quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] Quantlib/XL Enhancement to "FittedBondDiscountCurve" and simultaneously fitting "credit spread curves"

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

Michael,
	I'm sorry, did I ever answer to this?

Luigi


On Tue, 2011-07-19 at 14:18 -0700, Anthony S wrote:
> Hi Michael.
> 
> Did this bit of code ever get added to the trunk? If not, I'd certainly like
> to see it - I'm trying to imply an inflation index from inflation-linked
> gilts in QLXL, and the starting point would be a discount curve from normal
> gilts. And I'm new too :)
> 
> Anthony
> 
> 
> Michael Waßmann wrote:
> > 
> > Hi there,
> > 
> > I am using Quantlib for a bit, and I started to develop some enhancements
> > to the library.
> > 
> > As I am new to Quantlib development, I am not sure about the right
> > procedure to supply source code to QuantLib. How and with whom can/should
> > I discuss my solution? Is there anybody who can help me?
> > 
> > These are my topics:
> > 1)
> > I developed a minor enhancement to QL, allowing to use
> > ZeroBonds in class "FittedBondDiscountCurve", furthermore I
> > added the complete "FittedBondDiscountCurve" functionality to
> > QuantlibAddin / XL, to be able to calculate the curve
> > fitting in XL.
> > I would like to provide these enhancement to the project or
> > someone who will review these changes to ensure that they
> > are conform to the coding styles from Quantlib.
> > Can you please let me know how to continue or whom to contact?
> > 
> > 2)
> > Currently I am working on simultaneously fitting credit
> > spread curves based on coporate bonds with different ratings
> > as input.
> > In other words: I am simultaneously  fitting multiple sets of
> > bonds (Fixedratebonds and Zerobonds) for different ratings.
> > For each set of bonds I am calculating the spread on top of
> > a basis curve (e.g. Swapcurve) which will be simultaneously
> > fitted with a simplified Nelson-Siegel method. The fit is
> > done with constraints, so that the resulting curves have the expected
> > behaviour.
> > This functionality is completely available in XL (and QuantLibAddin) as
> > well.
> > Might this be of interest for the QL-project? Please let me
> > know.
> > 
> > Kind regards
> > 
> > Michael
> > 
> > 
> > 
> > 
> > 
> > 
> > ------------------------------------------------------------------------------
> > ThinkGeek and WIRED's GeekDad team up for the Ultimate 
> > GeekDad Father's Day Giveaway. ONE MASSIVE PRIZE to the 
> > lucky parental unit.  See the prize list and enter to win: 
> > http://p.sf.net/sfu/thinkgeek-promo
> > _______________________________________________
> > QuantLib-dev mailing list
> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> > 
> > 
> 

-- 

The shortest way to do many things is to do only one thing at once. 
-- Samuel Smiles 

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

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

On Tue, 2011-07-19 at 21:31 +0100, Rahul Reddy Kanchi wrote:
> It enters a debugger and prompts for continue/break/ignore. But the
> same exception is thrown several times(may be in hundreds). Looks like
> the exception is thrown in checkRange() function. Time variable is -ve
> but we are checking it through QL_REQUIRE(t>0) and thus exception is
> thrown. 

Yes, the exception is expected.  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.)


> Test suite execution in release mode took more than an hour. Is this a
> normal behavior?

It takes around half an hour on my machine (I have two 1.83GHz cores,
but the test suite only uses one.)  I'm using gcc on Linux, but I think
the times on a comparable Windows machine were about the same...

Luigi


-- 

When you break the big laws, you do not get liberty; you do not 
even get anarchy. You get the small laws. 
-- G.K. Chesterton 

Re: [Quantlib-dev] Reg. Contributing

[Amir A. A. <phd...@ya...>]

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:
>>>>> 
>>>>>
> ------------------------------------------------------------------------------
> 10 Tips for Better Web Security
> Learn 10 ways to better secure your business today. Topics covered include:
> Web security, SSL, hacker attacks & Denial of Service (DoS), private keys,
> security Microsoft Exchange, secure Instant Messaging, and much more. http://www.accelacomm.com/jaw/sfnl/114/51426210/ 
>>>>>
> _______________________________________________
> QuantLib-dev mailing list Qua...@li... https://lists.sourceforge.net/lists/listinfo/quantlib-dev 
>>>> 
>>> 
>> 
> 
> ------------------------------------------------------------------------------
> Got Input?   Slashdot Needs You.
> Take our quick survey online.  Come on, we don't ask for help often.
> Plus, you'll get a chance to win $100 to spend on ThinkGeek.
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> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] Reg. Contributing

