quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] Global settings

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

On Fri, Apr 27, 2012 at 8:19 PM,  <can...@gm...> wrote:
> Is it possible to eliminate pricing engines' dependence on global settings
> entirely in future releases? The current set up doesn't lend well to
> concurrent pricing.

Alas, we know...  It's one of the concerns, but it will need some
thought. I've no idea when it will happen.

Luigi

[Quantlib-dev] Global settings

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

Is it possible to eliminate pricing engines' dependence on global settings  
entirely in future releases? The current set up doesn't lend well to  
concurrent pricing.

Thanks.

Re: [Quantlib-dev] Purpose of .m4 files

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

Cheers.

MoonDragon wrote:
> 
> Hi,
> 
> I would like to know the purpose of .m4. Using google i've understood that
> they are for information, however their contains for QuantLib are codes.
> Also i would to know how they are called in QuantLib C++ core codes.
> 
> Thanks in advance for your help,
> 
> MoonDragon
> 

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Re: [Quantlib-dev] Purpose of .m4 files

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

On Fri, Apr 27, 2012 at 5:48 PM, Luigi Ballabio
<lui...@gm...> wrote:
> They's for autotools

"They're", of course.  A botched edit.  I wasn't trying to do a
regional impression :)

Re: [Quantlib-dev] Purpose of .m4 files

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

They's for autotools, see <http://www.gnu.org/software/autoconf/>.
You won't use them on Windows.

Luigi

On Fri, Apr 27, 2012 at 5:35 PM, MoonDragon <phi...@gm...> wrote:
>
> Hi,
>
> I would like to know the purpose of .m4. Using google i've understood that
> they are for information, however their contains for QuantLib are codes.
> Also i would to know how they are called in QuantLib C++ core codes.
>
> Thanks in advance for your help,
>
> MoonDragon
> --
> View this message in context: http://old.nabble.com/Purpose-of-.m4-files-tp33759862p33759862.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
>
> ------------------------------------------------------------------------------
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[Quantlib-dev] Purpose of .m4 files

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

Hi,

I would like to know the purpose of .m4. Using google i've understood that
they are for information, however their contains for QuantLib are codes.
Also i would to know how they are called in QuantLib C++ core codes.

Thanks in advance for your help,

MoonDragon
-- 
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Re: [Quantlib-dev] Additional Include Directories:..\functions;..

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

Thanks.

MoonDragon wrote:
> 
> Hi,
> 
> In QuantLib 0.9.7 solution, when i click on test-suite then
> ricght-click/C++/General i can see in 'Additional Include Directories'
> field a folder '..\functions;..'
> 
> However, I cannot physically find this last in my QuantLib folder.
> 
> Thanks in advance for your help,
> 
> MoonDragon
> 

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Re: [Quantlib-dev] Additional Include Directories:..\functions;..

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

It was removed long ago, but I can't recall in which version.
The entry in the include dirs is probably a leftover.

Luigi

On Thu, Apr 26, 2012 at 1:07 PM, MoonDragon <phi...@gm...> wrote:
>
> Hi,
>
> In QuantLib 0.9.7 solution, when i click on test-suite then
> ricght-click/C++/General i can see in 'Additional Include Directories' field
> a folder '..\functions;..'
>
> However, I cannot physically find this last in my QuantLib folder.
>
> Thanks in advance for your help,
>
> MoonDragon
> --
> View this message in context: http://old.nabble.com/Additional-Include-Directories%3A..%5Cfunctions-..-tp33752210p33752210.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/
> _______________________________________________
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[Quantlib-dev] Additional Include Directories:..\functions;..

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

Hi,

In QuantLib 0.9.7 solution, when i click on test-suite then
ricght-click/C++/General i can see in 'Additional Include Directories' field
a folder '..\functions;..'

However, I cannot physically find this last in my QuantLib folder.

Thanks in advance for your help,

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

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

Hi Peter

1. Thanks for your changes, I've added the new class to the SVN trunk.

2. At the time being I think the answer is no. We'll have to extend 
 ql/methods/finitedifferences/FiniteDifferenceModel::rollbackImpl 
by the capability to deal with non uniform time grids.

3. I've used FiniteDifferenceModel::rollback to solve the Fokker-Planck 
equation. Even though the name of the method is "rollback", if "from is 
smaller than to" the methods rolls forward. You'll have to remove line 95 and 
96

            QL_REQUIRE(from >= to,
                       "trying to roll back from " << from << " to " << to);

from finitedifferencemodel.hpp to get it working.

