quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] qlxl dependencies and object updates

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

Hi Peter,

> 2. If I have a sheet where I construct an object depending on some input
> on the same sheet and these input cells does not change, then the
> version of the object is updated every time I press shift F9. Why is
> that? Excel should think that no recalculation is necessary, i.e. the
> cell should not be dirty in the dependency tree and the version should
> not be updated?

IIRC cell X's dependencies recalculate whenever cell X recalculates,  
whether or not the value in cell X changes.

> 3. The trigger argument in constructors: Is that purely dummy forcing a
> dependency on excel level

Yes.

> 4. Overwrite: I suppose that not specified means true.

Not specified means false.

> When I
> recalculate a sheet very often it slows down until it is not usable any
> more. My workaround is to call the delete all objects - method in the oh
> on a suitable position in the recalculation loop. Then it works fine.
> This looks like objects are not overwritten, but new objects are created
> on every update?

What does ohRepositoryObjectCount() tell you?

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] quantlib asian options

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

I am planning to submit my own implementation to QL. Bug report will follow.

Regards,
Kakhkhor Abdijalilov.

Re: [Quantlib-dev] quantlib asian options

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

Kakhkhor,
	sorry I didn't have time to look at the problem.  Do you mind adding
the issue to the bug tracker so it doesn't get lost?

Thanks,
	Luigi


On Mon, 2011-02-07 at 08:53 -0500, Kakhkhor Abdijalilov wrote:
> 1.0 is running accumulator value and 0 is past fixings. It means that
> only the reaming fixings are for averaging.
> 
> There is something isn't perfectly right in floating strike engine
> implementation.
> 
> These are the steps to reproduce "the bug".
> 
> 1. Set dividend yield to zero. QL and my implementation perfectly agree.
> 
> 2. Increase risk free rate and dividend yield by the same amount. This
> won't affect GBM dynamics. If we compensate for the higher discount
> factor then the prices shouldn't chance. Indeed, my implementation
> gives the same result, but QL gives slightly higher values. The
> difference is negligible (only 4th digits differ) for practical
> purposes, but it indicates that something isn't right, because
> floating strike analytical engine uses exact formula, not
> approximation
> 
> When dividend yield is zero my implementation perfectly agrees with QL.
> 
> Fixed strike prices agree in both cases (the difference only in 14th digit).
> 
> ------------------------------------------------------------------------------
> The modern datacenter depends on network connectivity to access resources
> and provide services. The best practices for maximizing a physical server's
> connectivity to a physical network are well understood - see how these
> rules translate into the virtual world? 
> http://p.sf.net/sfu/oracle-sfdevnlfb
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

-- 

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] error and fix for building quantlib in vc9

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

On Tue, 2011-03-08 at 16:26 -0500, Arthur PHAM wrote:
> Following up on that subject, does quantlib tried to take a look at
> cmake instead of using automake ?
> Cmake is really convenient to handle multi-platform project, allowing
> to generate makefile, but also visual studio projects, or others IDE
> also.

No, we never looked at it.  Would you be willing to give it a try?

Luigi


-- 

All parts should go together without forcing. You must remember that 
the parts you are reassembling were disassembled by you. Therefore, if 
you can't get them together again, there must be a reason. By all 
means, do not use a hammer. 
-- IBM maintenance manual, 1925 

[Quantlib-dev] Code coverage and continuous integration with quantlib

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

Hi all,

For the last couple of days I have been trying to set up a continuous
integration server (hudson/jenkins) on quantlib trunk (both svn and git).

I managed to get for each commit :
    1/ compilation of quantlib (under mac os x server) : report any
compilation errors
    2/ retrieve warnings from gcc
    3/ launch the c++ test suite (i guess performance of each case could be
recorded to get a trend) with code coverage.

You will find below the result of the code coverage report.
In the screenshot you have the folders sorted by decreasing % line coverage.

Also in the coverage report i saw something wierd : The file
rangeaccrual.cpp in the test suite is not launched from
quantlibtestsuite.cpp.

Cheers,

Arthur

Re: [Quantlib-dev] error and fix for building quantlib in vc9

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

Hi All,

I'm quite new to quantlib so please forgive me.
Following up on that subject, does quantlib tried to take a look at cmake instead of using automake ?
Cmake is really convenient to handle multi-platform project, allowing to generate makefile, but also visual studio projects, or others IDE also.
Mysql project just switched from automake to cmake recently.

