quantlib-dev — Discussion of QuantLib development

[Quantlib-dev] TreeLattice with different discounting and forwarding curves

[SK A <ska...@go...>]

Hi all,
 
I am planning to implement a lattice in QuantLib that can cope with different discounting and forwarding curves. The aim is to price interest rate derivatives, e.g. Bermudan swaptions with Eonia discounting.  I follow the approach of Chris Kenyon (from QuantLib team), published in the article http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1558429 .
 
I checked the implementation of Lattice, TreeLattice, TreeLattice2D, .etc...
I think that the curicial point is to separate the rollback method on the payoffs (i.e. DiscretizedSwap and DiscretizedSwaption objects)   and on the DiscretizedBond object. In the first one  discounting will be done with Eonia and in the second one with Euribor (in order to calculate the Euribor forwards).
 
My plan is to implement a new class in numericalmethod.hpp, called TwoCurveTreeLattice that has two rollback and respectivley two partialRollback methods, calling two different stepback methods with corresponding discountings
 
virtual void rollbackwithForwardingCurve(DiscretizedAsset&,Time to) const = 0;
void rollbackwithDiscountingCurve(DiscretizedAsset&,Time to) const = 0;

virtual void partialRollbackwithForwardingCurve(DiscretizedAsset&,Time to) const = 0;
virtual void partialRollbackwithDiscountingCurve(DiscretizedAsset&,Time to) const = 0;
I would appreciate any suggestions and/or feedbacks on this implementation approach.

Best Regards,

Sarp Kaya

[Quantlib-dev] Moving stable parts of ql/experimental/finitedifferences to the main tree

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

Hi

I'd like to move the older and stable parts of the multi-dimensional finite 
difference framework and the corresponding pricing engines in 
ql/experimental/finitedifferences to the main tree folder. In particular I'd 
like to move the following files as outlined in the attached file.

Any objectives or thoughts about this?

regards
 Klaus

[Quantlib-dev] Bermudan LLM

[Kakhkhor A. <kab...@gm...>]

Dear All,
I implemented a parallel version of Longstaff-Swartz algorithm. The
code can be found here http://code.google.com/p/qlp/.
Currently the algorithm was applied to equity options only. However
almost everything is templatized and should be applicable to LMM with
minimal changes . Compared to QuatLib's Longstaff-Swartz engine the
parallel implementation runs about 50 time faster with 4 threads.

Since single factor Monte-Carlo isn't very interesting, my actual goal
is to implement Bermudan LLM and integrate it into QuantLib. There is
one issues though.
We need an efficient SVD algorithms. The SVD in the current version of
QuantLib is OK for small matrices but I suspect it might be terribly
slow for larger matrices. A good replacement would be ATLAS. It uses
BSD-style license and can be more than 10 times faster than
un-optimized implementation. But what the developers say about
introducing additional dependencies? ATLAS is available on almost all
Linux distributions, but Windows version can be problematic.

Regards,
Kakhkhor Abdijalilov.

Re: [Quantlib-dev] [Quantlib-users] Curves over Eonia

[SK A <ska...@go...>]

Hi Nando,

Thanks for the answer. It worked, I could bootstrapp a Euribor over
eonia curve.

What about the stochastic modelling of basis spread, is there already an
implementation or ongoing work or any plan to incorporate it?

Regards,
Kaya


On Wed, Aug 10, 2011 at 11:32 AM, Ferdinando Ametrano <na...@am...>wrote:

> Hi Kaya
>
> > It seems that the iterative
> > bootstrapping algorithm uses the same curve for forwards and discounting.
>
> the iterative boostrapping algorithm bootstrap just one curve but
> delegates to the bootstrap-helper how to use it. It's completely
> feasible for the helper to use the curve being bootstrapped for
> forwarding and a different curve for boostrapping. This is already
> done, e.g. SawpRateHelper
>
> On Mon, Aug 8, 2011 at 9:54 PM, sarpkacar <ska...@go...>
> wrote:
> > I am interested in bootstrapping  tenor specific forward  curves over
> Eonia,
> > matching the corresponding swap quotes in the market. Is it possible to
> do
> > this in QL?
>
> It is already done in QLXL, but it is not documented. You can
> implement your own stuff or investigate what's available using
> QuantLibXL.xla
>
> > What I need is, for example  given Eonia discount curve, bootstrap a 3M
> > forward curve to match  quoted 3M swap rates. Is it possible to separate
> in
> > QL discount and forward curves?
>
> yes it is, see also my slides on the issue (all the charts have been
> done using QLXL implementation):
> http://www.statpro.com/PDF/RateCurves-final.pdf
>
> ciao -- Nando
>

