>>>
>>>> running build
>>>> running build_py
>>>> running build_ext
>>>> building 'QuantLib._QuantLib' extension
>>>> error: Unable to find vcvarsall.ba
>>
>> This is an issue with distutils that is not aware of VC2010. By
>> tweaking your environment variables, you can bypass that.
>>
>> You might have issues related to the manifest in you files. I have
>> solved that issue with Cython and some wrappers built under VS2010
>> lately. I don't know how SWIG behaves though.
>>
>> -- Didrik
>>
>>
>>
>> ------------------------------
>>
>> Message: 3
>> Date: Thu, 5 Jul 2012 17:37:41 +0200
>> From: Luigi Ballabio <lui...@gm...>
>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>>       VS2010
>> To: Ferdinando Ametrano <na...@am...>
>> Cc: Michael <mdr...@we...>, qua...@li...
>> Message-ID:
>>       <CAJ...@ma...>
>> Content-Type: text/plain; charset=ISO-8859-1
>>
>> Sure it is.  At the very least, the one released in 1.2 works.
>>
>> Luigi
>>
>> On Thu, Jul 5, 2012 at 4:40 PM, Ferdinando Ametrano <na...@am...>
>> wrote:
>>> Is the 2010 project actively maintained?
>>
>>
>>
>> ------------------------------
>>
>> Message: 4
>> Date: Thu, 5 Jul 2012 17:48:44 +0200
>> From: Ferdinando Ametrano <na...@am...>
>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>>       VS2010
>> To: Luigi Ballabio <lui...@gm...>
>> Cc: Michael <mdr...@we...>, qua...@li...
>> Message-ID:
>>       <CAE...@ma...>
>> Content-Type: text/plain; charset=ISO-8859-1
>>
>> ok... so shame on me as the problem is just for QLXL which is not
>> supported in 2010... :-(
>>
>> On Thu, Jul 5, 2012 at 5:37 PM, Luigi Ballabio <lui...@gm...>
>> wrote:
>>> Sure it is.  At the very least, the one released in 1.2 works.
>>>
>>> Luigi
>>>
>>> On Thu, Jul 5, 2012 at 4:40 PM, Ferdinando Ametrano <na...@am...>
>> wrote:
>>>> Is the 2010 project actively maintained?
>>
>>
>>
>> ------------------------------
>>
>> Message: 5
>> Date: Thu, 05 Jul 2012 22:21:40 +0200
>> From: Eric Ehlers <eri...@na...>
>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>>       VS2010
>> To: Ferdinando Ametrano <na...@am...>
>> Cc: Michael <mdr...@we...>, qua...@li...,
>>       Luigi Ballabio <lui...@gm...>
>> Message-ID: <201...@mi...>
>> Content-Type: text/plain; charset=ISO-8859-1; DelSp="Yes";
>>       format="flowed"
>>
>> Quoting Ferdinando Ametrano <na...@am...>:
>>
>>> ok... so shame on me as the problem is just for QLXL which is not
>>> supported in 2010... :-(
>>
>> i can try to rectify that when i package up the final release.
>>
>> ===================================================
>> Eric Ehlers
>> nazcatech sprl | Brussels | http://www.nazcatech.be
>> * Distributed computing for pricing analytics
>> * Use Microsoft Excel as a client to the Grid
>>
>>
>>
>>
>> ------------------------------
>>
>> Message: 6
>> Date: Fri, 06 Jul 2012 20:24:32 +0200
>> From: Peter Caspers <pca...@vo...>
>> Subject: [Quantlib-dev] swapindex clone
>> To: qua...@li...
>> Message-ID: <4FF...@vo...>
>> Content-Type: text/plain; charset=ISO-8859-15; format=flowed
>>
>> Hi,
>>
>> can we add the following to swapindex ?
>>
>> Peter
>>
>> //! returns a copy of itself linked to a different forwarding curve and
>> discount curve
>>          virtual boost::shared_ptr<SwapIndex> clone(
>>                          const Handle<YieldTermStructure>& forwarding,
>>                          const Handle<YieldTermStructure>& discount) const;
>>
>> shared_ptr<SwapIndex>
>>      SwapIndex::clone(const Handle<YieldTermStructure>& forwarding,
>>                       const Handle<YieldTermStructure>& discount) const {
>>
>>              return shared_ptr<SwapIndex>(new
>>                  SwapIndex(familyName(),
>>                            tenor(),
>>                            fixingDays(),
>>                            currency(),
>>                            fixingCalendar(),
>>                            fixedLegTenor(),
>>                            fixedLegConvention(),
>>                            dayCounter(),
>>                            iborIndex_->clone(forwarding),
>>                            discount));
>>
>>      }
>>
>>
>>
>> ------------------------------
>>
>> Message: 7
>> Date: Fri, 06 Jul 2012 21:57:40 +0200
>> From: Eric Ehlers <eri...@na...>
>> Subject: Re: [Quantlib-dev] QuantLibXL / ObjectHandler 1.2 Prerelease
>>       Files
>> To: QuantLib developers <qua...@li...>
>> Message-ID: <201...@mi...>
>> Content-Type: text/plain; charset=ISO-8859-1; DelSp="Yes";
>>       format="flowed"
>>
>> Hi All,
>>
>> Many thanks to those who have gotten back to me so far with feedback.
>>
>> I will be offline for the next few days, I will try to resolve any
>> open issues before the final release, which I hope to ship on 30 July.
>>
>> Kind Regards,
>> Eric
>>
>> Quoting Eric Ehlers <eri...@na...>:
>>
>>> Hi All,
>>>
>>> The prerelease files for version 1.2 of QuantLibXL, QuantLibAddin,
>>> and ObjectHandler are available at this link:
>>>
>>> http://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/
>>>
>>> I'd be grateful to anyone who could spare some time to test the files and
>>> let
>>> me know how it goes.
>>>
>>> Kind Regards,
>>> Eric
>>>
>>> ===================================================
>>> Eric Ehlers
>>> nazcatech sprl | Brussels | http://www.nazcatech.be
>>> * Distributed computing for pricing analytics
>>> * Use Microsoft Excel as a client to the Grid
>>>
>>>
>>>
>>> ------------------------------------------------------------------------------
>>> 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
>>
>>
>>
>>
>> ------------------------------
>>
>> Message: 8
>> Date: Mon, 09 Jul 2012 08:27:10 -0700
>> From: SourceForge.net <no...@so...>
>> Subject: [Quantlib-dev] [ quantlib-Patches-3541625 ] Math macros
>>       redefinition warnings on VC++
>> To: SourceForge.net <no...@so...>
>> Message-ID:
>>       <mai...@li...>
>> Content-Type: text/plain; charset=UTF-8
>>
>> Patches item #3541625, was opened at 2012-07-09 08:27
>> Message generated for change (Tracker Item Submitted) made by piterdias
>> You can respond by visiting:
>> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541625&group_id=12740
>>
>> Please note that this message will contain a full copy of the comment
>> thread,
>> including the initial issue submission, for this request,
>> not just the latest update.
>> Category: None
>> Group: None
>> Status: Open
>> Resolution: None
>> Priority: 5
>> Private: No
>> Submitted By: Piter Dias (piterdias)
>> Assigned to: Nobody/Anonymous (nobody)
>> Summary: Math macros redefinition warnings on VC++
>>
>> Initial Comment:
>> Macro redefinition warnings on VC++ due to math.h and qldefines.h math
>> constants.
>> Proposed solution is control QL macro creation based on _USE_MATH_DEFINES
>> definition.
>>
>> ----------------------------------------------------------------------
>>
>> You can respond by visiting:
>> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541625&group_id=12740
>>
>>
>>
>> ------------------------------
>>
>> Message: 9
>> Date: Mon, 09 Jul 2012 08:31:37 -0700
>> From: SourceForge.net <no...@so...>
>> Subject: [Quantlib-dev] [ quantlib-Patches-3541627 ] Upgrade
>>       boost::filesystem functions to version 3
>> To: SourceForge.net <no...@so...>
>> Message-ID:
>>       <mai...@li...>
>> Content-Type: text/plain; charset=UTF-8
>>
>> Patches item #3541627, was opened at 2012-07-09 08:31
>> Message generated for change (Tracker Item Submitted) made by piterdias
>> You can respond by visiting:
>> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&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: Piter Dias (piterdias)
>> Assigned to: Nobody/Anonymous (nobody)
>> Summary: Upgrade boost::filesystem functions to version 3
>>
>> Initial Comment:
>> Newest Boost (1.50.0) does not support version 2 as explained at
>> http://www.boost.org/doc/libs/1_50_0/libs/filesystem/doc/index.htm.
>>
>> ----------------------------------------------------------------------
>>
>> You can respond by visiting:
>> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&group_id=12740
>>
>>
>>
>> ------------------------------
>>
>> ------------------------------------------------------------------------------
>> 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
>>
>>
>> End of QuantLib-dev Digest, Vol 74, Issue 2
>> *******************************************
>>
>>
>> ------------------------------------------------------------------------------
>> 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] [ quantlib-Patches-3542397 ] Define boost::assertion_failed_msg due to changes on boost