Arthur

Le 14 févr. 2011 à 16:18, Klaus Spanderen a écrit :

> Hi
> 
> I removed the files two weeks ago. Unfortunately I don't have access to Visual 
> Studio and therefore I didn't remove the files from the vc proj's. 
> 
> regards 
> Klaus
> 
> On Sunday 13 February 2011 11:29:55 manas bhatt wrote:
>> HI,
>> 
>> Since checking out the latest version of quantlib from svn,
>> I was getting the following error while building quantlib in vc9:
>> 
>> 1>fdmhullwhitemesher.cpp
>> 
>> 1>fdmhestonlikesolverfactory.cpp
>> 
>> 1>c1xx : fatal error C1083: Cannot open source file:
>> '.\ql\experimental\finitedifferences\fdmhullwhitemesher.cpp': No such file
>> or directory
>> 
>> 1>c1xx : fatal error C1083: Cannot open source file:
>> '.\ql\experimental\finitedifferences\fdmhestonlikesolverfactory.cpp': No
>> such file or directory
>> 
>> 
>> 
>> After removing the entry of the above files and two of these
>> files : fdmhestonlikesolverfactory.cpp and fdmhestonlikesolverfactory.hpp
>> from the vcproj of vc9, I am able to build the quantlib. Is someone forgot
>> to check in the files or they are not needed. If they are not needed, I am
>> attaching the vc9 proj and sln files for quanltib, please update so that
>> the lib builds correctly,
>> 
>> I have also seen the entries for the 4 files in vc8 proj
>> file. Since I didn’t have vc8 compiler, I am not able to modify the sln
>> files for it.
>> 
>> 
>> 
>> Regards,
>> 
>> Manas
> 
> 
> 
> ------------------------------------------------------------------------------
> The ultimate all-in-one performance toolkit: Intel(R) Parallel Studio XE:
> Pinpoint memory and threading errors before they happen.
> Find and fix more than 250 security defects in the development cycle.
> Locate bottlenecks in serial and parallel code that limit performance.
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> _______________________________________________
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> Qua...@li...
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Re: [Quantlib-dev] Forward declarations

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

On Wed, 2011-02-16 at 20:01 +0000, Bojan Nikolic wrote:
> It seems that a few recently added files to QuantLib trunk have harmless
> but formally incorrect forward declarations of form

Fixed, thanks.

Luigi


-- 

The purpose of abstraction is not to be vague, but to create a new 
semantic level in which one can be absolutely precise. 
-- W.E. Dijkstra 

[Quantlib-dev] OAS for Callables

[qlibuser <fah...@gm...>]

Hi - 

I need to calculate OAS of a callable bond using Quantlib. I've seen some
past posts on this but no one has posted a solution. Has anyone calculated
it using Quantlib, would really appreciate if someone could provide an
example of this.

Thanks.
-- 
View this message in context: http://old.nabble.com/OAS-for-Callables-tp30990191p30990191.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

[Quantlib-dev] Forward declarations

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

Hi,

It seems that a few recently added files to QuantLib trunk have harmless
but formally incorrect forward declarations of form (e.g., in
cpibond.hpp):

namespace QuantLib 
{  
        class QuantLib::Schedule;
}

My compiler simply ignores these and issues a warning. They should be of
form:

namespace QuantLib {  
          class Schedule;
}

i.e., if you need to forward-declare a nested class you need to do 

namespace A {
  namespace B{
     class C;
}
}

But in this case I think the forward declaration are unnecessary.

Best,
Bojan


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

Re: [Quantlib-dev] error and fix for building quantlib in vc9

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

Hi

I removed the files two weeks ago. Unfortunately I don't have access to Visual 
Studio and therefore I didn't remove the files from the vc proj's. 

regards 
 Klaus

On Sunday 13 February 2011 11:29:55 manas bhatt wrote:
> HI,
>
>  Since checking out the latest version of quantlib from svn,
> I was getting the following error while building quantlib in vc9:
>
> 1>fdmhullwhitemesher.cpp
>
> 1>fdmhestonlikesolverfactory.cpp
>
> 1>c1xx : fatal error C1083: Cannot open source file:
> '.\ql\experimental\finitedifferences\fdmhullwhitemesher.cpp': No such file
> or directory
>
> 1>c1xx : fatal error C1083: Cannot open source file:
> '.\ql\experimental\finitedifferences\fdmhestonlikesolverfactory.cpp': No
> such file or directory
>
>
>
> After removing the entry of the above files and two of these
> files : fdmhestonlikesolverfactory.cpp and fdmhestonlikesolverfactory.hpp
> from the vcproj of vc9, I am able to build the quantlib. Is someone forgot
> to check in the files or they are not needed. If they are not needed, I am
> attaching the vc9 proj and sln files for quanltib, please update so that
> the lib builds correctly,
>
> I have also seen the entries for the 4 files in vc8 proj
> file. Since I didn’t have vc8 compiler, I am not able to modify the sln
> files for it.
>
>
>
> Regards,
>
> Manas

[Quantlib-dev] qlxl dependencies and object updates

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

Hi qlxl / excel experts,

can somebody help me with the following questions on qlxl (suppose 
excels automatic calculation is deactivated):

1. There seems to be a difference between a) updating a cell by 
range.calculate b) updating a whole sheet by worksheet.calculate, a) 
being "more reliable" than b). That is, sometimes an update of an object 
does not force the update of another object one of whose arguments is 
the first object using b), but a) will do the trick. Btw a) seems to be 
the same as place the cursor on the cell, press F2 and enter. b) same as 
pressing shift F9. My guess is that a) recalculates the cell no matter, 
if it is "dirty" in excels dependency tree, while b) only recalculates 
if a cell is "dirty". That would however imply that excels dependency 
tree is not fully reliable?