Re: [Quantlib-dev] test suite error

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

Hi Nando

I've checked the VPP tests using VC10 Express (the only version of VC I've 
access to) and the tests are working without problems. I've updated the VC10 
project files. Can it be that something was wrong with your build?

regards
 Klaus

On Friday 12 August 2011 13:53:28 Ferdinando Ametrano wrote:
> Hi Klaus
>
> the VPP test fails with VC9:
>
> 13>Testing VPP step condition
> 13>unknown location(0): fatal error in
> "QuantLib::detail::quantlib_test_case(&VPPTest::testVPPPricing)":
> Invalid parameter detected by C runtime library
> 13>c:\projects\quantlib\trunk\quantlib\test-suite\utilities.hpp(78):
> last checkpoint
>
> could you please look into it?
> Is it ok with gcc?
>
> ciao -- Nando

Re: [Quantlib-dev] pure virtual function call in observable update

[Irakli M. <ima...@ho...>]

Alan, 
Even if you solve all problems with loading and running, your setup with
mixed mode dll linking to static "quantlib +you wrapper" smells like a
problem. When dll is unloaded in the ASP you might experience segmentation 
fault due to a bug in the .net framework that ms does not plan to fix
("Static variable in native method causes exception"
http://connect.microsoft.com/VisualStudio/feedback/details/336844/static-variable-in-native-method-causes-exception-c0020001-during-process-exit)

Just today I finished testing the project that pretty much does the same as
what you try to achieve. I introduced extra native dll that links in
quantlib and than mixed mode dll uses native one.
In the header that is included in the mixed dll source code there is no
reference to anything from quantlib.

Native dll has interface like this 
class QLWRAPPER_API ITermStructureHandleNative
	{
		protected:
			boost::shared_ptr<TermStructureNative> ts_;
			
			ITermStructureHandleNative(boost::shared_ptr<TermStructureNative> ts ): 
ts_(ts) {}

		public:
			friend class ITermStructureNativeFactory;
			double spread();
			void setSpread(double s);

			QLWrapDate maxDate();
			int settlementDays() ;
			QLWrapDate settlementDate()  ;
			
			ICalendarHandleNative* calendar() ;
			double forwardRate(double t1, double t2, int c );
			double forwardRateAct360(QLWrapDate d1, QLWrapDate d2, int c);
			double forwardRate30360(QLWrapDate d1, QLWrapDate d2, int c);
			double discount(QLWrapDate d1);
	};


TermStructureNative is defined in the separate header in the native dll as
	//this is just a dummy wrapper to avoid inclusion of qunatlib in
ITermStructurNativeFactory.h
	class TermStructureNative
	{
		public:
		boost::shared_ptr<SimpleQuote> spreadQuote_;
		boost::shared_ptr<ForwardSpreadedTermStructure> ts_;
		TermStructureNative(boost::shared_ptr<YieldTermStructure> ts,double
spread=0)
		{
			spreadQuote_=boost::shared_ptr<SimpleQuote>(new SimpleQuote(spread));
			Handle hsq (spreadQuote_);
			RelinkableHandle<YieldTermStructure> hts(ts);
			ts_=  boost::shared_ptr<ForwardSpreadedTermStructure>(
				new ForwardSpreadedTermStructure(hts,hsq ));
		}
}



and finally mixed mode dll 

	public ref class TermStructureHandle
	{
	protected:
			ITermStructureHandleNative* tsHandle_;
	public:
			property double SpreadBP{ double get() { return
tsHandle_->spread()*10000;} void set(double v)
{tsHandle_->setSpread(v/10000); }}
			TermStructureHandle(ITermStructureHandleNative* ts):tsHandle_(ts){}
			double forwardRate(double t1, double t2, Compounding c ) { return
tsHandle_->forwardRate(t1, t2,(int) c);}
			
