quantlib-dev — Discussion of QuantLib development

[Quantlib-dev] QuantLib 1.17 released

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

Hello everybody,
    QuantLib 1.17 has been released and is available for download at <
http://quantlib.org/download.shtml>.

The list of changes for this release is at <
http://quantlib.org/reference/history.html>.

Please report any problems you have with this release to the QuantLib
mailing list (<qua...@li...>), or open a GitHub
issue at <https://github.com/lballabio/quantlib/issues>.

-- The QuantLib group

[Quantlib-dev] New Dates - New Price - Introduction to QuantLib Development with Luigi Ballabio

[MoneyScience <ad...@mo...>]

Dear List Members,

A quick note to let you know that we have new dates for our popular
*Introduction
to QuantLib *Course with Luigi Ballabio which will now be taking place in
London, March 23-25th..

Our 10% *'Early Bird' Discount* period expires on January 15th and List
Members can receive an additional 5% Discount. Simply quote QLDEVLIST2020
on your registration form.

If you or one of your colleagues might be interested in attending then
please do pass on this email or contact ja...@mo....

Further details about the course and a registration form can be found on
our newly relaunched (mobile friendly!) website at
http://bit.ly/QuantLib2020.

Please don't hesitate to get in touch if you have any questions.

Regards,

*Jacob*

*~~~~~~~~~~~*


*Jacob Bettany*

Founder, MoneyScience
+44 1275 540563

[Quantlib-dev] Exposing ConvexMonotoneInterpolation in QuantLib-SWIG (Python)

[Miguel V. <mig...@ca...>]

Hi QL devs,

Wanted to share this <https://github.com/lballabio/QuantLib-SWIG/issues/223>
GH issue with the mailing list for more exposure. I'm basically trying to
continue the work/approach started here
<https://sourceforge.net/p/quantlib/mailman/message/32391881/> and any
input is appreciated.

code
<https://gist.github.com/miguelandrs/79b2a5f73515ecc713624697f0807f79#file-interpolation-i-L232-L283>
 and compilation errors
<https://gist.github.com/miguelandrs/454e2fafbaf81fd7a833025c37b4d3bc> against
python setup.py build.

Thanks!

-Miguel

______________________________________________________________________



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[Quantlib-dev] Introduction to QuantLib Development - Dec 2-4, London

[MoneyScience <ad...@mo...>]

Dear List Members,

I just wanted to briefly let you know that MoneyScience is going to be
running our popular *Introduction to QuantLib *Course with Luigi Ballabio
in London, December 2-4th.

Our 10% *'Early Bird' Discount* period expires at the end of this month and
we still have a few places remaining. If you or one of your
colleagues might be interested in attending then please do pass on this
email or contact ja...@mo... as soon as possible to confirm.

Further details about the course and a registration form can be found on
our newly relaunched (mobile friendly!) website at
http://bit.ly/quantlib2019.

Please don't hesitate to get in touch if you have any questions.

Regards,

*Jacob*

*~~~~~~~~~~~*


*Jacob Bettany*

Founder, MoneyScience

Re: [Quantlib-dev] [Quantlib-users] HullWhite model calibration via normal vols

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

It was also updated in the cookbook, so if you log in to your account on
Leanpub you can download the uploaded version (for free, of course).  You
can also opt in to be notified when an update is published.

On Tue, Oct 1, 2019, 09:57 Steven Van Haren <sh...@op...> wrote:

> Hi Robin,
>
> You have to use BlackCalibrationHelper. This was renamed a while back.
>
> Kind regards,
> Steven
>
> Op 1 okt. 2019 om 09:50 heeft Robin Schreur <rob...@ho...>
> het volgende geschreven:
>
> Hi All,
>
> I want to calibrate the HullWhite model via normal swaption vols (using
> Jamshidian swaption model). I found the code below which does this (
> https://github.com/lballabio/QuantLib-SWIG/issues/98)
> Unfortunately I get the following error:
>
> AttributeError: 'function' object has no attribute 'RelativePriceError'.
> Looks like ql.Calibrationhelper doesn't have a RelativePriceError
> attribute. What can I use instead of
> ql.CalibrationHelper.RelativePriceError
>
> Many thanks!
>
> Robin
>
>
>
> from collections import namedtuple
> import QuantLib as ql
>
> def create_swaption_helpers(data, index, term_structure, engine):
>     swaptions = []
>     fixed_leg_tenor = ql.Period(1, ql.Years)
>     fixed_leg_daycounter = ql.Actual360()
>     floating_leg_daycounter = ql.Actual360()
>     for d in data:
>         vol_handle = ql.QuoteHandle(ql.SimpleQuote(d.volatility))
>         helper = ql.SwaptionHelper(ql.Period(d.start, ql.Years),
>                                    ql.Period(d.length, ql.Years),
>                                    vol_handle,
>                                    index,
>                                    fixed_leg_tenor,
>                                    fixed_leg_daycounter,
>                                    floating_leg_daycounter,
>                                    term_structure,
>                                    ql.CalibrationHelper.RelativePriceError,
>                                    ql.nullDouble(),
>                                    1.,
>                                    ql.Normal,
>                                    0.
>                                    )
>         helper.setPricingEngine(engine)
>         swaptions.append(helper)
>     return swaptions
>
>
>
> today = ql.Date(15, ql.February, 2002)
> settlement = ql.Date(19, ql.February, 2002)
> ql.Settings.instance().evaluationDate = today
> term_structure = ql.YieldTermStructureHandle(
>     ql.FlatForward(settlement, 0.04875825, ql.Actual365Fixed())
> )
> index = ql.Euribor1Y(term_structure)
> CalibrationData = namedtuple("CalibrationData",
>                              "start, length, volatility")
> data = [CalibrationData(1, 5, 0.1148),
>         CalibrationData(2, 4, 0.1108),
>         CalibrationData(3, 3, 0.1070),
>         CalibrationData(4, 2, 0.1021),
>         CalibrationData(5, 1, 0.1000)]
> model = ql.HullWhite(term_structure)
> engine = ql.JamshidianSwaptionEngine(model)
> swaptions = create_swaption_helpers(data, index, term_structure, engine)
>
> optimization_method = ql.LevenbergMarquardt(1.0e-8, 1.0e-8, 1.0e-8)
> end_criteria = ql.EndCriteria(10000, 100, 1e-6, 1e-8, 1e-8)
> model.calibrate(swaptions, optimization_method, end_criteria)
>
> a, sigma = model.params()
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

[Quantlib-dev] Implementation of the Fourier transform of the option price as a function of the characteristic function Carr Madan method

[Charles B. <cha...@gm...>]

Hi all,

While working on the implementation of the Carr Madan method for european
options I get an error due to the Fourier transform of the option price
(function psi) is not conforming i.e. it should be a scalar but my solution
is a vector.

The psi function stands for equation (6) on page 64 of the in the paper via
the below link

https://engineering.nyu.edu/sites/default/files/2018-08/CarrMadan2_0.pdf

So I am looking for suggestions of alternative implementation.

I included the files and data in github

https://github.com/kficso01/CGMY/issues/1

Any suggestions would be appreciated.

Thanks,

C

Re: [Quantlib-dev] PiecewiseYieldCurve<C, I, B>::maxDate() vs InterpolatedDiscountCurve<T>::maxDate(): impact of lazyobject::calculate() function

[Amine I. <ami...@gm...>]

Understood. Made it to work for overnight swaps by building the index from InterpolatedDiscountCurve<> rather than the PiecewiseYieldCurve, so there is no bootstrapping relative to the forward evaluation dates as the scenario curves are already passed in as parameter.

Thanks for the help!

Amine

> On 4 Sep 2019, at 11:25, Luigi Ballabio <lui...@gm...> wrote:
> 
> In the case of InterpolatedDiscountCurve, the dates of the nodes are passed to the constructor and don't change.
> In the case of PiecewiseYieldCurve, the dates change based on the evaluation date, so they need to be calculated before being returned.
> 
> However, note that calculate() only does something if the curve is out of date (i.e., if any of the quoted rates changed, or if the evaluation date did).  If the curve is already updated, it exits without calculating.  In particular, if maxDate() is called from within a call to discount(), calculate() has already been called by discount() itself, so the curve is up to date and this call won't perform the calculations again.
> 
> For the problem with the overnight swaps, I'm afraid we'll need details.
> 
> Luigi
> 
> 
> 
> On Tue, Sep 3, 2019 at 8:37 PM Amine Ifri <ami...@gm... <mailto:ami...@gm...>> wrote:
> Hi team/Luigi,
> 
> I am building a small framework for forward calculations in a XVA like manner, where I simulate a set of market yield curves forward using some model and pass those simulations as a map<int, boost::shared_ptr<YieldTermStructure>>, but first, I build a PiecewiseYieldCurve<C,I,B> that is bootstrapped on a set of dummy market instrument quotes and at the moment I use the same forwarding and discounting curve for cash flows to keep things simple. So far so good…
> 
> The problem arises for me as I get to call the pricers many many times in the future, thereby making extensive use of the discount() method which itself calls a maxDate() method to check whether the time to maturity T is still within bounds. Even though PiecewiseYieldCurve<I> is a typedef of InterpolatedDiscountCurve<> in the case of yield term structures, I don’t understand why one performs a lazy calculation first:
> 
> template <class T>
>     inline Date InterpolatedDiscountCurve<T>::maxDate() const {
>         if (this->maxDate_ != Date())
>             return this->maxDate_;
>         return dates_.back();
>     }
> 
> template <class C, class I, template <class> class B>
>     inline Date PiecewiseYieldCurve<C,I,B>::maxDate() const {
>         calculate();
>         return base_curve::maxDate();  <==== here I suspect it is same as above?
>     }
> 
> More importantly, I m trying to price both VanilllaSwaps and OvernightIndexedSwaps in the future using my scenarios. VanillaSwaps price just fine, whereas I get a bootstrapper issue when pricing OvernightIndexedSwaps. I suspect this has something to do with the way the Overnightindexedcouponpricer is coded? 
> 
> I would appreciate very much your help on this as this is a major bottleneck in my code and can’t seem to be moving forward.
> 
> Thanks!
> 
> Amine
> 

Re: [Quantlib-dev] PiecewiseYieldCurve<C, I, B>::maxDate() vs InterpolatedDiscountCurve<T>::maxDate(): impact of lazyobject::calculate() function

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

In the case of InterpolatedDiscountCurve, the dates of the nodes are passed
to the constructor and don't change.
In the case of PiecewiseYieldCurve, the dates change based on the
evaluation date, so they need to be calculated before being returned.

