quantlib-dev — Discussion of QuantLib development

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

[Ferdinando A. <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

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

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

On Thu, 2011-01-27 at 15:26 +0100, Henner Heck wrote:
> @Luigi
> Thank you for the patch. Will it be in future official releases?

Yes. Not the very next one, though, because it's almost out of the door.

> The line
> "%feature("kwargs") DiscountingSwapEnginePtr;"
> is for Python compatibility, if i am correct, but it has the effect,
> that only the constructor with all possible parameters is available in
> the Java class.

Does it? I wasn't aware that it had any effect on languages other that
Python. I'll wrap it in an #ifdef(SWIGPYTHON) then...

Luigi


-- 

Use every man after his desert, and who shall scape whipping? 
-- Hamlet, Act II, scene II 

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

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

Hello,

@Ferdinando:
Correct me if i am wrong:
I make a swap contract at 26.1., the swap has a fixing offset of two days,
so it actually starts at 28.1.. If i want to evaluate the swap for 28.1.,
i would take the newest market data i have from the 26.1. and use it to  
build
a discount curve and forecast curve with 26.1. as reference date.
I'd forecast the floating leg fixings and then use the discount curve to  
discount
all cashflows to the 26.1. and finally discount the sum of these  
discounted cashflows to the 28.1..
So in the CashFlows::npv function my SettlementDate and my npvDate would  
be the 28.1.,
which is not identical with my discountcurve reference date, the 26.1..
If i interpret the official QuantLib swap example correctly, the way to do  
it with the DiscountingSwapEngine's
constructor using only the discountCurve parameter would be to set the  
curve's reference date to 28.1. and
thereby implicitly set SettlementDate and npvDate to the same date which  
introduces a slight difference by
discounting to the 28.1. directly with a curve moved two days into the  
future.

Also if wanted to forecast the value of a swap at different dates during  
it's life
using today's market data (whether it makes sense or not :) ), the  
SettlementDate
and npvDate would have to be different from the curve's reference date and  
further
into the future than it.

The patch gives me the freedom i needed,
so at the moment everything's fine.  :)

@Luigi
Thank you for the patch. Will it be in future official releases?
The line
"%feature("kwargs") DiscountingSwapEnginePtr;"
is for Python compatibility, if i am correct, but it has the effect,
that only the constructor with all possible parameters is available in the  
Java class.
This of course breaks code which uses the previously available  
"discountCurve-only" constructor
 from Java. I don't mind, just wanted to bring it to attention.

Best regards,
Henner Heck





Am 25.01.2011, 13:18 Uhr, schrieb Luigi Ballabio  
<lui...@gm...>:

> On Tue, 2011-01-25 at 13:05 +0100, Ferdinando Ametrano wrote:
>> > I would appreciate any help getting the full
>> > constructor of
>> > DiscountingSwapEngine (discountCurve, includeSettlementDateFlows,
>> > settlementDate, npvDate)
>> > to work in SWIG or to evaluate a VanillaSwap without
>> > using DiscountingSwapEngine.
>>
>> this is a legitimate request. I'm pretty sure Luigi will oblige to it.
>
> The patch is in the mail. I mean, it's attached.
>
> Also, I confess I didn't fully understand your setup; but if you want
> the reference date of the curve to follow the evaluation date, you can
> instantiate the curve by passing a number of settlement days (possibly
> 0) and a calendar (possibly NullCalendar) instead of a fixed settlement
> date. If you do so, the reference date of the curve will change when the
> evaluation date does.
>
> Luigi
>
>


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

[Quantlib-dev] R: R: Re: Problem building QuantlibAddIn

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

Hi Peter,

you're right the lib files were saved in another directory outside the boost 
folder...now I can build the solution,