2. If I have a sheet where I construct an object depending on some input 
on the same sheet and these input cells does not change, then the 
version of the object is updated every time I press shift F9. Why is 
that? Excel should think that no recalculation is necessary, i.e. the 
cell should not be dirty in the dependency tree and the version should 
not be updated?

3. The trigger argument in constructors: Is that purely dummy forcing a 
dependency on excel level or is something done with that parameter in 
the object handler?

4. Overwrite: I suppose that not specified means true. When I 
recalculate a sheet very often it slows down until it is not usable any 
more. My workaround is to call the delete all objects - method in the oh 
on a suitable position in the recalculation loop. Then it works fine. 
This looks like objects are not overwritten, but new objects are created 
on every update?

Thanks for any hints
Peter

Re: [Quantlib-dev] Schedule: is this expected?

[Simon I. <Sim...@fs...>]

I'd make it an enumeration rather than a Boolean. If I remember
correctly, there are two forms of end-end convention, one which triggers
if the reference date is the last day of the month and one which
triggers if the reference date is the last working day of the month.

Regardless, an enumeration is more flexible and should always be used in
preference to a Boolean.

Simon


-----Original Message-----
From: Luigi Ballabio [mailto:lui...@gm...] 
Sent: 08 February 2011 08:15
To: Luca Billi
Cc: qua...@li...
Subject: Re: [Quantlib-dev] Schedule: is this expected?

On Tue, 2011-02-08 at 09:12 +0100, Luigi Ballabio wrote:
> End-of-month says that the schedule should generate dates on the last
> business day of the month, and as such overrides business-day
> convention.

In fact, the constructor is probably misleading.  There should be a
Schedule constructor taking conventions, and another one to be used for
end-of-month (which takes no convention, but maybe just a boolean to
specify whether dates should be adjusted.)  Any thoughts?

Luigi


-- 

feature, n: 
A surprising property of a program. Occasionally documented. 
To call a property a feature sometimes means the author did not 
consider that case, and the program makes an unexpected, though 
not necessarily wrong response. See BUG. "That's not a bug, 
it's a feature!" A bug can be changed to a feature by 
documenting it. 



------------------------------------------------------------------------
------
The ultimate all-in-one performance toolkit: Intel(R) Parallel Studio
XE:
Pinpoint memory and threading errors before they happen.
Find and fix more than 250 security defects in the development cycle.
Locate bottlenecks in serial and parallel code that limit performance.
http://p.sf.net/sfu/intel-dev2devfeb
_______________________________________________
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Qua...@li...
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Re: [Quantlib-dev] Schedule: is this expected?

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

On Tue, 2011-02-08 at 09:12 +0100, Luigi Ballabio wrote:
> End-of-month says that the schedule should generate dates on the last
> business day of the month, and as such overrides business-day
> convention.

In fact, the constructor is probably misleading.  There should be a
Schedule constructor taking conventions, and another one to be used for
end-of-month (which takes no convention, but maybe just a boolean to
specify whether dates should be adjusted.)  Any thoughts?

Luigi


-- 

feature, n: 
A surprising property of a program. Occasionally documented. 
To call a property a feature sometimes means the author did not 
consider that case, and the program makes an unexpected, though 
not necessarily wrong response. See BUG. "That's not a bug, 
it's a feature!" A bug can be changed to a feature by 
documenting it. 

Re: [Quantlib-dev] Schedule: is this expected?

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

On Mon, 2011-02-07 at 17:16 -0500, Luca Billi wrote:
> this code:
> 
> Schedule schedule(Date(30, Sep, 2010),
>                             Date(28, Feb, 2011),
>                             1*Months,
>                             TARGET(),
>                             Following,
>                             Following,
>                             DateGeneration::Backward,
>                             true);
> 
> generates these dates:
> 
> 2010-09-30
> 2010-10-29     <----- Here I'd have expected 2010-11-01 instead
> 2010-11-30
> 2010-12-31
> 2011-01-31
> 2011-02-28
> 
> When endOfMonth == true, Following doesn't apply but rather ModifiedFollowing.
> Is this the intended behavior?

End-of-month says that the schedule should generate dates on the last
business day of the month, and as such overrides business-day
convention.

Luigi


-- 

Poets have been mysteriously silent on the subject of cheese. 
-- Gilbert K. Chesterton 

[Quantlib-dev] Schedule: is this expected?

