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From: SourceForge.net <no...@so...> - 2012-04-11 20:33:25
|
Patches item #3517001, was opened at 2012-04-11 13:33 Message generated for change (Tracker Item Submitted) made by shparmar 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: Open Resolution: None Priority: 5 Private: No Submitted By: Shailesh Parmar (shparmar) Assigned to: Nobody/Anonymous (nobody) Summary: Intraday Decay Initial Comment: Supports intraday decay of options. ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3517001&group_id=12740 |
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From: Marc J. <ma...@pu...> - 2012-04-11 20:00:24
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Rating Agency Models and Open Source http://expectedloss.blogspot.com/2012/04/credit-rating-agency-models-and-ope n.html I am looking for users and developers interested in collaborating on an open source sovereign rating model project. If you don't agree with your country's credit rating, here is a chance to do something about it! A pre-release version of the tool is available at http://www.publicsectorcredit.org/pscf.html. Source will be posted to GitHub on 2 May 2012. The tool uses a Monte Carlo simulation but is not based on the MC tools in QuantLib. If anyone on the QuantLib team is interested in integrating our functionality with the library, I would be interested in discussing that. Regards, Marc Joffe Public Sector Credit Solutions ma...@pu... |
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From: Luigi B. <lui...@gm...> - 2012-04-11 08:00:24
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It looks old. Looking at the MinGW site, the current version is from the 4.5 series. Can you upgrade and see if that fixes the problem, or are you locked at 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? >>>> >>> >>> >> > > |
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From: <tar...@li...> - 2012-04-11 07:56:48
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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? >>> >> >> > |
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From: Luigi B. <lui...@gm...> - 2012-04-11 07:28:15
|
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? >> > > |
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From: <tar...@li...> - 2012-04-11 07:20:22
|
Hi Luigi 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? > |
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From: Luigi B. <lui...@gm...> - 2012-04-10 21:16:48
|
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?
|
|
From: MoonDragon <phi...@gm...> - 2012-04-10 16:41:43
|
Yes, 'libboost_unit_test_framework-vc90-mt-sgd-1_39.lib' is installed in this folder: C:\Boost\boost_1_39\lib. However, i have just found the reason of my issue (your questions helped me for this): I had included for the Boost library folder, C:\Boost\boost_1_39 instead of C:\Boost\boost_1_39\lib. Thanks, MoonDragon Luigi Ballabio wrote: > > Do you have 'libboost_unit_test_framework-vc90-mt-sgd-1_39.lib' > installed somewhere on your system? Have you added its path to the > compiler library path? > > Luigi > > On Tue, Apr 10, 2012 at 4:42 PM, MoonDragon <phi...@gm...> > wrote: >> >> Hi, >> >> I have just installed Quantlib (0.9.7 in goal to exactly follow the step >> of >> the tutorial available at http://quantlib.org/install/vc9.shtml). >> >> However, when i build the entire solution i receive the error message >> below. >> >> fatal error LNK1104: cannot open file >> 'libboost_unit_test_framework-vc90-mt-sgd-1_39.lib' >> >> Thanks in advance for your help, >> >> Regards >> -- >> View this message in context: >> http://old.nabble.com/fatal-error-LNK1104%3A-cannot-open-file-%27libboost_unit_test_framework-vc90-mt-sgd-1_39.lib%27-tp33661905p33661905.html >> Sent from the quantlib-dev mailing list archive at Nabble.com. >> >> >> ------------------------------------------------------------------------------ >> Better than sec? Nothing is better than sec when it comes to >> monitoring Big Data applications. Try Boundary one-second >> resolution app monitoring today. Free. >> http://p.sf.net/sfu/Boundary-dev2dev >> _______________________________________________ >> QuantLib-dev mailing list >> Qua...