regards,
Paolo

>----Messaggio originale----
>Da: tar...@li...
>Data: 27/01/2011 7.59
>A: <lui...@gm...>, "Bojan Nikolic"<bo...@bn...>
>Cc: <qua...@li...>
>Ogg: [Quantlib-dev] R: Re:  Problem building QuantlibAddIn
>
>Hi Peter,
>
>well I dont know exactly what's happened with boost ...I already use them 
>with 
>QuantLib and they work quite well.
>
>Now that I am trying to use the QuantLibAddin, the boosts are giving me a 
>lot 
>of issues.
>Actually I followed your suggestion and I used the bjam. i followed exactly 
>what is written in http://quantlib.org/install/vc9.shtml (Appendix: Manual 
>boost installation)) and it looks like they are well installed in fact I 
>replicated the example into the appendix and it worked well.
>
>Then I tried to start with the first totorial in http://quantlib.
>org/quantlibaddin/tutorials.html (Build QuantlibXL from source code) and I 
>build one by one the project into the solution QuantLibXL_full_vc8 and when 
>I 
>arrived to build QuantLibXLStatic I got this error
>
>fatal error LNK1104: cannot open file 
'libboost_serialization_vc80_mt_s_1_43.
>lib'
>
>In fact I can not find this lib file into boost folder.
>Actually, if I check into C:\Program Files\boost\boost_1_43_0 there is not 
a 
>folder lib which I am expecting to be; am I wrong?
>
>Same error I got if I build the solution.
>
>The configuration I used is Release (static runtine) 
>
>by the way, I did not modified nothing into the configuration properties.
>
>Any suggestion is well appreciated.
>
>Regards,
>Paolo
>
>
>
>>----Messaggio originale----
>>Da: lui...@gm...
>>Data: 25/01/2011 10.39
>>A: "Bojan Nikolic"<bo...@bn...>
>>Cc: "tar...@li..."<tar...@li...>, <quantlib-dev@lists.
>sourceforge.net>
>>Ogg: Re: [Quantlib-dev] Problem building QuantlibAddIn
>>
>>On Mon, 2011-01-24 at 07:18 +0000, Bojan Nikolic wrote:
>>> "tar...@li..." <tar...@li...> writes:
>>> 
>>> > fatal error LNK1104: cannot open file 'libboost_serializetion-vc80-mt-
>1_43.
>>> > lib'
>>> 
>>> That is a spelling mistake -- should be 'libboost_serialization-vc80-mt-
>1_43.lib'
>>
>>I don't find it by running grep on the projects, though.  Paolo, did you
>>modify the project files?  If not, what particular project is failing in
>>the solution, and what QuantLib version are you using?
>>
>>Luigi
>>
>>
>>-- 
>>
>>Hanlon's Razor: 
>>Never attribute to malice that which is adequately explained 
>>by stupidity. 
>>
>>
>>
>
>
>

>------------------------------------------------------------------------------
>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: Problem building QuantlibAddIn

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

Hi Peter,

well I dont know exactly what's happened with boost ...I already use them 
with 
QuantLib and they work quite well.

Now that I am trying to use the QuantLibAddin, the boosts are giving me a 
lot 
of issues.
Actually I followed your suggestion and I used the bjam. i followed exactly 
what is written in http://quantlib.org/install/vc9.shtml (Appendix: Manual 
boost installation)) and it looks like they are well installed in fact I 
replicated the example into the appendix and it worked well.

Then I tried to start with the first totorial in http://quantlib.
org/quantlibaddin/tutorials.html (Build QuantlibXL from source code) and I 
build one by one the project into the solution QuantLibXL_full_vc8 and when 
I 
arrived to build QuantLibXLStatic I got this error

fatal error LNK1104: cannot open file 'libboost_serialization_vc80_mt_s_1_43.
lib'

In fact I can not find this lib file into boost folder.
Actually, if I check into C:\Program Files\boost\boost_1_43_0 there is not a 
folder lib which I am expecting to be; am I wrong?

Same error I got if I build the solution.

The configuration I used is Release (static runtine) 

by the way, I did not modified nothing into the configuration properties.

Any suggestion is well appreciated.

Regards,
Paolo



>----Messaggio originale----
>Da: lui...@gm...
>Data: 25/01/2011 10.39
>A: "Bojan Nikolic"<bo...@bn...>
>Cc: "tar...@li..."<tar...@li...>, <quantlib-dev@lists.
sourceforge.net>
>Ogg: Re: [Quantlib-dev] Problem building QuantlibAddIn
>
>On Mon, 2011-01-24 at 07:18 +0000, Bojan Nikolic wrote:
>> "tar...@li..." <tar...@li...> writes:
>> 
>> > fatal error LNK1104: cannot open file 'libboost_serializetion-vc80-mt-
1_43.
>> > lib'
>> 
>> That is a spelling mistake -- should be 'libboost_serialization-vc80-mt-
1_43.lib'
>
>I don't find it by running grep on the projects, though.  Paolo, did you
>modify the project files?  If not, what particular project is failing in
>the solution, and what QuantLib version are you using?
>
>Luigi
>
>
>-- 
>
>Hanlon's Razor: 
>Never attribute to malice that which is adequately explained 
>by stupidity. 
>
>
>