			double forwardRateAct360(DateTime d1, DateTime  d2, Compounding c)
			{ 
				return tsHandle_->forwardRateAct360(
					DateTime2QLWrapDate(d1), 
					DateTime2QLWrapDate(d2),
					(int) c);
			}
			double forwardRate30360(DateTime d1, DateTime  d2, Compounding c)
			{ 
				return tsHandle_->forwardRate30360(
					DateTime2QLWrapDate(d1), 
					DateTime2QLWrapDate(d2),
					(int) c);
			}

			double discount(DateTime d1)
			{ 
				return tsHandle_->discount(
					DateTime2QLWrapDate(d1));
			}


			DateTime maxDate() { return QLWrapDate2DateTime(tsHandle_->maxDate());}
			int settlementDays() { return tsHandle_->settlementDays();}
			DateTime settlementDate() { return
QLWrapDate2DateTime(tsHandle_->settlementDate());}
			
			CalendarHandle^ calendar() { return  gcnew CalendarHandle(tsHandle_->
calendar());}


		!TermStructureHandle()
		{
			if (tsHandle_!=NULL)
			{
				delete tsHandle_;
				tsHandle_=NULL;
			}
		}
		~TermStructureHandle()
		{
			this->!TermStructureHandle(); 
		}
		

	};

This approach is the same what Bojan suggested you plus extra dll.


Fischbein, Alan: C12 (NYK) wrote:
> 
> 
> A 'core' project that is native C++ that uses quantlib; compiled to a
> static library.
> A 'Interface' project that is managed C++, built into a DLL. (so the code
> is not linked until this project is built.)
> An 'add-in' project that is C#/.NET 4.0. The above error is thrown when
> this project tries to create an instance of a class in Interface.dll
> 
> 
> 

-- 
View this message in context: http://old.nabble.com/pure-virtual-function-call-in-observable-update-tp31451928p32252423.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

Re: [Quantlib-dev] test suite error

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

Hi Nando,

hmm.. it is working with gcc on my linux box. I'll have a look into it (after 
I've managed to get express running;-)

regards
 Klaus

On Friday 12 August 2011 13:53:28 Ferdinando Ametrano wrote:
> Hi Klaus
>
> the VPP test fails with VC9:
>
> 13>Testing VPP step condition
> 13>unknown location(0): fatal error in
> "QuantLib::detail::quantlib_test_case(&VPPTest::testVPPPricing)":
> Invalid parameter detected by C runtime library
> 13>c:\projects\quantlib\trunk\quantlib\test-suite\utilities.hpp(78):
> last checkpoint
>
> could you please look into it?
> Is it ok with gcc?
>
> ciao -- Nando

[Quantlib-dev] test suite error

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

Hi Klaus

the VPP test fails with VC9:

13>Testing VPP step condition
13>unknown location(0): fatal error in
"QuantLib::detail::quantlib_test_case(&VPPTest::testVPPPricing)":
Invalid parameter detected by C runtime library
13>c:\projects\quantlib\trunk\quantlib\test-suite\utilities.hpp(78):
last checkpoint

could you please look into it?
Is it ok with gcc?

ciao -- Nando

Re: [Quantlib-dev] Build fail in quantlib/trunk/QuantLib/Examples/BermudanSwaption

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

Hi

outch, that was me fault. Thanks for fixing it!

regards
 Klaus

On Friday 12 August 2011 12:33:09 Luigi Ballabio wrote:
> On Fri, 2011-08-12 at 11:09 +0100, Gary Kennedy wrote:
> > Seems to be a simple header file omitted.
>
> Right.  It should be fixed now.
>
> Thanks,
> 	Luigi

Re: [Quantlib-dev] Build fail in quantlib/trunk/QuantLib/Examples/BermudanSwaption

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

On Fri, 2011-08-12 at 11:09 +0100, Gary Kennedy wrote:
> Seems to be a simple header file omitted.

Right.  It should be fixed now.