@li... >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > ------------------------------------------------------------------------------ > Better than sec? Nothing is better than sec when it comes to > monitoring Big Data applications. Try Boundary one-second > resolution app monitoring today. Free. > http://p.sf.net/sfu/Boundary-dev2dev > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > -- View this message in context: http://old.nabble.com/fatal-error-LNK1104%3A-cannot-open-file-%27libboost_unit_test_framework-vc90-mt-sgd-1_39.lib%27-tp33661905p33662773.html Sent from the quantlib-dev mailing list archive at Nabble.com. |
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From: Luigi B. <lui...@gm...> - 2012-04-10 14:51:14
|
Do you have 'libboost_unit_test_framework-vc90-mt-sgd-1_39.lib' installed somewhere on your system? Have you added its path to the compiler library path? Luigi On Tue, Apr 10, 2012 at 4:42 PM, MoonDragon <phi...@gm...> wrote: > > Hi, > > I have just installed Quantlib (0.9.7 in goal to exactly follow the step of > the tutorial available at http://quantlib.org/install/vc9.shtml). > > However, when i build the entire solution i receive the error message below. > > fatal error LNK1104: cannot open file > 'libboost_unit_test_framework-vc90-mt-sgd-1_39.lib' > > Thanks in advance for your help, > > Regards > -- > View this message in context: http://old.nabble.com/fatal-error-LNK1104%3A-cannot-open-file-%27libboost_unit_test_framework-vc90-mt-sgd-1_39.lib%27-tp33661905p33661905.html > Sent from the quantlib-dev mailing list archive at Nabble.com. > > > ------------------------------------------------------------------------------ > Better than sec? Nothing is better than sec when it comes to > monitoring Big Data applications. Try Boundary one-second > resolution app monitoring today. Free. > http://p.sf.net/sfu/Boundary-dev2dev > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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From: MoonDragon <phi...@gm...> - 2012-04-10 14:42:37
|
Hi, I have just installed Quantlib (0.9.7 in goal to exactly follow the step of the tutorial available at http://quantlib.org/install/vc9.shtml). However, when i build the entire solution i receive the error message below. fatal error LNK1104: cannot open file 'libboost_unit_test_framework-vc90-mt-sgd-1_39.lib' Thanks in advance for your help, Regards -- View this message in context: http://old.nabble.com/fatal-error-LNK1104%3A-cannot-open-file-%27libboost_unit_test_framework-vc90-mt-sgd-1_39.lib%27-tp33661905p33661905.html Sent from the quantlib-dev mailing list archive at Nabble.com. |
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From: <tar...@li...> - 2012-04-05 16:22:35
|
Hello 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? thanks br Paolo |
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From: cf16 <cf1...@gm...> - 2012-04-01 23:20:52
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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? -- View this message in context: http://old.nabble.com/QuantLibXL-how-to-build-it-tp33544973p33544973.html Sent from the quantlib-dev mailing list archive at Nabble.com. |
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From: SourceForge.net <no...@so...> - 2012-03-31 20:12:31
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Bugs item #3513775, was opened at 2012-03-31 13:12 Message generated for change (Tracker Item Submitted) made by x-ralf-x You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3513775&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: TriRalf (x-ralf-x) Assigned to: Nobody/Anonymous (nobody) Summary: Addin Error for QuantLibXl on Excel 2010 64-Bit Initial Comment: Hi all, I get an error when I open the "QuantLibXL.xla" addin on Excel 2010 64-bit: "Compile error: The code in this project must be updated for use on 64-bit systems" Microsoft explains: error message when you edit a VBA macro in the 64-bit version of an Office 2010 program (see http://support.microsoft.com/kb/983043) The error comes from the line: Private Declare Function SetCurrentDirectory Lib "kernel32" Alias "SetCurrentDirectoryA" (ByVal lpPathName As String) As Long Can you please update the addin accordingly. Best regards, Ralf ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3513775&group_id=12740 |