4. The multidim frameworks supports "free boundary condition" (default if no 
BC is given) and Dirichlet BC. Your are right, the Neumann condition was 
never implemented. The boundary conditions are hardcoded in some classes 
because otherwise users might supply the one dimensional classes NeumannBC or 
DirichletBC, which don't work in the multidimensional case. If you have a 
multidimensional version of NeumannBC running we can change the interfaces.

regards
 Klaus

On Sunday 22 April 2012 19:27:12 Peter Caspers wrote:
> Hi,
>
> may I ask one more question please:
>
> 4. it seems there is only a Dirichlet boundary condition implemented in
> the multi dimensional context. I want a Neumann condition and I think I
> managed to implement a version, but the boundary conditions are
> hardcoded as FdmDirichletBoundary in many classes, even the typedef for
> the FdmBoundaryConditionSet is vector<shared_ptr<FdmDirichletBoundary>>.
> Am I missing something here? How else would I be supposed to add new
> boundary conditions?
>
> As for 1. below I extended the concentrating mesher by a flag that
> allows the central point to be forced into the mesh (using a piecewise
> linear transformation of the generating uniform grid, see e.g. Iain
> Clarke, FX Option Pricing, ch. ...). To set up non uniform grids with
> more than one concentrating point I added the glued1dmesher. If you
> consider these contributions useful, please add them to the library.
>
> 2 and 3 have obvious workarounds (rewriting the pde as backward and
> doing the time steps manually one by one). Still the implementation of
> forward operators becomes less readable by this implicit (yet trivial)
> transformation and possibly it may be useful in general to have a non
> uniform time grid in the solvers, e.g. via a transformation [0,1] ->
> [0,1], u -> pow(u,alpha), alpha > 0 and a linear one [0,1] -> [0,T] (cf.
> same reference as above). If considered useful, I'd be happy to do these
> extensions to the FdmBackwardSolver class.
>
> Regards
> Peter
>
> -------- Original-Nachricht --------
> Betreff: 	[Quantlib-users] fd questions
> Datum: 	Thu, 12 Apr 2012 13:37:25 +0200
> Von: 	Peter Caspers <pca...@vo...>
> An: 	qua...@li...
>
>
>
> Hi,
>
> I just started to use the ql 1.1 / finitedifferences framework and have
> a couple of (probably very basic) questions:
>
> 1. Is there a way to specify a or even several mandatory point(s) in the
> meshers?
> 2. Can I use a non uniform time grid in the solver?
> 3. Is there a forward solver ?
>
> Thank you
> Peter
>
>
>
>
> ---------------------------------------------------------------------------
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> Boundary is the first to Know...and Tell You.
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[Quantlib-dev] [ quantlib-Bugs-3520550 ] Possible bug in rounding.cpp?

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

Bugs item #3520550, was opened at 2012-04-23 01:24
Message generated for change (Tracker Item Submitted) made by 
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3520550&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: simon_shakeshaft ()
Assigned to: Nobody/Anonymous (nobody)
Summary: Possible bug in rounding.cpp?

Initial Comment:
Hello,

Applying UpRouding to 0.86313 with precision set to 5 produces 0.86314.  Assuming this behaviour is not 'by-design' then I've attached suggested patch files for ql/math/rouding.cpp and an additional test case in /test-suite/rounding.cpp.

Regards
Simon Shakeshaft

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3520550&group_id=1274

[Quantlib-dev] fd questions ctd...

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

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2009 Ralph Schreyer

 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 concentrating1dmesher.cpp
    \brief One-dimensional grid mesher concentrating around critical points
*/

#include <ql/errors.hpp>
#include <ql/utilities/null.hpp>
#include <ql/experimental/finitedifferences/concentrating1dmesher.hpp>
#include <cmath>

#include <ql/math/interpolations/linearinterpolation.hpp>

// asinh is missing in WIN32 (and possibly on other compilers)
#if !defined(QL_HAVE_ASINH)
#define asinh(x) std::log(x + std::sqrt(x * x + 1))
#endif

namespace QuantLib {

    Concentrating1dMesher::Concentrating1dMesher(
        Real start, Real end, Size size, const std::pair<Real, Real>& cPoints, const bool requireCPoint)
    : Fdm1dMesher(size) {