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

Patches item #3542397, was opened at 2012-07-10 19:46
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3542397&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
>Status: Closed
>Resolution: Accepted
Priority: 5
Private: No
Submitted By: Piter Dias (piterdias)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Define boost::assertion_failed_msg due to changes on boost

Initial Comment:
boost/array.hpp is now using BOOST_ASSERT_MSG instead of BOOST_ASSERT.
When BOOST_ENABLE_ASSERT_HANDLER is defined, like in qldefines.hpp, BOOST_ASSERT_MSG requires user defined function boost::assertion_failed_msg, but boost/array.hpp doesn't define it.
QuantLibXL fails due use of boost/array.hpp on sabrvolsurface.hpp.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2012-07-12 03:30

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


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

Comment By: Piter Dias (piterdias)
Date: 2012-07-11 18:57

Message:
Moved to  ql/errors.cpp and changed to work like boost::assertion_failed
(plus msg output).

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

Comment By: Luigi Ballabio (lballabio)
Date: 2012-07-11 02:14

Message:
Ok, but:
1) I would add the function to ql/errors.cpp where boost::assertion_failed
is also defined (no need to include it in each file through qlconfig.hpp);
2) I would have it throw an exception like assertion_failed does, instead
of aborting.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3542397&group_id=12740

[Quantlib-dev] [ quantlib-Patches-3542397 ] Define boost::assertion_failed_msg due to changes on boost

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

Patches item #3542397, was opened at 2012-07-10 19:46
Message generated for change (Comment added) made by piterdias
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3542397&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: Piter Dias (piterdias)
Assigned to: Nobody/Anonymous (nobody)
Summary: Define boost::assertion_failed_msg due to changes on boost

Initial Comment:
boost/array.hpp is now using BOOST_ASSERT_MSG instead of BOOST_ASSERT.
When BOOST_ENABLE_ASSERT_HANDLER is defined, like in qldefines.hpp, BOOST_ASSERT_MSG requires user defined function boost::assertion_failed_msg, but boost/array.hpp doesn't define it.
QuantLibXL fails due use of boost/array.hpp on sabrvolsurface.hpp.