However, note that calculate() only does something if the curve is out of
date (i.e., if any of the quoted rates changed, or if the evaluation date
did).  If the curve is already updated, it exits without calculating.  In
particular, if maxDate() is called from within a call to discount(),
calculate() has already been called by discount() itself, so the curve is
up to date and this call won't perform the calculations again.

For the problem with the overnight swaps, I'm afraid we'll need details.

Luigi



On Tue, Sep 3, 2019 at 8:37 PM Amine Ifri <ami...@gm...> wrote:

> Hi team/Luigi,
>
> I am building a small framework for forward calculations in a XVA like
> manner, where I simulate a set of market yield curves forward using some
> model and pass those simulations as a map<int,
> boost::shared_ptr<YieldTermStructure>>, but first, I build a
> PiecewiseYieldCurve<C,I,B> that is bootstrapped on a set of dummy market
> instrument quotes and at the moment I use the same forwarding and
> discounting curve for cash flows to keep things simple. So far so good…
>
> The problem arises for me as I get to call the pricers many many times in
> the future, thereby making extensive use of the discount() method which
> itself calls a maxDate() method to check whether the time to maturity T is
> still within bounds. Even though PiecewiseYieldCurve<I> is a typedef
> of InterpolatedDiscountCurve<> in the case of yield term structures, I
> don’t understand why one performs a lazy calculation first:
>
> template <class T>
>     inline Date InterpolatedDiscountCurve<T>::maxDate() const {
>         if (this->maxDate_ != Date())
>             return this->maxDate_;
>         return dates_.back();
>     }
>
> template <class C, class I, template <class> class B>
>     inline Date PiecewiseYieldCurve<C,I,B>::maxDate() const {
>         *calculate();*
>         return base_curve::maxDate();  <==== here I suspect it is same as
> above?
>     }
>
> More importantly, I m trying to price both VanilllaSwaps and
> OvernightIndexedSwaps in the future using my scenarios. VanillaSwaps price
> just fine, whereas I get a bootstrapper issue when pricing
> OvernightIndexedSwaps. I suspect this has something to do with the way the
> Overnightindexedcouponpricer is coded?
>
> I would appreciate very much your help on this as this is a major
> bottleneck in my code and can’t seem to be moving forward.
>
> Thanks!
>
> Amine
>
>

[Quantlib-dev] Fwd: PiecewiseYieldCurve<C, I, B>::maxDate() vs InterpolatedDiscountCurve<T>::maxDate(): impact of lazyobject::calculate() function

[Amine I. <ami...@gm...>]

Hi team,

Please see the below and respond at your convenience. If someone can help me that would be great!

Thanks
amine


> Begin forwarded message:
> 
> From: Amine Ifri <ami...@gm...>
> Subject: PiecewiseYieldCurve<C,I,B>::maxDate() vs InterpolatedDiscountCurve<T>::maxDate(): impact of lazyobject::calculate() function
> Date: 3 September 2019 at 19:37:46 BST
> To: qua...@li...
> Cc: Luigi Ballabio <lui...@gm...>
> 
> Hi team/Luigi,
> 
> I am building a small framework for forward calculations in a XVA like manner, where I simulate a set of market yield curves forward using some model and pass those simulations as a map<int, boost::shared_ptr<YieldTermStructure>>, but first, I build a PiecewiseYieldCurve<C,I,B> that is bootstrapped on a set of dummy market instrument quotes and at the moment I use the same forwarding and discounting curve for cash flows to keep things simple. So far so good…
> 
> The problem arises for me as I get to call the pricers many many times in the future, thereby making extensive use of the discount() method which itself calls a maxDate() method to check whether the time to maturity T is still within bounds. Even though PiecewiseYieldCurve<I> is a typedef of InterpolatedDiscountCurve<> in the case of yield term structures, I don’t understand why one performs a lazy calculation first:
> 
> template <class T>
>     inline Date InterpolatedDiscountCurve<T>::maxDate() const {
>         if (this->maxDate_ != Date())
>             return this->maxDate_;
>         return dates_.back();
>     }
> 
> template <class C, class I, template <class> class B>
>     inline Date PiecewiseYieldCurve<C,I,B>::maxDate() const {
>         calculate();
>         return base_curve::maxDate();  <==== here I suspect it is same as above?
>     }
> 
> More importantly, I m trying to price both VanilllaSwaps and OvernightIndexedSwaps in the future using my scenarios. VanillaSwaps price just fine, whereas I get a bootstrapper issue when pricing OvernightIndexedSwaps. I suspect this has something to do with the way the Overnightindexedcouponpricer is coded? 
> 
> I would appreciate very much your help on this as this is a major bottleneck in my code and can’t seem to be moving forward.
> 
> Thanks!
> 
> Amine
> 

[Quantlib-dev] QuantLib-SWIG 1.16.1 released

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

Hello everybody,
    I just released QuantLib-SWIG 1.16.1.  The sources are unchanged from
version 1.6, but I regenerated the wrappers with SWIG 4.0.1 as opposed to
4.0 (which would output faulty code for some overloaded methods).

As usual, you can reach the files from <http://quantlib.org/download.shtml>.

Luigi

Re: [Quantlib-dev] QuantLib-SWIG-1.15 example Run issue

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

The EquityOption example doesn't throw an exception, but all those 0 are
wrong.  It almost seems as though it's not detecting the change of the
global evaluation date.  Is it possible that you're loading multiple
versions of the underlying DLL?  Do you have any way to detect that?

Luigi

On Thu, Aug 8, 2019 at 3:01 AM Banerjee, Tapas K via QuantLib-dev <
qua...@li...> wrote:

> Hi Luigi, Qlib experts,
>
>
>
> It seems I could able to run some Java SWIG examples, some other fails.
> See below.
>
> I guess he failed example may have data or incompatible function issue.
>
> I was googling it on failures, looks like some other also got similar
> failures.
>
> If anyone has any pointe to fix the issue, please let me know.
>
>
>
> Thanks,
>
>
>
> *home/podsintr/qlib/QuantLib-SWIG-1.15/Java > javac -cp ".:QuantLib.jar"
> examples/EquityOptions.java*
>
> */home/podsintr/qlib/QuantLib-SWIG-1.15/Java > java -cp ".:QuantLib.jar"
> -Djava.library.path=/home/podsintr/qlib/lib examples.EquityOptions*
>
>
>
> *Method                              European       Bermudan
> American*
>
>
> *============================================================================*
>
> *                     Black-Scholes   0.000000000           NaN
> NaN*
>
> *              Heston Semi-Analytic   0.000000000           NaN
> NaN*
>
> *                 Heston COS Method   0.000000000           NaN
> NaN*
>
> *               Bates Semi-Analytic   0.000000000           NaN
> NaN*
>
> *               Barone-Adesi/Whaley           NaN           NaN
> 0.000000000*
>
> *               Bjerksund/Stensland           NaN           NaN
> 0.000000000*
>
> *                          Integral   0.000000000           NaN
> NaN*
>
> *                Finite differences   0.000000000   0.000000000
> 0.000000000*
>
> *              Binomial Jarrow-Rudd   0.000000000   0.000000000
> 0.000000000*
>
> *      Binomial Cox-Ross-Rubinstein   0.000000000   0.000000000
> 0.000000000*
>
> *        Additive equiprobabilities   0.000000000   0.000000000
> 0.000000000*
>
> *               Binomial Trigeorgis   0.000000000   0.000000000
> 0.000000000*
>
> *                     Binomial Tian   0.000000000   0.000000000
> 0.000000000*
>
> *            Binomial Leisen-Reimer   0.000000000   0.000000000
> 0.000000000*
>
> *                    Binomial Joshi   0.000000000   0.000000000
> 0.000000000*
>
> *                        MC (crude)   0.000000000           NaN
> NaN*
>
> *                        MC (Sobol)   0.000000000           NaN
> NaN*
>
>
>
>
>
>
>
> *home/podsintr/qlib/QuantLib-SWIG-1.15/Java > java -cp ".:QuantLib.jar"
> -Djava.library.path=/home/podsintr/qlib/lib examples.UnaryFunctions*
>
> *Integration result 1.9999999999999944*
>
> *Brent Solver result 0.7390851323735234*
>
>
>
> *# Fails*
>
> *java -cp ".:QuantLib.jar" -Djava.library.path=/home/podsintr/qlib/lib
> examples.FRA*
>
> */home/podsintr/qlib/QuantLib-SWIG-1.15/Java > java -cp ".:QuantLib.jar"
> -Djava.library.path=/home/podsintr/qlib/lib examples.FRA*
>
> *Exception in thread "main" java.lang.RuntimeException: Missing Euribor3M
> Actual/360 fixing for May 19th, 2006*
>
> *        at org.quantlib.QuantLibJNI.ForwardRateAgreement_spotValue(Native
> Method)*
>
> *        at
> org.quantlib.ForwardRateAgreement.spotValue(ForwardRateAgreement.java:51)*
>
> *        at examples.FRA.main(FRA.java:49)*
>
>
>
>
>
> *From:* Banerjee, Tapas K via QuantLib-dev [mailto:
> qua...@li...]
> *Sent:* Wednesday, August 07, 2019 1:13 PM
> *To:* QuantLib developers <qua...@li...>
> *Subject:* Re: [Quantlib-dev] QuantLib-SWIG-1.15 example Run issue
>
>
>
> Hi Luigi, Qlib experts,
>
>
>
> I fixed both issues the way u mentioned below. Now Quantlib.jar and
> libJNI.so created fine
>
>
>
> When I try to run example programs, I get below error:
>
>
>
> *java -cp ".:QuantLib.jar" -Djava.library.path=/home/podsintr/qlib/lib
> examples.FRA*
>
> */home/podsintr/qlib/QuantLib-SWIG-1.15/Java > java -cp ".:QuantLib.jar"
> -Djava.library.path=/home/podsintr/qlib/lib examples.FRA*
>
> *Exception in thread "main" java.lang.RuntimeException: Missing Euribor3M
> Actual/360 fixing for May 19th, 2006*
>
> *        at org.quantlib.QuantLibJNI.ForwardRateAgreement_spotValue(Native
> Method)*
>
> *        at
> org.quantlib.ForwardRateAgreement.spotValue(ForwardRateAgreement.java:51)*
>
> *        at examples.FRA.main(FRA.java:49)*
>
>
>
>
>
> */home/podsintr/qlib/QuantLib-SWIG-1.15/Java > java -cp ".:QuantLib.jar"
> -Djava.library.path=/home/podsintr/qlib/lib examples.Bonds*
>
> *Today: Monday, September 15th, 2008*
>
> *Settlement date: Thursday, September 18th, 2008*
>
> *Exception in thread "main" java.lang.RuntimeException: Boost assertion
> failed: px != 0*
>
> *        at
> org.quantlib.QuantLibJNI.IborCouponPricer_setCapletVolatility__SWIG_0(Native
> Method)*
>
> *        at
> org.quantlib.IborCouponPricer.setCapletVolatility(IborCouponPricer.java:43)*
>
> *        at examples.Bonds.main(Bonds.java:497)*
>
>
>
>
>
> Any idea, why is the issue & how to fix?
>
> Can I run any other example program to see it I working?
>
>
>
> FYI: We are using 1.56 version Boost (to make it compatible gcc 44) , 1.15
> version of Quantlib.
>
>
>
> Thanks,
>
>
>
>
>
> *From:* Luigi Ballabio [mailto:lui...@gm...]
> *Sent:* Tuesday, August 06, 2019 3:14 AM
> *To:* Banerjee, Tapas K <tap...@jp...>
> *Cc:* QuantLib developers <qua...@li...>
> *Subject:* Re: [Quantlib-dev] QuantLib-SWIG-1.15 build issue
>
>
>
> Thanks.  The first error,
>
>
>
> On Mon, Aug 5, 2019 at 10:16 PM Banerjee, Tapas K via QuantLib-dev <
> qua...@li...> wrote:
>
> *checking for QuantLib... ./configure: line 4029: quantlib-config: command
> not found*
>
>
>
> means that you either didn't install QuantLib (the C++ library) or that
> you installed it in a non-standard location and configure can't find it.
> In the first case, install QuantLib (i.e., run `make install` and possibly
> `ldconfig` after you compile it).  In the second case, if you installed it
> in /some/other/path, add /some/other/path/bin to PATH before running
> configure.
>
>
>
> The second error,
>
>
>
> config.status: error: cannot find input file: `CSharp/Makefile.in'   # We
> don’t have C# compiler, so thought it is OK to infore.
>
>
>
> blocks configure and prevents it from continuing and creating the Java
> Makefile (Makefile.in is not the makefile; it's the input that configure
> processes to create the makefile).  Did you remove CSharp/Makefile.in?
> If so, start over from a clean download.
>
>
>
> Luigi
>
>
>
>
>
>
>
> This message is confidential and subject to terms at:
> https://www.jpmorgan.com/emaildisclaimer including on confidential,
> privileged or legal entity information, viruses and monitoring of
> electronic messages. If you are not the intended recipient, please delete
> this message and notify the sender immediately. Any unauthorized use is
> strictly prohibited.
>
> This message is confidential and subject to terms at:
> https://www.jpmorgan.com/emaildisclaimer including on confidential,
> privileged or legal entity information, viruses and monitoring of
> electronic messages. If you are not the intended recipient, please delete
> this message and notify the sender immediately. Any unauthorized use is
> strictly prohibited.
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Re: [Quantlib-dev] Quantlib Fixed income error - need help|

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

You need to set an engine to the bond before asking for the price.
See the last few lines of <
http://gouthamanbalaraman.com/blog/quantlib-bond-modeling.html>, where
ql.DiscountingBondEngine is used.

Luigi


On Tue, Aug 20, 2019 at 3:21 PM Banerjee, Tapas K via QuantLib-dev <
qua...@li...> wrote:

> *Hello Luigi, experts,*
>
>
>
> I am trying to use QantlibSWIGJava for Bond valuation.
>
> I wrote a simple program as under. But when I run I am getting below error.
>
>
>
> 2019-08-19 15:10:14,294  INFO  MONETA_PERF:37 [http-nio-8080-exec-1] -
> EVENT=[WEB] TIME=[2376]
>
> 2019-08-19 15:10:14,303 ERROR
> org.apache.catalina.core.ContainerBase.[Tomcat].[localhost].[/].[dispatcherServlet]:182
> [http-nio-8080-exec-1] - Servlet.service() for servlet [dispatcherServlet]
> in context with path [] threw exception [Request processing failed; nested
> exception is java.lang.RuntimeException: null pricing engine] with root
> cause
>
> java.lang.RuntimeException: null pricing engine
>
>          at org.quantlib.QuantLibJNI.Bond_cleanPrice__SWIG_0(Native Method)
>
>          at org.quantlib.Bond.cleanPrice(Bond.java:131)
>
>
>
> Any idea what I am doing wrong.?
>
>
>
> Another Q: How do I make same program run both Unix as well as Window env?
>
> Do I load BOTH dll & so file  under
>
> System.*loadLibrary*(*"QuantLibJNI"*);
>
>
>
>
>
> Thanks,
>
>
>
>
>
>
>
> *----*
>
> *Date todaysDate = **new **org.quantlib.Date(**9**, Month.**August**, *
> *2015*
>
> *); Settings.instance().setEvaluationDate(todaysDate);
> org.quantlib.Calendar calendar = **new *
>
> *org.quantlib.UnitedStates(); *
> *// Bonda parameter **Date issueDate = **new **Date(**2**, Month.*
> *October**, **2014*
> *); **int **settlementDays = **2*
> *; BusinessDayConvention paymentConvention = BusinessDayConvention.*
> *Following*
> *; BusinessDayConvention accrualConvention = BusinessDayConvention.*
> *Unadjusted*
> *; **double **faceAmount = **100*
> *; **double **redemption = **100*
> *; Date maturityDate = **new **Date(**2**, Month.**October**, **2016*
>
> *); DayCounter dayCounter = **new *
> *Actual365Fixed(); Frequency frequency = Frequency.**Annual*
> *; **double **coupon = **.05*
>
> *; *
> *//make schedules via constructor **Schedule schedule = **new **Schedule(issueDate,
> maturityDate, **new **Period(**1**, TimeUnit.**Years**), calendar,
> accrualConvention, accrualConvention, DateGeneration.Rule.**Backward**, *
> *false*
>
> *); DoubleVector coupons = **new *
>
>
> *DoubleVector(); coupons.add(coupon); FixedRateBond couponBond = **new *
>
>
>
> *FixedRateBond(settlementDays, faceAmount, schedule, coupons,
>                                              dayCounter, paymentConvention,
> redemption, issueDate, calendar); **double *
>
> *acrInterest = couponBond.accruedAmount(); System.**out**.println(**"Acrued
> Interest: " **+ acrInterest  + **", Clean Price:" *
>
> *+ couponBond.cleanPrice()); **return **acrInterest;*
>
>
>
> This message is confidential and subject to terms at:
> https://www.jpmorgan.com/emaildisclaimer including on confidential,
> privileged or legal entity information, viruses and monitoring of
> electronic messages. If you are not the intended recipient, please delete
> this message and notify the sender immediately. Any unauthorized use is
> strictly prohibited.
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

[Quantlib-dev] Quantlib Fixed income error - need help|

[Banerjee, T. K <tap...@jp...>]

Hello Luigi, experts,

I am trying to use QantlibSWIGJava for Bond valuation.
I wrote a simple program as under. But when I run I am getting below error.

2019-08-19 15:10:14,294  INFO  MONETA_PERF:37 [http-nio-8080-exec-1] - EVENT=[WEB] TIME=[2376]
2019-08-19 15:10:14,303 ERROR  org.apache.catalina.core.ContainerBase.[Tomcat].[localhost].[/].[dispatcherServlet]:182 [http-nio-8080-exec-1] - Servlet.service() for servlet [dispatcherServlet] in context with path [] threw exception [Request processing failed; nested exception is java.lang.RuntimeException: null pricing engine] with root cause
java.lang.RuntimeException: null pricing engine
         at org.quantlib.QuantLibJNI.Bond_cleanPrice__SWIG_0(Native Method)
         at org.quantlib.Bond.cleanPrice(Bond.java:131)

Any idea what I am doing wrong.?

Another Q: How do I make same program run both Unix as well as Window env?