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

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:
>>>>>
>>>>>
>
------------------------------------------------------------------------------
> 10 Tips for Better Web Security
> Learn 10 ways to better secure your business today. Topics covered
include:
> Web security, SSL, hacker attacks & Denial of Service (DoS), private keys,
> security Microsoft Exchange, secure Instant Messaging, and much more.
http://www.accelacomm.com/jaw/sfnl/114/51426210/
>>>>>
> _______________________________________________
> QuantLib-dev mailing list Qua...@li...
https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>>>
>>>
>>
>
>
------------------------------------------------------------------------------
> Got Input?  Slashdot Needs You.
> Take our quick survey online.  Come on, we don't ask for help often.
> Plus, you'll get a chance to win $100 to spend on ThinkGeek.
> http://p.sf.net/sfu/slashdot-survey
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] Reg. Contributing

[Amir A. A. <phd...@ya...>]

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:
>>>> 
>>>>
------------------------------------------------------------------------------
10 Tips for Better Web Security
Learn 10 ways to better secure your business today. Topics covered include:
Web security, SSL, hacker attacks & Denial of Service (DoS), private keys,
security Microsoft Exchange, secure Instant Messaging, and much more. http://www.accelacomm.com/jaw/sfnl/114/51426210/ 
>>>>
_______________________________________________
QuantLib-dev mailing list Qua...@li... https://lists.sourceforge.net/lists/listinfo/quantlib-dev   
>>>    
>> 
> 

------------------------------------------------------------------------------
Got Input?   Slashdot Needs You.
Take our quick survey online.  Come on, we don't ask for help often.
Plus, you'll get a chance to win $100 to spend on ThinkGeek.
http://p.sf.net/sfu/slashdot-survey
_______________________________________________
QuantLib-dev mailing list
Qua...@li...
https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] Reg. Contributing

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

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:
>>
>>
>> ------------------------------------------------------------------------------
>> 10 Tips for Better Web Security
>> Learn 10 ways to better secure your business today. Topics covered include:
>> Web security, SSL, hacker attacks & Denial of Service (DoS), private keys,
>> security Microsoft Exchange, secure Instant Messaging, and much more.http://www.accelacomm.com/jaw/sfnl/114/51426210/
>>
>>
>> _______________________________________________
>> QuantLib-dev mailing lis...@li...://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
>>
>>
>
>

Re: [Quantlib-dev] Reg. Contributing

[Kim K. T. <kue...@vo...>]

>
>
> 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.

>
> Best regards
> Ürün
>
>
>
>>     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...
>>     <mailto:lui...@gm...>> wrote:
>>
>>
>>     ------------------------------------------------------------------------------
>>     10 Tips for Better Web Security
>>     Learn 10 ways to better secure your business today. Topics covered include:
>>     Web security, SSL, hacker attacks&  Denial of Service (DoS), private keys,
>>     security Microsoft Exchange, secure Instant Messaging, and much more.
>>     http://www.accelacomm.com/jaw/sfnl/114/51426210/
>>
>>
>>     _______________________________________________
>>     QuantLib-dev mailing list
>>     Qua...@li...  <mailto:Qua...@li...>
>>     https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>

Re: [Quantlib-dev] Reg. Contributing

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

On 27 July 2011 at 01:20, urun dogan wrote:
| 
| 
| 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? If yes where can I found contact
| details of members? If no, should I start by my own?

Are you familiar with R ?  

I wrapped parts of QuantLib into RQuantLib a long time ago, extended it a
little more during Google Summer of Code with one student, and am still
maintaining RQuantLib. It could always do with more contributions.  We now
have much nicer interfaces from R to/from C++ using a package Rcpp which grew
out of the initial RQuantLib work. (And it even uses some Boost.Python alike
magic for easy wrapping, though that is not ready for inheritance and all
that).  But I tend to spend so much time with Rcpp and related packages that
I never get back to RQuantLib...

R may be a more suitable environment for classification, regression, model
selections, ... all the way to machine learning. And yes, there is even
interest in Shark which a friend started to wrap for R -- but then that
stopped when the Shark team told us that they were in the middle of a
rewrite. 

Anyway, just a thought for your consideration.

Cheers, Dirk

| 
| Best regards
| rün
| 
| 
| 
| 
| 
| 
|         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:
| 
|         ------------------------------------------------------------------------------
|         10 Tips for Better Web Security
|         Learn 10 ways to better secure your business today. Topics covered include:
|         Web security, SSL, hacker attacks & Denial of Service (DoS), private keys,
|         security Microsoft Exchange, secure Instant Messaging, and much more.
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| 
|         _______________________________________________
|         QuantLib-dev mailing list
|         Qua...@li...
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| 
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Re: [Quantlib-dev] Reg. Contributing

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

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? If yes where can I found contact
details of members? If no, should I start by my own?