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

Comment By: Piter Dias (piterdias)
Date: 2012-07-11 18:57

Message:
Moved to  ql/errors.cpp and changed to work like boost::assertion_failed
(plus msg output).

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

Comment By: Luigi Ballabio (lballabio)
Date: 2012-07-11 02:14

Message:
Ok, but:
1) I would add the function to ql/errors.cpp where boost::assertion_failed
is also defined (no need to include it in each file through qlconfig.hpp);
2) I would have it throw an exception like assertion_failed does, instead
of aborting.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3542397&group_id=12740

[Quantlib-dev] [ quantlib-Patches-3542397 ] Define boost::assertion_failed_msg due to changes on boost

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

Patches item #3542397, was opened at 2012-07-10 19:46
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3542397&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: Piter Dias (piterdias)
Assigned to: Nobody/Anonymous (nobody)
Summary: Define boost::assertion_failed_msg due to changes on boost

Initial Comment:
boost/array.hpp is now using BOOST_ASSERT_MSG instead of BOOST_ASSERT.
When BOOST_ENABLE_ASSERT_HANDLER is defined, like in qldefines.hpp, BOOST_ASSERT_MSG requires user defined function boost::assertion_failed_msg, but boost/array.hpp doesn't define it.
QuantLibXL fails due use of boost/array.hpp on sabrvolsurface.hpp.

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2012-07-11 02:14

Message:
Ok, but:
1) I would add the function to ql/errors.cpp where boost::assertion_failed
is also defined (no need to include it in each file through qlconfig.hpp);
2) I would have it throw an exception like assertion_failed does, instead
of aborting.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3542397&group_id=12740

[Quantlib-dev] [ quantlib-Patches-3542397 ] Define boost::assertion_failed_msg due to changes on boost

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

Patches item #3542397, was opened at 2012-07-10 19:46
Message generated for change (Tracker Item Submitted) made by piterdias
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3542397&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: Piter Dias (piterdias)
Assigned to: Nobody/Anonymous (nobody)
Summary: Define boost::assertion_failed_msg due to changes on boost

Initial Comment:
boost/array.hpp is now using BOOST_ASSERT_MSG instead of BOOST_ASSERT.
When BOOST_ENABLE_ASSERT_HANDLER is defined, like in qldefines.hpp, BOOST_ASSERT_MSG requires user defined function boost::assertion_failed_msg, but boost/array.hpp doesn't define it.
QuantLibXL fails due use of boost/array.hpp on sabrvolsurface.hpp.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3542397&group_id=12740

[Quantlib-dev] [ quantlib-Patches-3541627 ] Upgrade boost::filesystem functions to version 3

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

Patches item #3541627, was opened at 2012-07-09 08:31
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Closed
Resolution: Accepted
Priority: 5
Private: No
Submitted By: Piter Dias (piterdias)
Assigned to: Ferdinando Ametrano (nando)
Summary: Upgrade boost::filesystem functions to version 3

Initial Comment:
Newest Boost (1.50.0) does not support version 2 as explained at http://www.boost.org/doc/libs/1_50_0/libs/filesystem/doc/index.htm.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2012-07-10 06:06

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


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&group_id=12740

[Quantlib-dev] [ quantlib-Patches-3541627 ] Upgrade boost::filesystem functions to version 3

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

Patches item #3541627, was opened at 2012-07-09 08:31
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
>Status: Closed
>Resolution: Accepted
Priority: 5
Private: No
Submitted By: Piter Dias (piterdias)
>Assigned to: Ferdinando Ametrano (nando)
Summary: Upgrade boost::filesystem functions to version 3

Initial Comment:
Newest Boost (1.50.0) does not support version 2 as explained at http://www.boost.org/doc/libs/1_50_0/libs/filesystem/doc/index.htm.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2012-07-10 06:06

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


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&group_id=12740

Re: [Quantlib-dev] QuantLib-dev Digest, boostrapping multiple interest rate yield curves

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

check
a) iterative boostrap
b) SwapRateHelper which can be used with a discount curve different
from the forwarding one being boostrapped

