quantlib-dev — Discussion of QuantLib development

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

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

Hi Luigi,

On 3 May 2011 at 10:17, Luigi Ballabio wrote:
| 
| 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.

Two thumbs up from here -- a first Debian package built fine, including full
'make check'.  Unfortunately, I forgot to adjust one file-move command so I
have to rebuild this to create the Debian binary I'd upload. But either way
this should go to Debian 'unstable' pretty soon.

And it is very timely as g++-4.6 started to require adding -fpermissive or
else build failure ensured in packages using QuantLib (such as QuantLib-SWIG
or my own RQuantLib).

Thanks as always for all the excellent work on QuantLib.

Dirk


-- 
Gauss once played himself in a zero-sum game and won $50.
                      -- #11 at http://www.gaussfacts.com

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

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

Hi Luigi,
I've downloaded the candidates for QuantLib 1.1 release from
https://sourceforge.net/projects/quantlib/files/prerelease/ and
installed them on my Windows XP platform. That is:-
gensrc-1.1.0.exe
log4cxx-0.10.0d.exe
ObjectHandler-1.1.0.exe
QuantLib-1.1.zip
QuantLibAddin-1.1.0.exe
QuantLibXL-src-1.1.0.exe
 
Some of the solutions for Visual C++ 2010 wouldn't open all their
projects due to missing .vcxproj/.vcxproj.filter files.
The missing files I've noticed so far are:-
 
log4cxx\msvc\apr_vc10.vcxproj
log4cxx\msvc\apr_vc10.vcxproj.filters
log4cxx\msvc\aprutil_vc10.vcxproj
log4cxx\msvc\aprutil_vc10.vcxproj.filters
log4cxx\msvc\log4cxx_vc10.vcxproj
log4cxx\msvc\log4cxx_vc10.vcxproj.filters
QuantLibAddin\QuantLibObjects_vc10.vcxproj
QuantLibAddin\QuantLibObjects_vc10.vcxproj.filters
QuantLibAddin\gensrc\qlgensrc_vc10.vcxproj
QuantLibAddin\gensrc\qlgensrc_vc10.vcxproj.filters
QuantLibXL\qlxl\QuantLibXLDynamic_vc10.vcxproj
QuantLibXL\qlxl\QuantLibXLDynamic_vc10.vcxproj.filters
QuantLibXL\qlxl\QuantLibXLStatic_vc10.vcxproj
QuantLibXL\qlxl\QuantLibXLStatic_vc10.vcxproj.filters
 
There are probably more missing but you get the general idea. 
 
I was able to get the missing  .vcxproj/.vcxproj.filter files from
source forge repository so can correct the situation locally.
 
Regards Don Stewart
don...@fs...



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[Quantlib-dev] Candidate tarballs for QuantLib 1.1

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

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. 

Re: [Quantlib-dev] Creating Visual Studio 2010 installation

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

On Apr 28, 2011, at 9:28 PM, Amir Ahmed Ansari wrote:
> I want to create a set of solution and project files for Visual  
> Studio 2010 (I have the ultimate edition) and contribute this to the  
> project.

Amir,
	thank you, but it's already done.  It's not been released yet, but if  
you'll check out the latest sources from Subversion (see <http://quantlib.org/svn.shtml 
 >) you'll get the VC10 projects.

Luigi

Re: [Quantlib-dev] Creating Visual Studio 2010 installation

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

Sorry, I missed out on the last step: I would then open the solution file in 
Visual Studio 2010 and it would convert the whole hierarchy for me.




________________________________
From: Amir Ahmed Ansari <phd...@ya...>
To: qua...@li...
Sent: Fri, April 29, 2011 12:28:27 AM
Subject: [Quantlib-dev] Creating Visual Studio 2010 installation


Hi All,

I want to create a set of solution and project files for Visual Studio 2010 (I 
have the ultimate edition) and contribute this to the project. The way I see it, 
I can write a small script to find all files which have vc9 in the file name. 
They should be renamed to contain vc10 in the name, and the contents should be 
modified such that each occurrence of v9 is replaced by vc10. Before doing this, 
I just wanted to run this by you all, especially the actual implementers to see 
what they would do to achieve the same. Thanks in advance for any feedback.