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From: Ferdinando A. <na...@am...> - 2012-03-30 14:24:46
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Hi all is there anyone who can help to implement the CME SPAN algorithm? http://www.cmegroup.com/clearing/risk-management/span-overview.html Even just pointing to tech references that could speed up a quick implementation would be appreciated. Feel free to contact me off-list if preferred thank you in advance ciao -- Nando |
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From: SourceForge.net <no...@so...> - 2012-03-28 10:31:30
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Bugs item #3511954, was opened at 2012-03-27 08:18 Message generated for change (Comment added) made by lballabio You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3511954&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: Invalid Priority: 5 Private: No Submitted By: https://me.yahoo.com/a/Df.Slpks () >Assigned to: Luigi Ballabio (lballabio) Summary: Inconsistent Gray Code usage in Sobol Sequence Initial Comment: I am referring to the C++ implementation of Sobol low discrepancy sequences in sobolrsg.cpp. The problem I see is also present in the Java port. SobolRsg::skipTo converts the skip index to a Gray Code, to which it applies the directionIntegers. This looks correct. SobolRsg::nextInt32Sequence has this comment: // instead of using the counter n as new unique generating integer // for the n-th draw use the Gray code G(n) as proposed // by Antonov and Saleev However, I do not see the sequenceCounter_ being converted into a Gray Code. I propose the following change to nextInt32Sequence: const std::vector<unsigned long>& SobolRsg::nextInt32Sequence() const { if (firstDraw_) { // it was precomputed in the constructor firstDraw_ = false; return integerSequence_; } // increment the counter sequenceCounter_++; // did we overflow? QL_REQUIRE(sequenceCounter_ != 0, "period exceeded"); // instead of using the counter n as new unique generating integer // for the n-th draw use the Gray code G(n) as proposed // by Antonov and Saleev unsigned long n = sequenceCounter_ ^ (sequenceCounter_ >> 1); // *** LINE CHANGED *** // Find rightmost zero bit of n int j = 0; while (n & 1) { n >>= 1; j++; } for (Size k=0; k<dimensionality_; k++) { // XOR the appropriate direction number into each component of // the integer sequence to obtain a new Sobol integer for that // component integerSequence_[k] ^= directionIntegers_[k][j]; } return integerSequence_; } Alternately, you could make the use of Gray Codes an option on the algorithm. Of course, I could be mistaken, and only skip needs the Gray Code. Thank you for providing this library! Paul Anton Chernoch Karen Clark and Co. Boston, MA ---------------------------------------------------------------------- >Comment By: Luigi Ballabio (lballabio) Date: 2012-03-28 03:31 Message: Ok, I'm closing the issue then. Thanks, Luigi ---------------------------------------------------------------------- Comment By: https://me.yahoo.com/a/Df.Slpks () Date: 2012-03-27 11:47 Message: I finished porting the Sobol Sequence code to C#. When I made the change that I suggested above, it dramatically worsened the results. Never mind... Paul ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3511954&group_id=12740 |
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From: SourceForge.net <no...@so...> - 2012-03-27 18:47:38
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Bugs item #3511954, was opened at 2012-03-27 08:18 Message generated for change (Comment added) made by You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3511954&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://me.yahoo.com/a/Df.Slpks () Assigned to: Nobody/Anonymous (nobody) Summary: Inconsistent Gray Code usage in Sobol Sequence Initial Comment: I am referring to the C++ implementation of Sobol low discrepancy sequences in sobolrsg.cpp. The problem I see is also present in the Java port. SobolRsg::skipTo converts the skip index to a Gray Code, to which it applies the directionIntegers. This looks