On Tue, Jul 10, 2012 at 1:34 PM,  <tb...@ao...> wrote:
> Hi Ferdinando,
>
> I have a question on the paper Bootstrapping the Illiquidity. Please where
> in Quantlib is the code for boostrapping multiple interest rate yield curves
> implemented?
>
> Is there an example in Quantlib?
>
> Regards
>
> Theo
>
>
> -----Original Message-----
> From: quantlib-dev-request <qua...@li...>
> To: quantlib-dev <qua...@li...>
> Sent: Tue, 10 Jul 2012 9:56
> Subject: QuantLib-dev Digest, Vol 74, Issue 2
>
> Send QuantLib-dev mailing list submissions to
> 	qua...@li...
>
> To subscribe or unsubscribe via the World Wide Web, visit
> 	https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> or, via email, send a message with subject or body 'help' to
> 	qua...@li...
>
> You can reach the person managing the list at
> 	qua...@li...
>
> When replying, please edit your Subject line so it is more specific
> than "Re: Contents of QuantLib-dev digest..."
>
>
> Today's Topics:
>
>    1. Re: Use QuantLib Swig Python Extension with VS2010
>       (Ferdinando Ametrano)
>    2. Re: Use QuantLib Swig Python Extension with VS2010 (Didrik Pinte)
>    3. Re: Use QuantLib Swig Python Extension with VS2010
>       (Luigi Ballabio)
>    4. Re: Use QuantLib Swig Python Extension with VS2010
>       (Ferdinando Ametrano)
>    5. Re: Use QuantLib Swig Python Extension with VS2010 (Eric Ehlers)
>    6. swapindex clone (Peter Caspers)
>    7. Re: QuantLibXL / ObjectHandler 1.2 Prerelease Files (Eric Ehlers)
>    8. [ quantlib-Patches-3541625 ] Math macros	redefinition
>       warnings on VC++ (SourceForge.net)
>    9. [ quantlib-Patches-3541627 ] Upgrade	boost::filesystem
>       functions to version 3 (SourceForge.net)
>
>
> ----------------------------------------------------------------------
>
> Message: 1
> Date: Thu, 5 Jul 2012 16:40:00 +0200
> From: Ferdinando Ametrano <na...@am...>
> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
> 	VS2010
> To: Luigi Ballabio <lui...@gm...>
> Cc: Michael <mdr...@we...>, qua...@li...
> Message-ID:
> 	<CAE...@ma...>
> Content-Type: text/plain; charset=ISO-8859-1
>
>>     I agree with VC2008 being the preferred compiler for the Python
>> module, but what do you mean with "QL is not friendly with VC2010"?
>
> Is the 2010 project actively maintained?
>
>
>
> ------------------------------
>
> Message: 2
> Date: Thu, 5 Jul 2012 16:22:59 +0200
> From: Didrik Pinte <dp...@en...>
> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
> 	VS2010
> To: Ferdinando Ametrano <na...@am...>
> Cc: Michael <mdr...@we...>, qua...@li...
> Message-ID:
> 	<CAD...@ma...>
> Content-Type: text/plain; charset=UTF-8
>
> On 5 July 2012 16:09, Ferdinando Ametrano <na...@am...> wrote:
>> Hi Micheal
>>
>> in order to achieve your goal you should compile Python with VC2010,
>> or Pyhton and QL bindings would never link.
>> Anyway that is definitely not the suggested way to go, as you might
>> discover that also QL is not friendly with VC2010.
>>
>> Try to go back to VC2008. I for one would probably just skip VC2010
>> altogheter
>>
>> ciao -- Nando
>>
>> On Wed, Jul 4, 2012 at 10:00 PM, Michael <mdr...@we...> wrote:
>>> Dear all,
>>>
>>> I'm trying to compile the python swig extension. Unfortunately this is
>>> not
>>> working. My current setup looks like this.
>>>
>>> - QuantLib Version 1.1
>>> - Python Version 2.7.2
>>> - Visual Studio 2010 SP1
>>>
>>> When I try to compile the python swig extensions I get the following
>>> error:
>>>
>>> running build
>>> running build_py
>>> running build_ext
>>> building 'QuantLib._QuantLib' extension
>>> error: Unable to find vcvarsall.ba
>
> This is an issue with distutils that is not aware of VC2010. By
> tweaking your environment variables, you can bypass that.
>
> You might have issues related to the manifest in you files. I have
> solved that issue with Cython and some wrappers built under VS2010
> lately. I don't know how SWIG behaves though.
>
> -- Didrik
>
>
>
> ------------------------------
>
> Message: 3
> Date: Thu, 5 Jul 2012 17:37:41 +0200
> From: Luigi Ballabio <lui...@gm...>
> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
> 	VS2010
> To: Ferdinando Ametrano <na...@am...>
> Cc: Michael <mdr...@we...>, qua...@li...
> Message-ID:
> 	<CAJ...@ma...>
> Content-Type: text/plain; charset=ISO-8859-1
>
> Sure it is.  At the very least, the one released in 1.2 works.
>
> Luigi
>
> On Thu, Jul 5, 2012 at 4:40 PM, Ferdinando Ametrano <na...@am...>
> wrote:
>> Is the 2010 project actively maintained?
>
>
>
> ------------------------------
>
> Message: 4
> Date: Thu, 5 Jul 2012 17:48:44 +0200
> From: Ferdinando Ametrano <na...@am...>
> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
> 	VS2010
> To: Luigi Ballabio <lui...@gm...>
> Cc: Michael <mdr...@we...>, qua...@li...
> Message-ID:
> 	<CAE...@ma...>
> Content-Type: text/plain; charset=ISO-8859-1
>
> ok... so shame on me as the problem is just for QLXL which is not
> supported in 2010... :-(
>
> On Thu, Jul 5, 2012 at 5:37 PM, Luigi Ballabio <lui...@gm...>
> wrote:
>> Sure it is.  At the very least, the one released in 1.2 works.
>>
>> Luigi
>>
>> On Thu, Jul 5, 2012 at 4:40 PM, Ferdinando Ametrano <na...@am...>
> wrote:
>>> Is the 2010 project actively maintained?
>
>
>
> ------------------------------
>
> Message: 5
> Date: Thu, 05 Jul 2012 22:21:40 +0200
> From: Eric Ehlers <eri...@na...>
> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
> 	VS2010
> To: Ferdinando Ametrano <na...@am...>
> Cc: Michael <mdr...@we...>, qua...@li...,
> 	Luigi Ballabio <lui...@gm...>
> Message-ID: <201...@mi...>
> Content-Type: text/plain; charset=ISO-8859-1; DelSp="Yes";
> 	format="flowed"
>
> Quoting Ferdinando Ametrano <na...@am...>:
>
>> ok... so shame on me as the problem is just for QLXL which is not
>> supported in 2010... :-(
>
> i can try to rectify that when i package up the final release.