Best regards
Ürün


>
>  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:
>
>
> ------------------------------------------------------------------------------
> 10 Tips for Better Web Security
> Learn 10 ways to better secure your business today. Topics covered include:
> Web security, SSL, hacker attacks & Denial of Service (DoS), private keys,
> security Microsoft Exchange, secure Instant Messaging, and much more.http://www.accelacomm.com/jaw/sfnl/114/51426210/
>
>
> _______________________________________________
> QuantLib-dev mailing lis...@li...://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>
>

Re: [Quantlib-dev] Reg. Contributing

[Kim K. T. <kue...@vo...>]

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.

Regards,
Kim

> 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... 
> <mailto:lui...@gm...>> wrote:
>
>
> ------------------------------------------------------------------------------
> 10 Tips for Better Web Security
> Learn 10 ways to better secure your business today. Topics covered include:
> Web security, SSL, hacker attacks&  Denial of Service (DoS), private keys,
> security Microsoft Exchange, secure Instant Messaging, and much more.
> http://www.accelacomm.com/jaw/sfnl/114/51426210/
>
>
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Quantlib-dev] Option Adjusted Spread

[peyman n. <pna...@gm...>]

Hi Quant Lib

Thanks for the amazing add-in you have provided for free. I was wondering
there is any function or worksheet available for calculating option adjusted
spread. Thanks in advance

-- 
Peyman Nayebvali
Masters in Engineering Management Systems
Industrial Engineering and Operations Research
Columbia University
127 East 101st St. Apt #3D
New York, NY 10029
Phone Number: 1 (347) 567 3888
pn...@co...

[Quantlib-dev] callable floating rate note

[adam99 <ada...@gm...>]

Is there a coverage for American callable floating rate note in Quantlib? I
am primarily interested in pricing with single factor HW.

Thanks 
-- 
View this message in context: http://old.nabble.com/callable-floating-rate-note-tp32119970p32119970.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

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

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

Patches item #3374289, was opened at 2011-07-21 23:04
Message generated for change (Tracker Item Submitted) made by rahulkanchi
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: Open
Resolution: None
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.

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

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

Re: [Quantlib-dev] Reg. Contributing

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

Hi all,
	nice to see so much interest.  Unfortunately you'll have to wait a bit
for me to reply properly, as I'm about to go in vacation for a week
without internet access.  Hopefully, when I come back I'll have a few
ideas about what you might do...

Later,
	Luigi



On Thu, 2011-07-21 at 07:49 +0100, Grześ Andruszkiewicz wrote:
> Hi Luigi,
> 
> I guess I am in similar situation here :) Currently I am a PhD student
> in Mathematical Finance, but previously I have been working as a
> software developer for investment banks.
> 
> I would also like to contribute to QuantLib, so that I can get my head
> around the library, learn all the patterns you are using etc.
> 
> Grzegorz
> 
> On 20 July 2011 21:29, urun dogan <uru...@gm...> wrote:
> > 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. 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:
> >
> > ------------------------------------------------------------------------------
> > 10 Tips for Better Web Security
> > Learn 10 ways to better secure your business today. Topics covered include:
> > Web security, SSL, hacker attacks & Denial of Service (DoS), private keys,
> > security Microsoft Exchange, secure Instant Messaging, and much more.
> > http://www.accelacomm.com/jaw/sfnl/114/51426210/
> > _______________________________________________
> > QuantLib-dev mailing list
> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> >
> >

-- 

Debugging is twice as hard as writing the code in the first place. 
Therefore, if you write the code as cleverly as possible, you are, 
by definition, not smart enough to debug it. 
-- Brian W. Kernighan 

Re: [Quantlib-dev] Reg. Contributing

[Grześ A. <gan...@gm...>]

Hi Luigi,

I guess I am in similar situation here :) Currently I am a PhD student
in Mathematical Finance, but previously I have been working as a
software developer for investment banks.

I would also like to contribute to QuantLib, so that I can get my head
around the library, learn all the patterns you are using etc.

