quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] Visual Studio 2010 Win64 configuration

[Hong Y. <hy...@ho...>]

Thanks for the information!  Yesterday I updated the source and compiled OK. 
So Linux-compiling is not a problem now.

Also, I mean I am interested in joining quantlib development.  So I am 
following the mailing lists to learn the code for sometime first.  Thanks.

Regards,

Hong Yu



-----Original Message----- 
> I am able to build quantLib-1.1 on Ubuntu-Linux, but haven't fully 
> compiled
> trunk version yet.  How about I join you to study the problem?  Very
> interested.

Ehm, I'm afraid I don't follow.  What problem?

Luigi


-- 

Vin: It's like this fellow I knew in El Paso. One day, he just took
all his clothes off and jumped in a mess of cactus. I asked him that
same question, "Why?"
Calvera: And?
Vin: He said, "It seemed like a good idea at the time."
-- The Magnificent Seven

Re: [Quantlib-dev] Visual Studio 2010 Win64 configuration

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

On Tue, 2011-06-07 at 21:56 +0800, Hong Yu wrote:
> Good news that Linux is supported, too!  I wonder how you work with Visual 
> Studio on windows, since the free VC++ may lack full functionalities, right?

No, the compiler has all the features of the commercial version.  It's
just the IDE that misses some tools.

> I am able to build quantLib-1.1 on Ubuntu-Linux, but haven't fully compiled 
> trunk version yet.  How about I join you to study the problem?  Very 
> interested.

Ehm, I'm afraid I don't follow.  What problem?

Luigi


-- 

Vin: It's like this fellow I knew in El Paso. One day, he just took 
all his clothes off and jumped in a mess of cactus. I asked him that 
same question, "Why?" 
Calvera: And? 
Vin: He said, "It seemed like a good idea at the time." 
-- The Magnificent Seven 

Re: [Quantlib-dev] Visual Studio 2010 Win64 configuration

[Hong Y. <hy...@ho...>]

Good news that Linux is supported, too!  I wonder how you work with Visual 
Studio on windows, since the free VC++ may lack full functionalities, right?

I am able to build quantLib-1.1 on Ubuntu-Linux, but haven't fully compiled 
trunk version yet.  How about I join you to study the problem?  Very 
interested.

Regards,

Hong Yu



-----Original Message----- 
From: Luigi Ballabio
Sent: Tuesday, June 07, 2011 9:40 PM
To: Hong Yu
Cc: qua...@li...
Subject: Re: [Quantlib-dev] Visual Studio 2010 Win64 configuration

On Tue, 2011-06-07 at 21:29 +0800, Hong Yu wrote:
> May I ask what are currently the main development platforms for the 
> project?
> Windows and Mac-OS?  Thanks.

I work mostly on Linux.  Ferdinando works on Windows, but I don't know
which version of Visual C++ he's using these days.

Luigi


-- 

I am extraordinarily patient, provided I get my own way in the end.
-- Margaret Thatcher

Re: [Quantlib-dev] Visual Studio 2010 Win64 configuration

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

On Tue, 2011-06-07 at 21:29 +0800, Hong Yu wrote:
> May I ask what are currently the main development platforms for the project? 
> Windows and Mac-OS?  Thanks.

I work mostly on Linux.  Ferdinando works on Windows, but I don't know
which version of Visual C++ he's using these days.

Luigi


-- 

I am extraordinarily patient, provided I get my own way in the end. 
-- Margaret Thatcher 

Re: [Quantlib-dev] Visual Studio 2010 Win64 configuration

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

On Tue, 2011-06-07 at 07:44 -0500, Kakhkhor Abdijalilov wrote:
> It is not there or I am missing something? As I remember correctly
> Visual Studio 2008 solution did include configuration for Win64.

No, it's not there.  If you can provide a patch, I'll include it.

Thanks,
	Luigi


-- 

Do the right thing. It will gratify some people and astonish the rest. 
-- Mark Twain 

Re: [Quantlib-dev] Visual Studio 2010 Win64 configuration

[Hong Y. <hy...@ho...>]

May I ask what are currently the main development platforms for the project? 
Windows and Mac-OS?  Thanks.

Regards,

Hong Yu



-----Original Message----- 
From: Kakhkhor Abdijalilov
Sent: Tuesday, June 07, 2011 8:44 PM
To: qua...@li...
Subject: [Quantlib-dev] Visual Studio 2010 Win64 configuration

It is not there or I am missing something? As I remember correctly
Visual Studio 2008 solution did include configuration for Win64.

Regards,
Kakhkhor Abdijalilov.