>
> ===================================================
> Eric Ehlers
> nazcatech sprl | Brussels | http://www.nazcatech.be
> * Distributed computing for pricing analytics
> * Use Microsoft Excel as a client to the Grid
>
>
>
>
> ------------------------------
>
> Message: 6
> Date: Fri, 06 Jul 2012 20:24:32 +0200
> From: Peter Caspers <pca...@vo...>
> Subject: [Quantlib-dev] swapindex clone
> To: qua...@li...
> Message-ID: <4FF...@vo...>
> Content-Type: text/plain; charset=ISO-8859-15; format=flowed
>
> Hi,
>
> can we add the following to swapindex ?
>
> Peter
>
> //! returns a copy of itself linked to a different forwarding curve and
> discount curve
>          virtual boost::shared_ptr<SwapIndex> clone(
>                          const Handle<YieldTermStructure>& forwarding,
>                          const Handle<YieldTermStructure>& discount) const;
>
> shared_ptr<SwapIndex>
>      SwapIndex::clone(const Handle<YieldTermStructure>& forwarding,
>                       const Handle<YieldTermStructure>& discount) const {
>
>              return shared_ptr<SwapIndex>(new
>                  SwapIndex(familyName(),
>                            tenor(),
>                            fixingDays(),
>                            currency(),
>                            fixingCalendar(),
>                            fixedLegTenor(),
>                            fixedLegConvention(),
>                            dayCounter(),
>                            iborIndex_->clone(forwarding),
>                            discount));
>
>      }
>
>
>
> ------------------------------
>
> Message: 7
> Date: Fri, 06 Jul 2012 21:57:40 +0200
> From: Eric Ehlers <eri...@na...>
> Subject: Re: [Quantlib-dev] QuantLibXL / ObjectHandler 1.2 Prerelease
> 	Files
> To: QuantLib developers <qua...@li...>
> Message-ID: <201...@mi...>
> Content-Type: text/plain; charset=ISO-8859-1; DelSp="Yes";
> 	format="flowed"
>
> Hi All,
>
> Many thanks to those who have gotten back to me so far with feedback.
>
> I will be offline for the next few days, I will try to resolve any
> open issues before the final release, which I hope to ship on 30 July.
>
> Kind Regards,
> Eric
>
> Quoting Eric Ehlers <eri...@na...>:
>
>> Hi All,
>>
>> The prerelease files for version 1.2 of QuantLibXL, QuantLibAddin,
>> and ObjectHandler are available at this link:
>>
>> http://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/
>>
>> I'd be grateful to anyone who could spare some time to test the files and
>> let
>> me know how it goes.
>>
>> Kind Regards,
>> Eric
>>
>> ===================================================
>> Eric Ehlers
>> nazcatech sprl | Brussels | http://www.nazcatech.be
>> * Distributed computing for pricing analytics
>> * Use Microsoft Excel as a client to the Grid
>>
>>
>>
>> ------------------------------------------------------------------------------
>> 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
>
>
>
>
> ------------------------------
>
> Message: 8
> Date: Mon, 09 Jul 2012 08:27:10 -0700
> From: SourceForge.net <no...@so...>
> Subject: [Quantlib-dev] [ quantlib-Patches-3541625 ] Math macros
> 	redefinition warnings on VC++
> To: SourceForge.net <no...@so...>
> Message-ID:
> 	<mai...@li...>
> Content-Type: text/plain; charset=UTF-8
>
> Patches item #3541625, was opened at 2012-07-09 08:27
> Message generated for change (Tracker Item Submitted) made by piterdias
> You can respond by visiting:
> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541625&group_id=12740
>
> Please note that this message will contain a full copy of the comment
> thread,
> including the initial issue submission, for this request,
> not just the latest update.
> Category: None
> Group: None
> Status: Open
> Resolution: None
> Priority: 5
> Private: No
> Submitted By: Piter Dias (piterdias)
> Assigned to: Nobody/Anonymous (nobody)
> Summary: Math macros redefinition warnings on VC++
>
> Initial Comment:
> Macro redefinition warnings on VC++ due to math.h and qldefines.h math
> constants.
> Proposed solution is control QL macro creation based on _USE_MATH_DEFINES
> definition.
>
> ----------------------------------------------------------------------
>
> You can respond by visiting:
> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541625&group_id=12740
>
>
>
> ------------------------------
>
> Message: 9
> Date: Mon, 09 Jul 2012 08:31:37 -0700
> From: SourceForge.net <no...@so...>
> Subject: [Quantlib-dev] [ quantlib-Patches-3541627 ] Upgrade
> 	boost::filesystem functions to version 3
> To: SourceForge.net <no...@so...>
> Message-ID:
> 	<mai...@li...>
> Content-Type: text/plain; charset=UTF-8
>
> Patches item #3541627, was opened at 2012-07-09 08:31
> Message generated for change (Tracker Item Submitted) made by piterdias
> You can respond by visiting:
> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&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: Piter Dias (piterdias)
> Assigned to: Nobody/Anonymous (nobody)
> Summary: Upgrade boost::filesystem functions to version 3
>
> Initial Comment:
> Newest Boost (1.50.0) does not support version 2 as explained at
> http://www.boost.org/doc/libs/1_50_0/libs/filesystem/doc/index.htm.
>
> ----------------------------------------------------------------------
>
> You can respond by visiting:
> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&group_id=12740
>
>
>
> ------------------------------
>
> ------------------------------------------------------------------------------
> 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
>
>
> End of QuantLib-dev Digest, Vol 74, Issue 2
> *******************************************
>
>
> ------------------------------------------------------------------------------
> 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] QuantLib-dev Digest, boostrapping multiple interest rate yield curves

