quantlib-dev — Discussion of QuantLib development

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

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

>     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?

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

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

Nando,
    I agree with VC2008 being the preferred compiler for the Python
module, but what do you mean with "QL is not friendly with VC2010"?

Luigi

On Thu, Jul 5, 2012 at 4:09 PM, 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
>>
>> I googled for solutions, but all the indications I found were similar to
>> what I found here:
>>
>> http://slacy.com/blog/2010/09/python-unable-to-find-vcvarsall-bat/
>>
>> Essentially the problem seems to be: python 2.7 is only "designed" to be
>> compiled with VS2008 (and before) and you can not mix a (pre)compiled python
>> 2.7 with libraries compiled with VS2010.
>>
>> Now, it is not that easy to have an older version of VS installed on my
>> system and in any case I would really prefer to stick with VS2010.
>>
>> The question is: does anybody have a similar setup to mine and was able to
>> compile the python swig extensions? If so, did you have to change things and
>> what exactly has it been?
>>
>> Any help would be very much appreciated.
>>
>> Kind regards,
>>
>> Michael
>>
>> ------------------------------------------------------------------------------
>> 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
>>
>
> ------------------------------------------------------------------------------
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> 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/
> _______________________________________________
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> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

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

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

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
>
> I googled for solutions, but all the indications I found were similar to
> what I found here:
>
> http://slacy.com/blog/2010/09/python-unable-to-find-vcvarsall-bat/
>
> Essentially the problem seems to be: python 2.7 is only "designed" to be
> compiled with VS2008 (and before) and you can not mix a (pre)compiled python
> 2.7 with libraries compiled with VS2010.
>
> Now, it is not that easy to have an older version of VS installed on my
> system and in any case I would really prefer to stick with VS2010.
>
> The question is: does anybody have a similar setup to mine and was able to
> compile the python swig extensions? If so, did you have to change things and
> what exactly has it been?
>
> Any help would be very much appreciated.
>
> Kind regards,
>
> Michael
>
> ------------------------------------------------------------------------------
> 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] Use QuantLib Swig Python Extension with VS2010

[Michael <mdr...@we...>]

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

I googled for solutions, but all the indications I found were similar to 
what I found here:

http://slacy.com/blog/2010/09/python-unable-to-find-vcvarsall-bat/

Essentially the problem seems to be: python 2.7 is only "designed" to be 
compiled with VS2008 (and before) and you can not mix a (pre)compiled 
python 2.7 with libraries compiled with VS2010.

Now, it is not that easy to have an older version of VS installed on my 
system and in any case I would really prefer to stick with VS2010.

The question is: does anybody have a similar setup to mine and was able 
to compile the python swig extensions? If so, did you have to change 
things and what exactly has it been?

Any help would be very much appreciated.

Kind regards,

Michael

Re: [Quantlib-dev] QLXL possible memory leak revisited

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

Hi Peter,

Quoting Peter Caspers <pca...@vo...>:

> Hi Eric, Ferdinando, Luigi, all,
>
> some months ago there were discussions about a possible memory leak  
> in QLXL 1.1,

Thanks for the patches you supplied.  If I understand correctly, a  
subset of that patch was applied to the repository and this resolved  
some of the problems with the memory leaks.  Please get back to us if  
you need clarification.

> I also noted that the observer / observable pattern code is  
> duplicated in the object handler (objecthandler/oh/observable.hpp).  
> In QL 1.2 the storage of observers and observables was changed from  
> std::list to std::set. I believe that this would also help in the  
> context above, yet not fully resolve the problem. Anyway, the  
> improved code should be moved to the object handler, too, yes? Is  
> there by the way a special reason for duplicating the code? Is it to  
> keep the object handler independent of QL in some sense?

ObjectHandler has no dependency on QuantLib.  There would be nothing  
preventing us from copying the new improved observable.hpp from  
QuantLib to ObjectHandler.

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

[Quantlib-dev] QuantLibXL / ObjectHandler 1.2 Prerelease Files

[Eric E. <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

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[18270] trunk/QuantLib

[Klaus S. <kl...@sp...>]

Hi Luigi,

good idea, thanks for the hint. I'm going to change it.

regards
 Klaus


On Wednesday, June 27, 2012 05:44:16 PM Luigi Ballabio wrote:
> Last one :)
> 
> Is the order of convergence (or a lack of one) known when an
> extrapolation is created, given h and f?  If so, we could pass it to
> the constructor and leave the interface for calling the formula just
> as operator()(t) so that we don't have to pass the order again and
> again,
> 
> We might also overload it with operator()(t,s) if we didn't pass the
> order of convergence.  Just a thought, no big deal anyway---it's just
> that formulaUnknownConvergence looks awfully long...
> 
> Luigi
> 

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[18270] trunk/QuantLib

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

Last one :)

Is the order of convergence (or a lack of one) known when an
extrapolation is created, given h and f?  If so, we could pass it to
the constructor and leave the interface for calling the formula just
as operator()(t) so that we don't have to pass the order again and
again,

We might also overload it with operator()(t,s) if we didn't pass the
order of convergence.  Just a thought, no big deal anyway---it's just
that formulaUnknownConvergence looks awfully long...

