quantlib-dev — Discussion of QuantLib development

[Quantlib-dev] MCVarianceSwap

[P. H. <pat...@ke...>]

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

[Quantlib-dev] Model calibration

[P. H. <pat...@ke...>]

I'm experimenting with the calibration of Heston's model, but would like
to calibrate to bid/ask vol surfaces, with a quadratic penalty outside
the b/a spread. From what I can tell, the CalibrationHelper does not
allow this (it associates 1 Quote to each benchmark instrument). I have
a couple of solutions in mind, and am looking for comments:

- Subclass a BidAskQuote from SimpleQuote, and use that in
CalibrationHelper (my first choice).
- Subclass CalibrationHelper to add Bid/Ask as SimpleQuotes, etc. In
fact, it would be sufficient for CalibrationHelper to accept a list of
Quotes as well as a single Quote.

Thanks in advance

Patrick Hénaff

[Quantlib-dev] MC Engine for dividend options

[<Fra...@bs...>]

Hi all,
In order to develop the MC pricing engine for dividend (barrier) options
(european exercise), I would like to ask where is the best place to
handle the dividend cashflow: in the path pricer of the pricing engine,
or directly in the process, eventually creating new subclasses for the
processes? Or are there any other ways?

Thanks
Francesco

Re: [Quantlib-dev] Fixed periods in a swap

[Henner H. <hen...@tu...>]

There is no such value, though Java offers a "varargs" construct
marked by "ParamType... ParamName" in the parameter list, which
can represent any number of arguments of the given type.

http://download.oracle.com/javase/tutorial/java/javaOO/arguments.html

Maybe it can be used in combination with SWIG varargs?

http://www.swig.org/Doc2.0/Varargs.html#Varargs_nn4


Best regards,
Henner Heck






Am 01.02.2011, 16:06 Uhr, schrieb Luigi Ballabio  
<lui...@gm...>:

> On Tue, 2011-02-01 at 15:55 +0100, Henner Heck wrote:
>> Yes, the boost::optional seems tricky.
>
> Also, it depends on the language. For Python, one can write a typemap
> so that the wrapped function accepts either a value or None, and maps
> the latter to boost::none. For Java, is there any such null value?
>
> Luigi
>
>


-- 
Erstellt mit Operas revolutionärem E-Mail-Modul: http://www.opera.com/mail/

Re: [Quantlib-dev] Fixed periods in a swap

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

On Tue, 2011-02-01 at 15:55 +0100, Henner Heck wrote:
> Yes, the boost::optional seems tricky.

Also, it depends on the language.  For Python, one can write a typemap
so that the wrapped function accepts either a value or None, and maps
the latter to boost::none.  For Java, is there any such null value?

Luigi


-- 

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

Re: [Quantlib-dev] Fixed periods in a swap

[Henner H. <hen...@tu...>]

Yes, the boost::optional seems tricky.
I'll do as you suggested until it's solved.

Thank you,
Henner


Am 01.02.2011, 15:41 Uhr, schrieb Luigi Ballabio  
<lui...@gm...>:

> On Tue, 2011-02-01 at 15:35 +0100, Henner Heck wrote:
>> Still, any idea on adding the parameter in SWIG?
>> >> In the Java classes i get from the SWIG interface files, the optional
>> >> parameter "paymentConvention"
>> >> is not available for QuantLib::VanillaSwap. Any chance of making it
>> >> available?
>
> I still have to figure out how to export boost::optional.
> In the meantime, you can add an overloaded constructor that takes all
> parameters including the paymentConvention (just duplicate the existing
> one in the %extend section, add the parameter, and use it to create the
> VanillaSwap being allocated.)
>
> Luigi
>
>


-- 
Erstellt mit Operas revolutionärem E-Mail-Modul: http://www.opera.com/mail/

Re: [Quantlib-dev] Fixed periods in a swap

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

On Tue, 2011-02-01 at 15:35 +0100, Henner Heck wrote:
> Still, any idea on adding the parameter in SWIG?
> >> In the Java classes i get from the SWIG interface files, the optional  
> >> parameter "paymentConvention"
> >> is not available for QuantLib::VanillaSwap. Any chance of making it  
> >> available?

I still have to figure out how to export boost::optional.
In the meantime, you can add an overloaded constructor that takes all
parameters including the paymentConvention (just duplicate the existing
one in the %extend section, add the parameter, and use it to create the
VanillaSwap being allocated.)