[<tb...@ao...>]

Hi Ferdinando,
 
I have a question on the paper Bootstrapping the Illiquidity. Please where in Quantlib is the code for boostrapping multiple interest rate yield curves implemented?
 
Is there an example in Quantlib?
 
Regards
 
Theo



-----Original Message-----
From: quantlib-dev-request <qua...@li...>
To: quantlib-dev <qua...@li...>
Sent: Tue, 10 Jul 2012 9:56
Subject: QuantLib-dev Digest, Vol 74, Issue 2


Send QuantLib-dev mailing list submissions to
qua...@li...
To subscribe or unsubscribe via the World Wide Web, visit
https://lists.sourceforge.net/lists/listinfo/quantlib-dev
r, via email, send a message with subject or body 'help' to
qua...@li...
You can reach the person managing the list at
qua...@li...
When replying, please edit your Subject line so it is more specific
han "Re: Contents of QuantLib-dev digest..."

oday's Topics:
   1. Re: Use QuantLib Swig Python Extension with VS2010
     (Ferdinando Ametrano)
  2. Re: Use QuantLib Swig Python Extension with VS2010 (Didrik Pinte)
  3. Re: Use QuantLib Swig Python Extension with VS2010
     (Luigi Ballabio)
  4. Re: Use QuantLib Swig Python Extension with VS2010
     (Ferdinando Ametrano)
  5. Re: Use QuantLib Swig Python Extension with VS2010 (Eric Ehlers)
  6. swapindex clone (Peter Caspers)
  7. Re: QuantLibXL / ObjectHandler 1.2 Prerelease Files (Eric Ehlers)
  8. [ quantlib-Patches-3541625 ] Math macros	redefinition
     warnings on VC++ (SourceForge.net)
  9. [ quantlib-Patches-3541627 ] Upgrade	boost::filesystem
     functions to version 3 (SourceForge.net)

---------------------------------------------------------------------
Message: 1
ate: Thu, 5 Jul 2012 16:40:00 +0200
rom: Ferdinando Ametrano <na...@am...>
ubject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
VS2010
o: Luigi Ballabio <lui...@gm...>
c: Michael <mdr...@we...>, qua...@li...
essage-ID:
<CAE...@ma...>
ontent-Type: text/plain; charset=ISO-8859-1
>     I agree with VC2008 being the preferred compiler for the Python
 module, but what do you mean with "QL is not friendly with VC2010"?
Is the 2010 project actively maintained?

------------------------------
Message: 2
ate: Thu, 5 Jul 2012 16:22:59 +0200
rom: Didrik Pinte <dp...@en...>
ubject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
VS2010
o: Ferdinando Ametrano <na...@am...>
c: Michael <mdr...@we...>, qua...@li...
essage-ID:
<CAD...@ma...>
ontent-Type: text/plain; charset=UTF-8
On 5 July 2012 16:09, Ferdinando Ametrano <na...@am...> wrote:
 Hi Micheal

 in order to achieve your goal you should compile Python with VC2010,
 or Pyhton and QL bindings would never link.
 Anyway that is definitely not the suggested way to go, as you might
 discover that also QL is not friendly with VC2010.

 Try to go back to VC2008. I for one would probably just skip VC2010 altogheter

 ciao -- Nando

 On Wed, Jul 4, 2012 at 10:00 PM, Michael <mdr...@we...> wrote:
> Dear all,
>
> I'm trying to compile the python swig extension. Unfortunately this is not
> working. My current setup looks like this.
>
> - QuantLib Version 1.1
> - Python Version 2.7.2
> - Visual Studio 2010 SP1
>
> When I try to compile the python swig extensions I get the following error:
>
> running build
> running build_py
> running build_ext
> building 'QuantLib._QuantLib' extension
> error: Unable to find vcvarsall.ba
This is an issue with distutils that is not aware of VC2010. By
weaking your environment variables, you can bypass that.
You might have issues related to the manifest in you files. I have
olved that issue with Cython and some wrappers built under VS2010
ately. I don't know how SWIG behaves though.
-- Didrik

------------------------------
Message: 3
ate: Thu, 5 Jul 2012 17:37:41 +0200
rom: Luigi Ballabio <lui...@gm...>
ubject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
VS2010
o: Ferdinando Ametrano <na...@am...>
c: Michael <mdr...@we...>, qua...@li...
essage-ID:
<CAJ...@ma...>
ontent-Type: text/plain; charset=ISO-8859-1
Sure it is.  At the very least, the one released in 1.2 works.
Luigi
On Thu, Jul 5, 2012 at 4:40 PM, Ferdinando Ametrano <na...@am...> wrote:
 Is the 2010 project actively maintained?

------------------------------
Message: 4
ate: Thu, 5 Jul 2012 17:48:44 +0200
rom: Ferdinando Ametrano <na...@am...>
ubject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
VS2010
o: Luigi Ballabio <lui...@gm...>
c: Michael <mdr...@we...>, qua...@li...
essage-ID:
<CAE...@ma...>
ontent-Type: text/plain; charset=ISO-8859-1
ok... so shame on me as the problem is just for QLXL which is not
upported in 2010... :-(
On Thu, Jul 5, 2012 at 5:37 PM, Luigi Ballabio <lui...@gm...> wrote:
 Sure it is.  At the very least, the one released in 1.2 works.

 Luigi

 On Thu, Jul 5, 2012 at 4:40 PM, Ferdinando Ametrano <na...@am...> 
rote:
> Is the 2010 project actively maintained?