Luigi


On Sun, Jun 10, 2012 at 10:56 AM,  <kla...@us...> wrote:
> Revision: 18270
>          http://quantlib.svn.sourceforge.net/quantlib/?rev=18270&view=rev
> Author:   klausspanderen
> Date:     2012-06-10 08:56:09 +0000 (Sun, 10 Jun 2012)
> Log Message:
> -----------
> added Richardson extrapolation
>
> Modified Paths:
> --------------
>    trunk/QuantLib/ql/math/Makefile.am
>    trunk/QuantLib/ql/math/all.hpp
>    trunk/QuantLib/test-suite/interpolations.cpp
>    trunk/QuantLib/test-suite/interpolations.hpp
>
> Added Paths:
> -----------
>    trunk/QuantLib/ql/math/richardsonextrapolation.cpp
>    trunk/QuantLib/ql/math/richardsonextrapolation.hpp
>
> Added: trunk/QuantLib/ql/math/richardsonextrapolation.cpp
> ===================================================================
> --- trunk/QuantLib/ql/math/richardsonextrapolation.cpp                          (rev 0)
> +++ trunk/QuantLib/ql/math/richardsonextrapolation.cpp  2012-06-10 08:56:09 UTC (rev 18270)
> @@ -0,0 +1,73 @@
> +/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
> +
> +/*
> + Copyright (C) 2012 Klaus Spanderen
> +
> + This file is part of QuantLib, a free-software/open-source library
> + for financial quantitative analysts and developers - http://quantlib.org/
> +
> + QuantLib is free software: you can redistribute it and/or modify it
> + under the terms of the QuantLib license.  You should have received a
> + copy of the license along with this program; if not, please email
> + <qua...@li...>. The license is also available online at
> + <http://quantlib.org/license.shtml>.
> +
> + This program is distributed in the hope that it will be useful, but WITHOUT
> + ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
> + FOR A PARTICULAR PURPOSE.  See the license for more details.
> +*/
> +
> +/*! \file richardsonextrapolation.cpp
> +*/
> +
> +#include <ql/errors.hpp>
> +#include <ql/math/solvers1d/brent.hpp>
> +#include <ql/math/richardsonextrapolation.hpp>
> +
> +#include <cmath>
> +
> +namespace QuantLib {
> +    namespace {
> +        class RichardsonEqn {
> +          public:
> +            RichardsonEqn(Real fh, Real ft, Real fs, Real t, Real s)
> +            : fh_(fh), ft_(ft), fs_(fs), t_(t), s_(s) { }
> +
> +            Real operator()(Real k) const {
> +                return      ft_ + (ft_-fh_)/(std::pow(t_, k)-1.0)
> +                        - ( fs_ + (fs_-fh_)/(std::pow(s_, k)-1.0));
> +            }
> +          private:
> +            const Real fh_, ft_, fs_, t_, s_;
> +        };
> +
> +    }
> +
> +    RichardsonExtrapolation::RichardsonExtrapolation(
> +        Real h, const boost::function<Real (Real)>& f)
> +    : h_(h), fh_(f(h)), f_(f) { }
> +
> +
> +    Real RichardsonExtrapolation::formula(Real t, Real k) const {
> +
> +        QL_REQUIRE(t > 1, "scaling factor must be greater than 1");
> +        const Real tk = std::pow(t,k);
> +
> +        return (tk*f_(h_/t)-fh_)/(tk-1.0);
> +    }
> +
> +    Real RichardsonExtrapolation::formulaUnknownConvergence(Real t, Real s)
> +    const {
> +        QL_REQUIRE(t > 1 && s > 1, "scaling factors must be greater than 1");
> +
> +        const Real ft = f_(h_/t);
> +        const Real fs = f_(h_/s);
> +
> +        const Real k = Brent().solve(RichardsonEqn(fh_, ft, fs, t, s),
> +                                     1e-8, 0.05, 10);
> +
> +        const Real ts = std::pow(s,k);
> +
> +        return (ts*fs-fh_)/(ts-1.0);
> +    }
> +}
>
>
> Property changes on: trunk/QuantLib/ql/math/richardsonextrapolation.cpp
> ___________________________________________________________________
> Added: svn:mime-type
>   + text/plain
>
> Added: trunk/QuantLib/ql/math/richardsonextrapolation.hpp
> ===================================================================
> --- trunk/QuantLib/ql/math/richardsonextrapolation.hpp                          (rev 0)
> +++ trunk/QuantLib/ql/math/richardsonextrapolation.hpp  2012-06-10 08:56:09 UTC (rev 18270)
> @@ -0,0 +1,62 @@
> +/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
> +
> +/*
> + Copyright (C) 2012 Klaus Spanderen
> +
> + This file is part of QuantLib, a free-software/open-source library
> + for financial quantitative analysts and developers - http://quantlib.org/
> +
> + QuantLib is free software: you can redistribute it and/or modify it
> + under the terms of the QuantLib license.  You should have received a
> + copy of the license along with this program; if not, please email
> + <qua...@li...>. The license is also available online at
> + <http://quantlib.org/license.shtml>.
> +
> + This program is distributed in the hope that it will be useful, but WITHOUT
> + ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