[Luca B. <luc...@gm...>]

Hi,

this code:

Schedule schedule(Date(30, Sep, 2010),
                            Date(28, Feb, 2011),
                            1*Months,
                            TARGET(),
                            Following,
                            Following,
                            DateGeneration::Backward,
                            true);

generates these dates:

2010-09-30
2010-10-29     <----- Here I'd have expected 2010-11-01 instead
2010-11-30
2010-12-31
2011-01-31
2011-02-28

When endOfMonth == true, Following doesn't apply but rather ModifiedFollowing.
Is this the intended behavior?

Luca

Re: [Quantlib-dev] quantlib asian options

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

1.0 is running accumulator value and 0 is past fixings. It means that
only the reaming fixings are for averaging.

There is something isn't perfectly right in floating strike engine
implementation.

These are the steps to reproduce "the bug".

1. Set dividend yield to zero. QL and my implementation perfectly agree.

2. Increase risk free rate and dividend yield by the same amount. This
won't affect GBM dynamics. If we compensate for the higher discount
factor then the prices shouldn't chance. Indeed, my implementation
gives the same result, but QL gives slightly higher values. The
difference is negligible (only 4th digits differ) for practical
purposes, but it indicates that something isn't right, because
floating strike analytical engine uses exact formula, not
approximation

When dividend yield is zero my implementation perfectly agrees with QL.

Fixed strike prices agree in both cases (the difference only in 14th digit).

[Quantlib-dev] Schedule possible (small) bug

[Luca B. <luc...@gm...>]

Hi,

I just bumped into this.
In the Schedule() constructor in ql/time/schedule.cpp, it seems that,
if

rule_ == DateGeneration::Zero;
and
endOfMonth == true;


at line 323:
[...]
if (endOfMonth && calendar.isEndOfMonth(seed)) {
            // adjust to end of month
            if (convention == Unadjusted) {
[...]

the variable "seed" is used without having been initialized.

Luca

Re: [Quantlib-dev] Excel add-in library.

[Keith A. L. <ka...@ka...>]

25.7MB - 1.05MB. :-)

Seriously though, xll is the shortest distance between your C++ code and
Excel. The library lets you hook up functions and classes using a couple of
lines of straight C++ code. There is no automatic code generation or C#
bindings or all the other marvelous things xlw does a great job of doing. I
haven’t tested this in a while, but it should work all the way back to Excel
97, when years had only two digits. 

This is something I've been developing over the past 10 year for use with my
clients. They live in Excel but they also need platform independent code
that can be integrated into their middle and back office system. I've also
been using it for the past couple of years in the derivative securities
course I teach at NYU. Giving a trader an add-in that solves a problem gets
you a front row seat to where the action is. 

Try both and use what works best for you.

-----Original Message-----
From: Arthur PHAM [mailto:art...@gm...] 
Sent: Thursday, February 03, 2011 7:39 PM
To: Keith A. Lewis
Cc: qua...@li...
Subject: Re: [Quantlib-dev] Excel add-in library.

Hi Keith,

What's the difference between xlw (http://xlw.sourceforge.net/) and yours ?
Any support for excel 2003 ?

Arthur

Le 3 févr. 2011 à 13:35, Keith A. Lewis a écrit :

> I thought the Quantlib Excel developers might be interested in 
> http://xll.codeplex.com. The Excel interface to Quantlib is  quite 
> sophisticated and already very well developed, but perhaps if all that 
> is needed is a lightweight one-off wrapper to a couple of Quantlib 
> functions this might come in handy.
> 
> --
> Dear Math,
> 
> I don't want to solve your problems. I have my own problems to solve.
> 
> - Anonymous 4th grader
> 
> 
> ----------------------------------------------------------------------
> -------- 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

Re: [Quantlib-dev] Visual Studio 2010 compilation and link problems

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

On Fri, 2011-02-04 at 16:55 +0000, Alessandro Duci wrote:
> compiling with Visual Studio 2010, both in Debug and in Release mode,
> the quantlib version at the moment in the repository I get the errors:
> 
> 1>c1xx : fatal error C1083: Cannot open source file: 'ql\experimental
> \finitedifferences\fdmhestonlikesolverfactory.cpp': No such file or
> directory
> 1>c1xx : fatal error C1083: Cannot open source file: 'ql\experimental
> \finitedifferences\fdmhullwhitemesher.cpp': No such file or directory

The projects might be out of date.  Instead of trunk, check out
branches/R01010x-branch (from which I'll release 1.1 this month, I
hope.)  It should compile correctly.