Thanks,
	Luigi


-- 

Brady's First Law of Problem Solving: 
When confronted by a difficult problem, you can solve it more 
easily by reducing it to the question, "How would the Lone 
Ranger have handled this?" 

Re: [Quantlib-dev] Build fail in quantlib/trunk/QuantLib/Examples/BermudanSwaption

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

Hi Gary

On Fri, Aug 12, 2011 at 12:09 PM, Gary Kennedy <gar...@gm...> wrote:
> Seems to be a simple header file omitted.
>
> adding this header
>
> #include <ql/experimental/processes/klugeextouprocess.hpp>
>
> to ql/experimental/finitedifferences/fdklugeextousspreadoption.hpp, seems to
> resolve it

right, thank you: I've fixed it on the trunk.
I've actually added the missing header to just
ql\experimental\finitedifferences\fdklugeextouspreadengine.hpp

ciao -- Nando

Re: [Quantlib-dev] Build fail in quantlib/trunk/QuantLib/Examples/BermudanSwaption

[Gary K. <gar...@gm...>]

Seems to be a simple header file omitted.

adding this header

#include <ql/experimental/processes/klugeextouprocess.hpp>

to ql/experimental/finitedifferences/fdklugeextousspreadoption.hpp, seems to
resolve it

gary

On 12 August 2011 10:56, Gary Kennedy <gar...@gm...> wrote:

> Hi,
> I am setting up a build on a new machine using ubuntu 11.04 (64bit)
> I found that one of the examples failed to build.
>
> Gary
>
> make[1]: Leaving directory `/home/gary/quantlib/trunk/QuantLib/Docs'
> Making all in Examples
> make[1]: Entering directory `/home/gary/quantlib/trunk/QuantLib/Examples'
> Making all in BermudanSwaption
> make[2]: Entering directory
> `/home/gary/quantlib/trunk/QuantLib/Examples/BermudanSwaption'
> g++ -DHAVE_CONFIG_H -I. -I../../ql  -I../.. -I../..   -g -O2 -MT
> BermudanSwaption.o -MD -MP -MF .deps/BermudanSwaption.Tpo -c -o
> BermudanSwaption.o BermudanSwaption.cpp
> In file included from ../../ql/experimental/finitedifferences/all.hpp:22:0,
>                  from ../../ql/experimental/all.hpp:13,
>                  from ../../ql/quantlib.hpp:42,
>                  from BermudanSwaption.cpp:22:
> ../../ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp:48:39:
> error: ‘KlugeExtOUProcess’ was not declared in this scope
> ../../ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp:48:56:
> error: template argument 1 is invalid
> ../../ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp:60:33:
> error: ‘KlugeExtOUProcess’ was not declared in this scope
> ../../ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp:60:50:
> error: template argument 1 is invalid
> make[2]: *** [BermudanSwaption.o] Error 1
> make[2]: Leaving directory
> `/home/gary/quantlib/trunk/QuantLib/Examples/BermudanSwaption'
> make[1]: *** [all-recursive] Error 1
> make[1]: Leaving directory `/home/gary/quantlib/trunk/QuantLib/Examples'
> make: *** [all-recursive] Error 1
> gary@kennedy-X200:~/quantlib/trunk/QuantLib$ gcc --version
> gcc (Ubuntu/Linaro 4.5.2-8ubuntu4) 4.5.2
> Copyright (C) 2010 Free Software Foundation, Inc.
> This is free software; see the source for copying conditions.  There is NO
> warranty; not even for MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.
>
> gary@kennedy-X200:~/quantlib/trunk/QuantLib$ uname -a
> Linux kennedy-X200 2.6.38-10-generic #46-Ubuntu SMP Tue Jun 28 15:07:17 UTC
> 2011 x86_64 x86_64 x86_64 GNU/Linux
>
>
>

[Quantlib-dev] Build fail in quantlib/trunk/QuantLib/Examples/BermudanSwaption

[Gary K. <gar...@gm...>]

Hi,
I am setting up a build on a new machine using ubuntu 11.04 (64bit)
I found that one of the examples failed to build.