> + FOR A PARTICULAR PURPOSE.  See the license for more details.
> +*/
> +
> +/*! \file richardsonextrapolation.hpp
> +*/
> +
> +#ifndef quantlib_richardson_extrapolation_hpp
> +#define quantlib_richardson_extrapolation_hpp
> +
> +#include <ql/types.hpp>
> +
> +#include <boost/function.hpp>
> +
> +namespace QuantLib {
> +
> +    //! Richardson Extrapolatio
> +    /*! References:
> +
> +        http://en.wikipedia.org/wiki/Richardson_extrapolation
> +     */
> +
> +    class RichardsonExtrapolation {
> +      public:
> +        RichardsonExtrapolation(Real h,
> +                                const boost::function<Real (Real)>& f);
> +
> +        /*! Extrapolation for known order of convergence
> +            \param  step size for extrapolation. Is often 2
> +            \param k order of convergence
> +        */
> +        Real formula(Real t, Real k) const;
> +
> +        /*! Extrapolation for unknown order of convergence
> +            \param t first step size for the extrapolation.
> +            \param s second step size for the extrapolation
> +        */
> +        Real formulaUnknownConvergence(Real t, Real s) const;
> +
> +      private:
> +        const Real h_;
> +        const Real fh_;
> +        const boost::function<Real (Real)> f_;
> +    };
> +}
> +
> +#endif
>
>
> Property changes on: trunk/QuantLib/ql/math/richardsonextrapolation.hpp
> ___________________________________________________________________
> Added: svn:mime-type
>   + text/plain
>
> Modified: trunk/QuantLib/test-suite/interpolations.cpp
> ===================================================================
> --- trunk/QuantLib/test-suite/interpolations.cpp        2012-05-30 22:32:14 UTC (rev 18269)
> +++ trunk/QuantLib/test-suite/interpolations.cpp        2012-06-10 08:56:09 UTC (rev 18270)
> @@ -36,6 +36,7 @@
>  #include <ql/math/integrals/simpsonintegral.hpp>
>  #include <ql/math/kernelfunctions.hpp>
>  #include <ql/math/functional.hpp>
> +#include <ql/math/richardsonextrapolation.hpp>
>  #include <ql/math/randomnumbers/sobolrsg.hpp>
>  #include <ql/math/optimization/levenbergmarquardt.hpp>
>  #include <boost/assign/std/vector.hpp>
> @@ -1610,6 +1611,35 @@
>     }
>  }
>
> +namespace {
> +    Real f(Real h) {
> +        return std::pow( 1.0 + h, 1/h);
> +    }
> +}
> +
> +void InterpolationTest::testRichardsonExtrapolation() {
> +    BOOST_MESSAGE("Testing Richardson Extrapolation...");
> +
> +    /* example taken from
> +     * http://www.ipvs.uni-stuttgart.de/abteilungen/bv/lehre/
> +     *      lehrveranstaltungen/vorlesungen/WS0910/
> +     *      NSG_termine/dateien/Richardson.pdf
> +     */
> +
> +    const RichardsonExtrapolation extrap(0.1, f);
> +
> +    const Real stepSize = 2.0;
> +    const Real orderOfConvergence = 1.0;
> +
> +    const Real tol = 0.00001;
> +    const Real expected = 2.71285;
> +    const Real calculated = extrap.formula(stepSize, orderOfConvergence);
> +
> +    if (std::fabs(expected-calculated) > tol) {
> +        BOOST_ERROR("failed to reproduce Richardson extrapolation");
> +    }
> +}
> +
>  test_suite* InterpolationTest::suite() {
>     test_suite* suite = BOOST_TEST_SUITE("Interpolation tests");
>
> @@ -1636,6 +1666,8 @@
>     suite->add(QUANTLIB_TEST_CASE(
>                               &InterpolationTest::testKernelInterpolation2D));
>     suite->add(QUANTLIB_TEST_CASE(&InterpolationTest::testBicubicDerivatives));
> +    suite->add(QUANTLIB_TEST_CASE(
> +                            &InterpolationTest::testRichardsonExtrapolation));
>
>     return suite;
>  }
>
> Modified: trunk/QuantLib/test-suite/interpolations.hpp
> ===================================================================
> --- trunk/QuantLib/test-suite/interpolations.hpp        2012-05-30 22:32:14 UTC (rev 18269)
> +++ trunk/QuantLib/test-suite/interpolations.hpp        2012-06-10 08:56:09 UTC (rev 18270)
> @@ -46,6 +46,8 @@
>     static void testKernelInterpolation();
>     static void testKernelInterpolation2D();
>     static void testBicubicDerivatives();
> +    static void testRichardsonExtrapolation();
> +
>     static boost::unit_test_framework::test_suite* suite();
>  };
>
>
> This was sent by the SourceForge.net collaborative development platform, the world's largest Open Source development site.
>
>
> ------------------------------------------------------------------------------
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> 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/
> _______________________________________________
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Re: [Quantlib-dev] Detecting calls from the Function Wizard.