Best,

- Amir

[Quantlib-dev] Creating Visual Studio 2010 installation

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

Hi All,

I want to create a set of solution and project files for Visual Studio 2010 (I 
have the ultimate edition) and contribute this to the project. The way I see it, 
I can write a small script to find all files which have vc9 in the file name. 
They should be renamed to contain vc10 in the name, and the contents should be 
modified such that each occurrence of v9 is replaced by vc10. Before doing this, 
I just wanted to run this by you all, especially the actual implementers to see 
what they would do to achieve the same. Thanks in advance for any feedback.

Best,

- Amir

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

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

Hi Alan,

"Fischbein, Alan: C12 (NYK)" <Ala...@C1...> writes:

> Does this mean that even my unmanaged classes cannot reference non-CLR
> supported types in their definition? (as opposed to implementation.)
> Thanks.

I think in standard C++ parlance you mean "in declaration as opposed to
definition". 

The answer (I think) is that you can use non-CLR compatible types only
by having them as incomplete types in your unmanaged class declaration
(i.e., the part that is in the ".h" file). In other words, you forward
declare the non-CLR compatible QuantLib types you wish to use in your
NativeInterestCurve. For example, you can do

class YieldTermStructure;
class NativeInterestCurve
{
        boost::scoped_ptr<YieldTermStructure> TermStructure_; 
};

But note that you can not use boost::shared_ptr there as that requires a
complete type.

Best,
Bojan

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

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

[Fischbein, A. C. (NYK) <Ala...@C1...>]

Hi Bojan,

        Thanks for the reply. I think understand what you're saying, but the problem appears even when my native class uses an nonCLR-supported type in its definition.

For example, I get the warnings if I my native class includes a reference to YieldTermStructure>

For example:
NativeInterestCurve.h:

#include <ql/termstructures/yieldtermstructure.hpp>
class NativeInterestCurve
{
        boost::shared_ptr<YieldTermStructure> TermStructure_; };

And the managed wrapper just references NativeInterestCurve:

ManagedClass.h:

#include NativeInterestCurve.h  // I think the problem is right here.
class ICWrapper
{
        private NativeInterestCurve* crv_;
}

When compiling ManagedClass.cpp, the following 4 warnings are produced with the fix to Observer described earlier: (and the project crashes on startup with BadImageFormatException.):

1>c:\program files (x86)\boost\boost_1_44\boost\thread\win32\thread_primitives.hpp(314): warning C4793: 'boost::detail::win32::interlocked_bit_test_and_set' : function compiled as native :
1>      Found an intrinsic not supported in managed code c:\program files
1>(x86)\boost\boost_1_44\boost\signals2\deconstruct_ptr.hpp(36): warning C4793: 'boost::signals2::detail::do_postconstruct' : function compiled as native :
1>      varargs not supported under /clr
1>c:\program files (x86)\boost\boost_1_44\boost\signals2\deconstruct_ptr.hpp(39): warning C4793: 'boost::signals2::detail::do_predestruct' : function compiled as native :
1>      varargs not supported under /clr
1>ManagedClass.cpp : warning C4793: 'QuantLib::Observer::`vcall'{4}'' : function compiled as native :
1>      non-clrcall vcall thunks must be compiled as native

Does this mean that even my unmanaged classes cannot reference non-CLR supported types in their definition? (as opposed to implementation.) Thanks.


         - Alan

Alan Fischbein, CFA
212-205-6846
C12 Capital Management


Alan Fischbein, CFA
212-205-6846
C12 Capital Management


_____________________________________________
From: Fischbein, Alan: C12 (NYK)
Sent: Thursday, April 21, 2011 3:09 PM
To: 'qua...@li...'
Subject: pure virtual function call in observable update



Hi,

This message is intended as a follow-up to:
 http://old.nabble.com/Issues-with-C--Swig-Bindings%2C-NUnit-and-Settings.instance%28%29.setEvaluationDate%28%29-to30549787.html#a30663710
I am experiencing the same issue as the one reported: random occurrences of "pure virtual function call" in the 'update' method in 'notifyObservers'. I tried the solution suggested by Henner Heck - using his new observable.hpp that uses "enable_shared_from_raw.hpp".
I got that file, and the new shared_ptr.hpp from the trunk referenced by Henner. I also made the changes in his post. Boost and QuantLib compile OK, but when I build my own project (managed C++), I get an array of warnings (though it does build.)
Many like this:
2>c:\program files (x86)\boost\boost_1_44\boost\thread\win32\thread_primitives.hpp(314): warning C4793: 'boost::detail::win32::interlocked_bit_test_and_set' : function compiled as native :
2>      Found an intrinsic not supported in managed code

plus others related to features not supported by clr/managed code.