        QL_REQUIRE(end > start, "end must be larger than start");

        const Real cPoint  = cPoints.first;
        const Real density = cPoints.second == Null<Real>() ?
                             Null<Real>() : cPoints.second*(end-start);

        QL_REQUIRE(    cPoint == Null<Real>()
                   || (cPoint >= start && cPoint <= end),
                   "cPoint must be between start and end");
        QL_REQUIRE(density == Null<Real>() || density > 0.0,
                   "density > 0 required" );

		Real c1, c2;
		std::vector<Real> u, z;
		boost::shared_ptr<Interpolation> transform;
		if(cPoint != Null<Real>()) {
            c1 = asinh((start-cPoint)/density);
            c2 = asinh((end-cPoint)/density);
			if(requireCPoint) {
				Real z0 = - c1 / (c2-c1);
				Real u0 = static_cast<int>(z0*(size-1)+0.5) / ((Real)(size-1));
				u.push_back(0.0); u.push_back(u0); u.push_back(1.0);
				z.push_back(0.0); z.push_back(z0); z.push_back(1.0);
				transform = boost::shared_ptr<Interpolation>(new LinearInterpolation(u.begin(), u.end(), z.begin()));
			}
		}

        const Real dx = 1.0/(size-1);
        for (Size i=1; i < size-1; ++i) {
            if(cPoint != Null<Real>()) {
				Real li = requireCPoint ? (*transform)(i*dx) : i*dx;
                locations_[i] = cPoint
                    + density*std::sinh(c1*(1.0-li)+c2*li);
            }
            else {
                locations_[i] = start + i*dx*(end-start);
            }
        }
        locations_.front() = start;
        locations_.back() = end;

        for (Size i=0; i < size-1; ++i) {
            dplus_[i] = dminus_[i+1] = locations_[i+1] - locations_[i];
        }
        dplus_.back() = dminus_.front() = Null<Real>();
    }
}

Re: [Quantlib-dev] Commodities Pricing

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

The little we have is in <ql/experimental/commodities/>.  It's a
contribution of a few years ago, and I'm afraid it hasn't been tested
much.

Luigi

[P.S. Moderator note: please don't quote the whole daily digest when posting]


On Thu, Apr 12, 2012 at 2:30 PM,  <tb...@ao...> wrote:
> Hi All,
>
> Is there any work currently on Quantlib for Commodities ie Pricing of
> Tolling, Swing and Storage for Energy Products.
>
> Also Spread Options, Swaptions, Baskets and Asians for Oil, Base Metals,
> Precious Metals, etc?
>
> Regards
>
> Theo

[Quantlib-dev] Local static initialization in singleton.hpp

[W. A. C. <ant...@gm...>]

Hi all,

I was looking at the thread-safety bug identified in singleton.hpp. To fix
this bug I thought to throw a lock on a class static boost::mutex into the
template class function singleton<t>::instance() to serialize access to
instances_

+      boost::mutex::scoped_lock lock(mutex_);
        boost::shared_ptr<T>& instance = instances_[id];

Since instances_ is a local static, it's probably important to point out
that its initialization is not necessarily thread-safe depending on the
compiler in use. I pretty much ignored that problem entirely.

Also, to use boost/thread.hpp, the boost/bind.hpp header gets included,
which adds additional placeholders to the global namespace.

The effect this would have is that using the inclusion of boost/bind.hpp
requires you to add qualifiers to the
/ql/pricingengines/vanilla/analytichestonengine.cpp such that every
reference to the placeholder _1 becomes boost::lambda::_1  . Otherwise
you'll get compile-time errors for ambiguous reference

It turns out that this is the only place where that caused a naming
collision.

This would be kind of a weird change and I have never submitted any patches
for this project so I thought I'd ask the list for its thoughts.

Thanks,
William

Re: [Quantlib-dev] problem with Problem

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

On Tue, Apr 17, 2012 at 10:28 AM, Simon Ibbotson
<Sim...@fs...> wrote:
> Possibly this should be submitted as a bug-fix…
>
> Why does the class Problem store a reference to the CostFunction and a
> reference to the Constraint?
>
> This seems incredibly bad programming / commenting. A call to create a
> Problem class of the form:
>
> Problem prob(preCreatedCostFunction, PositiveConstraint(), initialValues);
>
> will fail unpredictably at optimisation time as the Constraint is no longer
> a valid reference.
>
> If you want to force the CostFunction and the Constraint to be pre-created
> at the very least this should be commented, better would be to pass a shared
> pointer (which could be tested).