[kimosabe <ka...@ka...>]

Aucune idée monsieur. I never use it myself, but a lot of people have asked
for this functionality.

My unpopular theory is that if you need to use it, then your function is too
slow.


Eric Ehlers-2 wrote:
> 
> Quoting kimosabe <ka...@ka...>:
> 
>>
>> Here is a simple solution:
>>
>> // Detects if UDF is being called from the function wizard.
>> template<class X>
>> inline bool in_function_wizard(void)
>> {
>> 	return !Excel<X>(xlfGetTool, XOPER<X>(4), XOPER<X>(_T("Standard")),
>> XOPER<X>(1));
>> }
>>
>> This uses the library from  http://xll.codeplex.com
>> http://xll.codeplex.com
>> , but you get the idea. No need to enumerate windows like in the Excel
>> SDK
>> example. Enjoy!
> 
> Thank you.  I think that when our code was first written that trick  
> must not have been known.  How does it work?
> 
> 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
> 
> 

-- 
View this message in context: http://old.nabble.com/Detecting-calls-from-the-Function-Wizard.-tp34020083p34053704.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

Re: [Quantlib-dev] QuantLibXL how to build it

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

Hello,

Quoting cf16 <cf1...@gm...>:

>
> Hi all,
> my problem is that I cannot build XL from a source code.
> I have seen similar post but unfortunately - still unresolved.
> Errors while trying to build QuantLibXL_full_vc10 solution are in the form:
>
> c1xx : fatal error C1083: Cannot open source file:
> 'qlo\serialization\register\serialization_volatility.cpp': No such file or
> directory
>
> there are many errors, almost all of this form.
> Can anyone explain how to build it? Does any description of this procedure
> exist?

That missing source file is autogenerated.  If you are working from  
the packaged release of the source code, then that file should have  
been autogenerated for you and packaged in the release.  If you are  
working from a checkout of the svn repository then you would need to  
run autogeneration yourself.

I suggest you start here:

     http://quantlib.org/quantlibaddin//build_qlxl.html

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

Re: [Quantlib-dev] Detecting calls from the Function Wizard.

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

Quoting kimosabe <ka...@ka...>:

>
> Here is a simple solution:
>
> // Detects if UDF is being called from the function wizard.
> template<class X>
> inline bool in_function_wizard(void)
> {
> 	return !Excel<X>(xlfGetTool, XOPER<X>(4), XOPER<X>(_T("Standard")),
> XOPER<X>(1));
> }
>
> This uses the library from  http://xll.codeplex.com http://xll.codeplex.com
> , but you get the idea. No need to enumerate windows like in the Excel SDK
> example. Enjoy!

Thank you.  I think that when our code was first written that trick  
must not have been known.  How does it work?

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

Re: [Quantlib-dev] fd questions ctd...

[Klaus S. <kl...@sp...>]

Hi Peter,

I've now included your time dependent Dirichlet boundary condition and I've 
changed the FDM schemes to include a setTime method for the boundary 
condition. Thanks for you help on this topic!

Sorry that it has taken so long for me to add it to SVN.

cheers
 Klaus

Re: [Quantlib-dev] QL_TRACE under visual c++

[MoonDragon <phi...@gm...>]

Thanks.