Do I load BOTH dll & so file  under

System.loadLibrary("QuantLibJNI");





Thanks,



----
Date todaysDate = new org.quantlib.Date(9, Month.August, 2015);
Settings.instance().setEvaluationDate(todaysDate);
org.quantlib.Calendar calendar = new org.quantlib.UnitedStates();

// Bonda parameter
Date issueDate = new Date(2, Month.October, 2014);
int settlementDays = 2;
BusinessDayConvention paymentConvention = BusinessDayConvention.Following;
BusinessDayConvention accrualConvention = BusinessDayConvention.Unadjusted;
double faceAmount = 100;
double redemption = 100;
Date maturityDate = new Date(2, Month.October, 2016);

DayCounter dayCounter = new Actual365Fixed();
Frequency frequency = Frequency.Annual;
double coupon = .05;

//make schedules via constructor
Schedule schedule = new Schedule(issueDate, maturityDate, new Period(1, TimeUnit.Years), calendar, accrualConvention, accrualConvention, DateGeneration.Rule.Backward, false);

DoubleVector coupons = new DoubleVector();
coupons.add(coupon);

FixedRateBond couponBond = new FixedRateBond(settlementDays, faceAmount, schedule, coupons,
                                             dayCounter, paymentConvention, redemption, issueDate, calendar);


double acrInterest = couponBond.accruedAmount();

System.out.println("Acrued Interest: " + acrInterest  + ", Clean Price:" + couponBond.cleanPrice());

return acrInterest;


This message is confidential and subject to terms at: https://www.jpmorgan.com/emaildisclaimer including on confidential, privileged or legal entity information, viruses and monitoring of electronic messages. If you are not the intended recipient, please delete this message and notify the sender immediately. Any unauthorized use is strictly prohibited.

[Quantlib-dev] DCC-GARCH model Quantlib

[Tommaso F. <tom...@gm...>]

Dear all,
I'm studying the predictive models of multivariate variance, in particular
the Dynamic conditional correlation model (DCC).

I am aware of the fact that Quantlib provides the univariate Garch model,
but I would like to know if the library implements also the multivariate
garch model (for example, the DCC one). I did not find any reference in
literature about this.

Can someone help me?
Thanks to all

Re: [Quantlib-dev] QuantLib-SWIG-1.15 example Run issue

[Banerjee, T. K <tap...@jp...>]

Hi Luigi, Qlib experts,

It seems I could able to run some Java SWIG examples, some other fails. See below.
I guess he failed example may have data or incompatible function issue.
I was googling it on failures, looks like some other also got similar failures.
If anyone has any pointe to fix the issue, please let me know.

Thanks,

home/podsintr/qlib/QuantLib-SWIG-1.15/Java > javac -cp ".:QuantLib.jar" examples/EquityOptions.java
/home/podsintr/qlib/QuantLib-SWIG-1.15/Java > java -cp ".:QuantLib.jar" -Djava.library.path=/home/podsintr/qlib/lib examples.EquityOptions

Method                              European       Bermudan       American
============================================================================
                     Black-Scholes   0.000000000           NaN           NaN
              Heston Semi-Analytic   0.000000000           NaN           NaN
                 Heston COS Method   0.000000000           NaN           NaN
               Bates Semi-Analytic   0.000000000           NaN           NaN
               Barone-Adesi/Whaley           NaN           NaN   0.000000000
               Bjerksund/Stensland           NaN           NaN   0.000000000
                          Integral   0.000000000           NaN           NaN
                Finite differences   0.000000000   0.000000000   0.000000000
              Binomial Jarrow-Rudd   0.000000000   0.000000000   0.000000000
      Binomial Cox-Ross-Rubinstein   0.000000000   0.000000000   0.000000000
        Additive equiprobabilities   0.000000000   0.000000000   0.000000000
               Binomial Trigeorgis   0.000000000   0.000000000   0.000000000
                     Binomial Tian   0.000000000   0.000000000   0.000000000
            Binomial Leisen-Reimer   0.000000000   0.000000000   0.000000000
                    Binomial Joshi   0.000000000   0.000000000   0.000000000
                        MC (crude)   0.000000000           NaN           NaN
                        MC (Sobol)   0.000000000           NaN           NaN



home/podsintr/qlib/QuantLib-SWIG-1.15/Java > java -cp ".:QuantLib.jar" -Djava.library.path=/home/podsintr/qlib/lib examples.UnaryFunctions
Integration result 1.9999999999999944
Brent Solver result 0.7390851323735234

# Fails
java -cp ".:QuantLib.jar" -Djava.library.path=/home/podsintr/qlib/lib examples.FRA
/home/podsintr/qlib/QuantLib-SWIG-1.15/Java > java -cp ".:QuantLib.jar" -Djava.library.path=/home/podsintr/qlib/lib examples.FRA
Exception in thread "main" java.lang.RuntimeException: Missing Euribor3M Actual/360 fixing for May 19th, 2006
        at org.quantlib.QuantLibJNI.ForwardRateAgreement_spotValue(Native Method)
        at org.quantlib.ForwardRateAgreement.spotValue(ForwardRateAgreement.java:51)
        at examples.FRA.main(FRA.java:49)


From: Banerjee, Tapas K via QuantLib-dev [mailto:qua...@li...]
Sent: Wednesday, August 07, 2019 1:13 PM
To: QuantLib developers <qua...@li...>
Subject: Re: [Quantlib-dev] QuantLib-SWIG-1.15 example Run issue

Hi Luigi, Qlib experts,

I fixed both issues the way u mentioned below. Now Quantlib.jar and libJNI.so<https://secureweb.jpmchase.net/readonly/http:/libJNI.so> created fine

When I try to run example programs, I get below error:

java -cp ".:QuantLib.jar" -Djava.library.path=/home/podsintr/qlib/lib examples.FRA
/home/podsintr/qlib/QuantLib-SWIG-1.15/Java > java -cp ".:QuantLib.jar" -Djava.library.path=/home/podsintr/qlib/lib examples.FRA
Exception in thread "main" java.lang.RuntimeException: Missing Euribor3M Actual/360 fixing for May 19th, 2006
        at org.quantlib.QuantLibJNI.ForwardRateAgreement_spotValue(Native Method)
        at org.quantlib.ForwardRateAgreement.spotValue(ForwardRateAgreement.java:51)
        at examples.FRA.main(FRA.java:49)


/home/podsintr/qlib/QuantLib-SWIG-1.15/Java > java -cp ".:QuantLib.jar" -Djava.library.path=/home/podsintr/qlib/lib examples.Bonds
Today: Monday, September 15th, 2008
Settlement date: Thursday, September 18th, 2008
Exception in thread "main" java.lang.RuntimeException: Boost assertion failed: px != 0
        at org.quantlib.QuantLibJNI.IborCouponPricer_setCapletVolatility__SWIG_0(Native Method)
        at org.quantlib.IborCouponPricer.setCapletVolatility(IborCouponPricer.java:43)
        at examples.Bonds.main(Bonds.java:497)


Any idea, why is the issue & how to fix?
Can I run any other example program to see it I working?

FYI: We are using 1.56 version Boost (to make it compatible gcc 44) , 1.15 version of Quantlib.

Thanks,


From: Luigi Ballabio [mailto:lui...@gm...<mailto:lui...@gm...>]
Sent: Tuesday, August 06, 2019 3:14 AM
To: Banerjee, Tapas K <tap...@jp...<mailto:tap...@jp...>>
Cc: QuantLib developers <qua...@li...<mailto:qua...@li...>>
Subject: Re: [Quantlib-dev] QuantLib-SWIG-1.15 build issue

Thanks.  The first error,

On Mon, Aug 5, 2019 at 10:16 PM Banerjee, Tapas K via QuantLib-dev <qua...@li...<mailto:qua...@li...>> wrote:
checking for QuantLib... ./configure: line 4029: quantlib-config: command not found

means that you either didn't install QuantLib (the C++ library) or that you installed it in a non-standard location and configure can't find it.  In the first case, install QuantLib (i.e., run `make install` and possibly `ldconfig` after you compile it).  In the second case, if you installed it in /some/other/path, add /some/other/path/bin to PATH before running configure.

The second error,

config.status: error: cannot find input file: `CSharp/Makefile.in<https://secureweb.jpmchase.net/readonly/http:/Makefile.in>'   # We don’t have C# compiler, so thought it is OK to infore.

blocks configure and prevents it from continuing and creating the Java Makefile (Makefile.in<https://secureweb.jpmchase.net/readonly/http:/Makefile.in> is not the makefile; it's the input that configure processes to create the makefile).  Did you remove CSharp/Makefile.in<https://secureweb.jpmchase.net/readonly/http:/Makefile.in>?  If so, start over from a clean download.

Luigi




This message is confidential and subject to terms at:https://www.jpmorgan.com/emaildisclaimer including on confidential, privileged or legal entity information, viruses and monitoring of electronic messages. If you are not the intended recipient, please delete this message and notify the sender immediately. Any unauthorized use is strictly prohibited.

This message is confidential and subject to terms at: https://www.jpmorgan.com/emaildisclaimer including on confidential, privileged or legal entity information, viruses and monitoring of electronic messages. If you are not the intended recipient, please delete this message and notify the sender immediately. Any unauthorized use is strictly prohibited.

Re: [Quantlib-dev] QuantLib-SWIG-1.15 example Run issue

[Banerjee, T. K <tap...@jp...>]

Hi Luigi, Qlib experts,

I fixed both issues the way u mentioned below. Now Quantlib.jar and libJNI.so created fine

When I try to run example programs, I get below error:

java -cp ".:QuantLib.jar" -Djava.library.path=/home/podsintr/qlib/lib examples.FRA
/home/podsintr/qlib/QuantLib-SWIG-1.15/Java > java -cp ".:QuantLib.jar" -Djava.library.path=/home/podsintr/qlib/lib examples.FRA
Exception in thread "main" java.lang.RuntimeException: Missing Euribor3M Actual/360 fixing for May 19th, 2006
        at org.quantlib.QuantLibJNI.ForwardRateAgreement_spotValue(Native Method)
        at org.quantlib.ForwardRateAgreement.spotValue(ForwardRateAgreement.java:51)
        at examples.FRA.main(FRA.java:49)


/home/podsintr/qlib/QuantLib-SWIG-1.15/Java > java -cp ".:QuantLib.jar" -Djava.library.path=/home/podsintr/qlib/lib examples.Bonds
Today: Monday, September 15th, 2008
Settlement date: Thursday, September 18th, 2008
Exception in thread "main" java.lang.RuntimeException: Boost assertion failed: px != 0
        at org.quantlib.QuantLibJNI.IborCouponPricer_setCapletVolatility__SWIG_0(Native Method)
        at org.quantlib.IborCouponPricer.setCapletVolatility(IborCouponPricer.java:43)
        at examples.Bonds.main(Bonds.java:497)


Any idea, why is the issue & how to fix?
Can I run any other example program to see it I working?