correct. SobolRsg::nextInt32Sequence has this comment: // instead of using the counter n as new unique generating integer // for the n-th draw use the Gray code G(n) as proposed // by Antonov and Saleev However, I do not see the sequenceCounter_ being converted into a Gray Code. I propose the following change to nextInt32Sequence: const std::vector<unsigned long>& SobolRsg::nextInt32Sequence() const { if (firstDraw_) { // it was precomputed in the constructor firstDraw_ = false; return integerSequence_; } // increment the counter sequenceCounter_++; // did we overflow? QL_REQUIRE(sequenceCounter_ != 0, "period exceeded"); // instead of using the counter n as new unique generating integer // for the n-th draw use the Gray code G(n) as proposed // by Antonov and Saleev unsigned long n = sequenceCounter_ ^ (sequenceCounter_ >> 1); // *** LINE CHANGED *** // Find rightmost zero bit of n int j = 0; while (n & 1) { n >>= 1; j++; } for (Size k=0; k<dimensionality_; k++) { // XOR the appropriate direction number into each component of // the integer sequence to obtain a new Sobol integer for that // component integerSequence_[k] ^= directionIntegers_[k][j]; } return integerSequence_; } Alternately, you could make the use of Gray Codes an option on the algorithm. Of course, I could be mistaken, and only skip needs the Gray Code. Thank you for providing this library! Paul Anton Chernoch Karen Clark and Co. Boston, MA ---------------------------------------------------------------------- >Comment By: https://me.yahoo.com/a/Df.Slpks () Date: 2012-03-27 11:47 Message: I finished porting the Sobol Sequence code to C#. When I made the change that I suggested above, it dramatically worsened the results. Never mind... Paul ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3511954&group_id=12740 |
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From: SourceForge.net <no...@so...> - 2012-03-27 15:18:10
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Bugs item #3511954, was opened at 2012-03-27 08:18 Message generated for change (Tracker Item Submitted) made by You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3511954&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://me.yahoo.com/a/Df.Slpks () Assigned to: Nobody/Anonymous (nobody) Summary: Inconsistent Gray Code usage in Sobol Sequence Initial Comment: I am referring to the C++ implementation of Sobol low discrepancy sequences in sobolrsg.cpp. The problem I see is also present in the Java port. SobolRsg::skipTo converts the skip index to a Gray Code, to which it applies the directionIntegers. This looks correct. SobolRsg::nextInt32Sequence has this comment: // instead of using the counter n as new unique generating integer // for the n-th draw use the Gray code G(n) as proposed // by Antonov and Saleev However, I do not see the sequenceCounter_ being converted into a Gray Code. I propose the following change to nextInt32Sequence: const std::vector<unsigned long>& SobolRsg::nextInt32Sequence() const { if (firstDraw_) { // it was precomputed in the constructor firstDraw_ = false; return integerSequence_; } // increment the counter sequenceCounter_++; // did we overflow? QL_REQUIRE(sequenceCounter_ != 0, "period exceeded"); // instead of using the counter n as new unique generating integer // for the n-th draw use the Gray code G(n) as proposed // by Antonov and Saleev unsigned long n = sequenceCounter_ ^ (sequenceCounter_ >> 1); // *** LINE CHANGED *** // Find rightmost zero bit of n int j = 0; while (n & 1) { n >>= 1; j++; } for (Size k=0; k<dimensionality_; k++) { // XOR the appropriate direction number into each component of // the integer sequence to obtain a new Sobol integer for that // component integerSequence_[k] ^= directionIntegers_[k][j]; } return integerSequence_; } Alternately, you could make the use of Gray Codes an option on the algorithm. Of course, I could be mistaken, and only skip needs the Gray Code. Thank you for providing this library! Paul Anton Chernoch Karen Clark and Co. Boston, MA ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3511954&group_id=12740 |
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From: Luigi B. <lui...@gm...> - 2012-03-23 10:29:31