Grzegorz

On 20 July 2011 21:29, urun dogan <uru...@gm...> wrote:
> 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. 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:
>
> ------------------------------------------------------------------------------
> 10 Tips for Better Web Security
> Learn 10 ways to better secure your business today. Topics covered include:
> Web security, SSL, hacker attacks & Denial of Service (DoS), private keys,
> security Microsoft Exchange, secure Instant Messaging, and much more.
> http://www.accelacomm.com/jaw/sfnl/114/51426210/
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>

Re: [Quantlib-dev] Reg. Contributing

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

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. 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:

Re: [Quantlib-dev] Reg. Contributing

[<di...@gm...>]

Luigi,

	I am PHD candiate student in science.  I have the similar case with Dexter.
	I have some experience with numerical programming on fortran and Python. I also used some scientific C++ code to do simulation under Linux environment.  I am familiar with solving differential equation numerically,  and know some basics about Monte Carlo. 
	I know C++ main features , but lacks real large project design experience. I also hope I could contribute the Quantlib Project along with improving me working skills. I have already seen a small part of src codes, and it is very organized, and confirm me interest in contributing Quantlib. 

	Best wishes,
Yangpeng

在 Jul 20, 2011，3:50 PM， Dexter Moser 写道：

> Luigi,
> 
> I am a financial student with interest in programming. I have experience with C++. That is the reason i choose to go on with Quantlib. 
> I want to get good with the design patterns, Boost libraries, financial methods.
>  
> 
> Thanks,
> Mounika
> 
> 
> On Mon, Jul 18, 2011 at 7:38 AM, Luigi Ballabio <lui...@gm...> wrote:
> 
> Dexter,
>        apologies for the delay.  I've seen you've been suggested some docs to
> get familiar with the library, so I won't go through it again.  What
> kind of experience do you have?
> 
> Later,
>        Luigi
> 
> 
> On Mon, 2011-07-11 at 11:19 -0400, Dexter Moser wrote:
> > I am new to Quantlib. I have heard a lot about contributing to
> > open-source projects. But i do not have any prior experience.As i will
> > be graduating soon , in order to find a good job, i need to improve my
> > skills and develop unique skills like volunteering in open-source
> > project. I have good knowledge about the financial products and
> > quantitative methods. Having tried the examples, i got interested in
> > contributing to the project.
> >
> >
> > Are there any "To-do" lists according to the difficulty level.
> >
> >
> > or any documents to help the new contributors like me.
> 
> 
> 
> --
> 
> A programming language is low-level when its programs require attention
> to the irrelevant.
> -- Alan Perlis
> 
> 
> 
> ------------------------------------------------------------------------------
> 10 Tips for Better Web Security
> Learn 10 ways to better secure your business today. Topics covered include:
> Web security, SSL, hacker attacks & Denial of Service (DoS), private keys,
> security Microsoft Exchange, secure Instant Messaging, and much more.
> http://www.accelacomm.com/jaw/sfnl/114/51426210/_______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] Reg. Contributing

[Dexter M. <dmo...@gm...>]

Luigi,

I am a financial student with interest in programming. I have experience
with C++. That is the reason i choose to go on with Quantlib.
I want to get good with the design patterns, Boost libraries, financial
methods.


Thanks,
Mounika


On Mon, Jul 18, 2011 at 7:38 AM, Luigi Ballabio <lui...@gm...>wrote:

>
> Dexter,
>        apologies for the delay.  I've seen you've been suggested some docs
> to
> get familiar with the library, so I won't go through it again.  What
> kind of experience do you have?
>
> Later,
>        Luigi
>
>
> On Mon, 2011-07-11 at 11:19 -0400, Dexter Moser wrote:
> > I am new to Quantlib. I have heard a lot about contributing to
> > open-source projects. But i do not have any prior experience.As i will
> > be graduating soon , in order to find a good job, i need to improve my
> > skills and develop unique skills like volunteering in open-source
> > project. I have good knowledge about the financial products and
> > quantitative methods. Having tried the examples, i got interested in
> > contributing to the project.
> >
> >
> > Are there any "To-do" lists according to the difficulty level.
> >
> >
> > or any documents to help the new contributors like me.
>
>
>
> --
>
> A programming language is low-level when its programs require attention
> to the irrelevant.
> -- Alan Perlis
>
>
>

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

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

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.