MoonDragon wrote:
> 
> Hi,
> 
> I am trying to use QL_TRACE in my program but it seems not working (not
> trace on the console).
> 
> Does it works only within gcc?
> 
> Thanks and regards,
> 
> Moon
> 

-- 
View this message in context: http://old.nabble.com/QL_TRACE-under-visual-c%2B%2B-tp33994898p34022221.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

[Quantlib-dev] Detecting calls from the Function Wizard.

[kimosabe <ka...@ka...>]

Here is a simple solution:

// Detects if UDF is being called from the function wizard.
template<class X>
inline bool in_function_wizard(void)
{
	return !Excel<X>(xlfGetTool, XOPER<X>(4), XOPER<X>(_T("Standard")),
XOPER<X>(1));
}

This uses the library from  http://xll.codeplex.com http://xll.codeplex.com
, but you get the idea. No need to enumerate windows like in the Excel SDK
example. Enjoy!
-- 
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Sent from the quantlib-dev mailing list archive at Nabble.com.

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

[Ahmad M. <ahm...@gm...>]

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

Re: [Quantlib-dev] QL_TRACE under visual c++

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

QL_TRACE is disabled by default.  To enable it, edit
<ql/userconfig.hpp> and uncomment the QL_ENABLE_TRACING definition.

Luigi


On Mon, Jun 11, 2012 at 6:54 PM, MoonDragon <phi...@gm...> wrote:
>
> Hi,
>
> I am trying to use QL_TRACE in my program but it seems not working (not
> trace on the console).
>
> Does it works only within gcc?
>
> Thanks and regards,
>
> Moon
> --
> View this message in context: http://old.nabble.com/QL_TRACE-under-visual-c%2B%2B-tp33994898p33994898.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

[Quantlib-dev] QL_TRACE under visual c++

[MoonDragon <phi...@gm...>]

Hi,

I am trying to use QL_TRACE in my program but it seems not working (not
trace on the console).

Does it works only within gcc?

Thanks and regards,

Moon
-- 
View this message in context: http://old.nabble.com/QL_TRACE-under-visual-c%2B%2B-tp33994898p33994898.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

Re: [Quantlib-dev] QL - multiple libraries?

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

We did consider it, but the impression was that it would make it more
complex to use the library in one's project.

Luigi

On Tue, May 29, 2012 at 2:51 PM,  <can...@gm...> wrote:
> Have you considered breaking up QL into multiple libraries, for example,
> QL-Math, etc. Right now, When I make a small custom change to QL, it takes a
> long time in creating the lib file. Multiple projects can also take
> advantage of multi thread building in VS.
>
> Thanks,
> Candy
> ------------------------------------------------------------------------------
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> 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/
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>

[Quantlib-dev] QL - multiple libraries?

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

Luigi,

Have you considered breaking up QL into multiple libraries, for example,  
QL-Math, etc. Right now, When I make a small custom change to QL, it takes  
a long time in creating the lib file. Multiple projects can also take  
advantage of multi thread building in VS.

Thanks,
Candy

[Quantlib-dev] Marketmodel AbcdVol

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

Hi Ferdinando, Mark, Klaus,

I am working in a project where we want to make use of the ql (1.1) 
implementation of the stochastic volatility libor forward model. The 
product we want to price is an exotic swap with payoff depending on 
Euribor6m and EUR CMS20y rates. The natural choice for the "rateTimes" 
therefore seems to be a 6m grid. The rates however are observed on a 
quarterly grid. My understanding is that I can choose the 
"evolutionTimes" possibly different from the rateTimes representing the 
needed fixing times. This is what I get from the description in 
evolutiondescription.hpp:

-# evolutionTimes = the times defining the rates that are to be evolved,
-# rateTimes = the times at which the rates need to be known,
-# relevanceRates = which rates need to be known at each time.
...

I believe the explanations for evolutionTimes and rateTimes are switched 
here.

The model I am using is AbcdVol(...). The observation is that the 
swaptions from the calibration basket are greatly overpriced in the 
simulation. I think this is due to the particular choice of the 
evolutionTimes grid being strictly finer than the rateTimes grid (which 
is equal to the correlation times grid coming from a 
TimeHomogeneousForwardCorrelation). This case is in my opinion not 
handled correctly when computing the covariance matrices for the 
evolution steps in the constructor of AbcdVol. To put it more precisely 
the underlying time intervals [effStartTime, effStopTime] are 
overlapping due to wrong left interval points then, thus leading to too 
high covariances (consistent with the observation of too high simulated 
swaption prices).