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On Fri, Mar 23, 2012 at 10:58 AM, Ferdinando Ametrano <na...@am...> wrote: > I'm pretty sure Luigi will follow up with a link to PyQL on the > quantlib.org web site Done, it's in the "other languages" page. And since I'm so up-to-date (not), I've also posted it on the QuantLib page on Google+ (it's at <https://plus.google.com/u/0/118353968647088686229> if you want to add it to your circles). Luigi |
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From: Ferdinando A. <na...@am...> - 2012-03-23 09:59:48
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Hi Didrik, great news! Happy to know about PyQL. Please also post to: quantlib-announce at lists dot sourceforge dot net quantlib-users at lists dot sourceforge dot net I'm pretty sure Luigi will follow up with a link to PyQL on the quantlib.org web site thank you On Fri, Mar 23, 2012 at 8:42 AM, Didrik Pinte <dp...@en...> wrote: > Hi folks, > > We are happy to announce the release of PyQL [1], a new set of > QuantLib wrappers for Python. > > The project is available here : > > * URL: http://github.com/enthought/pyql > * License: BSD license. > * Authores: Didrik Pinte, Enthought and Patrick Henaff, IAE Paris. > > Why another set of Python wrappers for QuantLib? > > The SWIG wrappers provide a very good coverage of the library but have > a number of pain points: > - few Pythonic optimisation in the syntax: the code a user must write > on the Python side looks like the C++ version > - no docstring or function signature available on the Python side > - complex debugging and complex customization of the wrappers > - monolithic build process > - complete loss of the C++ code organisation with a flat namespace in Python > - ... > > For those reasons and to have the ability to expose some of the > QuantLib internals that could be very useful on the Python side, we > chosed another road. PyQL is build on top of Cython and creates a thin > Pythonic layer on top of QuantLib. It allows a tight control on the > wrapping and provides higher level Python integration. > > Features: > - Integration with standard datatypes (like datetime objects) and numpy arrays > - Simplifed API on the Python side (e.g. usage of Handles completely > hidden from the user) > - Support full docstring and expose detailed function signatures to Python > - Code organised in subpackages to provide a decent namespace, very > close to the C++ code organisation > - Easy extendibility thanks to Cython and shorter build time when > adding new functionnalities > - Sphinx documentation > > It supports QuantLib >= 1.1 and currently builds very nicely on MacOSX > and Linux. The Windows builds will be there soon. Regarding the build > process, make sure you read the build instruction! > (Cython 0.15 needs a simple patch available in the repo) > > The library comes with a decent test suite and many examples: from the > very basic option valuation to more complex heston model calibration > within an IPython notebook. > > For more details, take a look at the code, contact the authors, or > discuss on the list! > > We are looking forward questions, comments, contributions. > > > Didrik > > > [1] The name is still subject to modification as PyQL is already used > by other projects unrelated to QuantLib. Suggestions are welcome! > > > -- > Didrik Pinte +32 475 665 668 > +44 1223 969515 > Enthought Europe dp...@en... > Scientific Computing Solutions http://www.enthought.com > > ------------------------------------------------------------------------------ > This SF email is sponsosred by: > Try Windows Azure free for 90 days Click Here > http://p.sf.net/sfu/sfd2d-msazure > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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From: Didrik P. <dp...@en...> - 2012-03-23 07:42:17