Luigi


-- 

Testing can never demonstrate the absence of errors in software, only 
their presence. 
-- W.E. Dijkstra 

[Quantlib-dev] Visual Studio 2010 compilation and link problems

[Alessandro D. <ale...@de...>]

Hallo,

compiling with Visual Studio 2010, both in Debug and in Release mode, the
quantlib version at the moment in the repository I get the errors:

1>c1xx : fatal error C1083: Cannot open source file: 'ql\experimental
\finitedifferences\fdmhestonlikesolverfactory.cpp': No such file or
directory
1>c1xx : fatal error C1083: Cannot open source file: 'ql\experimental
\finitedifferences\fdmhullwhitemesher.cpp': No such file or directory

Exluding the files above from the compilation I can produce the QuantLib
library, but then I get the following LINK errors on testsuite

2>Link:
2>     Creating library bin\QuantLib-test-suite-vc100-mt.lib and object bin
\QuantLib-test-suite-vc100-mt.exp
2>quantlibtestsuite.obj : error LNK2019: unresolved external symbol
"public: static class boost::unit_test::test_suite * __cdecl
SwingOptionTest::suite
(void)" (?suite@SwingOptionTest@@SAPAVtest_suite@unit_test@boost@@XZ)
referenced in function "class boost::unit_test::test_suite * __cdecl
init_unit_test_suite(int,char * *
const)" (?init_unit_test_suite@@YAPAVtest_suite@unit_test@boost@@HQAPAD@Z)
2>quantlibtestsuite.obj : error LNK2019: unresolved external symbol
"public: static class boost::unit_test::test_suite * __cdecl
InflationCPICapFloorTest::suite
(void)" (?suite@InflationCPICapFloorTest@@SAPAVtest_suite@unit_test@boost@@XZ)
 referenced in function "class boost::unit_test::test_suite * __cdecl
init_unit_test_suite(int,char * *
const)" (?init_unit_test_suite@@YAPAVtest_suite@unit_test@boost@@HQAPAD@Z)
2>quantlibtestsuite.obj : error LNK2019: unresolved external symbol
"public: static class boost::unit_test::test_suite * __cdecl
CPISwapTest::suite
(void)" (?suite@CPISwapTest@@SAPAVtest_suite@unit_test@boost@@XZ)
referenced in function "class boost::unit_test::test_suite * __cdecl
init_unit_test_suite(int,char * *
const)" (?init_unit_test_suite@@YAPAVtest_suite@unit_test@boost@@HQAPAD@Z)
2>QuantLib-vc100-mt.lib(fdmhestonsolver.obj) : error LNK2019: unresolved
external symbol "public: double __thiscall
QuantLib::Fdm2DimSolver::interpolateAt(double,double)const
" (?interpolateAt@Fdm2DimSolver@QuantLib@@QBENNN@Z) referenced in function
"public: double __thiscall QuantLib::FdmHestonSolver::valueAt
(double,double)const " (?valueAt@FdmHestonSolver@QuantLib@@QBENNN@Z)
2>QuantLib-vc100-mt.lib(fdmsimple2dbssolver.obj) : error LNK2001:
unresolved external symbol "public: double __thiscall
QuantLib::Fdm2DimSolver::interpolateAt(double,double)const
" (?interpolateAt@Fdm2DimSolver@QuantLib@@QBENNN@Z)
2>QuantLib-vc100-mt.lib(fdm2dblackscholessolver.obj) : error LNK2001:
unresolved external symbol "public: double __thiscall
QuantLib::Fdm2DimSolver::interpolateAt(double,double)const
" (?interpolateAt@Fdm2DimSolver@QuantLib@@QBENNN@Z)
2>QuantLib-vc100-mt.lib(fdmbatessolver.obj) : error LNK2001: unresolved
external symbol "public: double __thiscall
QuantLib::Fdm2DimSolver::interpolateAt(double,double)const
" (?interpolateAt@Fdm2DimSolver@QuantLib@@QBENNN@Z)
2>QuantLib-vc100-mt.lib(fdmhestonsolver.obj) : error LNK2019: unresolved
external symbol "public: double __thiscall
QuantLib::Fdm2DimSolver::derivativeX(double,double)const
" (?derivativeX@Fdm2DimSolver@QuantLib@@QBENNN@Z) referenced in function
"public: double __thiscall QuantLib::FdmHestonSolver::deltaAt
(double,double)const " (?deltaAt@FdmHestonSolver@QuantLib@@QBENNN@Z)
2>QuantLib-vc100-mt.lib(fdm2dblackscholessolver.obj) : error LNK2001:
unresolved external symbol "public: double __thiscall
QuantLib::Fdm2DimSolver::derivativeX(double,double)const
" (?derivativeX@Fdm2DimSolver@QuantLib@@QBENNN@Z)
2>QuantLib-vc100-mt.lib(fdmbatessolver.obj) : error LNK2001: unresolved
external symbol "public: double __thiscall