Luigi



> 
> If you create handle to something that you plan to delete later   or
> even worse to something that is on the stack (like I did by accident)
> implicit boost pointer  passed to Link will try to delete object that is not 
> supposed to be deleted.
> In my case luckily CRT caught invalid heap address.
> 
> Anyway, I commented out this constructor and both Quantlib and test suite 
> compile and run. The only place this constructor is used us in
> fdmbatesop.cpp (under experimental\finitedifference) and existing code can 
> be easily replaced with the following
>    FdmBatesOp::FdmBatesOp(
>                     const boost::shared_ptr<FdmMesher>& mesher,
>                     const boost::shared_ptr<BatesProcess>& batesProcess,
>                     const FdmBoundaryConditionSet& bcSet,
>                     const Size integroIntegrationOrder,
>                     const boost::shared_ptr<FdmQuantoHelper>& quantoHelper)
>     : lambda_(batesProcess->lambda()),
>       delta_ (batesProcess->delta()),
>       nu_    (batesProcess->nu()),
>       m_(std::exp(nu_+0.5*delta_*delta_)-1.0),
>       gaussHermiteIntegration_(integroIntegrationOrder),
>       mesher_(mesher),
>       bcSet_(bcSet),
>       hestonOp_(new FdmHestonOp(mesher,
>            boost::shared_ptr<HestonProcess>(new HestonProcess(
>                batesProcess->riskFreeRate(),
>                Handle<YieldTermStructure>(
>                     boost::shared_ptr<ZeroSpreadedTermStructure>(
>                    new ZeroSpreadedTermStructure(
>                            batesProcess->dividendYield(),
>                            Handle<Quote>(boost::shared_ptr<Quote>(new 
> SimpleQuote(lambda_*m_))),
>                            Continuous, NoFrequency,
>                            batesProcess->dividendYield()->dayCounter()))),
>                batesProcess->s0(),    batesProcess->v0(),
>                batesProcess->kappa(), batesProcess->theta(),
>                batesProcess->sigma(), batesProcess->rho())),
>            quantoHelper)) {
>     }
> 
> I just wrapped new in couple places inside a shared pointers
> 
> 
> ------------------------------------------------------------------------------
> Magic Quadrant for Content-Aware Data Loss Prevention
> Research study explores the data loss prevention market. Includes in-depth
> analysis on the changes within the DLP market, and the criteria used to
> evaluate the strengths and weaknesses of these DLP solutions.
> http://www.accelacomm.com/jaw/sfnl/114/51385063/
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

-- 

Just remember what ol' Jack Burton does when the earth quakes, the 
poison arrows fall from the sky, and the pillars of Heaven shake. Yeah, 
Jack Burton just looks that big old storm right in the eye and says, 
"Give me your best shot. I can take it." 
-- Jack Burton, "Big trouble in Little China" 

[Quantlib-dev] Dangerous constructor in Handle class

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

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)) {}

If you create handle to something that you plan to delete later   or
even worse to something that is on the stack (like I did by accident)
implicit boost pointer  passed to Link will try to delete object that is not 
supposed to be deleted.
In my case luckily CRT caught invalid heap address.

Anyway, I commented out this constructor and both Quantlib and test suite 
compile and run. The only place this constructor is used us in
fdmbatesop.cpp (under experimental\finitedifference) and existing code can 
be easily replaced with the following
   FdmBatesOp::FdmBatesOp(
                    const boost::shared_ptr<FdmMesher>& mesher,
                    const boost::shared_ptr<BatesProcess>& batesProcess,
                    const FdmBoundaryConditionSet& bcSet,
                    const Size integroIntegrationOrder,
                    const boost::shared_ptr<FdmQuantoHelper>& quantoHelper)
    : lambda_(batesProcess->lambda()),
      delta_ (batesProcess->delta()),
      nu_    (batesProcess->nu()),
      m_(std::exp(nu_+0.5*delta_*delta_)-1.0),
      gaussHermiteIntegration_(integroIntegrationOrder),
      mesher_(mesher),
      bcSet_(bcSet),
      hestonOp_(new FdmHestonOp(mesher,
           boost::shared_ptr<HestonProcess>(new HestonProcess(
               batesProcess->riskFreeRate(),
               Handle<YieldTermStructure>(
                    boost::shared_ptr<ZeroSpreadedTermStructure>(
                   new ZeroSpreadedTermStructure(
                           batesProcess->dividendYield(),
                           Handle<Quote>(boost::shared_ptr<Quote>(new 
SimpleQuote(lambda_*m_))),
                           Continuous, NoFrequency,
                           batesProcess->dividendYield()->dayCounter()))),
               batesProcess->s0(),    batesProcess->v0(),
               batesProcess->kappa(), batesProcess->theta(),
               batesProcess->sigma(), batesProcess->rho())),
           quantoHelper)) {
    }

I just wrapped new in couple places inside a shared pointers

Re: [Quantlib-dev] Quantlib/XL Enhancement to "FittedBondDiscountCurve" and simultaneously fitting "credit spread curves"

[Anthony S <ant...@ya...>]

Hi Michael.