Plus one these for each source file:
I_EuropeanOption.obj : warning LNK4248: unresolved typeref token (01000024) for 'boost.detail.win32._SECURITY_ATTRIBUTES'; image may not run


though I managed to get rid of these with this: http://exold.com/article/using-boost-with-managed-c

As I mentioned, it does build. The real problem is that when I run my project, I immediately get:
BadImageFormatException: Could not load file or assembly 'Interface.dll' or one of its dependencies.  is not a valid Win32 application. (Exception from HRESULT: 0x800700C1)

Interface.dll is my managed C++ project.

My setup:

Windows XP 64-bit Professional (though all code is compiled for 32-bit / x86)
Visual Studio 2010
Boost 1.44
QuantLib 1.0.1
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

Everything runs fine (except for the occasional 'pure virtual function call') with the original setup - not even any build warnings.

Does anyone have any suggestions on how to proceed? Please let me know if you need more details about my setup.
Thanks.

         - Alan

Alan Fischbein, CFA
212-205-6846
C12 Capital Management




  ________________________________
The information contained herein (the Information) is confidential. By accepting the Information, the recipient (which shall include its directors, partners, officers, employees and representatives) acknowledges that it will use the Information only for information and discussion purposes and not for any other purpose. Any reproduction of this Information, in whole or in part, is prohibited. The recipient further agrees that the Information will not be divulged to any other party without the express written consent of C12 Capital Management LP (C12); provided, however, that the recipient may make any disclosure required by law or requested by a regulator having jurisdiction over the recipient. By accepting delivery of these materials, each recipient hereof agrees to the restrictions set forth in this disclaimer. C12 and its affiliates reserve the right to monitor and archive all email-communications.

The Information has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of any offer to buy or sell any security or participate in a trading strategy. The Information is not intended to be, and shall not be regarded or construed as, recommendations for transactions or investment, financial or other advice of any kind or constitute or imply any commitment whatsoever, including without limitation an offer to purchase, sell or hold any security, investment, loan or other financial product (collectively, an investment) or to enter into or arrange any type of transaction, on the part of C12. Past performance is not necessarily indicative of future results.

Re: [Quantlib-dev] Could you define BOOST_FILESYSTEM_VERSION for basic_filesystem_error backward compatibility?

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

Hi Piter,

Eric will include this fix in the next release.
See the email:

Best regards,
Kim

Hi Kim,

Quoting Kim Kuen Tang <kue...@vo...>:

> The compilation of QLXL together with boost 1.46.1 seems to fail due to
> the refactorization of
>
> boost/filesystem/path.hpp
>
> To overcome this one needs to define a macro
>
> # define BOOST_FILESYSTEM_VERSION 2
>
> at the beginning of the  serializationfactory.cpp file. This will
> redirect the compiler to the correct file.

Big thanks for this fix, it will be included in the next release.

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




Am 25.04.2011 00:05, schrieb Piter Dias:
>
> Guys,
>
> I had to setup my development environment from scratch (hd formatting) 
> and got an error that says basic_filesystem_error is not member 
> of boost::filesystem while compiling QuantLibXL. I believe the problem 
> was on "ohxllib".
>
> This is due to a new default option of Boost 1.46 and upwards. It uses 
> Filesystem library version 3 by default while QuantLib is compatible 
> with version 2.
>
> The issue is easily solved by the code below
>
> #define BOOST_FILESYSTEM_VERSION 2
>
> as explained in 
> http://www.boost.org/doc/libs/1_46_1/libs/filesystem/v3/doc/index.htm.
>
> Perhaps you guys want to add this piece of code somewhere in order to 
> control QuantLib/Boost compatibility.
>
> Regards,
>
> -- 
>
> ------------------------------------------------------------------------
>
> Piter Dias
>
> pit...@pi...
>
> http://www.piterdias.com
>
>
> ------------------------------------------------------------------------------
> Fulfilling the Lean Software Promise
> Lean software platforms are now widely adopted and the benefits have been
> demonstrated beyond question. Learn why your peers are replacing JEE
> containers with lightweight application servers - and what you can gain
> from the move. http://p.sf.net/sfu/vmware-sfemails
>
>
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Quantlib-dev] Could you define BOOST_FILESYSTEM_VERSION for basic_filesystem_error backward compatibility?