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[Quantlib-dev] Visual Studio 2010 Win64 configuration

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

It is not there or I am missing something? As I remember correctly
Visual Studio 2008 solution did include configuration for Win64.

Regards,
Kakhkhor Abdijalilov.

Re: [Quantlib-dev] List of SWIGged functions

[Bojan N. <bo...@bn...>]

Luigi Ballabio <lui...@gm...> writes:

>> Is there a comprehensive list of what QuantLib functions are  
>> accessible via swig?
>
> No, there is not.  I guess it could be done by running some clever  
> regular expression over the SWIG interface files, but it's not been  
> done as far as I know.

In Python you should be able to just to execute the dir() command on the
SWIG-generated module.

Best,
Bojan

-- 
Bojan Nikolic          ||          http://www.bnikolic.co.uk/ql

Re: [Quantlib-dev] List of SWIGged functions

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

On Jun 7, 2011, at 9:22 AM, Bojan Nikolic wrote:

>
> Luigi Ballabio <lui...@gm...> writes:
>
>>> Is there a comprehensive list of what QuantLib functions are
>>> accessible via swig?
>>
>> No, there is not.  I guess it could be done by running some clever
>> regular expression over the SWIG interface files, but it's not been
>> done as far as I know.
>
> In Python you should be able to just to execute the dir() command on  
> the
> SWIG-generated module.

True. You would get a list of the classes and of the top-level  
functions (not of the methods) but it's a start.  You could go down  
recursively from the list of classes to get the full list.

Luigi

Re: [Quantlib-dev] List of SWIGged functions

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

On Jun 2, 2011, at 7:23 PM, Tawanda Gwena wrote:

> Is there a comprehensive list of what QuantLib functions are  
> accessible via swig?

No, there is not.  I guess it could be done by running some clever  
regular expression over the SWIG interface files, but it's not been  
done as far as I know.

Luigi

[Quantlib-dev] List of SWIGged functions

[Tawanda G. <tg...@gm...>]

Is there a comprehensive list of what QuantLib functions are accessible via swig? 


Sent from my iPhone

[Quantlib-dev] SwaptionVolCube1::recalibration

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

Hi, 

I use the SwaptionVolCube1 class as a basis for an own cube, essentially
replacing the sabr smile section by another one. I noticed when calibrating
the free parameters of the cube (corresponding to beta in case of the
original class) to the cms market using the recalibration() method, these
parameters remain unchanged for swap tenors not involved in calibration
(because not quoted). Although not explicitly tested I assume that this is
also true for the original cube. E.g. (in terms of SwaptionVolCube1) when
the betas for the 2y and 5y underlying are recalibrated, the betas for 3y
and 4y are not updated (linearly interpolated between 2y and 5y). (At least
when using isAtmCalibrated=true, did not try the sparse parameter approach).


Now my questions are:

1. Is the observation correct?
2. Is the behaviour meant like that?

I have a done a modification to my cube in order to have the (from my point
of view) correct behaviour, so if 1=yes, 2=no, I would be happy to translate
it to SwaptionVolCube1 and provide it.

Thanks and regards
Peter  

[Quantlib-dev] [ quantlib-Bugs-3307791 ] g++ complains about mutable variables

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

Bugs item #3307791, was opened at 2011-05-26 12:37
Message generated for change (Tracker Item Submitted) made by benyam
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3307791&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: charas (benyam)
Assigned to: Nobody/Anonymous (nobody)
Summary: g++ complains about mutable variables

Initial Comment:
While building a package for quantlib on  archlinux i got the following warning and error  

reference 'y2_' cannot be declared 'mutable' [-fpermissive]
../ql/math/interpolations/multicubicspline.hpp:277:34: warning: reference 'v_' cannot be declared 'mutable' [-fpermissive]
../ql/math/interpolations/multicubicspline.hpp:336:33: warning: reference 'y2_' cannot be declared 'mutable' [-fpermissive]
../ql/math/interpolations/multicubicspline.hpp:337:34: warning: reference 'v_' cannot be declared 'mutable' [-fpermissive]
../ql/math/interpolations/multicubicspline.hpp:337:39: warning: reference 'v1_' cannot be declared 'mutable' [-fpermissive]
../ql/math/interpolations/multicubicspline.hpp:337:45: warning: reference 'v2_' cannot be declared 'mutable' [-fpermissive]
make[2]: *** [BermudanSwaption.o] Error 1

After compiling with -fpermissive I could get it compiled but the  warnings are still there whenever the compiler encounters 
the mutable variables.