Luigi


-- 

All generalizations are dangerous, even this one. 
-- Alexandre Dumas 

Re: [Quantlib-dev] Fixed periods in a swap

[Henner H. <hen...@tu...>]

Am 01.02.2011, 14:30 Uhr, schrieb Luigi Ballabio  
<lui...@gm...>:

> On Tue, 2011-02-01 at 11:55 +0100, Henner Heck wrote:
>> I think this one should have gone to the users mailing list.
>
> No problem.  Often I get confused too.  We probably should have made
> just one to begin with...
>
> Luigi

  :)

Still, any idea on adding the parameter in SWIG?
>> In the Java classes i get from the SWIG interface files, the optional  
>> parameter "paymentConvention"
>> is not available for QuantLib::VanillaSwap. Any chance of making it  
>> available?


>
>


-- 
Erstellt mit Operas revolutionärem E-Mail-Modul: http://www.opera.com/mail/

Re: [Quantlib-dev] Fixed periods in a swap

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

On Tue, 2011-02-01 at 11:55 +0100, Henner Heck wrote:
> I think this one should have gone to the users mailing list.

No problem.  Often I get confused too.  We probably should have made
just one to begin with...

Luigi


-- 

When all else fails, pour a pint of Guinness in the gas tank, 
advance the spark 20 degrees, cry "God Save the Queen!", and pull 
the starter knob. 
-- MG "Series MGA" Workshop Manual 

Re: [Quantlib-dev] Fixed periods in a swap

[Henner H. <hen...@tu...>]

I think this one should have gone to the users mailing list.

Sorry.

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

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

On Mon, 2011-01-31 at 17:57 +0100, tar...@li... wrote:
> this is the whole content from the output tab,

And that's the relevant part:


> 1>> Error loading object of class 'Category' from XML document 'c:
> /build_ql_1_0_1/QuantLibAddin/gensrc/metadata/functions/swaptioneuropean.xml' 
> :
> 1>> 
> 1>> Error loading XML document 'c:
> /build_ql_1_0_1/QuantLibAddin/gensrc/metadata/functions/swaptioneuropean.xml' 
> :
> 1>> [Errno 2] No such file or directory: u'c:
> /build_ql_1_0_1/QuantLibAddin/gensrc/metadata/functions/swaptioneuropean.xml'


-- 

Everything can be filed under "miscellaneous". 
-- unknown 

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

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

Hi Luigi,
thanks for help:)

this is the whole content from the output tab,



1>------ Rebuild All started: Project: qlgensrc, Configuration: All Win32 
------
1>Performing Makefile project actions
1>Microsoft (R) Program Maintenance Utility Version 8.00.50727.42
1>Copyright (C) Microsoft Corporation.  All rights reserved.
1> if not exist build\vc mkdir build\vc
1> ..\..\gensrc\gensrc.py -a --oh_dir=..\..\ObjectHandler
1>> 
1>> gensrc has encountered a fatal error.
1>> 
1>> >>>>>>>>>> BEGIN STACK TRACE >>>>>>>>>>
1>> 
1>>   File "c:\build_ql_1_0_1\gensrc\gensrc.py", line 124, in <module>
1>>     addinList = addinlist.AddinList(addinIds)
1>>   File "c:\build_ql_1_0_1\gensrc\gensrc\addins\addinlist.py", line 127, in 
__init__
1>>     self.categoryList_ = categorylist.CategoryList()
1>>   File "c:\build_ql_1_0_1\gensrc\gensrc\categories\categorylist.py", line 
78, in __init__
1>>     environment.Environment.instance().addinConfigPath())
1>>   File "c:\build_ql_1_0_1\gensrc\gensrc\categories\categorylist.py", line 
58, in loadCategories
1>>     cat = utilities.serializeObject(category.Category, configPath + 
'metadata/functions/' + categoryName)
1>>   File "c:\build_ql_1_0_1\gensrc\gensrc\utilities\utilities.py", line 42, 
in serializeObject
1>>     fileName, objectClass.__name__)
1>> 
1>> <<<<<<<<<<  END STACK TRACE  <<<<<<<<<< 
1>> 
1>> gensrc error:
1>> 
1>> Error loading object of class 'Category' from XML document 'c:
/build_ql_1_0_1/QuantLibAddin/gensrc/metadata/functions/swaptioneuropean.xml' 
:
1>> 
1>> Error loading XML document 'c:
/build_ql_1_0_1/QuantLibAddin/gensrc/metadata/functions/swaptioneuropean.xml' 
:
1>> [Errno 2] No such file or directory: u'c:
/build_ql_1_0_1/QuantLibAddin/gensrc/metadata/functions/swaptioneuropean.xml'
1>> 
1>> NMAKE : fatal error U1077: '..\..\gensrc\gensrc.py' : return code '0x1'
1>Stop.
1>Project : error PRJ0019: A tool returned an error code from "Performing 
Makefile project actions"
1>Build log was saved at "file://c:
\build_ql_1_0_1\QuantLibAddin\gensrc\build\vc\BuildLog.htm"
1>qlgensrc - 2 error(s), 0 warning(s)
========== Rebuild All: 0 succeeded, 1 failed, 0 skipped ==========