Here is my proposal to fix that in abcdvol.cpp

     AbcdVol::AbcdVol(
              Real a,
              Real b,
@@ -67,24 +69,25 @@ namespace QuantLib {
                     "number of factors (" << numberOfFactors <<
                     ") must be greater than zero");

          AbcdFunction abcd(a, b, c, d);
          Real covar;
-        Time effStartTime, effStopTime;
+        Time effStartTime, effStopTime=0;
          Real correlation;
          const std::vector<Time>& corrTimes = corr->times();
          const std::vector<Time>& evolTimes = evolution.evolutionTimes();
          for (Size k=0, kk=0; k<numberOfSteps_; ++k) {

              // one covariance per evolution step
              Matrix covariance(numberOfRates_, numberOfRates_, 0.0);

              // there might be more than one correlation matrix
              // in a single evolution step
              Matrix correlations;

              for (; corrTimes[kk]<evolTimes[k]; ++kk) {
-                effStartTime = kk==0 ? 0.0 : corrTimes[kk-1];
+                effStartTime = effStopTime;
                  effStopTime = corrTimes[kk];
                  correlations = corr->correlation(kk);
                  for (Size i=0; i<numberOfRates_; ++i) {
                      for (Size j=i; j<numberOfRates_; ++j) {
                          covar = ks[i] * ks[j] * 
abcd.covariance(effStartTime,
@@ -95,11 +98,11 @@ namespace QuantLib {
                          covariance[i][j] += covar * correlation;
                      }
                  }
              }
              // last part in the evolution step
-            effStartTime = kk==0 ? 0.0 : corrTimes[kk-1];
+            effStartTime = effStopTime;
              effStopTime = evolTimes[k];
              correlations = corr->correlation(kk);
              for (Size i=0; i<numberOfRates_; ++i) {
                  for (Size j=i; j<numberOfRates_; ++j) {
                      covar = ks[i] * ks[j] * abcd.covariance(effStartTime,


Do you think this is correct and complete? The testsuite shows no 
differences at least and results are much better after these changes.

Thanks a lot
Peter

Re: [Quantlib-dev] fd questions ctd...

[Klaus S. <kl...@sp...>]

Hi Peter,

I'm going to integrate the time dependent Dirichlet bc into QL 1.2 and SVN 
now. Might be that I need to come back to you in case I have additional 
questions.