Gary

make[1]: Leaving directory `/home/gary/quantlib/trunk/QuantLib/Docs'
Making all in Examples
make[1]: Entering directory `/home/gary/quantlib/trunk/QuantLib/Examples'
Making all in BermudanSwaption
make[2]: Entering directory
`/home/gary/quantlib/trunk/QuantLib/Examples/BermudanSwaption'
g++ -DHAVE_CONFIG_H -I. -I../../ql  -I../.. -I../..   -g -O2 -MT
BermudanSwaption.o -MD -MP -MF .deps/BermudanSwaption.Tpo -c -o
BermudanSwaption.o BermudanSwaption.cpp
In file included from ../../ql/experimental/finitedifferences/all.hpp:22:0,
                 from ../../ql/experimental/all.hpp:13,
                 from ../../ql/quantlib.hpp:42,
                 from BermudanSwaption.cpp:22:
../../ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp:48:39:
error: ‘KlugeExtOUProcess’ was not declared in this scope
../../ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp:48:56:
error: template argument 1 is invalid
../../ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp:60:33:
error: ‘KlugeExtOUProcess’ was not declared in this scope
../../ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp:60:50:
error: template argument 1 is invalid
make[2]: *** [BermudanSwaption.o] Error 1
make[2]: Leaving directory
`/home/gary/quantlib/trunk/QuantLib/Examples/BermudanSwaption'
make[1]: *** [all-recursive] Error 1
make[1]: Leaving directory `/home/gary/quantlib/trunk/QuantLib/Examples'
make: *** [all-recursive] Error 1
gary@kennedy-X200:~/quantlib/trunk/QuantLib$ gcc --version
gcc (Ubuntu/Linaro 4.5.2-8ubuntu4) 4.5.2
Copyright (C) 2010 Free Software Foundation, Inc.
This is free software; see the source for copying conditions.  There is NO
warranty; not even for MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.

gary@kennedy-X200:~/quantlib/trunk/QuantLib$ uname -a
Linux kennedy-X200 2.6.38-10-generic #46-Ubuntu SMP Tue Jun 28 15:07:17 UTC
2011 x86_64 x86_64 x86_64 GNU/Linux

Re: [Quantlib-dev] error message in testing QuantLib 1.1

[Yuxi <wan...@ho...>]

Hi, Dennis

Were you able to solve this problem? I encounter the same problem as you do
and still stuck on this. 

[Quantlib-dev] [ quantlib-Patches-3140878 ] SWIG, calendars.i, added name(), added BespokeCalendar

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

Patches item #3140878, was opened at 2010-12-20 18:04
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3140878&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
>Status: Closed
>Resolution: Accepted
Priority: 5
Private: No
Submitted By: hheck (hheck)
Assigned to: Nobody/Anonymous (nobody)
Summary: SWIG, calendars.i, added name(), added BespokeCalendar

Initial Comment:
Additions to QuantLib-SWIG/SWIG/calendars.i:
+exposed Calendar::name() via SWIG
+exposed BespokeCalendar via SWIG


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

Comment By: Luigi Ballabio (lballabio)
Date: 2011-08-03 12:04

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


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3140878&group_id=12740

[Quantlib-dev] [ quantlib-Patches-3138030 ] SWIG, Coupon methods exposed + CashFlow casting

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

Patches item #3138030, was opened at 2010-12-15 17:47
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3138030&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
>Status: Closed
>Resolution: Accepted
Priority: 5
Private: No
Submitted By: hheck (hheck)
Assigned to: Nobody/Anonymous (nobody)
Summary: SWIG, Coupon methods exposed + CashFlow casting

Initial Comment:
expose more methods of FixedRateCoupon, FloatingRateCoupon and IborCoupon via the SWIG interface;
add static casting methods to cast CashFlow to the above mentioned classes via SWIG interface

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

Comment By: Luigi Ballabio (lballabio)
Date: 2011-08-03 12:04

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


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3138030&group_id=12740

[Quantlib-dev] [ quantlib-Patches-3135930 ] calendar files for france

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

Patches item #3135930, was opened at 2010-12-12 15:22
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3135930&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: Rejected
Priority: 5
Private: No
Submitted By: tallent_e (tallent_e)
Assigned to: Nobody/Anonymous (nobody)
Summary: calendar files for france