Simon,
    you're right, that's downright embarrassing. Strange that I never
bumped into this...
At this time replacing the references with a shared pointer would
break backward compatibility, but I agree that this should at least be
documented.  I'll add a warning to the class.

Thanks for the heads-up.

    Luigi

[Quantlib-dev] [ quantlib-Bugs-3517468 ] prices.cpp - switch statement falls through to QL_FAIL?

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

Bugs item #3517468, was opened at 2012-04-13 04:46
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3517468&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: simonshakeshaft ()
>Assigned to: Luigi Ballabio (lballabio)
Summary: prices.cpp - switch statement falls through to QL_FAIL?

Initial Comment:
Hi,

IntervalPrice::setValue(Real value, IntervalPrice::Type t) in prices.cpp - switch statement falls through to default case = QL_FAIL.

Regards
Simon Shakeshaft

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

Comment By: Luigi Ballabio (lballabio)
Date: 2012-04-17 03:27

Message:
The bug is now fixed in the Subversion repository.
Thank you for the report.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3517468&group_id=12740

[Quantlib-dev] problem with Problem

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

Possibly this should be submitted as a bug-fix...

Why does the class Problem store a reference to the CostFunction and a
reference to the Constraint?
This seems incredibly bad programming / commenting. A call to create a
Problem class of the form:

Problem prob(preCreatedCostFunction, PositiveConstraint(),
initialValues);

will fail unpredictably at optimisation time as the Constraint is no
longer a valid reference.

If you want to force the CostFunction and the Constraint to be
pre-created at the very least this should be commented, better would be
to pass a shared pointer (which could be tested).


Simon




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[Quantlib-dev] market vol surfaces

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

I'm working on equity/fx vol surfaces within QuantLib. However, I don't
see any surface which incorporates some basic definitions of the
underlying instruments (for the implied vol).

Definitions such as:
Spot-settlement lag and calendar
Exercise-settlement lag and calendar

Would it not make sense to do the same as for the yield-term-structures
and have some VolHelpers which can supply this information as well as
some basic functionality (Call prices, Put prices, Implied vol from
price etc.)?

Or am I not looking in the right place?

Thanks,
Simon



Simon Ibbotson
Valuations: Modelling & Methodologies.
Prudential Risk Division | Financial Services Authority
Ext: 65586
Email: Sim...@fs...
 




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

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

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Canary Wharf,
London
E14 5HS
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[Quantlib-dev] [ quantlib-Bugs-3517468 ] prices.cpp - switch statement falls through to QL_FAIL?

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

Bugs item #3517468, was opened at 2012-04-13 04:46
Message generated for change (Tracker Item Submitted) made by 
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3517468&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: https://www.google.com/accounts ()
Assigned to: Nobody/Anonymous (nobody)
Summary: prices.cpp - switch statement falls through to QL_FAIL?

Initial Comment:
Hi,

IntervalPrice::setValue(Real value, IntervalPrice::Type t) in prices.cpp - switch statement falls through to default case = QL_FAIL.

Regards
Simon Shakeshaft

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

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Re: [Quantlib-dev] willing to contribute

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

Hi Aman,
    there's no prioritization of the tasks.  In the past year or two,
there's been no big change in the library; most new code was
contributed by people that needed a new feature, built it and made it
available, after which I or some other core developer had a look at
the code and added it to the repository.  There's not a lot of process
involved.

I'm afraid currently there's not a place where to find open tasks
(apart from the bug tracker). We should add a page on the site
collecting possible ideas.  In the meantime, a few things come to
mind.
One is experimenting with the observer/observable problem (you'll find
the relevant threads if you look at the mailing list archives). It
might be useful if someone actually tried the solutions outlined in
the threads and see what happens.  A warning though: this has a huge
impact and might not be the first thing you want to try with the
library... if you do, you'll want to use version control. I suggest
you clone the git mirror at <https://github.com/lballabio/quantlib>;
this would make it easier to contribute your changes (of course, this
also holds if you decide to do something else).

A simpler possibility to begin with is to add tests; there's a lot of
classes in the library that are tested only partially, or not at all.
You might look at the test suite and see if anything basic is missing.

Or you might just have something interesting to do that you found
while learning finance; in which case, by all means, go ahead and
implement it.

Let me know if there's anything you want to start.