Thanks for Quantlib


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3307791&group_id=12740

[Quantlib-dev] Parallel version of QuantLib (sort of)

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

Dear All,

I implement a parallel C++ template library similar to QuantLib. The
source code and the manual are available from the project's homepage
http://code.google.com/p/qlp/. The library is called QLP -  short for
quantitative library parallel.

At this time only equity Monte-Carlo engines and several analytical
formulas are fully implemented. Work in progress to finish LMM
engines.

One of the main goals was to achieve superior performance by means of
multi-threading and SSE/SSE2 instructions. Another main goal is to
facilitate the development of optimized parallel engines.

According to the preliminary benchmarks of arithmetic Asian engines,
QLP engines run about 50x(number of cores) times faster than similar
engines from QuantLib. On quad core 2.4 GHz platform the speed was
about 4 times slower than the speed achieved with Tesla C1060 GPU.
Tesla timing was taken from the published paper.

The project is still in pre-release state, but there are quite a few
thing that are fully implemented (more or less). These are mainly low
level building blocks: RNGs, inverse  CDF, Brownian Bridge, etc. High
level "stuff" isn't very stable yet. I would appreciate if you
download the source code, give it a try and then let me know your
opinion and suggestions.

The license is GPL3. However, if if anyone decides to port something
into QuantLib I can submit the source code to the QuantLib project.
The GPL3 is required by GSL, but GSL is used for numerical integration
only. QuantLib has its own quadratures. Replacing GSL shouldn't be a
problem.

Regards,
Kakhkhor Abdijalilov.

[Quantlib-dev] Quantlib SWIG 1.1 c# compilation (x64)

[SumitMahajan05 <sum...@ya...>]

I have take the Quantlib 1.1 and QuantLib Swig 1.1. 

Quantlib 1.1 compiled successfully with VS 2008 (x64 build), with exception
of testsuite.
I generated the cs wrapper by running swig.cmd located in
QuantLib-SWIG\CSharp folder.

When I compile Quantlib Swig 1.1 in VS 2008 (x64 build), I get the following
error.

1>.\QuantlibWrapper.cpp(23) : error C2491: 'nQuantlibWrapper' : definition
of dllimport data not allowed
1>.\QuantlibWrapper.cpp(27) : error C2491: 'fnQuantlibWrapper' : definition
of dllimport function not allowed

If I comment the below piece of code in QuantlibWrapper.cpp in NQuantLibc
project, I get the linking error.
fatal error LNK1104: cannot open file 'QuantLib-vc90-mt-s.lib'

// This is an example of an exported variable
QUANTLIBWRAPPER_API int nQuantlibWrapper=0;

// This is an example of an exported function.
QUANTLIBWRAPPER_API int fnQuantlibWrapper(void)
{
return 42;
}

Pls advise.

Thanks in advance. 
-- 
View this message in context: http://old.nabble.com/Quantlib-SWIG-1.1-c--compilation-%28x64%29-tp31694388p31694388.html
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[Quantlib-dev] [ quantlib-Feature Requests-3306959 ] CUDA port

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

Feature Requests item #3306959, was opened at 2011-05-24 16:30
Message generated for change (Tracker Item Submitted) made by miroslav87
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=3306959&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Priority: 5
Private: No
Submitted By: Dominique (miroslav87)
Assigned to: Nobody/Anonymous (nobody)
Summary: CUDA port

Initial Comment:
Hi!

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

Thanks very much

PS: Excuse my poor English!

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

You can respond by visiting: 
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[Quantlib-dev] Exception/Bug in NQuantlib (quantlib SWIG from c#)

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

Has anyone before encountered error similar to the one below?
Any help is greatly appreciated, this is a really nasty bug to find and fix.

System.AccessViolationException was unhandled
  Message=Attempted to read or write protected memory. This is often an 
indication that other memory is corrupt.
  Source=NQuantLib
  StackTrace:
       at QuantLib.NQuantLibcPINVOKE.delete_VanillaSwap(HandleRef jarg1)
       at QuantLib.VanillaSwap.Dispose()
       at QuantLib.VanillaSwap.Finalize()
  InnerException: 

Re: [Quantlib-dev] Candidate tarballs for QuantLib 1.1

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

On Wed, 2011-05-04 at 08:44 -0400, Arthur PHAM wrote:
> I've been trying to run quantlib 1.1 from zip with ruby via swig but i
> get a seg fault when launching the ruby tests on mac os x.
> When i launch the python tests, then everything seems to be ok.
> 
> Am i doing something wrong ?