Did this bit of code ever get added to the trunk? If not, I'd certainly like
to see it - I'm trying to imply an inflation index from inflation-linked
gilts in QLXL, and the starting point would be a discount curve from normal
gilts. And I'm new too :)

Anthony


Michael Waßmann wrote:
> 
> Hi there,
> 
> I am using Quantlib for a bit, and I started to develop some enhancements
> to the library.
> 
> As I am new to Quantlib development, I am not sure about the right
> procedure to supply source code to QuantLib. How and with whom can/should
> I discuss my solution? Is there anybody who can help me?
> 
> These are my topics:
> 1)
> I developed a minor enhancement to QL, allowing to use
> ZeroBonds in class "FittedBondDiscountCurve", furthermore I
> added the complete "FittedBondDiscountCurve" functionality to
> QuantlibAddin / XL, to be able to calculate the curve
> fitting in XL.
> I would like to provide these enhancement to the project or
> someone who will review these changes to ensure that they
> are conform to the coding styles from Quantlib.
> Can you please let me know how to continue or whom to contact?
> 
> 2)
> Currently I am working on simultaneously fitting credit
> spread curves based on coporate bonds with different ratings
> as input.
> In other words: I am simultaneously  fitting multiple sets of
> bonds (Fixedratebonds and Zerobonds) for different ratings.
> For each set of bonds I am calculating the spread on top of
> a basis curve (e.g. Swapcurve) which will be simultaneously
> fitted with a simplified Nelson-Siegel method. The fit is
> done with constraints, so that the resulting curves have the expected
> behaviour.
> This functionality is completely available in XL (and QuantLibAddin) as
> well.
> Might this be of interest for the QL-project? Please let me
> know.
> 
> Kind regards
> 
> Michael
> 
> 
> 
> 
> 
> 
> ------------------------------------------------------------------------------
> ThinkGeek and WIRED's GeekDad team up for the Ultimate 
> GeekDad Father's Day Giveaway. ONE MASSIVE PRIZE to the 
> lucky parental unit.  See the prize list and enter to win: 
> http://p.sf.net/sfu/thinkgeek-promo
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> 
> 

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View this message in context: http://old.nabble.com/Adding-new-functions-to-blackcalculator-tp20468107p32094908.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

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

[Rahul R. K. <rah...@gm...>]

Hi Luigi,

It enters a debugger and prompts for continue/break/ignore. But the same
exception is thrown several times(may be in hundreds). Looks like the
exception is thrown in checkRange() function. Time variable is -ve but we
are checking it through QL_REQUIRE(t>0) and thus exception is thrown.

Test suite execution in release mode took more than an hour. Is this a
normal behavior?
14>  Tests completed in 1 h 26 m 40 s
14>
14>
14>  Test suite "Master Test Suite" passed with:
14>    1718 assertions out of 1718 passed
14>    475 test cases out of 475 passed
14>


*Exception Stack trace:*
==================
QuantLib-test-suite-vc100-mt-gd.exe!QuantLib::TermStructure::checkRange(double
t, bool extrapolate)  Line 77 + 0xed bytes C++
  QuantLib-test-suite-vc100-mt-gd.exe!QuantLib::YieldTermStructure::discount(double
t, bool extrapolate)  Line 93 C++
  QuantLib-test-suite-vc100-mt-gd.exe!QuantLib::YieldTermStructure::discount(const
QuantLib::Date & d, bool extrapolate)  Line 188 C++
  QuantLib-test-suite-vc100-mt-gd.exe!QuantLib::DiscountingSwapEngine::calculate()
 Line 94 + 0x39 bytes C++
  QuantLib-test-suite-vc100-mt-gd.exe!QuantLib::Instrument::performCalculations()
 Line 168 + 0x26 bytes C++
  QuantLib-test-suite-vc100-mt-gd.exe!QuantLib::LazyObject::calculate()
 Line 140 + 0xf bytes C++
  QuantLib-test-suite-vc100-mt-gd.exe!QuantLib::Instrument::calculate()
 Line 155 C++
  QuantLib-test-suite-vc100-mt-gd.exe!QuantLib::AssetSwap::fairSpread()
 Line 195 + 0xe bytes C++
  QuantLib-test-suite-vc100-mt-gd.exe!AssetSwapTest::testMASWWithGenericBond()
 Line 2059 + 0xb bytes C++
  QuantLib-test-suite-vc100-mt-gd.exe!boost::detail::function::void_function_invoker0<void
(__cdecl*)(void),void>::invoke(boost::detail::function::function_buffer &
function_ptr)  Line 112 + 0x5 bytes C++


Thanks,
Rahul.