[Piter D. <pit...@pi...>]

Guys, 

I had to setup my development environment from scratch (hd
formatting) and got an error that says basic_filesystem_error is not
member of boost::filesystem while compiling QuantLibXL. I believe the
problem was on "ohxllib". 

This is due to a new default option of Boost
1.46 and upwards. It uses Filesystem library version 3 by default while
QuantLib is compatible with version 2. 

The issue is easily solved by
the code below 

#define BOOST_FILESYSTEM_VERSION 2 

as explained in
http://www.boost.org/doc/libs/1_46_1/libs/filesystem/v3/doc/index.htm
[1]. 

Perhaps you guys want to add this piece of code somewhere in
order to control QuantLib/Boost compatibility. 

Regards, 

--


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

Piter
Dias

pit...@pi...

http://www.piterdias.com [2]




Links:
------
[1]
http://www.boost.org/doc/libs/1_46_1/libs/filesystem/v3/doc/index.htm
[2]
http://www.piterdias.com

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

[Fischbein, A. C. (NYK) <Ala...@C1...>]

Hi,

This message is intended as a follow-up to:
 http://old.nabble.com/Issues-with-C--Swig-Bindings%2C-NUnit-and-Settings.instance%28%29.setEvaluationDate%28%29-to30549787.html#a30663710
I am experiencing the same issue as the one reported: random occurrences of "pure virtual function call" in the 'update' method in 'notifyObservers'. I tried the solution suggested by Henner Heck - using his new observable.hpp that uses "enable_shared_from_raw.hpp".
I got that file, and the new shared_ptr.hpp from the trunk referenced by Henner. I also made the changes in his post. Boost and QuantLib compile OK, but when I build my own project (managed C++), I get an array of warnings (though it does build.)
Many like this:
2>c:\program files (x86)\boost\boost_1_44\boost\thread\win32\thread_primitives.hpp(314): warning C4793: 'boost::detail::win32::interlocked_bit_test_and_set' : function compiled as native :
2>      Found an intrinsic not supported in managed code

plus others related to features not supported by clr/managed code.

Plus one these for each source file:
I_EuropeanOption.obj : warning LNK4248: unresolved typeref token (01000024) for 'boost.detail.win32._SECURITY_ATTRIBUTES'; image may not run


though I managed to get rid of these with this: http://exold.com/article/using-boost-with-managed-c

As I mentioned, it does build. The real problem is that when I run my project, I immediately get:
BadImageFormatException: Could not load file or assembly 'Interface.dll' or one of its dependencies.  is not a valid Win32 application. (Exception from HRESULT: 0x800700C1)

Interface.dll is my managed C++ project.

My setup:

Windows XP 64-bit Professional (though all code is compiled for 32-bit / x86)
Visual Studio 2010
Boost 1.44
QuantLib 1.0.1
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

Everything runs fine (except for the occasional 'pure virtual function call') with the original setup - not even any build warnings.

Does anyone have any suggestions on how to proceed? Please let me know if you need more details about my setup.
Thanks.

         - Alan

Alan Fischbein, CFA
212-205-6846
C12 Capital Management




  ________________________________
The information contained herein (the Information) is confidential. By accepting the Information, the recipient (which shall include its directors, partners, officers, employees and representatives) acknowledges that it will use the Information only for information and discussion purposes and not for any other purpose. Any reproduction of this Information, in whole or in part, is prohibited. The recipient further agrees that the Information will not be divulged to any other party without the express written consent of C12 Capital Management LP (C12); provided, however, that the recipient may make any disclosure required by law or requested by a regulator having jurisdiction over the recipient. By accepting delivery of these materials, each recipient hereof agrees to the restrictions set forth in this disclaimer. C12 and its affiliates reserve the right to monitor and archive all email-communications.