FYI: We are using 1.56 version Boost (to make it compatible gcc 44) , 1.15 version of Quantlib.

Thanks,


From: Luigi Ballabio [mailto:lui...@gm...]
Sent: Tuesday, August 06, 2019 3:14 AM
To: Banerjee, Tapas K <tap...@jp...>
Cc: QuantLib developers <qua...@li...>
Subject: Re: [Quantlib-dev] QuantLib-SWIG-1.15 build issue

Thanks.  The first error,

On Mon, Aug 5, 2019 at 10:16 PM Banerjee, Tapas K via QuantLib-dev <qua...@li...<mailto:qua...@li...>> wrote:
checking for QuantLib... ./configure: line 4029: quantlib-config: command not found

means that you either didn't install QuantLib (the C++ library) or that you installed it in a non-standard location and configure can't find it.  In the first case, install QuantLib (i.e., run `make install` and possibly `ldconfig` after you compile it).  In the second case, if you installed it in /some/other/path, add /some/other/path/bin to PATH before running configure.

The second error,

config.status: error: cannot find input file: `CSharp/Makefile.in<https://secureweb.jpmchase.net/readonly/http:/Makefile.in>'   # We don’t have C# compiler, so thought it is OK to infore.

blocks configure and prevents it from continuing and creating the Java Makefile (Makefile.in<https://secureweb.jpmchase.net/readonly/http:/Makefile.in> is not the makefile; it's the input that configure processes to create the makefile).  Did you remove CSharp/Makefile.in<https://secureweb.jpmchase.net/readonly/http:/Makefile.in>?  If so, start over from a clean download.

Luigi




This message is confidential and subject to terms at: https://www.jpmorgan.com/emaildisclaimer including on confidential, privileged or legal entity information, viruses and monitoring of electronic messages. If you are not the intended recipient, please delete this message and notify the sender immediately. Any unauthorized use is strictly prohibited.

Re: [Quantlib-dev] Building python wheels

[Achilleas M. <mic...@gm...>]

Hi Luigi,

Normally on a CI pipeline you can control when the various artifacts are
built. So for example you can launch the Python wheels build as soon as a
new release is tagged on the master branch.
So you can use it also officially. This way you will be able to reduce the
intervals between releases thanks to that automation.

I've looked into it and it's quite some work, so I'll have to park it for
the moment until I get some more resources on my project. It should be
around October. Will keep you updated.

Kind regards,
Achilleas



On Wed, 7 Aug 2019, 17:04 Luigi Ballabio, <lui...@gm...> wrote:

> Hello Achilleas,
>      if you do, please by all means notify the community here.  However, I
> think I'd keep them separate from the official releases (mostly to avoid
> supporting daily versions).
>
> Thanks,
>     Luigi
>
>
> On Wed, Jul 10, 2019 at 11:34 AM Achilleas Michos <
> mic...@gm...> wrote:
>
>> I see, it is because the last image in the multi-stage actually gets the
>> wheel from the previous images. So itself does not have the wheel package.
>>
>> Will try as CI pipeline based on those instructions then. Any insights
>> about windows builds (e.g. AppVeyor)?
>>
>> If I manage to create a pipeline that produces the wheels binary, is it
>> something that would interest the community?
>>
>> On Wed, Jul 10, 2019 at 11:27 AM Luigi Ballabio <lui...@gm...>
>> wrote:
>>
>>> Those instructions should work, yes.  The devenv image doesn't have the
>>> wheel package, because it doesn't build wheels.  You need to install it
>>> with pip, if you want to use that image for the build.  However, if you
>>> build your wheel in that image, it will only work in a corresponding Ubuntu
>>> distribution and it will need libQuantLib.so installed.  To build a
>>> generic, self-contained wheel you need to use the manylinux image instead.
>>>
>>> Luigi
>>>
>>>
>>> On Wed, Jul 10, 2019 at 11:17 AM Achilleas Michos <
>>> mic...@gm...> wrote:
>>>
>>>> Thank you both for your input!
>>>>
>>>> So for the build I should follow the instructions in
>>>> https://github.com/lballabio/QuantLib-SWIG/issues/103 or there are
>>>> more recent?
>>>>
>>>> I'm still quite perplexed from the fact that when I run it in the
>>>> ballabio/quantlib-swig-devenv:python3 it does not work, as the image itself
>>>> runs the same command internally.
>>>> I do:
>>>> docker run --rm -ti -v /tmp/QuantLib-SWIG/:/build -w /build
>>>> lballabio/quantlib-swig-devenv:python3 ./.travis/python3.build
>>>>
>>>> Where ./.travis/python3.build is
>>>> #!/bin/bash
>>>>
>>>> ./autogen.sh \
>>>> && ./configure PYTHON=/usr/bin/python3 CXXFLAGS='-O1' \
>>>> && make -C Python \
>>>> && make -C Python check \
>>>> && make -C Python install \
>>>> && for i in Python/examples/*.py ; do echo $i && /usr/bin/python3 $i
>>>> || break -1 ; done \
>>>> && cd Python && CXXFLAGS='-g0 -O3' /usr/bin/python3 setup.py
>>>> bdist_wheel
>>>>
>>>> OUTCOME:
>>>> usage: setup.py [global_opts] cmd1 [cmd1_opts] [cmd2 [cmd2_opts] ...]
>>>>    or: setup.py --help [cmd1 cmd2 ...]
>>>>    or: setup.py --help-commands
>>>>    or: setup.py cmd --help
>>>>
>>>> error: invalid command 'bdist_wheel'
>>>>
>>>> On Wed, Jul 10, 2019 at 10:51 AM Luigi Ballabio <
>>>> lui...@gm...> wrote:
>>>>
>>>>> Hello,
>>>>>     the process to build the wheels on PyPI is still manual.  They're
>>>>> manylinux wheels (i.e., compatible with most Linux distributions), which
>>>>> means that both the library and the wrappers have to be compiled inside the
>>>>> Docker images provided at <https://github.com/pypa/manylinux> (you'll
>>>>> also have to install Boost inside them) and that they have to be processed
>>>>> by the auditwheel tool in order to include the shared C++ library
>>>>> referenced by the wrappers.  More details at the link above.
>>>>>
>>>>> Luigi
>>>>>
>>>>>
>>>>> On Wed, Jul 10, 2019 at 10:02 AM Achilleas Michos <
>>>>> mic...@gm...> wrote:
>>>>>
>>>>>> Hi Alix,
>>>>>>
>>>>>> Thanks for coming back! Yes, on my machine it is installed and
>>>>>> building the wheels works fine.
>>>>>> I'm trying to do the same using the script that Travis runs for
>>>>>> Quantlib-SWIG. That script is run inside
>>>>>> the lballabio/quantlib-swig-devenv:python3 docker image.
>>>>>> Does this mean that the images does not have wheel installed? i.e. if
>>>>>> I want to build wheels I have to make my own custom image to run on my CI?
>>>>>>
>>>>>>
>>>>>> On Wed, Jul 10, 2019 at 9:58 AM ALIX LASSAUZET <al...@la...>
>>>>>> wrote:
>>>>>>
>>>>>>> Hi Achilleas,
>>>>>>>
>>>>>>> Have you installed the wheel package on your machine (orin the
>>>>>>> virtual env) first?
>>>>>>> > pip install wheel
>>>>>>>
>>>>>>> Alix
>>>>>>>
>>>>>>> Le mer. 10 juil. 2019 à 09:54, Achilleas Michos <
>>>>>>> mic...@gm...> a écrit :
>>>>>>>
>>>>>>>> Hi!
>>>>>>>>
>>>>>>>> I'm trying to expose in Python features of the QuantLib that are
>>>>>>>> not yet in the Quantlib-SWIG.
>>>>>>>> For that I've forked the later and I've done my changes. Now I need
>>>>>>>> to compile a python wheel and provide it as a pip install-able package, to
>>>>>>>> use in my project.
>>>>>>>> I want, pretty much, to replicate the process that creates
>>>>>>>> the QuantLib-Python deliveries in PyPI.
>>>>>>>>
>>>>>>>> I've noticed that the Quantlib-SWIG has a CI configuration setup
>>>>>>>> for testing, though not for building wheels for PyPi. The build/test script
>>>>>>>> looks like this:
>>>>>>>>
>>>>>>>> ./autogen.sh \
>>>>>>>> && ./configure PYTHON=/usr/bin/python3 CXXFLAGS='-O1' \
>>>>>>>> && make -C Python \
>>>>>>>> && make -C Python check \
>>>>>>>> && make -C Python install \
>>>>>>>> && for i in Python/examples/*.py ; do echo $i && /usr/bin/python3
>>>>>>>> $i || break -1 ; done
>>>>>>>>
>>>>>>>> I added the following commands at the end:
>>>>>>>>
>>>>>>>> && cd Python &&  /usr/bin/python3 setup.py bdist_wheel
>>>>>>>>
>>>>>>>> Aiming to recover the .whl in the travis worker and publish it.
>>>>>>>> Unfortunately, the command gives me the following error even though
>>>>>>>> the same works as expected on my machine (Ubuntu 18.04).
>>>>>>>>
>>>>>>>> usage: setup.py [global_opts] cmd1 [cmd1_opts] [cmd2 [cmd2_opts]
>>>>>>>> ...]
>>>>>>>>    or: setup.py --help [cmd1 cmd2 ...]
>>>>>>>>    or: setup.py --help-commands
>>>>>>>>    or: setup.py cmd --help
>>>>>>>>
>>>>>>>> error: invalid command 'bdist_wheel'
>>>>>>>>
>>>>>>>> Could someone help me figure out why in the docker container the
>>>>>>>> command is not recognized but it is on my machine?
>>>>>>>> By the way, how are the wheels posted on PyPi get generated? Is it
>>>>>>>> manually or there is a CI process?
>>>>>>>>
>>>>>>>> Kind regards,
>>>>>>>> Achilleas
>>>>>>>>
>>>>>>>>
>>>>>>>> _______________________________________________
>>>>>>>> QuantLib-dev mailing list
>>>>>>>> Qua...@li...
>>>>>>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>>>>>>>
>>>>>>> _______________________________________________
>>>>>> QuantLib-dev mailing list
>>>>>> Qua...@li...
>>>>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>>>>>
>>>>>

Re: [Quantlib-dev] Help-QuantLib run issue java.lang.UnsatisfiedLinkError - on Window box.