regards
Klaus

On Saturday 12 May 2012 19:24:55 Peter Caspers wrote:
> Hi Klaus,
>
> yes, I totally agree. Concerning the time dependent Dirichlet bc I guess
> one should insert a
>
> bc->setTime( t );
>
> before each call of applyAfterApplying(Array&),
> applyAfterSolving(Array&) or applyAfterApplying(Real,Real) to ensure
> that valueOnBoundaryTimeDep_ / valuesOnBoundaryTimeDep_ are correctly
> set. No?
>
> Concerning the Neumann bc, I was too optimistic about what has to be
> done to adapt the existing operators. You are right, it is not enough to
> provide discretizations for the base operators in the general case. It
> works fine in my toy example but it is useless otherwise. Sorry I should
> have spent some more thoughts on this.
>
> I will be happy if you find the Dirichlet bc extension useful and add it
> to the SVN. I will also continue to think about the Neumann bc and try
> to send more useful code next time ;-)
>
> thank you again and regards
> Peter
>
> Am 10.05.2012 23:16, schrieb Klaus Spanderen:
> > Hi Peter,
> >
> > cool stuff. The Dirichlet bc was introduced to implement barrier options
> > only. Your time dependent code the right step forward..and yes, the
> > implementation of the schemes is based on either free bc's or non time
> > dependent Dirichlet bc's. This is also the main reason why
> > FdmBoundaryConditionSet is linked to FdmDirichletBoundary instead of
> > OperatorTraits<FdmLinearOp>::bc_set. One think we still need to do is to
> > make
> >
> > FdmDirichletBoundary::applyAfterApplying(Real x, Real value) const;
> >
> > time dependent as well.
> >
> > As you have written It's difficult to implement the Neumann bc in a
> > general manner for the multi dimensional framework. In the one dim.
> > framework all linear operators are tridiagonal operators and the Neumann
> > bc is "doable". I have no idea how to translate this idea into the multi
> > dimensional case except implementing the Neumann bc for all 10+ operators
> > individually. (hmm.. I don't think it is enough to do this for the three
> > basis operators alone).
> >
> >> Needless to say that I am totally not sure if I did that correctly.
> >
> > good question. I haven't seen much in the literature on the topic
> > "Neumann bc and operator splitting". I think we'll also at least need to
> > call applyBeforeSolving in the schemes for the Neumann bc case.
> >
> > IMO the Neumann bc task will take a bit longer. Shall we first lift the
> > time dependent Dirichlet bc to the QL 1.2 file structure and add this to
> > SVN?
> >
> > regards
> >   Klaus
> >
> > On Sunday 06 May 2012 21:24:39 Peter Caspers wrote:
> >> Hallo Klaus,
> >>
> >> thanks a lot for your answers. I implemented a Neumann condition for the
> >> multidimensional case. I tested the new class against known solutions
> >> for the 1d heat equation with Neumann and mixed lower Dirichlet / upper
> >> Neumann conditions using some of the existing multidim schemes. The
> >> results suggest that the implementation is ok. Also, the testsuite runs
> >> without problems which is good I guess.
> >>
> >> However, I could not see how to implement the condition by changing the
> >> final operator directly as done in the 1d framework. Instead I added
> >> functionality to change the discretization of multidim operators from
> >> default = FreeBoundary to Neumann by adding a method
> >>
> >> void FdmLinearOp::discretization(Size direction, Discretization d);
> >>
> >> The enum DiscretizationType in the same class can be used to specify a
> >> Neumann discretization together with the side (using bitwise or; this
> >> could be extended for other boundary conditions later). The method calls
> >> another protected virtual method changeDiscretization(...) which should
> >> be implemented by user defined operators. I did not do that for the
> >> existing operators yet (in case I am on the wrong road with my
> >> approach), but rather added a test operator FdmHeat1dOp (representing
> >> the pde u_t = \alpha u_xx) which demonstrates the principle. The
> >> required extension of operators can easily be done being supported by
> >> extended constructors of the 'basis' operators (first, second and mixed
> >> second derivatives) allowing for Neumann discretization now. I think I
> >> did that discretization in the standard way, but it should be cross
> >> checked.
> >>
> >> I amended the scheme implementations w.r.t. their calls to the
> >> apply...() methods having the impression that these accounted for the
> >> Dirichlet case only so far. Needless to say that I am totally not sure
> >> if I did that correctly. Since I also extended the Dirichlet condition
> >> to the time (and spatial) dependent case, I inserted the needed
> >> setTime() calls in the schemes accordingly. In the Dirichlet condition
> >> itself I implemented the applyBeforeSolving() method because I think it
> >> is necessary for the time dependent case (and comparisions to known 1d
> >> heat equation solutions do confirm this).
> >>
> >> I removed the FdmBoundaryConditionSet typedef from the multidim
> >> Dirichlet condition, instead refering to
> >> OperatorTraits<FdmLinearOp>::bc_set in the schemes, solvers, engines and
> >> operators now. There is a applyAfterApplying(Real,Real) method in the
> >> Dirichlet condition (used in some engine I think) which I added to the
> >> general interface (by default throwing an exception to ensure that only
> >> the implementation in the Dirichlet boundary is actually used).
> >>
> >> Finally I amended the concentrating1dmesher once again because I noted
> >> that it throws an exception when QL_EXTRA_SAFETY_CHECKS are enabled and
> >> the concentrating point is equal to one of the endpoints (this having to
> >> do with an extra check concerning the strict order of x values in
> >> interpolation.hpp).
> >>
> >> I attach my changes (zips with changed files as per directory and new
> >> files attached directly, all based on ql 1.1) and would be happy if you
> >> could have a look.
> >>
> >> Thank you
> >> Peter
>
> ---------------------------------------------------------------------------
>--- 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/
> _______________________________________________
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[Quantlib-dev] multistepswaption issue

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

Hi,

when pricing a MultiProductComposite consisting of several 
MultiStepSwaption objects with different start indices (=fixing times), 
I get wrong npvs for all swaptions except the ones with startIndex = 
maximum over all start indices of swaptions in the basket. This is 
because the swaptions generate cashflows also for evolver steps > their 
respective start index.

I believe the MultiStepSwaption code (ql 1.1) should be modified as 
follows to avoid this

          if (currentIndex_ == startIndex_)
          {
              genCashFlows[0][0].timeIndex = 0;

              genCashFlows[0][0].amount =
                  (*payoff_)(swapRate) * annuity;

              numberCashFlowsThisStep[0] =genCashFlows[0][0].amount != 
0.0 ? 1 : 0 ;

-            return true;
          }
          else
          {
              numberCashFlowsThisStep[0] =0;
-            ++currentIndex_;
-            return false;
          }

+        ++currentIndex_;
+        return currentIndex_ > startIndex_;

After that change it works fine imo.

Regards
Peter

Re: [Quantlib-dev] Garch11 in Quantlib

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

Thanks, Slava.  Somehow I managed to lose track of it.  Not the last
time I'll make a fool of myself, I guess...

I'll try and have a look shortly.