The Information has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of any offer to buy or sell any security or participate in a trading strategy. The Information is not intended to be, and shall not be regarded or construed as, recommendations for transactions or investment, financial or other advice of any kind or constitute or imply any commitment whatsoever, including without limitation an offer to purchase, sell or hold any security, investment, loan or other financial product (collectively, an investment) or to enter into or arrange any type of transaction, on the part of C12. Past performance is not necessarily indicative of future results.

Re: [Quantlib-dev] MCVarianceSwap

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

Patrick,
	sorry I didn't manage to get back on this.  May you file it as a bug on
<https://sourceforge.net/tracker/?group_id=12740&atid=112740> so we
don't lose track of it?

Thanks,
	Luigi


On Thu, 2011-02-03 at 16:27 +0100, P. Henaff wrote:
> I'm finding an odd behavior in MCVarianceSwapEngine: the realized
> variance along each path is computed from the process diffusion method,
> and not from the observed variance itself. So, for example, specifying a
> BlackScholes process in the MC engine (as in the test suite) yields - by
> construction - the same realized variance (\sigma^2 (T-t)) for all
> paths. 
> 
> It seems to me that the Integrand definition in MCVarianceSwapEngine
> (lines 317-335) should compute (dS[t]/S[t])^2 along the path, rather
> than simply return the diffusion.
> 
> Can anyone comment on this? Is this intentional?
> 
> Thanks in advance.
> 
> Patrick Hénaff
> 
> 
> 
> ------------------------------------------------------------------------------
> Special Offer-- Download ArcSight Logger for FREE (a $49 USD value)!
> Finally, a world-class log management solution at an even better price-free!
> Download using promo code Free_Logger_4_Dev2Dev. Offer expires 
> February 28th, so secure your free ArcSight Logger TODAY! 
> http://p.sf.net/sfu/arcsight-sfd2d
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

-- 

It is always the best policy to tell the truth, unless, of course, 
you are an exceptionally good liar. 
-- Jerome K. Jerome 

[Quantlib-dev] [ quantlib-Patches-3011676 ] calculate mean/variance using a numerically-stable method

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

Patches item #3011676, was opened at 2010-06-05 00:27
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3011676&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: Pawel  (pawel3)
Assigned to: Nobody/Anonymous (nobody)
Summary: calculate mean/variance using a numerically-stable method

Initial Comment:
patch to IncrementalStatistics that uses a numerically stable method for calculating mean and variance

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

Comment By: SourceForge Robot (sf-robot)
Date: 2011-04-18 17:20

Message:
This Tracker item was closed automatically by the system. It was
previously set to a Pending status, and the original submitter
did not respond within 180 days (the time period specified by
the administrator of this Tracker).

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

Comment By: SourceForge Robot (sf-robot)
Date: 2010-10-20 12:20

Message:
This Tracker item was closed automatically by the system. It was
previously set to a Pending status, and the original submitter
did not respond within 14 days (the time period specified by
the administrator of this Tracker).

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

Comment By: Luigi Ballabio (lballabio)
Date: 2010-09-30 17:43

Message:
A question before I can apply the patch: who owns the copyright of the code
you contributed? Is it you, your employer, your own company...? Posting the
copyright attribution I should use, i.e., something like
    Copyright (C) 2009 Random J. Hacker
or
    Copyright (C) 2009 ACME inc.
would be best.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3011676&group_id=12740

[Quantlib-dev] [ quantlib-Patches-2825951 ] Affine model term structure class

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

Patches item #2825951, was opened at 2009-07-23 14:20
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2825951&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: sk77 (sk-77)
Assigned to: Nobody/Anonymous (nobody)
Summary: Affine model term structure class

Initial Comment:
Affine interest rate models have a nice feature: the prices of discount bonds in the future in some state of the world can be computed analytically. In this way one can quite efficiently recover the complete yield term structure in the future in some particular realisation. It would be nice to have a class derived from YieldTermStructure that implements this functionality. Attached is my implementation proposal. This implementation was developed and tested in VisualC++. To check the correctness of the implementation I have compared the prices of swaptions obtained by tree methods and by Monte-Carlo using this class. The tests were performed with Hull-White and G2 affine models.