[Quantlib-dev] R: Re: Problem building QuantlibAddIn

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

well,
actually I did not modify the project files but what is strange is that even 
if I have downloaded boost v.1.43  the folder C:\Program 
Files\boost\boost_1_43\lib has not been created.
I followed what is written in http://quantlib.org/quantlibaddin/boost.html for 
VC++ 8.
do I miss something?

thanks
Paolo

>----Messaggio originale----
>Da: lui...@gm...
>Data: 25/01/2011 10.39
>A: "Bojan Nikolic"<bo...@bn...>
>Cc: "tar...@li..."<tar...@li...>, <quantlib-dev@lists.
sourceforge.net>
>Ogg: Re: [Quantlib-dev] Problem building QuantlibAddIn
>
>On Mon, 2011-01-24 at 07:18 +0000, Bojan Nikolic wrote:
>> "tar...@li..." <tar...@li...> writes:
>> 
>> > fatal error LNK1104: cannot open file 'libboost_serializetion-vc80-mt-
1_43.
>> > lib'
>> 
>> That is a spelling mistake -- should be 'libboost_serialization-vc80-mt-
1_43.lib'
>
>I don't find it by running grep on the projects, though.  Paolo, did you
>modify the project files?  If not, what particular project is failing in
>the solution, and what QuantLib version are you using?
>
>Luigi
>
>
>-- 
>
>Hanlon's Razor: 
>Never attribute to malice that which is adequately explained 
>by stupidity. 
>
>
>

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

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

On Tue, 2011-01-25 at 13:05 +0100, Ferdinando Ametrano wrote:
> > I would appreciate any help getting the full
> > constructor of
> > DiscountingSwapEngine (discountCurve, includeSettlementDateFlows,
> > settlementDate, npvDate)
> > to work in SWIG or to evaluate a VanillaSwap without
> > using DiscountingSwapEngine.
> 
> this is a legitimate request. I'm pretty sure Luigi will oblige to it.

The patch is in the mail.  I mean, it's attached.

Also, I confess I didn't fully understand your setup; but if you want
the reference date of the curve to follow the evaluation date, you can
instantiate the curve by passing a number of settlement days (possibly
0) and a calendar (possibly NullCalendar) instead of a fixed settlement
date. If you do so, the reference date of the curve will change when the
evaluation date does.

Luigi


-- 

The first rule of intelligent tinkering is to save all the parts. 
-- Paul Erlich 

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

[Ferdinando A. <na...@am...>]

Hi Henner

> So why is the default date in DiscountingSwapEngine
> (*discountCurve_)->referenceDate();
> and not
> Settings::instance().evaluationDate(); ?

because the discount curve reference date is tautologically the
reference date to which all cashflows should be discounted. The usual
usage if for discountCurve_)->referenceDate() >
Settings::instance().evaluationDate(), since you might want to
discount to today or some future date, not to a date into the past

> So every time i run a swap evaluation using the DiscountingSwapEngine,
> the Settings::evaluationDate is totally ignored, since all dates are set to
> the reference date of the discounting curve.
> That leads to really unwanted behavior, if the curve's reference date is
> earlier
> than the Settings::evaluationDate and there are cashflows in between.
> Now even the cashflows placed before Settings::evaluationDate a included
> into the NPV.

mmm... you surely have some good point for this usage, but I must
confess I don't see how the curve's reference date can be earlier than
the Settings::evaluationDate

> If this is not an error, i would appreciate any help getting the full
> constructor of
> DiscountingSwapEngine (discountCurve, includeSettlementDateFlows,
> settlementDate, npvDate)
> to work in SWIG or to evaluate a VanillaSwap without
> using DiscountingSwapEngine.

this is a legitimate request. I'm pretty sure Luigi will oblige to it.