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Hi folks, We are happy to announce the release of PyQL [1], a new set of QuantLib wrappers for Python. The project is available here : * URL: http://github.com/enthought/pyql * License: BSD license. * Authores: Didrik Pinte, Enthought and Patrick Henaff, IAE Paris. Why another set of Python wrappers for QuantLib? The SWIG wrappers provide a very good coverage of the library but have a number of pain points: - few Pythonic optimisation in the syntax: the code a user must write on the Python side looks like the C++ version - no docstring or function signature available on the Python side - complex debugging and complex customization of the wrappers - monolithic build process - complete loss of the C++ code organisation with a flat namespace in Python - ... For those reasons and to have the ability to expose some of the QuantLib internals that could be very useful on the Python side, we chosed another road. PyQL is build on top of Cython and creates a thin Pythonic layer on top of QuantLib. It allows a tight control on the wrapping and provides higher level Python integration. Features: - Integration with standard datatypes (like datetime objects) and numpy arrays - Simplifed API on the Python side (e.g. usage of Handles completely hidden from the user) - Support full docstring and expose detailed function signatures to Python - Code organised in subpackages to provide a decent namespace, very close to the C++ code organisation - Easy extendibility thanks to Cython and shorter build time when adding new functionnalities - Sphinx documentation It supports QuantLib >= 1.1 and currently builds very nicely on MacOSX and Linux. The Windows builds will be there soon. Regarding the build process, make sure you read the build instruction! (Cython 0.15 needs a simple patch available in the repo) The library comes with a decent test suite and many examples: from the very basic option valuation to more complex heston model calibration within an IPython notebook. For more details, take a look at the code, contact the authors, or discuss on the list! We are looking forward questions, comments, contributions. Didrik [1] The name is still subject to modification as PyQL is already used by other projects unrelated to QuantLib. Suggestions are welcome! -- Didrik Pinte +32 475 665 668 +44 1223 969515 Enthought Europe dp...@en... Scientific Computing Solutions http://www.enthought.com |
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From: Bojan N. <bo...@bn...> - 2012-03-20 10:35:27
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Dear All,
I've been doing some experiments with cleaner destruction of objects in
SWIG target languages with out-of-thread garbage
collection. Unfortunately, I've not been able to come up with an
automatic solution for the problem since encapsulated
Observer/Observables relationships can cause problems just as well as
top level Observers created in the target language. Therefore, one still
has somehow go through the classes by hand identifying ones which cause
problems and writing special destructors for them.
Still, for completeness here are the patches describing what I've
done. With these patches QuoteHandle destruction is I believe fully
reliable.
* Add an unregister function to the Handle class -- this is necessary so
that the Observer relationship in the link can be removed before the
destruction of the class begins:
--- a/QuantLib/ql/handle.hpp
+++ b/QuantLib/ql/handle.hpp
@@ -49,6 +49,7 @@
bool empty() const { return !h_; }
const boost::shared_ptr<T>& currentLink() const { return h_; }
void update() { notifyObservers(); }
+ void unregister(void);
private:
boost::shared_ptr<T> h_;
bool isObserver_;
@@ -89,6 +90,8 @@
bool empty() const;
//! allows registration as observable
operator boost::shared_ptr<Observable>() const;
+ //! Unregister as observer
+ void unregister(void) {link_->unregister();}
//! equality test
template <class U>
bool operator==(const Handle<U>& other) { return link_==other.link_; }
@@ -134,6 +137,13 @@
}
template <class T>
+ inline void Handle<T>::Link::unregister(void) {
+ if (h_ && isObserver_)
+ unregisterWith(h_);
+ isObserver_=false;
+ }
+
+ template <class T>
inline void Handle<T>::Link::linkTo(const boost::shared_ptr<T>& h,
bool registerAsObserver) {
if ((h != h_) || (isObserver_ != registerAsObserver)) {
* Add a mutex on the observers_ data structure in the Observable class
so that the integrity of this structure is maintained when one thread
is modifying the structure while others are reading it (Thanks to
Klaus Spanderen for pointing out this will be necessary) . Note that
this will require QuantLib to be linked with boost threads library.