[Banerjee, T. K <tap...@jp...>]

Luigi,

You are right, I used dependency walker saw VCC+ Apis were missing at server box.
I installed those, it worked fine.

Thanks,

From: Luigi Ballabio [mailto:lui...@gm...]
Sent: Wednesday, August 07, 2019 10:55 AM
To: Banerjee, Tapas K <tap...@jp...>
Cc: QuantLib developers <qua...@li...>
Subject: Re: [Quantlib-dev] Help-QuantLib run issue java.lang.UnsatisfiedLinkError - on Window box.

Hello,
    the only thing that comes to mind is that you may possibly need the Visual C++ Redistributable Runtime.  You can download it from Microsoft.

Luigi


On Tue, Jul 9, 2019 at 10:18 PM Banerjee, Tapas K via QuantLib-dev <qua...@li...<mailto:qua...@li...>> wrote:
Hello,

We tried to build Quantlib SWIG using the steps mentioned in Quantlib site.
We could successfully build  and  run needed quatlib so, JNI  as DLL for Window  box.

It runs fine from my Windows desktop.
But when I copy the code on our Window server, while running,  I am getting below error.



= On Window Server ====
C:\SBOR-Valuation\HelloWorld\out\production\HelloWorld>java -Djava.library.path=
C:\SBOR-Valuation\HelloWorld examples.Bonds
Exception in thread "main" java.lang.UnsatisfiedLinkError: D:\Java\bin\QuantLibJ
NI.dll: Can't find dependent libraries
        at java.lang.ClassLoader$NativeLibrary.load(Native Method)
        at java.lang.ClassLoader.loadLibrary0(Unknown Source)
        at java.lang.ClassLoader.loadLibrary(Unknown Source)
        at java.lang.Runtime.loadLibrary0(Unknown Source)
        at java.lang.System.loadLibrary(Unknown Source)


== My local box - exact same code  ==== WORKS FINE ================
C:\Valuation-NT\HelloWorld\out\production\HelloWorld>java -Djava.library.path=C:\Valuation-NT\HelloWorld examples.Bonds
Today: Monday, September 15th, 2008
Settlement date: Thursday, September 18th, 2008

                        ZC     Fixed  Floating
Net present value    100.92    107.67    102.36
       Clean price    100.92    106.13    101.80
       Dirty price    100.92    107.67    102.36
             Yield    3.00 %    3.65 %    2.20 %

I suspect some dependent System libraries missing at our NT server.
Any idea what all are Window dependent libraries for QuantLibJNI.dll ?
Any other  pointers what I missing?

QuantLibJNI.dll  located at the directory mentioned at Djava.library.path

Thanks,


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_______________________________________________
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Re: [Quantlib-dev] Simple swap pricing

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

You can extract the information with something like this:

for i, x in enumerate(ir_swap.floatingLeg()):
    cf = ql.as_floating_rate_coupon(x)
    print(f"cf[{i}]")
    print(f"payment date: {cf.date()}")
    print(f"fixing date: {cf.fixingDate()}")
    print(f"start of accrual: {cf.accrualStartDate()}")
    print(f"end of accrual: {cf.accrualEndDate()}")
    print(f"floating rate: {cf.rate()}")
    print(f"index fixing: {libor_3M_index.fixing(cf.fixingDate())}")
    print(f"discount factor: {discount_curve.discount(cf.date())}")

Note that, as a default, the floating rate is calculated at par on the life
of the coupon (between start and end of the accrual period) and so it might
differ slightly from the fixing returned by the index.  Case in point:  due
to adjustments over holidays and weekends, the last coupon accrues from
June 13th to September 12th, while the corresponding LIBOR fixing probably
goes from 13th to 13th.

Luigi




On Wed, Jun 26, 2019 at 9:53 AM R S <raj...@ho...> wrote:

> Apologies as I am sure this has been asked before but I cannot find the
> answers from the archive.
>
>
>
> I attach a jupyter notebook file where I have constructed a simple swap.
>
>
>
> I am using the forward and discount rates to manually calculate the
> cashflows and am always slightly out w.r.t the cashflows from the legs
>
>
>
> (see image - quantlibex.png)
>
>
>
> How can I get hold of the forward and discount rates being used internally
> (I presume these re off the equivalent z-curve, hence the diff?)
>
>
>
> I attach the requirements.txt for my virtual env called quantlibenv (if
> you wish to recreate)
>
>
>
> I add this env to jupyter using the command:
>
>
>
> ipython kernel install --user --name=quantlibenv
>
>
>
> as outlined here
> <https://anbasile.github.io/programming/2017/06/25/jupyter-venv/>
>
>
>
>
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Re: [Quantlib-dev] Building python wheels

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

Hello Achilleas,
     if you do, please by all means notify the community here.  However, I
think I'd keep them separate from the official releases (mostly to avoid
supporting daily versions).

Thanks,
    Luigi


On Wed, Jul 10, 2019 at 11:34 AM Achilleas Michos <
mic...@gm...> wrote:

> I see, it is because the last image in the multi-stage actually gets the
> wheel from the previous images. So itself does not have the wheel package.
>
> Will try as CI pipeline based on those instructions then. Any insights
> about windows builds (e.g. AppVeyor)?
>
> If I manage to create a pipeline that produces the wheels binary, is it
> something that would interest the community?
>
> On Wed, Jul 10, 2019 at 11:27 AM Luigi Ballabio <lui...@gm...>
> wrote:
>
>> Those instructions should work, yes.  The devenv image doesn't have the
>> wheel package, because it doesn't build wheels.  You need to install it
>> with pip, if you want to use that image for the build.  However, if you
>> build your wheel in that image, it will only work in a corresponding Ubuntu
>> distribution and it will need libQuantLib.so installed.  To build a
>> generic, self-contained wheel you need to use the manylinux image instead.
>>
>> Luigi
>>
>>
>> On Wed, Jul 10, 2019 at 11:17 AM Achilleas Michos <
>> mic...@gm...> wrote:
>>
>>> Thank you both for your input!
>>>
>>> So for the build I should follow the instructions in
>>> https://github.com/lballabio/QuantLib-SWIG/issues/103 or there are more
>>> recent?
>>>
>>> I'm still quite perplexed from the fact that when I run it in the
>>> ballabio/quantlib-swig-devenv:python3 it does not work, as the image itself
>>> runs the same command internally.
>>> I do:
>>> docker run --rm -ti -v /tmp/QuantLib-SWIG/:/build -w /build
>>> lballabio/quantlib-swig-devenv:python3 ./.travis/python3.build
>>>
>>> Where ./.travis/python3.build is
>>> #!/bin/bash
>>>
>>> ./autogen.sh \
>>> && ./configure PYTHON=/usr/bin/python3 CXXFLAGS='-O1' \
>>> && make -C Python \
>>> && make -C Python check \
>>> && make -C Python install \
>>> && for i in Python/examples/*.py ; do echo $i && /usr/bin/python3 $i ||
>>> break -1 ; done \
>>> && cd Python && CXXFLAGS='-g0 -O3' /usr/bin/python3 setup.py bdist_wheel
>>>
>>> OUTCOME:
>>> usage: setup.py [global_opts] cmd1 [cmd1_opts] [cmd2 [cmd2_opts] ...]
>>>    or: setup.py --help [cmd1 cmd2 ...]
>>>    or: setup.py --help-commands
>>>    or: setup.py cmd --help
>>>
>>> error: invalid command 'bdist_wheel'
>>>
>>> On Wed, Jul 10, 2019 at 10:51 AM Luigi Ballabio <
>>> lui...@gm...> wrote:
>>>
>>>> Hello,
>>>>     the process to build the wheels on PyPI is still manual.  They're
>>>> manylinux wheels (i.e., compatible with most Linux distributions), which
>>>> means that both the library and the wrappers have to be compiled inside the
>>>> Docker images provided at <https://github.com/pypa/manylinux> (you'll
>>>> also have to install Boost inside them) and that they have to be processed
>>>> by the auditwheel tool in order to include the shared C++ library
>>>> referenced by the wrappers.  More details at the link above.
>>>>
>>>> Luigi
>>>>
>>>>
>>>> On Wed, Jul 10, 2019 at 10:02 AM Achilleas Michos <
>>>> mic...@gm...> wrote:
>>>>
>>>>> Hi Alix,
>>>>>
>>>>> Thanks for coming back! Yes, on my machine it is installed and
>>>>> building the wheels works fine.
>>>>> I'm trying to do the same using the script that Travis runs for
>>>>> Quantlib-SWIG. That script is run inside
>>>>> the lballabio/quantlib-swig-devenv:python3 docker image.
>>>>> Does this mean that the images does not have wheel installed? i.e. if
>>>>> I want to build wheels I have to make my own custom image to run on my CI?
>>>>>
>>>>>
>>>>> On Wed, Jul 10, 2019 at 9:58 AM ALIX LASSAUZET <al...@la...>
>>>>> wrote:
>>>>>
>>>>>> Hi Achilleas,
>>>>>>
>>>>>> Have you installed the wheel package on your machine (orin the
>>>>>> virtual env) first?
>>>>>> > pip install wheel
>>>>>>
>>>>>> Alix
>>>>>>
>>>>>> Le mer. 10 juil. 2019 à 09:54, Achilleas Michos <
>>>>>> mic...@gm...> a écrit :
>>>>>>
>>>>>>> Hi!
>>>>>>>
>>>>>>> I'm trying to expose in Python features of the QuantLib that are not
>>>>>>> yet in the Quantlib-SWIG.
>>>>>>> For that I've forked the later and I've done my changes. Now I need
>>>>>>> to compile a python wheel and provide it as a pip install-able package, to
>>>>>>> use in my project.
>>>>>>> I want, pretty much, to replicate the process that creates
>>>>>>> the QuantLib-Python deliveries in PyPI.
>>>>>>>
>>>>>>> I've noticed that the Quantlib-SWIG has a CI configuration setup for
>>>>>>> testing, though not for building wheels for PyPi. The build/test script
>>>>>>> looks like this:
>>>>>>>
>>>>>>> ./autogen.sh \
>>>>>>> && ./configure PYTHON=/usr/bin/python3 CXXFLAGS='-O1' \
>>>>>>> && make -C Python \
>>>>>>> && make -C Python check \
>>>>>>> && make -C Python install \
>>>>>>> && for i in Python/examples/*.py ; do echo $i && /usr/bin/python3 $i
>>>>>>> || break -1 ; done
>>>>>>>
>>>>>>> I added the following commands at the end:
>>>>>>>
>>>>>>> && cd Python &&  /usr/bin/python3 setup.py bdist_wheel
>>>>>>>
>>>>>>> Aiming to recover the .whl in the travis worker and publish it.
>>>>>>> Unfortunately, the command gives me the following error even though
>>>>>>> the same works as expected on my machine (Ubuntu 18.04).
>>>>>>>
>>>>>>> usage: setup.py [global_opts] cmd1 [cmd1_opts] [cmd2 [cmd2_opts] ...]
>>>>>>>    or: setup.py --help [cmd1 cmd2 ...]
>>>>>>>    or: setup.py --help-commands
>>>>>>>    or: setup.py cmd --help
>>>>>>>
>>>>>>> error: invalid command 'bdist_wheel'
>>>>>>>
>>>>>>> Could someone help me figure out why in the docker container the
>>>>>>> command is not recognized but it is on my machine?
>>>>>>> By the way, how are the wheels posted on PyPi get generated? Is it
>>>>>>> manually or there is a CI process?
>>>>>>>
>>>>>>> Kind regards,
>>>>>>> Achilleas
>>>>>>>
>>>>>>>
>>>>>>> _______________________________________________
>>>>>>> QuantLib-dev mailing list
>>>>>>> Qua...@li...
>>>>>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>>>>>>
>>>>>> _______________________________________________
>>>>> QuantLib-dev mailing list
>>>>> Qua...@li...
>>>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>>>>
>>>>