> i would like to thank the people responsible,
> especially Luigi and Ferdinando, for the forum last
> week in London. I enjoyed it.

you're welcome

ciao -- Nando

Re: [Quantlib-dev] Problem building QuantlibAddIn

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

On Mon, 2011-01-24 at 07:18 +0000, Bojan Nikolic wrote:
> "tar...@li..." <tar...@li...> writes:
> 
> > fatal error LNK1104: cannot open file 'libboost_serializetion-vc80-mt-1_43.
> > lib'
> 
> That is a spelling mistake -- should be 'libboost_serialization-vc80-mt-1_43.lib'

I don't find it by running grep on the projects, though.  Paolo, did you
modify the project files?  If not, what particular project is failing in
the solution, and what QuantLib version are you using?

Luigi


-- 

Hanlon's Razor: 
Never attribute to malice that which is adequately explained 
by stupidity. 

[Quantlib-dev] Irritated about dates in DiscountingSwapEngine

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

Hello all,

first of i would like to thank the people responsible,
especially Luigi and Ferdinando, for the forum last
week in London. I enjoyed it.

Now my question about swap evaluation:

QuantLib version: 1.0.1

In "QuantLib::DiscountingSwapEngine" the settlement and evaluation dates  
are determined as follows:

------------------------------------------------------------------------------------
Date refDate = (*discountCurve_)->referenceDate();

  Date settlementDate = settlementDate_;
   if (settlementDate_==Date()) {
  settlementDate = refDate;
  } else {
  QL_REQUIRE(settlementDate>=refDate,
  "settlement date (" << settlementDate << ") before "
  "discount curve reference date (" << refDate << ")");
  }

  results_.valuationDate = npvDate_;
  if (npvDate_==Date()) {
  results_.valuationDate = refDate;
  } else {
  QL_REQUIRE(npvDate_>=refDate,
  "npv date (" << npvDate_ << ") before "
  "discount curve reference date (" << refDate << ")");
  }

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

Via SWIG i have one constructor available, which sets the discounting  
termstructure
only. So the dates npvDate_ and refDate_ are initially "Date()" at the  
beginning of
the above code. So they both default to "refDate" which is the reference  
date of the discounting curve.

I tried to get the full constructor into the SWIG code, but until now
i always had errors in the automatically created C++ wrapper code  
regarding the
definition of optional parameters.

Anyways, a little later  "CashFlows::npv" is called:

------------------------------------------------------------------------------------
CashFlows::npv(arguments_.legs[i],
  **discountCurve_,
  includeRefDateFlows,
  settlementDate,
  results_.valuationDate);
------------------------------------------------------------------------------------

The default settings for the dates there are as follows:

------------------------------------------------------------------------------------
if (settlementDate == Date())
  settlementDate = Settings::instance().evaluationDate();

  if (npvDate == Date())
  npvDate = settlementDate;

  Real totalNPV = 0.0;
  for (Size i=0; i<leg.size(); ++i) {
  if (!leg[i]->hasOccurred(settlementDate,
  includeSettlementDateFlows))
  totalNPV += leg[i]->amount() *
  discountCurve.discount(leg[i]->date());
  }

  return totalNPV/discountCurve.discount(npvDate);
------------------------------------------------------------------------------------

So every time i run a swap evaluation using the DiscountingSwapEngine,
the Settings::evaluationDate is totally ignored, since all dates are set  
to the
reference date of the discounting curve.
That leads to really unwanted behavior, if the the curve's reference date  
is earlier
than the Settings::evaluationDate and there are cashflows in between.
Now even the cashflows placed before Settings::evaluationDate a included  
into
the NPV.

So why is the default date in DiscountingSwapEngine
(*discountCurve_)->referenceDate();
and not
Settings::instance().evaluationDate(); ?

If this is not an error, i would appreciate any help getting the full  
constructor of
DiscountingSwapEngine (discountCurve, includeSettlementDateFlows,  
settlementDate, npvDate)
to work in SWIG or to evaluate a VanillaSwap without using  
DiscountingSwapEngine.