QuantLib::Fdm2DimSolver::derivativeX(double,double)const
" (?derivativeX@Fdm2DimSolver@QuantLib@@QBENNN@Z)
2>QuantLib-vc100-mt.lib(fdmhestonsolver.obj) : error LNK2019: unresolved
external symbol "public: double __thiscall
QuantLib::Fdm2DimSolver::derivativeXX(double,double)const
" (?derivativeXX@Fdm2DimSolver@QuantLib@@QBENNN@Z) referenced in function
"public: double __thiscall QuantLib::FdmHestonSolver::gammaAt
(double,double)const " (?gammaAt@FdmHestonSolver@QuantLib@@QBENNN@Z)
2>QuantLib-vc100-mt.lib(fdm2dblackscholessolver.obj) : error LNK2001:
unresolved external symbol "public: double __thiscall
QuantLib::Fdm2DimSolver::derivativeXX(double,double)const
" (?derivativeXX@Fdm2DimSolver@QuantLib@@QBENNN@Z)
2>QuantLib-vc100-mt.lib(fdmbatessolver.obj) : error LNK2001: unresolved
external symbol "public: double __thiscall
QuantLib::Fdm2DimSolver::derivativeXX(double,double)const
" (?derivativeXX@Fdm2DimSolver@QuantLib@@QBENNN@Z)
2>QuantLib-vc100-mt.lib(fdmhestonsolver.obj) : error LNK2019: unresolved
external symbol "public: double __thiscall QuantLib::Fdm2DimSolver::thetaAt
(double,double)const " (?thetaAt@Fdm2DimSolver@QuantLib@@QBENNN@Z)
referenced in function "public: double __thiscall
QuantLib::FdmHestonSolver::thetaAt(double,double)const
" (?thetaAt@FdmHestonSolver@QuantLib@@QBENNN@Z)
2>QuantLib-vc100-mt.lib(fdmsimple2dbssolver.obj) : error LNK2001:
unresolved external symbol "public: double __thiscall
QuantLib::Fdm2DimSolver::thetaAt(double,double)const
" (?thetaAt@Fdm2DimSolver@QuantLib@@QBENNN@Z)
2>QuantLib-vc100-mt.lib(fdm2dblackscholessolver.obj) : error LNK2001:
unresolved external symbol "public: double __thiscall
QuantLib::Fdm2DimSolver::thetaAt(double,double)const
" (?thetaAt@Fdm2DimSolver@QuantLib@@QBENNN@Z)
2>QuantLib-vc100-mt.lib(fdmbatessolver.obj) : error LNK2001: unresolved
external symbol "public: double __thiscall QuantLib::Fdm2DimSolver::thetaAt
(double,double)const " (?thetaAt@Fdm2DimSolver@QuantLib@@QBENNN@Z)
2>QuantLib-vc100-mt.lib(fdmhestonsolver.obj) : error LNK2019: unresolved
external symbol "public: __thiscall QuantLib::Fdm2DimSolver::Fdm2DimSolver
(struct QuantLib::FdmSolverDesc const &,struct QuantLib::FdmSchemeDesc
const &,class boost::shared_ptr<class QuantLib::FdmLinearOpComposite> const
&)" (??0Fdm2DimSolver@QuantLib@@QAE@ABUFdmSolverDesc@1@ABUFdmSchemeDesc@1@ABV?$shared_ptr@VFdmLinearOpComposite@QuantLib@@@boost@@@Z)
 referenced in function "protected: virtual void __thiscall
QuantLib::FdmHestonSolver::performCalculations(void)const
" (?performCalculations@FdmHestonSolver@QuantLib@@MBEXXZ)
2>QuantLib-vc100-mt.lib(fdmsimple2dbssolver.obj) : error LNK2001:
unresolved external symbol "public: __thiscall
QuantLib::Fdm2DimSolver::Fdm2DimSolver(struct QuantLib::FdmSolverDesc const
&,struct QuantLib::FdmSchemeDesc const &,class boost::shared_ptr<class
QuantLib::FdmLinearOpComposite> const
&)" (??0Fdm2DimSolver@QuantLib@@QAE@ABUFdmSolverDesc@1@ABUFdmSchemeDesc@1@ABV?$shared_ptr@VFdmLinearOpComposite@QuantLib@@@boost@@@Z)
2>QuantLib-vc100-mt.lib(fdm2dblackscholessolver.obj) : error LNK2001:
unresolved external symbol "public: __thiscall
QuantLib::Fdm2DimSolver::Fdm2DimSolver(struct QuantLib::FdmSolverDesc const
&,struct QuantLib::FdmSchemeDesc const &,class boost::shared_ptr<class
QuantLib::FdmLinearOpComposite> const
&)" (??0Fdm2DimSolver@QuantLib@@QAE@ABUFdmSolverDesc@1@ABUFdmSchemeDesc@1@ABV?$shared_ptr@VFdmLinearOpComposite@QuantLib@@@boost@@@Z)
2>QuantLib-vc100-mt.lib(fdmbatessolver.obj) : error LNK2001: unresolved
external symbol "public: __thiscall QuantLib::Fdm2DimSolver::Fdm2DimSolver
(struct QuantLib::FdmSolverDesc const &,struct QuantLib::FdmSchemeDesc
const &,class boost::shared_ptr<class QuantLib::FdmLinearOpComposite> const
&)" (??0Fdm2DimSolver@QuantLib@@QAE@ABUFdmSolverDesc@1@ABUFdmSchemeDesc@1@ABV?$shared_ptr@VFdmLinearOpComposite@QuantLib@@@boost@@@Z)