>----Messaggio originale----
>Da: lui...@gm...
>Data: 31/01/2011 17.34
>A: "tar...@li..."<tar...@li...>
>Cc: <pca...@vo...>, <qua...@li...>
>Ogg: Re: R: Re: [Quantlib-dev] R: Re: R: Re: R: Adding new function to 
QuantLib XL
>
>On Mon, 2011-01-31 at 17:16 +0100, tar...@li... wrote:
>> The error message I got are:
>> 
>> fatal error U1077: '..\..\gensrc\gensrc.py' : return code '0x1'	
>>                                                                 > NMAKE	
>> error PRJ0019: A tool returned an error code from "Performing Makefile 
project 
>> actions"	qlgensrc	
>
>Further up.  Look at the "Output" tab, where you get the full output.
>
>Luigi
>
>
>-- 
>
>There are no rules of architecture for a castle in the clouds. 
>-- Gilbert K. Chesterton 
>
>
>

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

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

On Mon, 2011-01-31 at 17:16 +0100, tar...@li... wrote:
> The error message I got are:
> 
> fatal error U1077: '..\..\gensrc\gensrc.py' : return code '0x1'	
>                                                                 > NMAKE	
> error PRJ0019: A tool returned an error code from "Performing Makefile project 
> actions"	qlgensrc	

Further up.  Look at the "Output" tab, where you get the full output.

Luigi


-- 

There are no rules of architecture for a castle in the clouds. 
-- Gilbert K. Chesterton 

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

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

The error message I got are:

fatal error U1077: '..\..\gensrc\gensrc.py' : return code '0x1'	
                                                                > NMAKE	
error PRJ0019: A tool returned an error code from "Performing Makefile project 
actions"	qlgensrc	

Paolo

>----Messaggio originale----
>Da: lui...@gm...
>Data: 31/01/2011 16.06
>A: "tar...@li..."<tar...@li...>
>Cc: <pca...@vo...>, <qua...@li...>
>Ogg: Re: [Quantlib-dev] R: Re: R: Re: R: Adding new function to QuantLib XL
>
>On Mon, 2011-01-31 at 15:50 +0100, tar...@li... wrote:
>> 4. Then I go to build qlgensrc and I get the following error
>> 
>> fatal error U1077: '..\..\gensrc\gensrc.py' : return code '0x1'
>
>Look further up, in the text that is output before the fatal error.
>gensrc should have told you what's wrong in your xml.
>
>Luigi
>
>
>-- 
>
>I've finally learned what `upward compatible' means. It means we 
>get to keep all our old mistakes. 
>-- Dennie van Tassel 
>
>
>

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

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

On Mon, 2011-01-31 at 15:50 +0100, tar...@li... wrote:
> 4. Then I go to build qlgensrc and I get the following error
> 
> fatal error U1077: '..\..\gensrc\gensrc.py' : return code '0x1'

Look further up, in the text that is output before the fatal error.
gensrc should have told you what's wrong in your xml.

Luigi


-- 

I've finally learned what `upward compatible' means. It means we 
get to keep all our old mistakes. 
-- Dennie van Tassel 

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

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

Hi ,

may be you can help me on this small homework....