Best regards,

Sasha


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

Comment By: SourceForge Robot (sf-robot)
Date: 2011-04-18 17:20

Message:
This Tracker item was closed automatically by the system. It was
previously set to a Pending status, and the original submitter
did not respond within 180 days (the time period specified by
the administrator of this Tracker).

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

Comment By: SourceForge Robot (sf-robot)
Date: 2010-10-20 12:20

Message:
This Tracker item was closed automatically by the system. It was
previously set to a Pending status, and the original submitter
did not respond within 14 days (the time period specified by
the administrator of this Tracker).

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

Comment By: Luigi Ballabio (lballabio)
Date: 2009-09-30 15:30

Message:
A question before I can apply the patch: who owns the copyright of the code
you contributed? Is it you, your employer, your own company...? Posting the
copyright attribution I should use, i.e., something like
    Copyright (C) 2009 Random J. Hacker
or
    Copyright (C) 2009 ACME inc.
would be best.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2825951&group_id=12740

[Quantlib-dev] [ quantlib-Patches-2825951 ] Affine model term structure class

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

Patches item #2825951, was opened at 2009-07-23 12:20
Message generated for change (Comment added) made by sf-robot
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2825951&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: None
Priority: 5
Private: No
Submitted By: sk77 (sk-77)
Assigned to: Nobody/Anonymous (nobody)
Summary: Affine model term structure class

Initial Comment:
Affine interest rate models have a nice feature: the prices of discount bonds in the future in some state of the world can be computed analytically. In this way one can quite efficiently recover the complete yield term structure in the future in some particular realisation. It would be nice to have a class derived from YieldTermStructure that implements this functionality. Attached is my implementation proposal. This implementation was developed and tested in VisualC++. To check the correctness of the implementation I have compared the prices of swaptions obtained by tree methods and by Monte-Carlo using this class. The tests were performed with Hull-White and G2 affine models.

Best regards,

Sasha


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

>Comment By: SourceForge Robot (sf-robot)
Date: 2011-04-18 15:20

Message:
This Tracker item was closed automatically by the system. It was
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Comment By: SourceForge Robot (sf-robot)
Date: 2010-10-20 10:20

Message:
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Comment By: Luigi Ballabio (lballabio)
Date: 2009-09-30 13:30

Message:
A question before I can apply the patch: who owns the copyright of the code
you contributed? Is it you, your employer, your own company...? Posting the
copyright attribution I should use, i.e., something like
    Copyright (C) 2009 Random J. Hacker
or
    Copyright (C) 2009 ACME inc.
would be best.


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[Quantlib-dev] [ quantlib-Patches-3011676 ] calculate mean/variance using a numerically-stable method

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

Patches item #3011676, was opened at 2010-06-04 22:27
Message generated for change (Comment added) made by sf-robot
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Category: None
Group: None
>Status: Closed
Resolution: None
Priority: 5
Private: No
Submitted By: Pawel  (pawel3)
Assigned to: Nobody/Anonymous (nobody)
Summary: calculate mean/variance using a numerically-stable method

Initial Comment:
patch to IncrementalStatistics that uses a numerically stable method for calculating mean and variance

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

>Comment By: SourceForge Robot (sf-robot)
Date: 2011-04-18 15:20

Message:
This Tracker item was closed automatically by the system. It was
previously set to a Pending status, and the original submitter
did not respond within 180 days (the time period specified by
the administrator of this Tracker).

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

Comment By: SourceForge Robot (sf-robot)
Date: 2010-10-20 10:20

Message:
This Tracker item was closed automatically by the system. It was
previously set to a Pending status, and the original submitter
did not respond within 14 days (the time period specified by
the administrator of this Tracker).