--- a/QuantLib/ql/patterns/observable.hpp
+++ b/QuantLib/ql/patterns/observable.hpp
@@ -30,6 +30,7 @@
#include <ql/types.hpp>
#include <boost/shared_ptr.hpp>
+#include <boost/thread.hpp>
#include <set>
@@ -56,6 +57,7 @@
std::pair<iterator, bool> registerObserver(Observer*);
Size unregisterObserver(Observer*);
std::set<Observer*> observers_;
+ boost::mutex mx_observers_;
};
//! Object that gets notified when a given observable changes
@@ -108,14 +110,17 @@
inline std::pair<std::set<Observer*>::iterator, bool>
Observable::registerObserver(Observer* o) {
+ boost::mutex::scoped_lock lock(mx_observers_);
return observers_.insert(o);
}
inline Size Observable::unregisterObserver(Observer* o) {
+ boost::mutex::scoped_lock lock(mx_observers_);
return observers_.erase(o);
}
inline void Observable::notifyObservers() {
+ boost::mutex::scoped_lock lock(mx_observers_);
bool successful = true;
std::string errMsg;
for (iterator i=observers_.begin(); i!=observers_.end(); ++i) {
* Illustration of how to add a specialised destructor (for Java in this
case) which calls the unregister function to break Observer
relationship before beginning the destruction of the class:
--- a/QuantLib-SWIG/SWIG/marketelements.i
+++ b/QuantLib-SWIG/SWIG/marketelements.i
@@ -38,6 +38,22 @@
%template(Quote) boost::shared_ptr<Quote>;
IsObservable(boost::shared_ptr<Quote>);
+%typemap(javadestruct,
+ methodname="delete",
+ methodmodifiers="public synchronized") Handle<Quote>
+{
+ if (swigCPtr != 0) {
+ if (swigCMemOwn) {
+ unregister();
+ swigCMemOwn = false;
+ $jnicall;
+ }
+ swigCPtr = 0;
+ }
+}
+
+
+
%template(QuoteHandle) Handle<Quote>;
IsObservable(Handle<Quote>);
%template(RelinkableQuoteHandle) RelinkableHandle<Quote>;
* Extend the SWIG interface to include the new unregister function:
--- a/QuantLib-SWIG/SWIG/common.i
+++ b/QuantLib-SWIG/SWIG/common.i
@@ -99,6 +99,7 @@
#else
bool empty();
#endif
+ void unregister();
};
template <class T>
--
Bojan Nikolic || http://www.bnikolic.co.uk
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From: SourceForge.net <no...@so...> - 2012-03-14 23:25:44
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Bugs item #3504746, was opened at 2012-03-14 16:23 Message generated for change (Comment added) made by h-freedman You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3504746&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: Henry Freedman (h-freedman) Assigned to: Nobody/Anonymous (nobody) Summary: bmaindex method previousWednesday Initial Comment: In the file bmaindex.cpp, the method previousWednesday does not work correctly if the provided date is this week's Wednesday, then it return the same date, while it should return previous weeks's Wednesday. I might be wrong though. Current Code ---------------------- Date previousWednesday(const Date& date) { Weekday w = date.weekday(); if (w >= 4) // roll back w-4 days return date - (w - 4) * Days; else // roll forward 4-w days and back one week return date + (4 - w - 7) * Days; } Improved Code --------------------------- Date previousWednesday(const Date& date) { Weekday w = date.weekday(); if (w > 4) // roll back w-4 days ////////// HERE IS THE FIX: > instead of >= return date - (w - 4) * Days; else // roll forward 4-w days and back one week // I would suggest to take the absolute value of 4 - w - 7 and use the date - operator reflecting the rolling back. return date + (4 - w - 7) * Days; } I am porting the quantlib to Java, here is the method improved in Java, it maybe explains my point better ================================================================================== /** * This method is useful for instruments or indexes fixed on Wednesdays, e.g. BMA index. * @return Date corresponding to the current or previous week's Wed. */ public static Date previousWednesday(final Date date) { final int weekDayNumber = date.weekday().value(); if (weekDayNumber > 4) // if Thur, Fri, Sat return date.subAssign((weekDayNumber - 4)); // go back to this week Wed. else // if Sun, Mon, Tue, Wed return date.subAssign(Math.abs(4 - weekDayNumber - 7)); // go back to previous week's Wed. } ---------------------------------------------------------------------- >Comment By: Henry Freedman (h-freedman) Date: 2012-03-14 16:25 Message: I forgot to mention, that I moved in my Java code the methods previousWednesday and nextWednesday to the class Date and made them static, as the belong better there. to be used by other instruments or to be copied/generalised for other weekdays shall other instruments require that. ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3504746&group_id=12740 |