------------------------------
Message: 5
ate: Thu, 05 Jul 2012 22:21:40 +0200
rom: Eric Ehlers <eri...@na...>
ubject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
VS2010
o: Ferdinando Ametrano <na...@am...>
c: Michael <mdr...@we...>, qua...@li...,
Luigi Ballabio <lui...@gm...>
essage-ID: <201...@mi...>
ontent-Type: text/plain; charset=ISO-8859-1; DelSp="Yes";
format="flowed"
Quoting Ferdinando Ametrano <na...@am...>:
> ok... so shame on me as the problem is just for QLXL which is not
 supported in 2010... :-(
i can try to rectify that when i package up the final release.
===================================================
ric Ehlers
azcatech sprl | Brussels | http://www.nazcatech.be
 Distributed computing for pricing analytics
 Use Microsoft Excel as a client to the Grid


-----------------------------
Message: 6
ate: Fri, 06 Jul 2012 20:24:32 +0200
rom: Peter Caspers <pca...@vo...>
ubject: [Quantlib-dev] swapindex clone
o: qua...@li...
essage-ID: <4FF...@vo...>
ontent-Type: text/plain; charset=ISO-8859-15; format=flowed
Hi,
can we add the following to swapindex ?
Peter
//! returns a copy of itself linked to a different forwarding curve and 
iscount curve
        virtual boost::shared_ptr<SwapIndex> clone(
                        const Handle<YieldTermStructure>& forwarding,
                        const Handle<YieldTermStructure>& discount) const;
shared_ptr<SwapIndex>
    SwapIndex::clone(const Handle<YieldTermStructure>& forwarding,
                     const Handle<YieldTermStructure>& discount) const {
             return shared_ptr<SwapIndex>(new
                SwapIndex(familyName(),
                          tenor(),
                          fixingDays(),
                          currency(),
                          fixingCalendar(),
                          fixedLegTenor(),
                          fixedLegConvention(),
                          dayCounter(),
                          iborIndex_->clone(forwarding),
                          discount));
     }

------------------------------
Message: 7
ate: Fri, 06 Jul 2012 21:57:40 +0200
rom: Eric Ehlers <eri...@na...>
ubject: Re: [Quantlib-dev] QuantLibXL / ObjectHandler 1.2 Prerelease
Files
o: QuantLib developers <qua...@li...>
essage-ID: <201...@mi...>
ontent-Type: text/plain; charset=ISO-8859-1; DelSp="Yes";
format="flowed"
Hi All,
Many thanks to those who have gotten back to me so far with feedback.
I will be offline for the next few days, I will try to resolve any  
pen issues before the final release, which I hope to ship on 30 July.
Kind Regards,
ric
Quoting Eric Ehlers <eri...@na...>:
> Hi All,

 The prerelease files for version 1.2 of QuantLibXL, QuantLibAddin,
 and ObjectHandler are available at this link:

 http://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/

 I'd be grateful to anyone who could spare some time to test the files and let
 me know how it goes.

 Kind Regards,
 Eric

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


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


-----------------------------
Message: 8
ate: Mon, 09 Jul 2012 08:27:10 -0700
rom: SourceForge.net <no...@so...>
ubject: [Quantlib-dev] [ quantlib-Patches-3541625 ] Math macros
redefinition warnings on VC++
o: SourceForge.net <no...@so...>
essage-ID:
<mai...@li...>
ontent-Type: text/plain; charset=UTF-8
Patches item #3541625, was opened at 2012-07-09 08:27
essage generated for change (Tracker Item Submitted) made by piterdias
ou can respond by visiting: 
ttps://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541625&group_id=12740
Please note that this message will contain a full copy of the comment thread,
ncluding the initial issue submission, for this request,
ot just the latest update.
ategory: None
roup: None
tatus: Open
esolution: None
riority: 5
rivate: No
ubmitted By: Piter Dias (piterdias)
ssigned to: Nobody/Anonymous (nobody)
ummary: Math macros redefinition warnings on VC++
Initial Comment:
acro redefinition warnings on VC++ due to math.h and qldefines.h math 
onstants.
roposed solution is control QL macro creation based on _USE_MATH_DEFINES 
efinition.
----------------------------------------------------------------------
You can respond by visiting: 
ttps://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541625&group_id=12740

------------------------------
Message: 9
ate: Mon, 09 Jul 2012 08:31:37 -0700
rom: SourceForge.net <no...@so...>
ubject: [Quantlib-dev] [ quantlib-Patches-3541627 ] Upgrade
boost::filesystem functions to version 3
o: SourceForge.net <no...@so...>
essage-ID:
<mai...@li...>
ontent-Type: text/plain; charset=UTF-8
Patches item #3541627, was opened at 2012-07-09 08:31
essage generated for change (Tracker Item Submitted) made by piterdias
ou can respond by visiting: 
ttps://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&group_id=12740
Please note that this message will contain a full copy of the comment thread,
ncluding the initial issue submission, for this request,
ot just the latest update.
ategory: None
roup: None
tatus: Open
esolution: None
riority: 5
rivate: No
ubmitted By: Piter Dias (piterdias)
ssigned to: Nobody/Anonymous (nobody)
ummary: Upgrade boost::filesystem functions to version 3
Initial Comment:
ewest Boost (1.50.0) does not support version 2 as explained at 
ttp://www.boost.org/doc/libs/1_50_0/libs/filesystem/doc/index.htm.
----------------------------------------------------------------------
You can respond by visiting: 
ttps://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&group_id=12740