Later,
    Luigi


On Thu, Apr 12, 2012 at 7:13 AM, aman <ama...@gm...> wrote:
> Hi Everyone,
>
> I love coding in C++. Playing with numbers and learning Finance is one of my
> hobby. All these interests bring me to this field of Financial Engineering /
> Modeling.
>
> I have a formal education in Computer science and have been working as a C++
> developer from some time. I would like to contribute to quantlib and be a
> part of this cause. Can anyone please help me where to get started (I have
> gone through the developer's page, built quantlib and scanned open items)
> and let me now a little bit how this community works? Is it a collaborative
> effort on each task or each one person picks up one component, develops it
> and integrates with the old code? Is some one moderating the tasks
> and prioritizing them?
>
> I apologies for lot of spamming everyone, please feel free to answer these
> questions as per your convenience.
> I would really appreciate if i could get involved.
>
> Regards
> -Aman

Re: [Quantlib-dev] willing to contribute

[欧 阳鹏 <di...@gm...>]

Hi,
I have been studying and reading quantlib code recently.  I seems that there is small number of tasks left in c++ part. It seems that quantlib
need more works on the wrapper to other language, like python.

Best Regards,
Yangpeng
在 2012-4-12，上午1:13， aman 写道：

> Hi Everyone,
> 
> I love coding in C++. Playing with numbers and learning Finance is one of my hobby. All these interests bring me to this field of Financial Engineering / Modeling.
> 
> I have a formal education in Computer science and have been working as a C++ developer from some time. I would like to contribute to quantlib and be a part of this cause. Can anyone please help me where to get started (I have gone through the developer's page, built quantlib and scanned open items) and let me now a little bit how this community works? Is it a collaborative effort on each task or each one person picks up one component, develops it and integrates with the old code? Is some one moderating the tasks and prioritizing them?
> 
> I apologies for lot of spamming everyone, please feel free to answer these questions as per your convenience. 
> I would really appreciate if i could get involved. 
> 
> Regards
> -Aman
> 
> 
> ------------------------------------------------------------------------------
> For Developers, A Lot Can Happen In A Second.
> Boundary is the first to Know...and Tell You.
> Monitor Your Applications in Ultra-Fine Resolution. Try it FREE!
> http://p.sf.net/sfu/Boundary-d2dvs2_______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Quantlib-dev] Commodities Pricing

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

Hi All,

Is there any work currently on Quantlib for Commodities ie Pricing of Tolling, Swing and Storage for Energy Products.

Also Spread Options, Swaptions, Baskets and Asians for Oil, Base Metals, Precious Metals, etc?

Regards

Theo



-----Original Message-----
From: quantlib-dev-request <qua...@li...>
To: quantlib-dev <qua...@li...>
Sent: Thu, 12 Apr 2012 9:26
Subject: QuantLib-dev Digest, Vol 71, Issue 3


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oday's Topics:
   1. R: Re: Re:  QuantLib in CDT (tar...@li...)
  2. Re: QuantLib in CDT (Luigi Ballabio)
  3. Blog Post on Open Source Credit Rating Models	Mentions
     Quantlib (Marc Joffe)
  4. willing to contribute (aman)
  5. [ quantlib-Patches-3517001 ] Intraday Decay (SourceForge.net)
  6. [ quantlib-Patches-3517001 ] Intraday Decay (SourceForge.net)
  7. [ quantlib-Feature Requests-3306959 ] CUDA port (SourceForge.net)

---------------------------------------------------------------------
Message: 1
ate: Wed, 11 Apr 2012 09:56:36 +0200 (CEST)
rom: "tar...@li..." <tar...@li...>
ubject: [Quantlib-dev] R: Re: Re:  QuantLib in CDT
o: <lui...@gm...>
c: qua...@li...,
qua...@li...
essage-ID:
<9882410.8158711334130996441.JavaMail.defaultUser@defaultHost>
ontent-Type: text/plain;charset="UTF-8"
the GCC version is 3.2.3
>----Messaggio originale----
Da: lui...@gm...
Data: 11/04/2012 9.28
A: "tar...@li..."<tar...@li...>
Cc: <qua...@li...>, <quantlib-users-request@lists.
ourceforge.net>
Ogg: Re: Re: [Quantlib-dev] QuantLib in CDT

What's the g++ version?  (You can run "g++ --version" from the command
line to find out)