2>QuantLib-vc100-mt.lib(fdmhestonsolver.obj) : error LNK2019: unresolved
external symbol "public: double __thiscall
QuantLib::Fdm2DimSolver::derivativeY(double,double)const
" (?derivativeY@Fdm2DimSolver@QuantLib@@QBENNN@Z) referenced in function
"public: double __thiscall QuantLib::FdmHestonSolver::meanVarianceDeltaAt
(double,double)const
" (?meanVarianceDeltaAt@FdmHestonSolver@QuantLib@@QBENNN@Z)
2>QuantLib-vc100-mt.lib(fdm2dblackscholessolver.obj) : error LNK2001:
unresolved external symbol "public: double __thiscall
QuantLib::Fdm2DimSolver::derivativeY(double,double)const
" (?derivativeY@Fdm2DimSolver@QuantLib@@QBENNN@Z)
2>QuantLib-vc100-mt.lib(fdmhestonsolver.obj) : error LNK2019: unresolved
external symbol "public: double __thiscall
QuantLib::Fdm2DimSolver::derivativeXY(double,double)const
" (?derivativeXY@Fdm2DimSolver@QuantLib@@QBENNN@Z) referenced in function
"public: double __thiscall QuantLib::FdmHestonSolver::meanVarianceGammaAt
(double,double)const
" (?meanVarianceGammaAt@FdmHestonSolver@QuantLib@@QBENNN@Z)
2>QuantLib-vc100-mt.lib(fdmhestonsolver.obj) : error LNK2019: unresolved
external symbol "public: double __thiscall
QuantLib::Fdm2DimSolver::derivativeYY(double,double)const
" (?derivativeYY@Fdm2DimSolver@QuantLib@@QBENNN@Z) referenced in function
"public: double __thiscall QuantLib::FdmHestonSolver::meanVarianceGammaAt
(double,double)const
" (?meanVarianceGammaAt@FdmHestonSolver@QuantLib@@QBENNN@Z)
2>QuantLib-vc100-mt.lib(fdm2dblackscholessolver.obj) : error LNK2001:
unresolved external symbol "public: double __thiscall
QuantLib::Fdm2DimSolver::derivativeYY(double,double)const
" (?derivativeYY@Fdm2DimSolver@QuantLib@@QBENNN@Z)
2>QuantLib-vc100-mt.lib(fdhestonhullwhitevanillaengine.obj) : error
LNK2019: unresolved external symbol "public: __thiscall
QuantLib::FdmSimpleProcess1dMesher::FdmSimpleProcess1dMesher(unsigned
int,class boost::shared_ptr<class QuantLib::StochasticProcess1D> const
&,double,unsigned
int,double)" (??0FdmSimpleProcess1dMesher@QuantLib@@QAE@IABV?$shared_ptr@VStochasticProcess1D@QuantLib@@@boost@@NIN@Z)referenced
 in function "public: virtual void __thiscall
QuantLib::FdHestonHullWhiteVanillaEngine::calculate(void)const
" (?calculate@FdHestonHullWhiteVanillaEngine@QuantLib@@UBEXXZ)
2>QuantLib-vc100-mt.lib(fdmhestonhullwhitesolver.obj) : error LNK2019:
unresolved external symbol "public: double __thiscall
QuantLib::Fdm3DimSolver::interpolateAt(double,double,double)const
" (?interpolateAt@Fdm3DimSolver@QuantLib@@QBENNNN@Z) referenced in function
"public: double __thiscall QuantLib::FdmHestonHullWhiteSolver::valueAt
(double,double,double)const
" (?valueAt@FdmHestonHullWhiteSolver@QuantLib@@QBENNNN@Z)
2>QuantLib-vc100-mt.lib(fdmhestonhullwhitesolver.obj) : error LNK2019:
unresolved external symbol "public: double __thiscall
QuantLib::Fdm3DimSolver::thetaAt(double,double,double)const
" (?thetaAt@Fdm3DimSolver@QuantLib@@QBENNNN@Z) referenced in function
"public: double __thiscall QuantLib::FdmHestonHullWhiteSolver::thetaAt
(double,double,double)const
" (?thetaAt@FdmHestonHullWhiteSolver@QuantLib@@QBENNNN@Z)
2>QuantLib-vc100-mt.lib(fdmhestonhullwhitesolver.obj) : error LNK2019:
unresolved external symbol "public: __thiscall
QuantLib::Fdm3DimSolver::Fdm3DimSolver(struct QuantLib::FdmSolverDesc const
&,struct QuantLib::FdmSchemeDesc const &,class boost::shared_ptr<class
QuantLib::FdmLinearOpComposite> const
&)" (??0Fdm3DimSolver@QuantLib@@QAE@ABUFdmSolverDesc@1@ABUFdmSchemeDesc@1@ABV?$shared_ptr@VFdmLinearOpComposite@QuantLib@@@boost@@@Z)
 referenced in function "protected: virtual void __thiscall
QuantLib::FdmHestonHullWhiteSolver::performCalculations(void)const
" (?performCalculations@FdmHestonHullWhiteSolver@QuantLib@@MBEXXZ)
2>bin\QuantLib-test-suite-vc100-mt.exe : fatal error LNK1120: 15 unresolved
externals
2>
2>Build FAILED.
2>
2>Time Elapsed 00:00:02.64
========== Build: 1 succeeded, 1 failed, 0 up-to-date, 0 skipped ==========