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

Comment By: Luigi Ballabio (lballabio)
Date: 2010-09-30 15:43

Message:
A question before I can apply the patch: who owns the copyright of the code
you contributed? Is it you, your employer, your own company...? Posting the
copyright attribution I should use, i.e., something like
    Copyright (C) 2009 Random J. Hacker
or
    Copyright (C) 2009 ACME inc.
would be best.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3011676&group_id=12740

[Quantlib-dev] [ quantlib-Patches-3022766 ] BlackDeltaCalculator

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

Patches item #3022766, was opened at 2010-06-29 12:31
Message generated for change (Settings changed) made by lballabio
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Category: None
Group: None
>Status: Pending
Resolution: None
Priority: 5
Private: No
Submitted By: Dimathematician (dimathematician)
Assigned to: Luigi Ballabio (lballabio)
Summary: BlackDeltaCalculator

Initial Comment:
Added various functions such as the derivatives of all deltas with respect to strike and volatility

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

Comment By: SourceForge Robot (sf-robot)
Date: 2011-04-18 13:20

Message:
This Tracker item was closed automatically by the system. It was
previously set to a Pending status, and the original submitter
did not respond within 180 days (the time period specified by
the administrator of this Tracker).

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

Comment By: SourceForge Robot (sf-robot)
Date: 2010-10-20 12:20

Message:
This Tracker item was closed automatically by the system. It was
previously set to a Pending status, and the original submitter
did not respond within 14 days (the time period specified by
the administrator of this Tracker).

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

Comment By: Luigi Ballabio (lballabio)
Date: 2010-09-29 15:52

Message:
Dimitri,
    sorry, but I can't make sense of the diffs.  In a nutshell, the
problem is:
- you previously contributed a version A of the files;
- I added it to the repository after some changes (formatting, replacing
const Real& with Real, etc.) so the file in ql/experimental/fx is now a
version B;
- you added new features to your original version A, obtaining a version
C;
- finally, you posted here the diffs between B and C.  But those are (C-A)
- (B-A), i.e., an intertwining of your additions with the formatting and
parameter changes.

Now, due to the changes between A and B, we have that on the one hand, the
diffs cover almost the entire file; and on the other hand, if I were to
apply them, I would just obtain C, thus losing the changes between A and B
entirely.

The best thing would be for you to take B from the repository, add the new
features to it, and post new clean diffs.

Thanks,
    Luigi

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

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[Quantlib-dev] [ quantlib-Patches-3022766 ] BlackDeltaCalculator

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

Patches item #3022766, was opened at 2010-06-29 10:31
Message generated for change (Comment added) made by sf-robot
You can respond by visiting: 
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Category: None
Group: None
>Status: Closed
Resolution: None
Priority: 5
Private: No
Submitted By: Dimathematician (dimathematician)
Assigned to: Luigi Ballabio (lballabio)
Summary: BlackDeltaCalculator

Initial Comment:
Added various functions such as the derivatives of all deltas with respect to strike and volatility

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

>Comment By: SourceForge Robot (sf-robot)
Date: 2011-04-18 11:20

Message:
This Tracker item was closed automatically by the system. It was
previously set to a Pending status, and the original submitter
did not respond within 180 days (the time period specified by
the administrator of this Tracker).

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

Comment By: SourceForge Robot (sf-robot)
Date: 2010-10-20 10:20

Message:
This Tracker item was closed automatically by the system. It was
previously set to a Pending status, and the original submitter
did not respond within 14 days (the time period specified by
the administrator of this Tracker).

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

Comment By: Luigi Ballabio (lballabio)
Date: 2010-09-29 13:52

Message:
Dimitri,
    sorry, but I can't make sense of the diffs.  In a nutshell, the
problem is:
- you previously contributed a version A of the files;
- I added it to the repository after some changes (formatting, replacing
const Real& with Real, etc.) so the file in ql/experimental/fx is now a
version B;
- you added new features to your original version A, obtaining a version
C;
- finally, you posted here the diffs between B and C.  But those are (C-A)
- (B-A), i.e., an intertwining of your additions with the formatting and
parameter changes.

Now, due to the changes between A and B, we have that on the one hand, the
diffs cover almost the entire file; and on the other hand, if I were to
apply them, I would just obtain C, thus losing the changes between A and B
entirely.

The best thing would be for you to take B from the repository, add the new
features to it, and post new clean diffs.

Thanks,
    Luigi

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3022766&group_id=12740

Re: [Quantlib-dev] shared_ptr in Error class

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

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

> the compiler (well, gcc at least) will complain that the copy  
> constructor is private at the "throw" line.