Best regards,
Henner Heck

Re: [Quantlib-dev] QuantLib Forum

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

Hi Eric,

Eric Ehlers <eri...@na...> writes:

>>>> In fact thinking now about this, I see there could be a nice shortcut in
>>>> enabling this: write the Excel interface in Python. This would allow the
>>>> work to concentrate on the C++ -> Python SWIG wrapper, and Python
>>>> modules could then quite easily re-wrap this functionality for
>>>> Excel. This would also have the added advantage that a lot of
>>>> higher-level functionality could be in Python but still easily
>>>> accessible from Excel.  What do people think about this?
>>>
>>> I think the Excel-Python interface looks interesting and could have
>>> useful applications but it would not be my choice for the QuantLibXL
>>> architecture.  Excel's C API, while obscure, is mature and robust and
>>> remains the fastest way to access Excel's internals.
>>
>> I was thinking of actually using Python packaged into a DLL and
>> accessing directly Excel's C API. So you get the benefits of using
>> Python (and SWIG-ed QuantLib in this case) combined with the
>> traditional Excel C interface.
>>
>> Perhaps surprisingly, this works really quite well and enables direct
>> interaction with Python quite easily. We've used it in a project and it
>> worked very well. There is a little spin-off example at
>> http://www.bnikolic.co.uk/expy/. There is also another project with code
>> available at http://code.google.com/p/pyinex/downloads/list.
>
> I'll have a look at the examples as soon as I can.  For now let me
> request a quick clarification:  Under this proposed new design, would
> it be possible to invoke existing QLXL functionality on a machine
> where Python is not installed in any shape or form?

Yes, but only because the Python interpreter would be statically linked
into the add in.

> I would hesitate to move to any design where the answer to that
> question is no.  At present the crux of our architecture is:
>
>     QL -> XL API -> EXCEL
>
> Adding any other component into that mix would be guaranteed not to
> speed things up and I would certainly have reservations about having
> the Python interpreter on our critical path when calculating a price.

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. 

Best,
Bojan

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

Re: [Quantlib-dev] Problem building QuantlibAddIn

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

"tar...@li..." <tar...@li...> writes:

> fatal error LNK1104: cannot open file 'libboost_serializetion-vc80-mt-1_43.
> lib'

That is a spelling mistake -- should be 'libboost_serialization-vc80-mt-1_43.lib'


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

[Quantlib-dev] Problem building QuantlibAddIn

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

Hello 
I am trying to build the quantlibaddin c++ environment on windows,
I downloade and installed correctly boost library in C:\Program Files\boost 
and downloaded ocrrectly 
log4cxx
gensrc
objecthandles
quantlib
quantlibaddin

set-up release configuration and built the solution but I got the following 
errors:

fatal error LNK1104: cannot open file 'libboost_serializetion-vc80-mt-1_43.
lib'
fatal error LNK 1181: cannot open input file '..\..\lib\objecthandler-xll-vc80-
mt-1_0_1.lib'

any suggestion?
thanks
P

Re: [Quantlib-dev] [Quantlib-users] Last fixing date of a swap with respect to today [Kind of urgent]

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

On Jan 20, 2011, at 8:03 PM, Leon Sit wrote:
> In quantlib, is there a way to query the last fixing date of a swap
> with respect to the evaluation date?

Yes, but it's kind of complex.  You'll have to:
- ask the swap for its floating leg; if it's a VanillaSwap, call its  
floatingLeg() method; if it's a generic Swap, use the leg(i) method by  
passing the correct index;
- get a pointer to the last CashFlow; that's leg.back()
- downcast it to FloatingRateCoupon; that's
coupon = boost::dynamic_pointer_cast<FloatingRateCoupon>(leg.back());
- now you can use its fixingDate() method.

Luigi

Re: [Quantlib-dev] QuantLib Forum

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

>>> In fact thinking now about this, I see there could be a nice shortcut in
>>> enabling this: write the Excel interface in Python. This would allow the
>>> work to concentrate on the C++ -> Python SWIG wrapper, and Python
>>> modules could then quite easily re-wrap this functionality for
>>> Excel. This would also have the added advantage that a lot of
>>> higher-level functionality could be in Python but still easily
>>> accessible from Excel.  What do people think about this?
>>
>> I think the Excel-Python interface looks interesting and could have
>> useful applications but it would not be my choice for the QuantLibXL
>> architecture.  Excel's C API, while obscure, is mature and robust and
>> remains the fastest way to access Excel's internals.
>
> I was thinking of actually using Python packaged into a DLL and
> accessing directly Excel's C API. So you get the benefits of using
> Python (and SWIG-ed QuantLib in this case) combined with the
> traditional Excel C interface.
>
> Perhaps surprisingly, this works really quite well and enables direct
> interaction with Python quite easily. We've used it in a project and it
> worked very well. There is a little spin-off example at
> http://www.bnikolic.co.uk/expy/. There is also another project with code
> available at http://code.google.com/p/pyinex/downloads/list.