On Wed, Apr 11, 2012 at 9:20 AM, tar...@li...
<tar...@li...> wrote:
> I followed the instructions at ?http://users.telenet.be/johan.
> witters/website/skwash.com/get/get3.html Part I and I get this error
>
> ....QuantLib/ql/methods/finitedifferences/meshers/fdmblackscholesmesher.
pp:
> 48: parse error before `;' token
> Build error occurred, build is stopped
>
>
> I used MinGW and defined the compilers settings both for GCC C++ and GCC C 
n
> Properties>C/C++Build>Settings
>
> My eclipse is:
>
> Eclipse IDE for C/C++ Developers
> Version: Helios Service Release 2
> Build id: 20110218-0911
>
> Thanks
> Paolo
>
>>----Messaggio originale----
>>Da: lui...@gm...
>>Data: 10/04/2012 23.16
>>A: "tar...@li..."<tar...@li...>
>>Cc: <qua...@li...>, <quantlib-users-request@lists.
> sourceforge.net>
>>Ogg: Re: [Quantlib-dev] QuantLib in CDT
>>
>>Paolo,
>> ? ?what is the error? ?And what compiler (and version) is CDT using?
>>
>>Luigi
>>
>>On Thu, Apr 5, 2012 at 6:22 PM, tar...@li...
>><tar...@li...> wrote:
>>> I am trying to build quantlib in CDT.
>>> I can build correctly the version 0.9 but if I try newer version I get a
> parse
>>> error.
>>> Is there anyone who encountered the same problems?
>>
>
>



------------------------------
Message: 2
ate: Wed, 11 Apr 2012 10:00:13 +0200
rom: Luigi Ballabio <lui...@gm...>
ubject: Re: [Quantlib-dev] QuantLib in CDT
o: "tar...@li..." <tar...@li...>
c: qua...@li...
essage-ID:
<CAJ...@ma...>
ontent-Type: text/plain; charset=ISO-8859-1
It looks old.  Looking at the MinGW site, the current version is from
he 4.5 series.
an you upgrade and see if that fixes the problem, or are you locked
t this version?
Luigi
On Wed, Apr 11, 2012 at 9:56 AM, tar...@li...
tar...@li...> wrote:
 the GCC version is 3.2.3

>----Messaggio originale----
>Da: lui...@gm...
>Data: 11/04/2012 9.28
>A: "tar...@li..."<tar...@li...>
>Cc: <qua...@li...>, <quantlib-users-request@lists.
 sourceforge.net>
>Ogg: Re: Re: [Quantlib-dev] QuantLib in CDT
>
>What's the g++ version? ?(You can run "g++ --version" from the command
>line to find out)
>
>On Wed, Apr 11, 2012 at 9:20 AM, tar...@li...
><tar...@li...> wrote:
>> I followed the instructions at ?http://users.telenet.be/johan.
>> witters/website/skwash.com/get/get3.html Part I and I get this error
>>
>> ....QuantLib/ql/methods/finitedifferences/meshers/fdmblackscholesmesher.
 hpp:
>> 48: parse error before `;' token
>> Build error occurred, build is stopped
>>
>>
>> I used MinGW and defined the compilers settings both for GCC C++ and GCC C
 in
>> Properties>C/C++Build>Settings
>>
>> My eclipse is:
>>
>> Eclipse IDE for C/C++ Developers
>> Version: Helios Service Release 2
>> Build id: 20110218-0911
>>
>> Thanks
>> Paolo
>>
>>>----Messaggio originale----
>>>Da: lui...@gm...
>>>Data: 10/04/2012 23.16
>>>A: "tar...@li..."<tar...@li...>
>>>Cc: <qua...@li...>, <quantlib-users-request@lists.
>> sourceforge.net>
>>>Ogg: Re: [Quantlib-dev] QuantLib in CDT
>>>
>>>Paolo,
>>> ? ?what is the error? ?And what compiler (and version) is CDT using?
>>>
>>>Luigi
>>>
>>>On Thu, Apr 5, 2012 at 6:22 PM, tar...@li...
>>><tar...@li...> wrote:
>>>> I am trying to build quantlib in CDT.
>>>> I can build correctly the version 0.9 but if I try newer version I get a
>> parse
>>>> error.
>>>> Is there anyone who encountered the same problems?
>>>
>>
>>
>



------------------------------
Message: 3
ate: Wed, 11 Apr 2012 12:33:32 -0700
rom: "Marc Joffe" <ma...@pu...>
ubject: [Quantlib-dev] Blog Post on Open Source Credit Rating Models
Mentions Quantlib
o: <qua...@li...>,
<qua...@li...>
essage-ID: <058001cd1819$fb1cf380$f156da80$@publicsectorcredit.org>
ontent-Type: text/plain; charset="us-ascii"
Rating Agency Models and Open Source
http://expectedloss.blogspot.com/2012/04/credit-rating-agency-models-and-ope
.html
 
I am looking for users and developers interested in collaborating on an open
ource sovereign rating model project. If you don't agree with your
ountry's credit rating, here is a chance to do something about it!
 