I can build the  xll file adding the stock class as explained into the 
tutorial (http://quantlib.org/quantlibaddin/extend__tutorial.html)

What I tried to do it was just insert into the xll a simple inline function 
(just for a test).
The steps I followed are:

1. add in QuantLibAddin/qlo the file myfun.hpp having the content:

#ifndef qla_myfun_hpp
#define qla_myfun_hpp

#include <oh/libraryobject.hpp>

namespace QuantLibAddin {
     inline double myfun(double npv)
          {
               return npv;
          }
}
#endif

2. then I've added a new category into QuantLibAddin\gensrc\config\categories.
xml 
<categoryName>myfun</Vategoryname>

3. then I added a new xml file into QuantLibAddin\gensrc\metadata\Functions 
heving the following contents

<Category name='myfun'>
  <description>test</description>
  <displayName>myfun</displayName>
  <xlFunctionWizardCategory>QuantLib - Financial</xlFunctionWizardCategory>
  <includes>
    <include>qlo/myfun.hpp</include>
  </includes>
  <copyright>
    Copyright (C) 2010
  </copyright>

  <Functions>

    <Procedure name='qlMyFun'>
      <alias>QuantLibAddin::myfun</alias>
      <SupportedPlatforms>
        <!--SupportedPlatform name='Excel' calcInWizard='false'/-->
        <SupportedPlatform name='Excel'/>
        <!--SupportedPlatform name='Cpp'/-->
      </SupportedPlatforms>
      <ParameterList>
        <Parameters>
          <Parameter name='npv'>
            <type>double</type>
            <tensorRank>scalar</tensorRank>
            <description>npv value</description>
          </Parameter>
        </Parameters>
      </ParameterList>
      <ReturnValue>
        <type>double</type>
        <tensorRank>scalar</tensorRank>
      </ReturnValue>
    </Procedure>

  </Functions>

</Category>

4. Then I go to build qlgensrc and I get the following error

fatal error U1077: '..\..\gensrc\gensrc.py' : return code '0x1'


Any clue?

Thanks
Regards,
Paolo




>----Messaggio originale----
>Da: pca...@vo...
>Data: 30/01/2011 12.10
>A: <qua...@li...>
>Ogg: Re: [Quantlib-dev] R: Re:  R:  Adding new function to QuantLib XL
>
>I had the same problem, look here:
>
> >Hi, this was on this list some weeks ago (Linker Error LNK1106: invalid
> >file or disk full, can not seek to ...).
> >
> >This error can be observed on different machines (with most probably no
> >disk problems) and different MSVC versions (at least 2005 and 2008) when
> >linking the ql xll. The error is reproduceable on certain "source code
> >configurations".
> >
> >I googled two possible solutions which are
> >
> >using linker option /OPT:NOICF
> >using linker option /IGNOREIDL
> >
> >The second has no effect in my enviroment, but the first one seems to
> >have solved the problem, hopefully forever.
>
>
>since i use /OPT:NOICF the problem disappeared. perhaps this setting 
>should be done in the released project files also?
>
>Peter
>
>Am 30.01.2011 09:04, schrieb tar...@li...:
>> Right!
>>
>> but I got now this strange error:
>>
>> fatal error LNK1106: invalid file or disk full: cannot seek to 0xEB5C5C
>>
>> I got this on QuantLibXLStatic
>>
>>
>> it sounds to me quite strange becasue my disk is not full ..I have more 
than
>> 30 GB free
>>
>> any clue?
>> thansk again,
>> Paolo
>>
>>> ----Messaggio originale----
>>> Da: eri...@na...
>>> Data: 29/01/2011 21.39
>>> A: "tar...@li..."<tar...@li...>
>>> Cc:<qua...@li...>
>>> Ogg: Re: [Quantlib-dev] R:  Adding new function to QuantLib XL
>>>
>>> Hi Paolo,
>>>
>>>>> is there any repository where I can find similar examples ?
>>> Sorry, the tutorial you found is all we got.
>>>
>>>> following the example in the website I've previously stated, I can do
>>>> everithing till when I need to build quantlibxl which returns me the
>>>> following
>>>> errors
>>> Looks like you omitted to add file(s) to the projects.  If you follow
>>> the tutorial exactly as written it should compile fine.
>>>
>>> Regards,
>>> Eric
>>>
>>>
>>
>>
>> 
------------------------------------------------------------------------------
>> 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
>
>