I'll have a look at the examples as soon as I can.  For now let me  
request a quick clarification:  Under this proposed new design, would  
it be possible to invoke existing QLXL functionality on a machine  
where Python is not installed in any shape or form?

I would hesitate to move to any design where the answer to that  
question is no.  At present the crux of our architecture is:

     QL -> XL API -> EXCEL

Adding any other component into that mix would be guaranteed not to  
speed things up and I would certainly have reservations about having  
the Python interpreter on our critical path when calculating a price.

As I said before, I agree that an Excel-Python interface could have  
interesting applications.  And other people have already put similar  
ideas to me.  I'm entirely open to the possibility of having Python  
functionality available as an auxiliary to the core build, and I would  
be very interested in having something like that included in the  
prototype of the new design.

Kind Regards,
Eric

[Quantlib-dev] OFF TOPIC: Book on Term Structure Implementation

[Billy N. <mai...@gm...>]

I am a MSc student planning for a project.
This is my first financial project which involves adding in a Term Structure into an existing Package based on J2EE.

Would that be a good approach for a first time project to use the QuantLib-SWIG wrapper approach?
My concern is whether this is a robust approach with a sizable-to-large quantlib user base and active users in this mailing list.
 
Any recommendation for a practical book in Term Structure Implementation such as using LIBOR Forward Model?
Should I start with this book "Interest Rate Models - Theory and Practice, by D. Brigo, F. Mercurio"?

Under QuantLib, any good example for reference?
Is FittedBondCurve.cpp a good start?

Many Thanks

Billy Ng

Re: [Quantlib-dev] QuantLib Forum

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

>> In fact thinking now about this, I see there could be a nice shortcut in
>> enabling this: write the Excel interface in Python. This would allow the
>> work to concentrate on the C++ -> Python SWIG wrapper, and Python
>> modules could then quite easily re-wrap this functionality for
>> Excel. This would also have the added advantage that a lot of
>> higher-level functionality could be in Python but still easily
>> accessible from Excel.  What do people think about this?
>
> I think the Excel-Python interface looks interesting and could have
> useful applications but it would not be my choice for the QuantLibXL
> architecture.  Excel's C API, while obscure, is mature and robust and
> remains the fastest way to access Excel's internals.

I was thinking of actually using Python packaged into a DLL and
accessing directly Excel's C API. So you get the benefits of using
Python (and SWIG-ed QuantLib in this case) combined with the
traditional Excel C interface.

Perhaps surprisingly, this works really quite well and enables direct
interaction with Python quite easily. We've used it in a project and it
worked very well. There is a little spin-off example at
http://www.bnikolic.co.uk/expy/. There is also another project with code
available at http://code.google.com/p/pyinex/downloads/list.

Best,
Bojan

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

Re: [Quantlib-dev] QuantLib Forum

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

Hi Bojan,

Many thanks for your feedback on the forum and your interest in future  
developments.

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

> On my side at least, I would like to say thanks to everybody who
> organised the conference and also thanks for organising it in London and
> travelling in to give your presentations -- it made it very convenient
> and accessible for us who are here!
>
> I agree with summary that people were interested "more" of a lot of
> things...  The two topics which particularly caught my eye was "more
> Python" (and seeing that Luigi for example uses it often); and, plans
> for new, SWIG-based, Excel add-in.

I'm working on a small prototype of this and will report back here as  
soon as there is something to share.  If the approach proves viable  
then all feedback and assistance would be welcome.

> In fact thinking now about this, I see there could be a nice shortcut in
> enabling this: write the Excel interface in Python. This would allow the
> work to concentrate on the C++ -> Python SWIG wrapper, and Python
> modules could then quite easily re-wrap this functionality for
> Excel. This would also have the added advantage that a lot of
> higher-level functionality could be in Python but still easily
> accessible from Excel.  What do people think about this?