A pre-release version of the tool is available at
ttp://www.publicsectorcredit.org/pscf.html. Source will be posted to GitHub
n 2 May 2012. The tool uses a Monte Carlo simulation but is not based on
he MC tools in QuantLib.  If anyone on the QuantLib team is interested in
ntegrating our functionality with the library, I would be interested in
iscussing that.
 
Regards,
Marc Joffe
Public Sector Credit Solutions
ma...@pu...
 
-------------- next part --------------
n HTML attachment was scrubbed...
------------------------------
Message: 4
ate: Thu, 12 Apr 2012 01:13:09 -0400
rom: aman <ama...@gm...>
ubject: [Quantlib-dev] willing to contribute
o: qua...@li...
essage-ID:
<CAD...@ma...>
ontent-Type: text/plain; charset="iso-8859-1"
Hi Everyone,
I love coding in C++. Playing with numbers and learning Finance is one of
y hobby. All these interests bring me to this field of Financial
ngineering / Modeling.
I have a formal education in Computer science and have been working as a
++ developer from some time. I would like to contribute to quantlib and be
 part of this cause. Can anyone please help me where to get started (I
ave gone through the developer's page, built quantlib and scanned open
tems) and let me now a little bit how this community works? Is it a
ollaborative effort on each task or each one person picks up one
omponent, develops it and integrates with the old code? Is some one
oderating the tasks and prioritizing them?
I apologies for lot of spamming everyone, please feel free to answer these
uestions as per your convenience.
 would really appreciate if i could get involved.
Regards
Aman
------------- next part --------------
n HTML attachment was scrubbed...
------------------------------
Message: 5
ate: Wed, 11 Apr 2012 13:33:25 -0700
rom: SourceForge.net <no...@so...>
ubject: [Quantlib-dev] [ quantlib-Patches-3517001 ] Intraday Decay
o: SourceForge.net <no...@so...>
essage-ID:
<mai...@li...>
ontent-Type: text/plain; charset=UTF-8
Patches item #3517001, was opened at 2012-04-11 13:33
essage generated for change (Tracker Item Submitted) made by shparmar
ou can respond by visiting: 
ttps://sourceforge.net/tracker/?func=detail&atid=312740&aid=3517001&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: Shailesh Parmar (shparmar)
ssigned to: Nobody/Anonymous (nobody)
ummary: Intraday Decay
Initial Comment:
upports intraday decay of options. 
----------------------------------------------------------------------
You can respond by visiting: 
ttps://sourceforge.net/tracker/?func=detail&atid=312740&aid=3517001&group_id=12740

------------------------------
Message: 6
ate: Wed, 11 Apr 2012 14:59:22 -0700
rom: SourceForge.net <no...@so...>
ubject: [Quantlib-dev] [ quantlib-Patches-3517001 ] Intraday Decay
o: SourceForge.net <no...@so...>
essage-ID:
<mai...@li...>
ontent-Type: text/plain; charset=UTF-8
Patches item #3517001, was opened at 2012-04-11 13:33
essage generated for change (Comment added) made by lballabio
ou can respond by visiting: 
ttps://sourceforge.net/tracker/?func=detail&atid=312740&aid=3517001&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
Status: Deleted
Resolution: Postponed
riority: 5
rivate: No
ubmitted By: Shailesh Parmar (shparmar)
ssigned to: Nobody/Anonymous (nobody)
ummary: Intraday Decay
Initial Comment:
upports intraday decay of options. 
----------------------------------------------------------------------
>Comment By: Luigi Ballabio (lballabio)
ate: 2012-04-11 14:59
Message:
emoved as per request of submitter.
ill be submitted again.
----------------------------------------------------------------------
You can respond by visiting: 
ttps://sourceforge.net/tracker/?func=detail&atid=312740&aid=3517001&group_id=12740