No, I think you're doing it right.  No idea about the seg fault, though.
I tried it on my Mac and it works, but I'm still on Leopard; versions of
gcc and ruby are

i686-apple-darwin9-gcc-4.0.1 (GCC) 4.0.1 (Apple Inc. build 5493)

ruby 1.8.6 (2009-06-08 patchlevel 369) [universal-darwin9.0]

What's your configuration?

Luigi


-- 

fix, n.,v. 
What one does when a problem has been reported too many times 
to be ignored. 
-- the Jargon file 

Re: [Quantlib-dev] mortgage bond

[<Mi...@SF...>]

Does anyone know if an OAS framework for mortgage product has been developed
in QuanLib?





Btw, if anybody is interested in residential prepayments/OAS calculations
and willing to implement that or is working on that, please contact me and
we can hopefully coordinate. Please note however that we have limited
(almost zero) expertise on that subject.

-- 
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[Quantlib-dev] QuantLibXL_full_vc10 incremental linking limit exceeded

[Don S. <Don...@fs...>]

Hi Eric,
some more feed back on building the QuantLib 1.1 release candidates in
case it helps.
 
Last night I downloaded the latest install set from
http://sourceforge.net/projects/quantlib/files/prerelease/
 
On my Windows XP,  Visual C++ 2010 Express Edition, Boost 1.46.1
platform I built the QuantLibXL_full_vc10 solution. I got the following
error during the linking phase at the end of the:-
 
LINK : fatal error LNK1210: exceeded internal ILK size limit; link with
/INCREMENTAL:NO
 
I resolved this by:-
Opening the Property Pages for the QuantLibXLStatic project.
Expanding the Configuration Properites->Linker->General folder.
Setting the "Enable Increment Linking" property to "No
(/INCREMENTAL:NO)"
 
After that change the build ran to successful completion.
 
I recall Microsoft have a workaround to when the .ilk file exceeds some
limit (something like ~256Mb or ~384Mb) so when I get a moment I'll
implement that workaround and then reinstate incremental linking.
 
Regards Don Stewart
Quantitative Modelling Team
Financial Services Authority
25 The North Colonnade | Canary Wharf | London | E14 5HS
Tel: 020 7066 4778 | Mobile: 07855 482 466
Email: don...@fs...
 
 



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

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

The Financial Services Authority (FSA)
25 The North Colonnade,
Canary Wharf,
London
E14 5HS
United Kingdom

Registered as a Limited Company in England and Wales No.1920623.
Registered Office as above

Switchboard: 020 7066 1000
Web Site: http://www.fsa.gov.uk
*****************************************************************

[Quantlib-dev] QuantLibXL / ObjectHandler 1.1.0 Prerelease Files

[Eric E. <eri...@na...>]

Hi All,

The prerelease files for version 1.1.0 of QuantLibXL, QuantLibAddin,
ObjectHandler and gensrc are available at this link:

http://sourceforge.net/projects/quantlib/files/prerelease/

I'd be grateful to anyone who could spare some time to test the files and let
me know how it goes.

Kind Regards,
Eric

===================================================
Eric Ehlers
nazcatech sprl | Brussels | http://www.nazcatech.be
* Distributed computing for pricing analytics
* Use Microsoft Excel as a client to the Grid

Re: [Quantlib-dev] 'basic_filesystem_error' : is not a member of 'boost::filesystem' error and 'BOOST_FILESYSTEM_VERSION' : macro redefinition warning

[Eric E. <eri...@na...>]

Hi Don,

> I was able to resolve this error by moving the line
>
> #define BOOST_FILESYSTEM_VERSION 2
>
> in ObjectHandler\oh\serializationfactory.cpp above #include
> <boost/filesystem.hpp> as described in
> http://www.boost.org/doc/libs/1_46_1/libs/filesystem/v3/doc/index.htm

I applied the fix to the subversion branch and updated the prerelease  
tarballs.  Many thanks for your feedback.

Regards,
Eric

===================================================
Eric Ehlers
nazcatech sprl | Brussels | http://www.nazcatech.be
* Distributed computing for pricing analytics
* Use Microsoft Excel as a client to the Grid

Re: [Quantlib-dev] Some _vc10.vcxproj and vcxproj.filter files missing from candidate QuantLib 1.1 installation files.

[Eric E. <eri...@na...>]

Hi Don,

> Some of the solutions for Visual C++ 2010 wouldn't open all their
> projects due to missing .vcxproj/.vcxproj.filter files.

I fixed the problem and re-uploaded the offending files.  Sorry for  
the hassle and thanks for the heads up.