Re: [Quantlib-dev] Help-QuantLib run issue java.lang.UnsatisfiedLinkError - on Window box.

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

Hello,
    the only thing that comes to mind is that you may possibly need
the Visual C++ Redistributable Runtime.  You can download it from Microsoft.

Luigi


On Tue, Jul 9, 2019 at 10:18 PM Banerjee, Tapas K via QuantLib-dev <
qua...@li...> wrote:

> Hello,
>
>
>
> We tried to build Quantlib SWIG using the steps mentioned in Quantlib site.
>
> We could successfully build  and  run needed quatlib so, JNI  as DLL for
> Window  box.
>
>
>
> It runs fine from my Windows desktop.
>
> But when I copy the code on our Window server, while running,  I am
> getting below error.
>
>
>
>
>
> = On Window Server ====
>
> C:\SBOR-Valuation\HelloWorld\out\production\HelloWorld>java
> -Djava.library.path=
>
> C:\SBOR-Valuation\HelloWorld examples.Bonds
>
> *Exception in thread "main" java.lang.UnsatisfiedLinkError:
> D:\Java\bin\QuantLibJ*
>
> *NI.dll: Can't find dependent libraries*
>
> *        at java.lang.ClassLoader$NativeLibrary.load(Native Method)*
>
> *        at java.lang.ClassLoader.loadLibrary0(Unknown Source)*
>
>         at java.lang.ClassLoader.loadLibrary(Unknown Source)
>
>         at java.lang.Runtime.loadLibrary0(Unknown Source)
>
>         at java.lang.System.loadLibrary(Unknown Source)
>
>
>
>
>
> == My local box - exact same code  ==== WORKS FINE ================
>
> C:\Valuation-NT\HelloWorld\out\production\HelloWorld>java
> -Djava.library.path=C:\Valuation-NT\HelloWorld examples.Bonds
>
> Today: Monday, September 15th, 2008
>
> Settlement date: Thursday, September 18th, 2008
>
>
>
>                         ZC     Fixed  Floating
>
> Net present value    100.92    107.67    102.36
>
>        Clean price    100.92    106.13    101.80
>
>        Dirty price    100.92    107.67    102.36
>
>              Yield    3.00 %    3.65 %    2.20 %
>
>
>
> I suspect some dependent System libraries missing at our NT server.
>
> Any idea what all are Window dependent libraries for *QuantLibJNI.dll ?*
>
> Any other  pointers what I missing?
>
>
>
> QuantLibJNI.dll  located at the directory mentioned at Djava.library.path
>
>
>
> Thanks,
>
>
>
> This message is confidential and subject to terms at:
> https://www.jpmorgan.com/emaildisclaimer including on confidential,
> privileged or legal entity information, viruses and monitoring of
> electronic messages. If you are not the intended recipient, please delete
> this message and notify the sender immediately. Any unauthorized use is
> strictly prohibited.
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Re: [Quantlib-dev] Build issue with QuantLib-SWIG-1.16

[Dirk E. <ed...@de...>]

Luigi,

On 7 August 2019 at 09:36, Luigi Ballabio wrote:
| Dirk,
|     nothing changed as far as I know.  Is it possible that the build
| machine exhausted the memory?

I thought of that too, especially as we had in the past our issue with
smaller boxes.  In the, and on a lurk, I just turned optimisation off and
suppress debug symbols (as we do on some build platforms) and that worked (on
my reasonably beefy amd64 box).  Will upload in a minute and watch how the
other builders do.

Dirk

-- 
http://dirk.eddelbuettel.com | @eddelbuettel | ed...@de...

Re: [Quantlib-dev] Build issue with QuantLib-SWIG-1.16

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

Dirk,
    nothing changed as far as I know.  Is it possible that the build
machine exhausted the memory?

Luigi


On Wed, Aug 7, 2019 at 5:05 AM Dirk Eddelbuettel <ed...@de...> wrote:

>
> Having updated QuantLib to 1.16 yesterday, I just tried to update
> QuantLib-SWIG using the regular build process -- but I now get
>
>    /usr/bin/ld: error: lto-wrapper failed
>
> Am I missing something simple?  Do I need add something to the build
> dependencies?
>
> Dirk, who is less well versed in Python than in R or C++
>
>
> *** Running on arch amd64 and cpu x86_64
> checking for gcc... gcc
> checking whether the C compiler works... yes
> checking for C compiler default output file name... a.out
> checking for suffix of executables...
> checking dependency style of g++... none
> checking for python... /usr/bin/python
> checking for jar... no
> checking for java... no
> checking for scalac... no
> checking for scala... no
> checking that generated files are newer than configure... done
> configure: creating ./config.status
> config.status: creating Makefile
> config.status: creating CSharp/Makefile
> config.status: creating Java/Makefile
> config.status: creating Python/Makefile
> config.status: creating Python/setup.py
> config.status: creating R/Makefile
> config.status: creating R/DESCRIPTION
> config.status: executing depfiles commands
> (cd Python && for python in python3.7; do               \
>                         CC="g++"                \
>                         CXX="g++"               \
>                         CFLAGS="-O2 -Wall -Wno-strict-aliasing
> -DBOOST_NO_AUTO_PTR"     \
>                         CXXFLAGS="-O2 -Wall -Wno-strict-aliasing
> -DBOOST_NO_AUTO_PTR"   \
>                         $python setup.py build; \
>                 done                                    )
> running build
> running build_py
> creating build
> creating build/lib.linux-x86_64-3.7
> creating build/lib.linux-x86_64-3.7/QuantLib
> copying QuantLib/__init__.py -> build/lib.linux-x86_64-3.7/QuantLib
> copying QuantLib/QuantLib.py -> build/lib.linux-x86_64-3.7/QuantLib
> running build_ext
> building 'QuantLib._QuantLib' extension
> creating build/temp.linux-x86_64-3.7
> creating build/temp.linux-x86_64-3.7/QuantLib
> running build_ext
> building 'QuantLib._QuantLib' extension
> creating build/temp.linux-x86_64-3.7
> creating build/temp.linux-x86_64-3.7/QuantLib
> g++ -Wno-unused-result -Wsign-compare -DNDEBUG -g -fwrapv -O2 -Wall -g
> -fstack-protector-strong -Wformat -Werror=format-security -g -flto
> -fuse-linker-plugin -ffat-lto-objects -O2 -Wall -Wno-strict-aliasing
> -DBOOST_NO_AUTO_PTR -Wdate-time -D_FORTIFY_SOURCE=2 -fPIC
> -I/usr/include/python3.7m -I/usr/include -c QuantLib/quantlib_wrap.cpp -o
> build/temp.linux-x86_64-3.7/QuantLib/quantlib_wrap.o -fopenmp -Wno-unused
> -O2 -Wall -Wno-strict-aliasing -DBOOST_NO_AUTO_PTR
> QuantLib/quantlib_wrap.cpp: In function 'PyObject*
> GaussLobattoIntegral_swigregister(PyObject*, PyObject*)':
>
>
> QuantLib/quantlib_wrap.cpp:426255: note: -Wmisleading-indentation is
> disabled from this point onwards, since column-tracking was disabled due to
> the size of the code/headers
>    SWIG_TypeNewClientData(SWIGTYPE_p_GaussLobattoIntegral,
> SWIG_NewClientData(obj));
>
> QuantLib/quantlib_wrap.cpp: In function '_wrap_new_MCLDAmericanEngine':
> QuantLib/quantlib_wrap.cpp:264555:27: warning: 'MEM[(struct optional
> *)&arg13 + 1B]' may be used uninitialized in this function
> [-Wmaybe-uninitialized]
>
>    boost::optional< bool > arg13 = (boost::optional< bool >) boost::none ;
>                            ^~~~~
> QuantLib/quantlib_wrap.cpp: In function '_wrap_new_MCPRAmericanEngine':
> QuantLib/quantlib_wrap.cpp:264303:27: warning: 'MEM[(struct optional
> *)&arg13 + 1B]' may be used uninitialized in this function
> [-Wmaybe-uninitialized]
>
>    boost::optional< bool > arg13 = (boost::optional< bool >) boost::none ;
>                            ^~~~~
> g++ -shared -Wl,-z,relro -O2 -Wall -Wno-strict-aliasing
> -DBOOST_NO_AUTO_PTR -Wdate-time -D_FORTIFY_SOURCE=2
> build/temp.linux-x86_64-3.7/QuantLib/quantlib_wrap.o -lQuantLib -o
> build/lib.linux-x86_64-3.7/QuantLib/_
> QuantLib.cpython-37m-x86_64-linux-gnu.so -fopenmp
> /usr/bin/ld: error: lto-wrapper failed
> collect2: error: ld returned 1 exit status
> error: command 'g++' failed with exit status 1
> make: *** [debian/rules:99: build-stamp] Error 1
> dpkg-buildpackage: error: debian/rules build subprocess returned exit
> status 2
> I: copying local configuration
> E: Failed autobuilding of package
> I: unmounting dev/ptmx filesystem
> I: unmounting dev/pts filesystem
> I: unmounting dev/shm filesystem
> I: unmounting proc filesystem
> I: unmounting sys filesystem
> I: cleaning the build env
> I: removing directory /var/cache/pbuilder/build//32183 and its
> subdirectories
> gbp:error: 'pdebuild' failed: it exited with 1
> Command exited with non-zero status 1
> 415.88user 19.25system 7:25.21elapsed 97%CPU (0avgtext+0avgdata
> 7642488maxresident)k
> 1784256inputs+7819032outputs (707major+7442530minor)pagefaults 0swaps
> Done
> quantlib-swig ->
> warning: the authors of lintian do not recommend running it with root
> privileges!
> bad package file name /mnt/ (neither .deb, .udeb, .changes .dsc or
> .buildinfo file)
> edd@rob:~/deb/quantlib-swig(master)$
>
>
> --
> http://dirk.eddelbuettel.com | @eddelbuettel | ed...@de...
>