>------------------------------------------------------------------------------
>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] R: Re: R: Re: R: Adding new function to QuantLib XL

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

Thanks Peter,

now the tuorial works fine!

regards,
Paolo

>----Messaggio originale----
>Da: pca...@vo...
>Data: 30/01/2011 12.10
>A: <qua...@li...>
>Ogg: Re: [Quantlib-dev] R: Re:  R:  Adding new function to QuantLib XL
>
>I had the same problem, look here:
>
> >Hi, this was on this list some weeks ago (Linker Error LNK1106: invalid
> >file or disk full, can not seek to ...).
> >
> >This error can be observed on different machines (with most probably no
> >disk problems) and different MSVC versions (at least 2005 and 2008) when
> >linking the ql xll. The error is reproduceable on certain "source code
> >configurations".
> >
> >I googled two possible solutions which are
> >
> >using linker option /OPT:NOICF
> >using linker option /IGNOREIDL
> >
> >The second has no effect in my enviroment, but the first one seems to
> >have solved the problem, hopefully forever.
>
>
>since i use /OPT:NOICF the problem disappeared. perhaps this setting 
>should be done in the released project files also?
>
>Peter
>
>Am 30.01.2011 09:04, schrieb tar...@li...:
>> Right!
>>
>> but I got now this strange error:
>>
>> fatal error LNK1106: invalid file or disk full: cannot seek to 0xEB5C5C
>>
>> I got this on QuantLibXLStatic
>>
>>
>> it sounds to me quite strange becasue my disk is not full ..I have more 
than
>> 30 GB free
>>
>> any clue?
>> thansk again,
>> Paolo
>>
>>> ----Messaggio originale----
>>> Da: eri...@na...
>>> Data: 29/01/2011 21.39
>>> A: "tar...@li..."<tar...@li...>
>>> Cc:<qua...@li...>
>>> Ogg: Re: [Quantlib-dev] R:  Adding new function to QuantLib XL
>>>
>>> Hi Paolo,
>>>
>>>>> is there any repository where I can find similar examples ?
>>> Sorry, the tutorial you found is all we got.
>>>
>>>> following the example in the website I've previously stated, I can do
>>>> everithing till when I need to build quantlibxl which returns me the
>>>> following
>>>> errors
>>> Looks like you omitted to add file(s) to the projects.  If you follow
>>> the tutorial exactly as written it should compile fine.
>>>
>>> Regards,
>>> Eric
>>>
>>>
>>
>>
>> 
------------------------------------------------------------------------------
>> 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
>
>

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

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

I had the same problem, look here:

 >Hi, this was on this list some weeks ago (Linker Error LNK1106: invalid
 >file or disk full, can not seek to ...).
 >
 >This error can be observed on different machines (with most probably no
 >disk problems) and different MSVC versions (at least 2005 and 2008) when
 >linking the ql xll. The error is reproduceable on certain "source code
 >configurations".
 >
 >I googled two possible solutions which are
 >
 >using linker option /OPT:NOICF
 >using linker option /IGNOREIDL
 >
 >The second has no effect in my enviroment, but the first one seems to
 >have solved the problem, hopefully forever.


since i use /OPT:NOICF the problem disappeared. perhaps this setting 
should be done in the released project files also?

Peter

Am 30.01.2011 09:04, schrieb tar...@li...:
> Right!
>
> but I got now this strange error:
>
> fatal error LNK1106: invalid file or disk full: cannot seek to 0xEB5C5C
>
> I got this on QuantLibXLStatic
>
>
> it sounds to me quite strange becasue my disk is not full ..I have more than
> 30 GB free
>
> any clue?
> thansk again,
> Paolo
>
>> ----Messaggio originale----
>> Da: eri...@na...
>> Data: 29/01/2011 21.39
>> A: "tar...@li..."<tar...@li...>
>> Cc:<qua...@li...>
>> Ogg: Re: [Quantlib-dev] R:  Adding new function to QuantLib XL
>>
>> Hi Paolo,
>>
>>>> is there any repository where I can find similar examples ?
>> Sorry, the tutorial you found is all we got.
>>
>>> following the example in the website I've previously stated, I can do
>>> everithing till when I need to build quantlibxl which returns me the
>>> following
>>> errors
>> Looks like you omitted to add file(s) to the projects.  If you follow
>> the tutorial exactly as written it should compile fine.
>>
>> Regards,
>> Eric
>>
>>
>
>
> ------------------------------------------------------------------------------
> 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] R: Re: R: Adding new function to QuantLib XL