On Tue, Jul 19, 2011 at 9:15 AM, Luigi Ballabio <lui...@gm...>wrote:

> On Mon, 2011-07-18 at 22:47 +0100, Rahul Reddy Kanchi wrote:
> > Hi All,
> > I have this wierd problem when running test suite. An exception is
> > thrown when testsuite is run in debug mode. But when run in release
> > mode it is successfull as some of the asserts are skipped in release
> > mode.
>
> No, I don't think it's a skipped assert.  From the stack trace below,
> the exception is thrown at line 94 of
> <ql/pricingengines/swap/discountingengine.cpp>, but it should be caught
> a couple of lines later and execution should continue (as it does in
> release mode.)
>
> When the exception is thrown, does the program stop, or does it just
> enter the debugger? If the latter, do you have the option to continue
> execution, and what happens then?
>
> Luigi
>
>
> > Note: I have checked out latest quantlib using tortoiseSVN and built
> > it. Finally when i ran testsuite, an exception is thrown. Stack trace
> > is attached. Could you please let me know if this a known behavior.
> >
> >
> > Error Message:
> > ==========
> > First-chance exception at 0x763cc83b in
> > QuantLib-test-suite-vc100-mt-gd.exe: Microsoft C++ exception:
> > QuantLib::Error at memory location 0x0017a008..
> >
> >
> > Stack trace is shown below:
> > =====================
> > ThrowException
> > QuantLib-test-suite-vc100-mt-gd.exe!
> > QuantLib::TermStructure::checkRange(double t, bool extrapolate) Line
> > 77
> > QuantLib-test-suite-vc100-mt-gd.exe!
> > QuantLib::YieldTermStructure::discount(double t, bool extrapolate)
> > Line 93
> > QuantLib-test-suite-vc100-mt-gd.exe!
> > QuantLib::YieldTermStructure::discount(const QuantLib::Date &d, bool
> > extrapolate) Line 188
> > QuantLib-test-suite-vc100-mt-gd.exe!
> > QuantLib::DiscountingSwapEngine::calculate() Line 94
> > QuantLib-test-suite-vc100-mt-gd.exe!
> > QuantLib::Instrument::performCalculations() Line 168
> > QuantLib-test-suite-vc100-mt-gd.exe!QuantLib::LazyObject::calculate()
> > Line 140
> > QuantLib-test-suite-vc100-mt-gd.exe!QuantLib::Instrument::calculate()
> > Line 155
> > QuantLib-test-suite-vc100-mt-gd.exe!
> > QuantLib::AssetSwap::fairCleanPrice() Line 221
> > QuantLib-test-suite-vc100-mt-gd.exe!AssetSwapTest::testConsistency()
> > Line 163
> > ......
> > .....
> >
> ------------------------------------------------------------------------------
> > Storage Efficiency Calculator
> > This modeling tool is based on patent-pending intellectual property that
> > has been used successfully in hundreds of IBM storage optimization
> engage-
> > ments, worldwide.  Store less, Store more with what you own, Move data to
> > the right place. Try It Now!
> http://www.accelacomm.com/jaw/sfnl/114/51427378/
> > _______________________________________________ QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
> --
>
> The surest way to make a monkey of a man is to quote him.
> -- Robert Benchley
>
>
>

[Quantlib-dev] [ quantlib-Bugs-3116601 ] Bond Yield calculation for short maturity bonds

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

Bugs item #3116601, was opened at 2010-11-23 15:01
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3116601&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: Pending
Resolution: None
Priority: 5
Private: No
Submitted By: https://www.google.com/accounts ()
Assigned to: Nobody/Anonymous (nobody)
Summary: Bond Yield calculation for short maturity bonds

Initial Comment:
Source file: bond.cpp

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2011-07-19 14:59

Message:
You mean that the settlement should be an additional argument?  That would
not be feasible, since the clean price should be calculated at the same
date.  Also, I'm not sure that you really meant with "when settlement <
maturity date", since the settlement cannot be later than the maturity.  Do
you have some code that reproduces the problem?


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

Comment By: https://www.google.com/accounts ()
Date: 2010-11-23 15:03

Message:
Rate Bond::yield(const DayCounter& dc,
                     Compounding comp,
                     Frequency freq,
                     Real accuracy,
                     Size maxEvaluations) const {
        Real currentNotional = notional(settlementDate());
        if (currentNotional == 0.0)
            return 0.0;

        return BondFunctions::yield(*this, cleanPrice(), dc, comp, freq,
                                    settlementDate(),
                                    accuracy, maxEvaluations);
    }

In the above function:
 Real currentNotional = notional(settlementDate());
should be
 Real currentNotional = notional(settlementDate(settlement));
else it will always return yield=0 if settlement < maturity date. this is
observed for short maturity bonds.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3116601&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-3013290 ] Bug: CMS Swap

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

Bugs item #3013290, was opened at 2010-06-08 17:13
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3013290&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: Pending
Resolution: None
Priority: 5
Private: No
Submitted By: Andre Miemiec (miemiec)
Assigned to: Nobody/Anonymous (nobody)
Summary: Bug: CMS Swap