[Quantlib-dev] Build issue with QuantLib-SWIG-1.16

[Dirk E. <ed...@de...>]

Having updated QuantLib to 1.16 yesterday, I just tried to update
QuantLib-SWIG using the regular build process -- but I now get 

   /usr/bin/ld: error: lto-wrapper failed

Am I missing something simple?  Do I need add something to the build
dependencies?

Dirk, who is less well versed in Python than in R or C++ 


*** Running on arch amd64 and cpu x86_64
checking for gcc... gcc
checking whether the C compiler works... yes
checking for C compiler default output file name... a.out
checking for suffix of executables... 
checking dependency style of g++... none
checking for python... /usr/bin/python
checking for jar... no
checking for java... no
checking for scalac... no
checking for scala... no
checking that generated files are newer than configure... done
configure: creating ./config.status
config.status: creating Makefile
config.status: creating CSharp/Makefile
config.status: creating Java/Makefile
config.status: creating Python/Makefile
config.status: creating Python/setup.py
config.status: creating R/Makefile
config.status: creating R/DESCRIPTION
config.status: executing depfiles commands
(cd Python && for python in python3.7; do               \
                        CC="g++"                \
                        CXX="g++"               \
                        CFLAGS="-O2 -Wall -Wno-strict-aliasing -DBOOST_NO_AUTO_PTR"     \
                        CXXFLAGS="-O2 -Wall -Wno-strict-aliasing -DBOOST_NO_AUTO_PTR"   \
                        $python setup.py build; \
                done                                    )
running build
running build_py
creating build
creating build/lib.linux-x86_64-3.7
creating build/lib.linux-x86_64-3.7/QuantLib
copying QuantLib/__init__.py -> build/lib.linux-x86_64-3.7/QuantLib
copying QuantLib/QuantLib.py -> build/lib.linux-x86_64-3.7/QuantLib
running build_ext
building 'QuantLib._QuantLib' extension
creating build/temp.linux-x86_64-3.7
creating build/temp.linux-x86_64-3.7/QuantLib
running build_ext
building 'QuantLib._QuantLib' extension
creating build/temp.linux-x86_64-3.7
creating build/temp.linux-x86_64-3.7/QuantLib
g++ -Wno-unused-result -Wsign-compare -DNDEBUG -g -fwrapv -O2 -Wall -g -fstack-protector-strong -Wformat -Werror=format-security -g -flto -fuse-linker-plugin -ffat-lto-objects -O2 -Wall -Wno-strict-aliasing -DBOOST_NO_AUTO_PTR -Wdate-time -D_FORTIFY_SOURCE=2 -fPIC -I/usr/include/python3.7m -I/usr/include -c QuantLib/quantlib_wrap.cpp -o build/temp.linux-x86_64-3.7/QuantLib/quantlib_wrap.o -fopenmp -Wno-unused -O2 -Wall -Wno-strict-aliasing -DBOOST_NO_AUTO_PTR
QuantLib/quantlib_wrap.cpp: In function 'PyObject* GaussLobattoIntegral_swigregister(PyObject*, PyObject*)':                                                                                                      
QuantLib/quantlib_wrap.cpp:426255: note: -Wmisleading-indentation is disabled from this point onwards, since column-tracking was disabled due to the size of the code/headers                                     
   SWIG_TypeNewClientData(SWIGTYPE_p_GaussLobattoIntegral, SWIG_NewClientData(obj));

QuantLib/quantlib_wrap.cpp: In function '_wrap_new_MCLDAmericanEngine':
QuantLib/quantlib_wrap.cpp:264555:27: warning: 'MEM[(struct optional *)&arg13 + 1B]' may be used uninitialized in this function [-Wmaybe-uninitialized]                                                           
   boost::optional< bool > arg13 = (boost::optional< bool >) boost::none ;
                           ^~~~~
QuantLib/quantlib_wrap.cpp: In function '_wrap_new_MCPRAmericanEngine':
QuantLib/quantlib_wrap.cpp:264303:27: warning: 'MEM[(struct optional *)&arg13 + 1B]' may be used uninitialized in this function [-Wmaybe-uninitialized]                                                           
   boost::optional< bool > arg13 = (boost::optional< bool >) boost::none ;
                           ^~~~~
g++ -shared -Wl,-z,relro -O2 -Wall -Wno-strict-aliasing -DBOOST_NO_AUTO_PTR -Wdate-time -D_FORTIFY_SOURCE=2 build/temp.linux-x86_64-3.7/QuantLib/quantlib_wrap.o -lQuantLib -o build/lib.linux-x86_64-3.7/QuantLib/_QuantLib.cpython-37m-x86_64-linux-gnu.so -fopenmp
/usr/bin/ld: error: lto-wrapper failed
collect2: error: ld returned 1 exit status
error: command 'g++' failed with exit status 1
make: *** [debian/rules:99: build-stamp] Error 1
dpkg-buildpackage: error: debian/rules build subprocess returned exit status 2
I: copying local configuration
E: Failed autobuilding of package
I: unmounting dev/ptmx filesystem
I: unmounting dev/pts filesystem
I: unmounting dev/shm filesystem
I: unmounting proc filesystem
I: unmounting sys filesystem
I: cleaning the build env
I: removing directory /var/cache/pbuilder/build//32183 and its subdirectories
gbp:error: 'pdebuild' failed: it exited with 1
Command exited with non-zero status 1
415.88user 19.25system 7:25.21elapsed 97%CPU (0avgtext+0avgdata 7642488maxresident)k
1784256inputs+7819032outputs (707major+7442530minor)pagefaults 0swaps
Done
quantlib-swig ->
warning: the authors of lintian do not recommend running it with root privileges!
bad package file name /mnt/ (neither .deb, .udeb, .changes .dsc or .buildinfo file)
edd@rob:~/deb/quantlib-swig(master)$


-- 
http://dirk.eddelbuettel.com | @eddelbuettel | ed...@de...

Re: [Quantlib-dev] QuantLib-SWIG-1.15 build issue

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

Thanks.  The first error,

On Mon, Aug 5, 2019 at 10:16 PM Banerjee, Tapas K via QuantLib-dev <
qua...@li...> wrote:

> *checking for QuantLib... ./configure: line 4029: quantlib-config: command
> not found*
>

means that you either didn't install QuantLib (the C++ library) or that you
installed it in a non-standard location and configure can't find it.  In
the first case, install QuantLib (i.e., run `make install` and possibly
`ldconfig` after you compile it).  In the second case, if you installed it
in /some/other/path, add /some/other/path/bin to PATH before running
configure.

The second error,

config.status: error: cannot find input file: `CSharp/Makefile.in'   # We
> don’t have C# compiler, so thought it is OK to infore.
>
>
blocks configure and prevents it from continuing and creating the Java
Makefile (Makefile.in is not the makefile; it's the input that configure
processes to create the makefile).  Did you remove CSharp/Makefile.in?  If
so, start over from a clean download.

Luigi