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

Right!

but I got now this strange error:

fatal error LNK1106: invalid file or disk full: cannot seek to 0xEB5C5C

I got this on QuantLibXLStatic


it sounds to me quite strange becasue my disk is not full ..I have more than 
30 GB free

any clue?
thansk again,
Paolo

>----Messaggio originale----
>Da: eri...@na...
>Data: 29/01/2011 21.39
>A: "tar...@li..."<tar...@li...>
>Cc: <qua...@li...>
>Ogg: Re: [Quantlib-dev] R:  Adding new function to QuantLib XL
>
>Hi Paolo,
>
>>> is there any repository where I can find similar examples ?
>
>Sorry, the tutorial you found is all we got.
>
>> following the example in the website I've previously stated, I can do
>> everithing till when I need to build quantlibxl which returns me the  
>> following
>> errors
>
>Looks like you omitted to add file(s) to the projects.  If you follow  
>the tutorial exactly as written it should compile fine.
>
>Regards,
>Eric
>
>

Re: [Quantlib-dev] QuantLib Forum

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

Hi Bojan,

Quoting Bojan Nikolic <bo...@bn...>:

> Well I was suggesting writing the XL API in Python, so yes, there would
> be an additional overhead of a Python layer. In practice these overheads
> are small and not noticeable unless one tries to do very fine-grained
> calculations from Excel. I think this overhead would be more than offset
> by the ability to remove certain portions of calculations entirely from
> Excel and have them in the Python layer.

For the moment I still have reservations this approach for reasons  
mentioned previously.  But I welcome your interest and would like to  
keep options open.  AS mentioned I'm prototyping the use of SWIG, that  
project will include a build of QuantLibXL which retains the existing  
architecture, once that's ready would you be interested in adding to  
the prototype a parallel build of QuantLibXL using Python as you  
suggest?  That would keep your idea on the table and we could decide  
later how to proceed.

Regards,
Eric

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

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

Hi Paolo,

>> is there any repository where I can find similar examples ?

Sorry, the tutorial you found is all we got.

> following the example in the website I've previously stated, I can do
> everithing till when I need to build quantlibxl which returns me the  
> following
> errors

Looks like you omitted to add file(s) to the projects.  If you follow  
the tutorial exactly as written it should compile fine.

Regards,
Eric

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

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

Hello,

following the example in the website I've previously stated, I can do 
everithing till when I need to build quantlibxl which returns me the following 
errors




Error	1	error LNK2019: unresolved external symbol "void __cdecl registerStock
(struct xloper const &)" (?registerStock@@YAXABUxloper@@@Z) referenced in 
function "void __cdecl registerQlFunctions(struct xloper const &)" (?
registerQlFunctions@@YAXABUxloper@@@Z)	register_all.obj	
Error	2	error LNK2019: unresolved external symbol "void __cdecl unregisterStock
(struct xloper const &)" (?unregisterStock@@YAXABUxloper@@@Z) referenced in 
function "void __cdecl unregisterQlFunctions(struct xloper const &)" (?
unregisterQlFunctions@@YAXABUxloper@@@Z)	register_all.obj	
Error	3	error LNK2019: unresolved external symbol "void __cdecl QuantLibAddin::
register_stock(class boost::archive::xml_oarchive &)" (?
register_stock@QuantLibAddin@@YAXAAVxml_oarchive@archive@boost@@@Z) referenced 
in function "void __cdecl QuantLibAddin::tpl_register_classes<class boost::
archive::xml_oarchive>(class boost::archive::xml_oarchive &)" 
(??$tpl_register_classes@Vxml_oarchive@archive@boost@@@QuantLibAddin@@YAXAAVxml_oarchive@archive@boost@@@Z)	
quantlibobjects-vc80-mt-s-1_0_1.lib	
Error	4	error LNK2019: unresolved external symbol "void __cdecl QuantLibAddin::
register_stock(class boost::archive::xml_iarchive &)" (?
register_stock@QuantLibAddin@@YAXAAVxml_iarchive@archive@boost@@@Z) referenced 
in function "void __cdecl QuantLibAddin::tpl_register_classes<class boost::
archive::xml_iarchive>(class boost::archive::xml_iarchive &)" 
(??$tpl_register_classes@Vxml_iarchive@archive@boost@@@QuantLibAddin@@YAXAAVxml_iarchive@archive@boost@@@Z)	
quantlibobjects-vc80-mt-s-1_0_1.lib	
Error	5	error LNK2019: unresolved external symbol "class boost::
shared_ptr<class ObjectHandler::Object> __cdecl QuantLibAddin::create_qlStock
(class boost::shared_ptr<class ObjectHandler::ValueObject> const &)" (?
create_qlStock@QuantLibAddin@@YA?
AV?$shared_ptr@VObject@ObjectHandler@@@boost@@ABV?$shared_ptr@VValueObject@ObjectHandler@@@3@@Z) 
referenced in function "private: void __thiscall QuantLibAddin::
SerializationFactory::registerCreators(void)" (?
registerCreators@SerializationFactory@QuantLibAddin@@AAEXXZ)	quantlibobjects-
vc80-mt-s-1_0_1.lib	
Error	6	fatal error LNK1120: 5 unresolved externals	..\xll\QuantLibXL-vc80-mt-
s-1_0_1.xll	