Regards,
Eric

===================================================
Eric Ehlers
nazcatech sprl | Brussels | http://www.nazcatech.be
* Distributed computing for pricing analytics
* Use Microsoft Excel as a client to the Grid

[Quantlib-dev] 'basic_filesystem_error' : is not a member of 'boost::filesystem' error and 'BOOST_FILESYSTEM_VERSION' : macro redefinition warning

[Don S. <Don...@fs...>]

Hi Luigi,
I encountered the following error when building QuantLibXL_full_vc10.sln
from the QuantLib 1.1 release candidates ( downloaded from
https://sourceforge.net/projects/quantlib/files/prerelease/) under
Visual C++ 2010/boost 1.46.1.
 
 
warning C4005: 'BOOST_FILESYSTEM_VERSION' : macro redefinition
3>          d:\clib\include\boost_1_46_1\boost\filesystem.hpp(24) : see
previous definition of 'BOOST_FILESYSTEM_VERSION'
3>d:\clib\build\quantlib-1.1.0\objecthandler\oh\serializationfactory.cpp
(198): error C2039: 'basic_filesystem_error' : is not a member of
'boost::filesystem'
3>d:\clib\build\quantlib-1.1.0\objecthandler\oh\serializationfactory.cpp
(198): error C4430: missing type specifier - int assumed. Note: C++ does
not support default-int
3>d:\clib\build\quantlib-1.1.0\objecthandler\oh\serializationfactory.cpp
(198): error C2143: syntax error : missing ',' before '<'
3>d:\clib\build\quantlib-1.1.0\objecthandler\oh\serializationfactory.cpp
(277): error C2784: 'bool boost::regex_match(const
std::basic_string<charT,ST,SA> &,const boost::basic_regex<charT,traits>
&,boost::regex_constants::match_flag_type)' : could not deduce template
argument for 'const std::basic_string<charT,ST,SA> &' from
'boost::filesystem3::path'
3>
d:\clib\include\boost_1_46_1\boost\regex\v4\regex_match.hpp(94) : see
declaration of 'boost::regex_match'
...
 
I was able to resolve this error by moving the line
 
#define BOOST_FILESYSTEM_VERSION 2
 
in ObjectHandler\oh\serializationfactory.cpp above #include
<boost/filesystem.hpp> as described in
http://www.boost.org/doc/libs/1_46_1/libs/filesystem/v3/doc/index.htm
 
 
Regards Don Stewart
Quantitative Modelling Team
Financial Services Authority
25 The North Colonnade | Canary Wharf | London | E14 5HS
Tel: 020 7066 4778 | Mobile: 07855 482 466
Email: don...@fs...



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

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

The Financial Services Authority (FSA)
25 The North Colonnade,
Canary Wharf,
London
E14 5HS
United Kingdom

Registered as a Limited Company in England and Wales No.1920623.
Registered Office as above

Switchboard: 020 7066 1000
Web Site: http://www.fsa.gov.uk
*****************************************************************

Re: [Quantlib-dev] Candidate tarballs for QuantLib 1.1

[Arthur P. <art...@gm...>]

Hi,

Thx for that new release.
I've been trying to run quantlib 1.1 from zip with ruby via swig but i get a seg fault when launching the ruby tests on mac os x.
When i launch the python tests, then everything seems to be ok.

Am i doing something wrong ?

Arthur

MBA:Ruby arthurpham$ ruby setup.rb test
creating Makefile
make: Nothing to be done for `all'.
Testing QuantLib-Ruby 1.1...
Loaded suite QuantLib test suite
Started
Testing date ranges: .
Testing observability of stocks: .
Testing observability of market elements: .
Testing observability of market element handles: .
Testing segment integral: .
Testing 1-D solvers: .
Testing observability of forward-spreaded term structure: ./termstructures.rb:60: [BUG] Segmentation fault
ruby 1.8.7 (2011-02-18 patchlevel 334) [i686-darwin10]

Abort trap



Le 3 mai 2011 à 04:17, Luigi Ballabio a écrit :

> 
> Hi all,
> 	the candidates for QuantLib 1.1 are available at
> <https://sourceforge.net/projects/quantlib/files/prerelease/>.
> We'll be grateful if you can give them a try and report any problems.
> 
> Luigi
> 
> 
> -- 
> 
> Greenspun's Tenth Rule of Programming: 
> Any sufficiently complicated C or Fortran program contains an 
> ad-hoc, informally-specified bug-ridden slow implementation of 
> half of Common Lisp. 
> 
> 
> 
> ------------------------------------------------------------------------------
> WhatsUp Gold - Download Free Network Management Software
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> management toolset available today.  Delivers lowest initial 
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> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
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