------------------------------
------------------------------------------------------------------------------
ive Security Virtual Conference
xclusive live event will cover all the ways today's security and 
hreat landscape has changed and how IT managers can respond. Discussions 
ill include endpoint security, mobile security and the latest in malware 
hreats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
------------------------------
_______________________________________________
uantLib-dev mailing list
uan...@li...
ttps://lists.sourceforge.net/lists/listinfo/quantlib-dev

nd of QuantLib-dev Digest, Vol 74, Issue 2
******************************************

[Quantlib-dev] [ quantlib-Patches-3541627 ] Upgrade boost::filesystem functions to version 3

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

Patches item #3541627, was opened at 2012-07-09 08:31
Message generated for change (Tracker Item Submitted) made by piterdias
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&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: Piter Dias (piterdias)
Assigned to: Nobody/Anonymous (nobody)
Summary: Upgrade boost::filesystem functions to version 3

Initial Comment:
Newest Boost (1.50.0) does not support version 2 as explained at http://www.boost.org/doc/libs/1_50_0/libs/filesystem/doc/index.htm.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&group_id=12740

[Quantlib-dev] [ quantlib-Patches-3541625 ] Math macros redefinition warnings on VC++

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

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

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

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

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

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

Re: [Quantlib-dev] QuantLibXL / ObjectHandler 1.2 Prerelease Files

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

Hi All,

Many thanks to those who have gotten back to me so far with feedback.

I will be offline for the next few days, I will try to resolve any  
open issues before the final release, which I hope to ship on 30 July.

Kind Regards,
Eric

Quoting Eric Ehlers <eri...@na...>:

> Hi All,
>
> The prerelease files for version 1.2 of QuantLibXL, QuantLibAddin,
> and ObjectHandler are available at this link:
>
> http://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/
>
> I'd be grateful to anyone who could spare some time to test the files and let
> me know how it goes.
>
> Kind Regards,
> Eric
>
> ===================================================
> Eric Ehlers
> nazcatech sprl | Brussels | http://www.nazcatech.be
> * Distributed computing for pricing analytics
> * Use Microsoft Excel as a client to the Grid
>
>
> ------------------------------------------------------------------------------
> 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] swapindex clone

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

Hi,

can we add the following to swapindex ?

Peter

//! returns a copy of itself linked to a different forwarding curve and 
discount curve
         virtual boost::shared_ptr<SwapIndex> clone(
                         const Handle<YieldTermStructure>& forwarding,
                         const Handle<YieldTermStructure>& discount) const;

shared_ptr<SwapIndex>
     SwapIndex::clone(const Handle<YieldTermStructure>& forwarding,
                      const Handle<YieldTermStructure>& discount) const {

             return shared_ptr<SwapIndex>(new
                 SwapIndex(familyName(),
                           tenor(),
                           fixingDays(),
                           currency(),
                           fixingCalendar(),
                           fixedLegTenor(),
                           fixedLegConvention(),
                           dayCounter(),
                           iborIndex_->clone(forwarding),
                           discount));

     }

Re: [Quantlib-dev] Use QuantLib Swig Python Extension with VS2010

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

Quoting Ferdinando Ametrano <na...@am...>:

> ok... so shame on me as the problem is just for QLXL which is not
> supported in 2010... :-(

i can try to rectify that when i package up the final release.

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

Re: [Quantlib-dev] Use QuantLib Swig Python Extension with VS2010

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

ok... so shame on me as the problem is just for QLXL which is not
supported in 2010... :-(

On Thu, Jul 5, 2012 at 5:37 PM, Luigi Ballabio <lui...@gm...> wrote:
> Sure it is.  At the very least, the one released in 1.2 works.
>
> Luigi
>
> On Thu, Jul 5, 2012 at 4:40 PM, Ferdinando Ametrano <na...@am...> wrote:
>> Is the 2010 project actively maintained?

Re: [Quantlib-dev] Use QuantLib Swig Python Extension with VS2010

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

Sure it is.  At the very least, the one released in 1.2 works.

Luigi

On Thu, Jul 5, 2012 at 4:40 PM, Ferdinando Ametrano <na...@am...> wrote:
> Is the 2010 project actively maintained?

Re: [Quantlib-dev] Use QuantLib Swig Python Extension with VS2010

[Didrik P. <dp...@en...>]

On 5 July 2012 16:09, Ferdinando Ametrano <na...@am...> wrote:
> Hi Micheal
>
> in order to achieve your goal you should compile Python with VC2010,
> or Pyhton and QL bindings would never link.
> Anyway that is definitely not the suggested way to go, as you might
> discover that also QL is not friendly with VC2010.
>
> Try to go back to VC2008. I for one would probably just skip VC2010 altogheter
>
> ciao -- Nando
>
> On Wed, Jul 4, 2012 at 10:00 PM, Michael <mdr...@we...> wrote:
>> Dear all,
>>
>> I'm trying to compile the python swig extension. Unfortunately this is not
>> working. My current setup looks like this.
>>
>> - QuantLib Version 1.1
>> - Python Version 2.7.2
>> - Visual Studio 2010 SP1
>>
>> When I try to compile the python swig extensions I get the following error:
>>
>> running build
>> running build_py
>> running build_ext
>> building 'QuantLib._QuantLib' extension
>> error: Unable to find vcvarsall.ba

This is an issue with distutils that is not aware of VC2010. By
tweaking your environment variables, you can bypass that.

You might have issues related to the manifest in you files. I have
solved that issue with Cython and some wrappers built under VS2010
lately. I don't know how SWIG behaves though.

-- Didrik