This seems to be due to recently added code. Can you please check if
something is missing?
Thanks a lot

Alessandro Duci

Re: [Quantlib-dev] Excel add-in library.

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

Hi Keith,

What's the difference between xlw (http://xlw.sourceforge.net/) and yours ?
Any support for excel 2003 ?

Arthur

Le 3 févr. 2011 à 13:35, Keith A. Lewis a écrit :

> I thought the Quantlib Excel developers might be interested in
> http://xll.codeplex.com. The Excel interface to Quantlib is  quite
> sophisticated and already very well developed, but perhaps if all that is
> needed is a lightweight one-off wrapper to a couple of Quantlib functions
> this might come in handy.
> 
> --  
> Dear Math,
> 
> I don't want to solve your problems. I have my own problems to solve.
> 
> - Anonymous 4th grader
> 
> 
> ------------------------------------------------------------------------------
> 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

Re: [Quantlib-dev] R: Re: R: Re: R: Adding new function to QuantLib XL

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

yes, it is only needed in the qlxl project (both msvc 80 und 90)
Peter

Am 03.02.2011 16:36, schrieb tar...@li...:
> The Peter's advice works perfect for the QLXL project....I didnt need it for
> other QL prj.
>
>> ----Messaggio originale----
>> Da: lui...@gm...
>> Data: 03/02/2011 16.30
>> A: "Peter Caspers"<pca...@vo...>
>> Cc:<qua...@li...>
>> Ogg: Re: [Quantlib-dev] R: Re:  R:  Adding new function to QuantLib XL
>>
>> On Sun, 2011-01-30 at 12:10 +0100, Peter Caspers wrote:
>>> since i use /OPT:NOICF the problem disappeared. perhaps this setting
>>> should be done in the released project files also?
>> Possibly.  Is this needed for the XL project only, or also for all the
>> others?
>>
>> Luigi
>>
>>
>> -- 
>>
>> Skinner's Constant (or Flannagan's Finagling Factor):
>> That quantity which, when multiplied by, divided by, added to,
>> or subtracted from the answer you got, gives you the answer you
>> should have gotten.
>>
>>
>>
>> ------------------------------------------------------------------------------
>> 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
>>
>

[Quantlib-dev] Excel add-in library.

[Keith A. L. <ka...@ka...>]

I thought the Quantlib Excel developers might be interested in
http://xll.codeplex.com. The Excel interface to Quantlib is  quite
sophisticated and already very well developed, but perhaps if all that is
needed is a lightweight one-off wrapper to a couple of Quantlib functions
this might come in handy.

--  
Dear Math,

I don't want to solve your problems. I have my own problems to solve.

- Anonymous 4th grader

[Quantlib-dev] R: Re: R: Re: R: Adding new function to QuantLib XL

[<tar...@li...>]

The Peter's advice works perfect for the QLXL project....I didnt need it for 
other QL prj.

>----Messaggio originale----
>Da: lui...@gm...
>Data: 03/02/2011 16.30
>A: "Peter Caspers"<pca...@vo...>
>Cc: <qua...@li...>
>Ogg: Re: [Quantlib-dev] R: Re:  R:  Adding new function to QuantLib XL
>
>On Sun, 2011-01-30 at 12:10 +0100, Peter Caspers wrote:
>> since i use /OPT:NOICF the problem disappeared. perhaps this setting 
>> should be done in the released project files also?
>
>Possibly.  Is this needed for the XL project only, or also for all the
>others?
>
>Luigi
>
>
>-- 
>
>Skinner's Constant (or Flannagan's Finagling Factor): 
>That quantity which, when multiplied by, divided by, added to, 
>or subtracted from the answer you got, gives you the answer you 
>should have gotten. 
>
>
>

>------------------------------------------------------------------------------
>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
>

Re: [Quantlib-dev] R: Re: R: Adding new function to QuantLib XL

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

On Sun, 2011-01-30 at 12:10 +0100, Peter Caspers wrote:
> since i use /OPT:NOICF the problem disappeared. perhaps this setting 
> should be done in the released project files also?

Possibly.  Is this needed for the XL project only, or also for all the
others?

Luigi


-- 

Skinner's Constant (or Flannagan's Finagling Factor): 
That quantity which, when multiplied by, divided by, added to, 
or subtracted from the answer you got, gives you the answer you 
should have gotten.