Luigi

On Tue, May 15, 2012 at 3:12 PM, Slava Mazur <sm...@li...> wrote:
> Check it out:
>
> http://sourceforge.net/tracker/?func=detail&aid=3102452&group_id=12740&atid=312740
>
> Submitted there on Nov 2010.
>
> Cheers,
>
> Slava Mazur
>
>
> Message: 5
> Date: Mon, 14 May 2012 13:25:47 -0400
> From: Yue Zhao <yzh...@gm...>
> Subject: [Quantlib-dev] Garch11 in Quantlib
> To: QuantLib Dev <Qua...@li...>
> Message-ID:
>        <CAA...@ma...>
> Content-Type: text/plain; charset="iso-8859-1"
>
> Hi,
>
> My question might be silly. I am using the Garch11 class in QL, but I didn't see how to calibrate this model. Does anyone know how do calibration?
>
> Best
>
> Yue
> -------------- next part --------------
> An HTML attachment was scrubbed...
>
> ------------------------------
>
> Message: 6
> Date: Tue, 15 May 2012 09:35:10 +0200
> From: Luigi Ballabio <lui...@gm...>
> Subject: Re: [Quantlib-dev] Garch11 in Quantlib
> To: Yue Zhao <yzh...@gm...>
> Cc: QuantLib Dev <Qua...@li...>
> Message-ID:
>        <CAJ...@ma...>
> Content-Type: text/plain; charset=ISO-8859-1
>
> Hi,
>    at this time there's no code for calibration in the library (the
> Garch11 class declares a calibrate method, but it's empty). If anyone wants to contribute it, I'll be glad to add it to the repository.
>
> Luigi
>
> On Mon, May 14, 2012 at 7:25 PM, Yue Zhao <yzh...@gm...> wrote:
>> My question might be silly. I am using the Garch11 class in QL, but I
>> didn't see how to calibrate this model. Does anyone know how do calibration?
>
>
>
> ------------------------------
>
> ------------------------------------------------------------------------------
> 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 72, Issue 5
> *******************************************
>
>
>
> ------------------------------------------------------------------------------
> 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] Garch11 in Quantlib (Luigi Ballabio)

[Slava M. <sm...@li...>]

Check it out:

http://sourceforge.net/tracker/?func=detail&aid=3102452&group_id=12740&atid=312740

Submitted there on Nov 2010.

Cheers,

Slava Mazur


Message: 5
Date: Mon, 14 May 2012 13:25:47 -0400
From: Yue Zhao <yzh...@gm...>
Subject: [Quantlib-dev] Garch11 in Quantlib
To: QuantLib Dev <Qua...@li...>
Message-ID:
	<CAA...@ma...>
Content-Type: text/plain; charset="iso-8859-1"

Hi,

My question might be silly. I am using the Garch11 class in QL, but I didn't see how to calibrate this model. Does anyone know how do calibration?

Best

Yue
-------------- next part --------------
An HTML attachment was scrubbed...

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

Message: 6
Date: Tue, 15 May 2012 09:35:10 +0200
From: Luigi Ballabio <lui...@gm...>
Subject: Re: [Quantlib-dev] Garch11 in Quantlib
To: Yue Zhao <yzh...@gm...>
Cc: QuantLib Dev <Qua...@li...>
Message-ID:
	<CAJ...@ma...>
Content-Type: text/plain; charset=ISO-8859-1

Hi,
    at this time there's no code for calibration in the library (the
Garch11 class declares a calibrate method, but it's empty). If anyone wants to contribute it, I'll be glad to add it to the repository.

Luigi

On Mon, May 14, 2012 at 7:25 PM, Yue Zhao <yzh...@gm...> wrote:
> My question might be silly. I am using the Garch11 class in QL, but I 
> didn't see how to calibrate this model. Does anyone know how do calibration?



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

------------------------------------------------------------------------------
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/

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

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End of QuantLib-dev Digest, Vol 72, Issue 5
*******************************************

[Quantlib-dev] [ quantlib-Bugs-3526577 ] BicubicSpline update() doesn't work

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

Bugs item #3526577, was opened at 2012-05-14 07:26
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3526577&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
>Status: Closed
>Resolution: Fixed
Priority: 5
Private: No
Submitted By: Fabio Ramponi (fabioramponi)
>Assigned to: Luigi Ballabio (lballabio)
Summary: BicubicSpline update() doesn't work

Initial Comment:
The calculate() method in BicubicSpline is called every time the linked data matrix (zData_) changes but, due to the reserve() at line 58 of bicubicsplineinterpolation.hpp and the subesquent push_back(), every time I call update() new splines are added to the splines_ vector instead of substituting the existing ones.

My suggestion is to use resize instead of reserve, and then simply fill the allocated vector splines_.

In the attached file my proposal of change for the file bicubicsplineinterpolation.hpp, affecting only lines 58 and 60.

Best regards,

Fabio

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

Comment By: Luigi Ballabio (lballabio)
Date: 2012-05-15 05:22

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


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3526577&group_id=12740