Initial Comment:
these are the france.hpp , france,cpp and Makefilediff.am files to be added to Quantlib-1.0.1\QuantLib\ql\time\calendars
and the calendarsdiff.i file to be include in the Quantlib-1.0.1\QuantLib-SWIG\SWIG directory

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2011-08-03 09:44

Message:
The holidays in the attached code are those of the TARGET calendar, not the
French public holidays.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3135930&group_id=12740

[Quantlib-dev] [ quantlib-Patches-3161158 ] Added missing body for MakeSwaption member function

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

Patches item #3161158, was opened at 2011-01-18 21:55
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3161158&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
>Status: Closed
>Resolution: Accepted
Priority: 5
Private: No
Submitted By: Leon Sit ()
Assigned to: Nobody/Anonymous (nobody)
Summary: Added missing body for MakeSwaption member function

Initial Comment:
Added missing body for MakeSwaption member function

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

Comment By: Luigi Ballabio (lballabio)
Date: 2011-08-02 14:29

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


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3161158&group_id=12740

Re: [Quantlib-dev] callable floating rate note

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

On Sat, 2011-07-23 at 08:49 -0700, adam99 wrote:
> Is there a coverage for American callable floating rate note in Quantlib? I
> am primarily interested in pricing with single factor HW.

We have callable fixed-rate note in <ql/experimental/callablebonds>, but
not floating-rate.  If you want to give it a try, you could look at the
way the floating-rate leg is computed in the DiscretizedSwap class
(<ql/pricingengines/swap/discretizedswap.hpp>.)  You could do something
similar and add the redemption.  A harder problem would be to include
credit risk; you'd probably need two HW trees with the same structure
(one for forecasting, the other including credit for discounting.)

Luigi


-- 

Hofstadter's Law: 
It always takes longer than you expect, even when you take 
Hofstadter's Law into account. 

[Quantlib-dev] [ quantlib-Bugs-3366336 ] Error in Svensson Fitting Formula

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

Bugs item #3366336, was opened at 2011-07-13 22:42
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3366336&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
>Status: Closed
>Resolution: Fixed
Priority: 5
Private: No
Submitted By: Wasi (wasix)
Assigned to: Nobody/Anonymous (nobody)
Summary: Error in Svensson Fitting Formula

Initial Comment:
The zerorate calculation of the svensson discount function has an error:

109	        Real zeroRate = x[0] + (x[1] + x[2])*
110	                        (1.0 - std::exp(-kappa*t))/
111	                        ((kappa+QL_EPSILON)*(t+QL_EPSILON)) -
112	                        (x[2])*std::exp(-kappa*t) +
113	                        x[3]* (((1.0 - std::exp(-kappa*t))/((kappa_1+QL_EPSILON)*(t+QL_EPSILON)))- std::exp(-kappa_1*t));

in line 113 kappa is used instead of kappa_1

correct is this:
109	        Real zeroRate = x[0] + (x[1] + x[2])*
110	                        (1.0 - std::exp(-kappa*t))/
111	                        ((kappa+QL_EPSILON)*(t+QL_EPSILON)) -
112	                        (x[2])*std::exp(-kappa*t) +
113	                        x[3]* (((1.0 - std::exp(-kappa_1*t))/((kappa_1+QL_EPSILON)*(t+QL_EPSILON)))- std::exp(-kappa_1*t));



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

Comment By: Luigi Ballabio (lballabio)
Date: 2011-08-01 14:37

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


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3366336&group_id=12740

[Quantlib-dev] [ quantlib-Patches-3374289 ] Error in Svensson Fitting Formula

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

Patches item #3374289, was opened at 2011-07-22 00:04
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3374289&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
>Status: Closed
>Resolution: Accepted
Priority: 5
Private: No
Submitted By: Rahul Kanchi (rahulkanchi)
Assigned to: Nobody/Anonymous (nobody)
Summary: Error in Svensson Fitting Formula

Initial Comment:
The original Svenssons document is not freely accessible in the web. So, verified the Svensson fitting formula from the doc:http://comisef.eu/files/wps031.pdf and other sources in the web. Corrected the formula in the file: nonlinearfittingmethods.cpp. Also modified the latex formula in nonlinearfittingmethods.hpp for doxygen doc readability.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2011-08-01 14:37