------------------------------
Message: 7
ate: Thu, 12 Apr 2012 00:18:44 -0700
rom: SourceForge.net <no...@so...>
ubject: [Quantlib-dev] [ quantlib-Feature Requests-3306959 ] CUDA
port
o: SourceForge.net <no...@so...>
essage-ID:
<mai...@li...>
ontent-Type: text/plain; charset=UTF-8
Feature Requests item #3306959, was opened at 2011-05-24 07:30
essage generated for change (Comment added) made by avandergood
ou can respond by visiting: 
ttps://sourceforge.net/tracker/?func=detail&atid=362740&aid=3306959&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
riority: 5
rivate: No
ubmitted By: Dominique (miroslav87)
ssigned to: Nobody/Anonymous (nobody)
ummary: CUDA port
Initial Comment:
i!
I would like if there is any CUDA port of QuantLib, at least partial one.
f not, is there anyone that has adapted a CUDA layer for numerical analytic and 
aths under QuantLib to at least perform matrix decomposition and calculation on 
PU? 
nyone has an idea or a clue on how it could be made properly ?
Thanks very much
PS: Excuse my poor English!
----------------------------------------------------------------------
Comment By: Vandegood (avandergood)
ate: 2012-04-12 00:18
Message:
ello Dom, 
ou can find some good library on cuda zone 
f you want to work with matrix, try the library "Cublas"
his library is included in the cuda toolkit package that you can download
asily from http://developer.nvidia.com/cuda-downloads

---------------------------------------------------------------------
You can respond by visiting: 
ttps://sourceforge.net/tracker/?func=detail&atid=362740&aid=3306959&group_id=12740

------------------------------
------------------------------------------------------------------------------
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oundary is the first to Know...and Tell You.
onitor Your Applications in Ultra-Fine Resolution. Try it FREE!
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------------------------------
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uan...@li...
ttps://lists.sourceforge.net/lists/listinfo/quantlib-dev

nd of QuantLib-dev Digest, Vol 71, Issue 3
******************************************

[Quantlib-dev] [ quantlib-Feature Requests-3306959 ] CUDA port

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

Feature Requests item #3306959, was opened at 2011-05-24 07:30
Message generated for change (Comment added) made by avandergood
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=3306959&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
Priority: 5
Private: No
Submitted By: Dominique (miroslav87)
Assigned to: Nobody/Anonymous (nobody)
Summary: CUDA port

Initial Comment:
Hi!

I would like if there is any CUDA port of QuantLib, at least partial one.
If not, is there anyone that has adapted a CUDA layer for numerical analytic and maths under QuantLib to at least perform matrix decomposition and calculation on GPU? 
Anyone has an idea or a clue on how it could be made properly ?

Thanks very much

PS: Excuse my poor English!

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

Comment By: Vandegood (avandergood)
Date: 2012-04-12 00:18

Message:
Hello Dom, 
you can find some good library on cuda zone 
if you want to work with matrix, try the library "Cublas"
this library is included in the cuda toolkit package that you can download
easily from http://developer.nvidia.com/cuda-downloads


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=3306959&group_id=12740

[Quantlib-dev] willing to contribute

[aman <ama...@gm...>]

Hi Everyone,

I love coding in C++. Playing with numbers and learning Finance is one of
my hobby. All these interests bring me to this field of Financial
Engineering / Modeling.

I have a formal education in Computer science and have been working as a
C++ developer from some time. I would like to contribute to quantlib and be
a part of this cause. Can anyone please help me where to get started (I
have gone through the developer's page, built quantlib and scanned open
items) and let me now a little bit how this community works? Is it a
collaborative effort on each task or each one person picks up one
component, develops it and integrates with the old code? Is some one
moderating the tasks and prioritizing them?

I apologies for lot of spamming everyone, please feel free to answer these
questions as per your convenience.
I would really appreciate if i could get involved.

Regards
-Aman

[Quantlib-dev] [ quantlib-Patches-3517001 ] Intraday Decay

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

Patches item #3517001, was opened at 2012-04-11 13:33
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3517001&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: Deleted
>Resolution: Postponed
Priority: 5
Private: No
Submitted By: Shailesh Parmar (shparmar)
Assigned to: Nobody/Anonymous (nobody)
Summary: Intraday Decay

Initial Comment:
Supports intraday decay of options. 

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2012-04-11 14:59

Message:
Removed as per request of submitter.
Will be submitted again.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3517001&group_id=12740