any suggestion is well appreciated.
thank you
Paolo

>----Messaggio originale----
>Da: tar...@li...
>Data: 28/01/2011 17.48
>A: <qua...@li...>
>Ogg: [Quantlib-dev] Adding new function to QuantLib XL
>
>Hello,
>
>I saw the example in 
>
>http://quantlib.org/quantlibaddin/extend__tutorial.html
>
>to expose additional functionalities into quantlib xl but it looks like to 
me 
>too much restrictive (at least for those peoples who are not pure developer 
>like me)
>
>is there any repository where I can find similar examples ?
>thank you
>regards,
>Paolo
>

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[Quantlib-dev] Adding new function to QuantLib XL

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

Hello,

I saw the example in 

http://quantlib.org/quantlibaddin/extend__tutorial.html

to expose additional functionalities into quantlib xl but it looks like to me 
too much restrictive (at least for those peoples who are not pure developer 
like me)

is there any repository where I can find similar examples ?
thank you
regards,
Paolo

[Quantlib-dev] Fixed periods in a swap

[Henner H. <hen...@tu...>]

Hello all,

i would like to know, how i can create a swap, which has unadjusted  
(fixed) period lengths
(always the same accrual period, therefore the same rate), but adjusted  
payment dates.
I suspect, that the two BusinessdayConvention parameters "convention" and
"terminationDateConvention" from the "QuantLib::Schedule" constructor and  
the optional
BusinessdayConvention "paymentConvention" from the VanillaSwap constructor  
are the places to look at.

Am i correct with the following assumptions? (If not, please give me the  
correct version. :)  )

paymentConvention:
Determines, how the payment dates of the cash flows are adjusted from their
original value from the schedule, if they happen to be on a weekend or  
holiday.

convention:
Determines, if and how the periods between the cashflows are adjusted  
(Following, ModifiedFollowing, etc.)
or not (Unadjusted and therefore fixed).
If "paymentConvention" is not set in the Swap, "convention" of the  
floating leg schedule is used as default setting for it
-> If the floating leg "convention" is "Unadjusted" and  
"paymentConvention" is not explicitely set,
  i could end up with payment dates on weekends or holidays!?

terminationDateConvention:
Some special treatment of the last period or payment date?


In the Java classes i get from the SWIG interface files, the optional  
parameter "paymentConvention"
is not available for QuantLib::VanillaSwap. Any chance of making it  
available?


Best regards,
Henner Heck




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Re: [Quantlib-dev] Irritated about dates in DiscountingSwapEngine

[Henner H. <hen...@tu...>]

Thank you!


Am 27.01.2011, 18:29 Uhr, schrieb Ferdinando Ametrano <na...@am...>:

> Hi Henner
>
>> [...] the SettlementDate
>> and npvDate would have to be different from the curve's reference date  
>> and
>> further into the future than it.
>
> agreed !
>
> I didn't see how the curve's reference date could be earlier than
> the Settings::evaluationDate. No problem with it being earlier than
> SettlementDate and/or npvDate
>
> ciao -- Nando
>
> ------------------------------------------------------------------------------
> 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
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