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


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3374289&group_id=12740

Re: [Quantlib-dev] Dangerous constructor in Handle class

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

On Wed, Jul 20, 2011 at 11:05 AM, Luigi Ballabio
<lui...@gm...> wrote:
> On Tue, 2011-07-19 at 18:03 -0400, Irakli Machabeli wrote:
>> What is the purpose of this constructor for the handle class?
>>
>> template <class T>
>> inline Handle<T>::Handle(T* p,bool registerAsObserver)
>> : link_(new Link(boost::shared_ptr<T>(p),registerAsObserver)) {}
>
> I guess it's just a shortcut to avoid declaring the boost shared pointer
> explicitly.  It's not much more dangerous than the shared_ptr
> constructor (you can have the same problem) but I agree that at least it
> should be documented.  I wouldn't remove it, because we're keeping
> backward compatibility with previous releases; but we can mark it as
> deprecated.

done

ciao -- Nando

Re: [Quantlib-dev] test suite fails when run in debug mode but is successful when run in release mode

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

On Fri, Jul 29, 2011 at 5:36 PM, Luigi Ballabio
<lui...@gm...> wrote:
> Although we might have written the
> thing as:
>
> if (d >= discountCurve->referenceDate())
>    results_.startDiscounts[i] = discountCurve_->discount(d);
> else
>    results_.startDiscounts[i] = Null<DiscountFactor>();
>
> instead of:
>
> try {
>    results_.startDiscounts[i] = discountCurve_->discount(d);
> } catch (...) {
>    results_.startDiscounts[i] = Null<DiscountFactor>();
> }
>
> If you want to make the change and check that the test suite still
> works, by all means do (and send me the patch afterwards.)

done

Re: [Quantlib-dev] [Quantlib-users] Option Adjusted Spread

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

On Tue, Jul 26, 2011 at 9:37 PM, peyman nayebvali <pna...@gm...> wrote:
> I was wondering
> there is any function or worksheet available for calculating option adjusted
> spread.

no, unfortunately

Re: [Quantlib-dev] Reg. Contributing

[urun d. <uru...@gm...>]

Note: All following comments may be wrong. I have a very limited and basic
knowledge of finance. I find these topics really interesting and I want to
contribute quantlib.But firstly, I want to know whether my very basic
understanding is right or wrong.

 I am open to any comment even if they are harsh because improving my
understanding and skills is very important for me.I will appreciate your
help very much.

So here are my questions and comments

I did not get what this momentum means exactly? I have only one guess that
is If a a value of "something" is increasing, it will increase some more
time and vice versa. If this is the case I will consider as a memory effect.
Because many of the stochastic models assume that markets are markovnian but
in reality theyare not. The reason that many people are making this
assumption is simple to analyse and it is computationally feasible to make
this kind of simulation studies.

About arbitrage opportunities: I know that ATS systems deal with such cases
and indeed they are succesfull but this means we have a high frequency data.
Also we need to analyse data which contains some delay. Imagine Japaneye yen
- US dollar relation.

On Fri, Jul 29, 2011 at 5:17 PM, Amir Ahmed Ansari
<phd...@ya...>wrote:

> While we wait for the practitioners, let us try and hypothesize what
> exactly someone would be looking for in an algorithmic trading system. I
> happened to read a news story some weeks back and it talked about how
> someone created their own hedge fund company. This guy is a real game
> changer in the algorithmic trading space and one of his key insights was
> that market momentum tends to have a certain inertia. So, this tells us that
> one of the jobs an ATS (algorithmiic trading system) would do is look for
> momentum. Another off the top of the hat requirement is looking for
> arbitrage opportunities. These are particularly relevant for commodities and
> foreign exchange. Does this give anyone more ideas???
>
> *From:* urun dogan <uru...@gm...>
> *To:* Amir Ahmed Ansari <phd...@ya...>
> *Cc:* Kim Kuen Tang <kue...@vo...>; "
> qua...@li..." <qua...@li...>;
> "lui...@gm..." <lui...@gm...>
> *Sent:* Friday, July 29, 2011 7:54 PM
>
> *Subject:* Re: [Quantlib-dev] Reg. Contributing
>
> These are very good points. Actually recently I heard many machine learning
> researchers who were hired from finance industry. I do not know what are
> they doing in jobs. Although I know that in algoritmic trading people use
> some machine learning techniques I have also similar serious concerns that
> are pointed in the previous e-mail. As said before it would be really great
> if some practitoners share their experience and opinions.
> Best regards
> Urun
> On 29 Jul 2011 16:30, "Amir Ahmed Ansari" <phd...@ya...> wrote:
> > I doubt people would be willing to leave the trading of billions of
> dollars to a neural network/SVM whose inputs and outputs they don't fully
> understand. Then again, the way people in the investment management industry
> blindly rely on tools would suggest people can do anything :) It would be
> great to get some insight from an actual practitioner.
> >
> >
> > From: urun dogan <uru...@gm...>
> > To: Kim Kuen Tang <kue...@vo...>
> > Cc: qua...@li...; lui...@gm...
> > Sent: Friday, July 29, 2011 6:57 PM
> > Subject: Re: [Quantlib-dev] Reg. Contributing
> >
> >
> > Dear All;
> >
> >
> >
> >>
> >>>
> >>>
> >>>Hi Kim,
> >>>
> >>>
> >>>>
> >>>>Hi urun,
> >>>>
> >>>>Am 20.07.2011 22:29, schrieb urun dogan:
> >>>>Hi Luigi,
> >>>>>I am a post-doc doctoral researcher in Germany. My
> > main researc focus is machine learning/artificial
> > intelligence techniques. I am a develor of Shark
> > machine learning library.
> > Just my 2 cent.
> >>>>Since you are involved in the development of the shark
> > machine you definitely know how to use machine learning to
> > classify and to predict observations. If this is the case
> > you should try to get involved into designing and
> > implementing (alpha-) strategies for trading and
> > backtesting.
> >>>>
> >>>
> >>>I have significant amount of knowledge on classification,
> > regression and model selection techniques. I made a small
> > research on " (alpha-) strategies for trading and backtesting"
> > . They are quite interesting. Is there a group implementin
> > these techniques in quant-lib?
> > Difficult to say. As far as i know there is nobody planing to implement a
> backtesting framework in quantlib.
> >>
> >>If yes where can I found contact details of members?
> >>If no, should I start by my own?
> >>>
> > Hmmm, i remember seeing a webinar from mathwork showing how to use a
> neural network for risk controlling energy trading.
> >>Perhaps you can try to implement a neural network in ql and use this
> > tool to forecast energy prices.
> >>Just a suggestion.
> >>
> >
> > I have implemented several feedforward neural network methods, recurrent
> neural network methods, support vector machines and so on. I think this line
> of implmentation can be beneficial to some people.
> > I am reading some documents/papers about algorithmic trading and I think
> these methods can be also used in algorithmic trading. To put such kind of
> methods in quantlib is very interesting for me.
> > I have three questions. First one is: Where can I find some data like
> energy trading data or finance data? The second one is ehich methods are the
> state of art nethods for this kind of tasks? The third one is
> > which methods have more priority than others? I mean what are the
> industry requirement? Does quantitative developers/analysers/traders need
> very fast and accurate methods, e.g. Neural networks, conventional
> > linear regression methods or accurate but slow methods e.g SVMs, Gaussian
> Process?
> >
> > Best regards
> > Urun
> >
> >
> >
> >>>>
> >>>>
> >>>>
> >>>>This library is implemented by C++ . I am really interested in
> contributing to quant lib because I find find finsnce chalenging and
> interesting. I am open to implement some machine learning techniques to
> quant lib also it is absolutelly ok for me to implement other things. Is
> there any todo list? Are there any ideas for starting?
> >>>>>Thanks a lot for your help.
> >>>>>Best regards
> >>>>>Ueruen Dogan
> >>>>>On 18 Jul 2011 13:40, "Luigi Ballabio" <lui...@gm...>
> wrote:
> >>>>>
> >>>>>
> >
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> >>>>>
> > _______________________________________________
> > QuantLib-dev mailing list Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> >>>>
> >>>
> >>
> >
> >
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>
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