All compilers should do the same:

,---- From http://www.open-std.org/jtc1/sc22/open/n2356/except.html
|  When
|   the thrown object is a class object, and the copy constructor used  to
|   initialize  the  temporary copy is not accessible, the program is ill-
|   formed (even when the temporary object could otherwise be eliminated).
|   Similarly,  if  the  destructor for that object is not accessible, the
|   program is ill-formed (even when the temporary object could  otherwise
|   be eliminated).
| 
`----

However, this is not the same as saying that the copy constructor is
actually always invoked because of the following statement

,---- From http://www.open-std.org/jtc1/sc22/open/n2356/except.html
| If the use of the temporary object can be eliminated without
|   changing the meaning of the program except for the execution  of  con-
|   structors  and  destructors  associated  with the use of the temporary
|   object (_class.temporary_), then the exception in the handler  can  be
|   initialized  directly with the argument of the throw expression.
`----

So, in this program the copy constructor is (I believe) not invoked:

#include <iostream>

class Foo {
public:
  Foo() {};
  Foo(const Foo&) 
  {
    std::cout<<"copy ctr"<<std::endl;
  }
private:

};

int main() {
     try 
     {
         
       throw Foo();
     }
     catch (const Foo &f) 
     {
       std::cout<<"in the handler"<<std::endl;
     }
     return 0;
}



Best,
Bojan

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

Re: [Quantlib-dev] shared_ptr in Error class

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

On Apr 10, 2011, at 11:02 AM, Kakhkhor Abdijalilov wrote:
> I think smart pointer is not needed, since exception objects should be
> passed by reference. Following "less is more" principle the shared
> pointer to string could be replaced by a plain string.

They are caught by reference, but thrown by copy.  If you try compiling

class Foo {
   public:
     Foo() {}
   private:
     Foo(const Foo&);
};


int main() {
     try {
         throw Foo();
     catch (Foo&) {}
     return 0;
}

the compiler (well, gcc at least) will complain that the copy  
constructor is private at the "throw" line.

Luigi

Re: [Quantlib-dev] shared_ptr in Error class

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

I think smart pointer is not needed, since exception objects should be
passed by reference. Following "less is more" principle the shared
pointer to string could be replaced by a plain string.
Regards,
Kakhkhor Abdijalilov.

Re: [Quantlib-dev] QL fitted curve has weird shape when transiotioning from Futures to Swap

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

On Apr 8, 2011, at 10:32 PM, Irakli Machabeli wrote:
> Picture is better than thousand words so attached is the curve  
> fitted via QL
> convex monotone (PiecewiseYieldCurve<ForwardRate ,ConvexMonotone>) vs
> bloomberg for the same settle date,  same instruments and  same  
> convexity
> adjustments on futures.
>
> At 4 year period fitting transition from futures to swap and curve  
> has weird
> shape. I tried to add couple of futures closer to 4Y point but that  
> does not
> help.
>
> Question probably goes to  Luigi, what am I missing , is there extra  
> setting
> to preserve the the sign of the second derivative?

Ferdinando is the curve expert here.  Any suggestions?

Luigi

Re: [Quantlib-dev] shared_ptr in Error class

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

On Apr 9, 2011, at 11:16 AM, Kakhkhor Abdijalilov wrote:

> Any particular reason to use boost:shared_ptr to store the error
> message. Just curious.

It was to avoid copying strings when exceptions are passed.  Not for  
performance reasons, but rather to make it less likely that copying an  
exception raises another one.  It would not be likely, but it cost  
little to use the pointer instead.

Luigi

[Quantlib-dev] shared_ptr in Error class

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

Any particular reason to use boost:shared_ptr to store the error
message. Just curious.


Regards,
Kakhkhor Abdijalilov.

[Quantlib-dev] QL fitted curve has weird shape when transiotioning from Futures to Swap

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

Picture is better than thousand words so attached is the curve fitted via QL 
convex monotone (PiecewiseYieldCurve<ForwardRate ,ConvexMonotone>) vs 
bloomberg for the same settle date,  same instruments and  same convexity 
adjustments on futures.

At 4 year period fitting transition from futures to swap and curve has weird 
shape. I tried to add couple of futures closer to 4Y point but that does not 
help.

Question probably goes to  Luigi, what am I missing , is there extra setting 
to preserve the the sign of the second derivative?

Thanks
Irakli