Initial Comment:
In Version 1.1 the CMS Swap does not work correctly. The problem is located in the constructor 

BlackVanillaOptionPricer::BlackVanillaOptionPricer(Rate forwardValue, 
                                                                                  Date expiryDate, 
                                                                                  const Period& swapTenor, 
                                                                                  const boost::shared_ptr<SwaptionVolatilityStructure>& volatilityStructure ) 


where the member variable smile_ should be initialized with the result from volatilityStructure_->smileSection(expiryDate_, swapTenor_). 
As far as I can see inside the function volatilityStructure_->smileSection(expiryDate_, swapTenor_) everything is constructed correctly.

But as soon as the result is copied into smile_ some of the data are not set.
In particular the variable exerciseTime_ is a huge negative number causing an error later on. 







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

>Comment By: Luigi Ballabio (lballabio)
Date: 2011-07-19 14:50

Message:
Weird.  The result shouldn't even be _copied_ into smile_; only a pointer
to the smile section should be copied.

Do you have some code that reproduces the problem?



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

Comment By: Andre Miemiec (miemiec)
Date: 2010-06-11 13:06

Message:
Even in release mode the results are not convincing. Recomputation of a
cms-swap produces two different results. The cashflow table of the CMS-Leg
is completely wrong.

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

Comment By: Andre Miemiec (miemiec)
Date: 2010-06-10 09:18

Message:
Seems only to appear in Debug Mode (Static XL). 

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3013290&group_id=12740

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

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

On Mon, 2011-07-18 at 22:47 +0100, Rahul Reddy Kanchi wrote:
> Hi All,
> I have this wierd problem when running test suite. An exception is
> thrown when testsuite is run in debug mode. But when run in release
> mode it is successfull as some of the asserts are skipped in release
> mode.

No, I don't think it's a skipped assert.  From the stack trace below,
the exception is thrown at line 94 of
<ql/pricingengines/swap/discountingengine.cpp>, but it should be caught
a couple of lines later and execution should continue (as it does in
release mode.)

When the exception is thrown, does the program stop, or does it just
enter the debugger? If the latter, do you have the option to continue
execution, and what happens then?

Luigi


> Note: I have checked out latest quantlib using tortoiseSVN and built
> it. Finally when i ran testsuite, an exception is thrown. Stack trace
> is attached. Could you please let me know if this a known behavior.
> 
> 
> Error Message:
> ==========
> First-chance exception at 0x763cc83b in
> QuantLib-test-suite-vc100-mt-gd.exe: Microsoft C++ exception:
> QuantLib::Error at memory location 0x0017a008..
> 
> 
> Stack trace is shown below:
> =====================
> ThrowException
> QuantLib-test-suite-vc100-mt-gd.exe!
> QuantLib::TermStructure::checkRange(double t, bool extrapolate) Line
> 77 
> QuantLib-test-suite-vc100-mt-gd.exe!
> QuantLib::YieldTermStructure::discount(double t, bool extrapolate)
> Line 93
> QuantLib-test-suite-vc100-mt-gd.exe!
> QuantLib::YieldTermStructure::discount(const QuantLib::Date &d, bool
> extrapolate) Line 188
> QuantLib-test-suite-vc100-mt-gd.exe!
> QuantLib::DiscountingSwapEngine::calculate() Line 94
> QuantLib-test-suite-vc100-mt-gd.exe!
> QuantLib::Instrument::performCalculations() Line 168
> QuantLib-test-suite-vc100-mt-gd.exe!QuantLib::LazyObject::calculate()
> Line 140
> QuantLib-test-suite-vc100-mt-gd.exe!QuantLib::Instrument::calculate()
> Line 155
> QuantLib-test-suite-vc100-mt-gd.exe!
> QuantLib::AssetSwap::fairCleanPrice() Line 221
> QuantLib-test-suite-vc100-mt-gd.exe!AssetSwapTest::testConsistency()
> Line 163
> ......
> .....
> ------------------------------------------------------------------------------
> Storage Efficiency Calculator
> This modeling tool is based on patent-pending intellectual property that
> has been used successfully in hundreds of IBM storage optimization engage-
> ments, worldwide.  Store less, Store more with what you own, Move data to 
> the right place. Try It Now! http://www.accelacomm.com/jaw/sfnl/114/51427378/
> _______________________________________________ QuantLib-dev mailing list Qua...@li... https://lists.sourceforge.net/lists/listinfo/quantlib-dev

-- 

The surest way to make a monkey of a man is to quote him. 
-- Robert Benchley