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From: SourceForge.net <no...@so...> - 2012-03-14 23:23:29
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Bugs item #3504746, was opened at 2012-03-14 16:23 Message generated for change (Tracker Item Submitted) made by h-freedman You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3504746&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: Henry Freedman (h-freedman) Assigned to: Nobody/Anonymous (nobody) Summary: bmaindex method previousWednesday Initial Comment: In the file bmaindex.cpp, the method previousWednesday does not work correctly if the provided date is this week's Wednesday, then it return the same date, while it should return previous weeks's Wednesday. I might be wrong though. Current Code ---------------------- Date previousWednesday(const Date& date) { Weekday w = date.weekday(); if (w >= 4) // roll back w-4 days return date - (w - 4) * Days; else // roll forward 4-w days and back one week return date + (4 - w - 7) * Days; } Improved Code --------------------------- Date previousWednesday(const Date& date) { Weekday w = date.weekday(); if (w > 4) // roll back w-4 days ////////// HERE IS THE FIX: > instead of >= return date - (w - 4) * Days; else // roll forward 4-w days and back one week // I would suggest to take the absolute value of 4 - w - 7 and use the date - operator reflecting the rolling back. return date + (4 - w - 7) * Days; } I am porting the quantlib to Java, here is the method improved in Java, it maybe explains my point better ================================================================================== /** * This method is useful for instruments or indexes fixed on Wednesdays, e.g. BMA index. * @return Date corresponding to the current or previous week's Wed. */ public static Date previousWednesday(final Date date) { final int weekDayNumber = date.weekday().value(); if (weekDayNumber > 4) // if Thur, Fri, Sat return date.subAssign((weekDayNumber - 4)); // go back to this week Wed. else // if Sun, Mon, Tue, Wed return date.subAssign(Math.abs(4 - weekDayNumber - 7)); // go back to previous week's Wed. } ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3504746&group_id=12740 |
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From: Bojan N. <bo...@bn...> - 2012-03-07 09:40:23
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Bojan Nikolic <bo...@bn...> writes:
> I haven't fully worked this one out, but I think that it is possible to
> some progress on this by making the destructor of the Observer class
> private and then creating some helper classes (probably inheriting from
> shared_pointer) that are friends of Observer and define proper clean
> order, i.e., disconnect the Observables before starting the main
> destruction.
I thought some more about this and realised that private/protected
constructors nor overloading operator new would really help. As far as I
can see the only way to fully solve this type of problem in C++ is to
have control over the storage/object lifetime of Observer objects which
would mean restricting their creation to within object factories only.
This would be a big change for the C++ code base. However, the nice
thing is that SWIG, when creating the interface layer, essentially does
this control of object storage. So, by suitable use of SWIG directives I
think it is in fact possible to have a completely clean destruction
procedure. Something like:
%typemap(javadestruct,
methodname="delete",
methodmodifiers="public synchronized")
{
// Replace Observable with correct QuantLib/Java name
if (this instanceof Observable) {
// Translate to Java
for (iterator i=observables_.begin(); i!=observables_.end(); ++i)
(*i)->unregisterObserver(this);
}
// This is the original javafdestruct code
if (swigCPtr != 0) {
if (swigCMemOwn) {
swigCMemOwn = false;
$jnicall;
}
swigCPtr = 0;
}
}
should do the trick nicely. Sorry, haven't got around to trying this
yet.
Best,
Bojan
--
Bojan Nikolic || http://www.bnikolic.co.uk
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From: Luigi B. <lui...@gm...> - 2012-03-06 10:17:06
|
QuantLib is a cross-platform, free/open-source quantitative finance C++ library for modeling, pricing, trading, and risk management in real-life. Version 1.2 has been released and is available for download at <http://quantlib.org/download.shtml>. Please log any problems you have with this release in the SourceForge bug tracker at <http://sourceforge.net/tracker/?group_id=12740&atid=112740> specifying that you're using QuantLib 1.2. The QuantLib group |
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