I think the Excel-Python interface looks interesting and could have  
useful applications but it would not be my choice for the QuantLibXL  
architecture.  Excel's C API, while obscure, is mature and robust and  
remains the fastest way to access Excel's internals.

Kind Regards,
Eric

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

Re: [Quantlib-dev] FW: Code to expose default probability functionality in QuantLibXL. F.A.O. Eric Ehlers

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

Hi Don,

Nice meeting you too.  Thanks for re-sending the contribution, I will  
have a look and reply here shortly.

Kind Regards,
Eric

Quoting Don Stewart <Don...@fs...>:

> Hi Eric,
> Good to meet you today at the QuantLib Forum.
> Here is the email we discussed.
>
> Regards Don Stewart
> don...@fs...
>
>
> -----Original Message-----
> From: Don Stewart
> Sent: 08 June 2010 15:21
> To: qua...@li...
> Subject: Code to expose default probability functionality in QuantLibXL
>
> Hi there,
> Using the tutorial
> http://quantlib.org/quantlibaddin/extend_tutorial.html and some trial
> and error I've been able to expose QuantLib's default probability
> functionality to QuantLibXL. The attached zip file contains the source
> code changes made to QuantLibAddin-1.0.0b3 (which as far as I'm aware is
> the latest published version of QuantLibAddin).
>
> I've compiled this code using Microsoft Visual C++ 2008 to both Debug
> (runtime static) and Release (runtime static) .xll files. I've used
> these in Excel 2003 to back out probability of default from CDS spreads
> which validate against data I have from JP Morgan and against a separate
> model built in Matlab by a colleague.
>
> I'd like to publish this code to the QuantLib source code base and would
> appreciate it if someone could enlighten me how to do this.
>
> I'd also appreciate any comments on whether my code exposes this
> functionality in an optimal manner. For instance, is it necessary to
> manually add source code to
> QuantLibAddin\qlo\enumerations\constructors\enumeratedpairs.xpp or
> manually create
> QuantLibAddin\qlo\enumerations\factories\defaulttermstructuresfactory.hp
> p rather than auto generate them via python from qlgensrc project.
>
> In case anyone wants to compile this code then the installation process
> is:- Download and install the QuantLib source code stack. The parent
> directory I used looks like
>   gensrc
>   log4cxx
>   ObjectHandler
>   QuantLib
>   QuantLibAddin
>   QuantLibXL
> Unzip the attached zip file QuantLibAddinWithDefautlProability.zip to
> this parent directory. The contents should overwrite some files in the
> QuantLibAddin sub-directory.
> Invoke Visual C++ 2008 and open the QuantLibXL\QuantLibXL_full_vc9.sln.
> Select either Debug (runtime static) or Release (runtime static)
> solution configuration.
> Press F7 to build the solution.
> After successful compilation, the QuantLibXL\xll sub-directory should
> contain a .xll add in that can be loaded in Excel.
>
>
> Regards Don Stewart
> don...@fs...
>
>
>
> This communication and any attachments contains information which is  
> confidential and may be subject to legal privilege. It is for  
> intended recipients only. If you are not the intended recipient you  
> must not copy, distribute, publish, rely on or otherwise use it  
> without our consent. Some of our communications may contain  
> confidential information which it could be a criminal offence for  
> you to disclose or use without authority. If you have received this  
> email in error please notify pos...@fs... immediately and  
> delete the email from your computer.
>
> The FSA reserves the right to monitor all email communications for  
> compliance with legal, regulatory and professional standards.
> This email is not intended to nor should it be taken to create any  
> legal relations or contractual relationships. This email has  
> originated from
>
> The Financial Services Authority (FSA)
> 25 The North Colonnade,
> Canary Wharf,
> London
> E14 5HS
> United Kingdom
>
> Registered as a Limited Company in England and Wales No.1920623.
> Registered Office as above
>
> Switchboard: 020 7066 1000
> Web Site: http://www.fsa.gov.uk
> *****************************************************************
>
>



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

[Quantlib-dev] [ quantlib-Bugs-3163475 ] Error in qlInterpolation, probably easy to fix

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

Bugs item #3163475, was opened at 2011-01-21 14:00
Message generated for change (Tracker Item Submitted) made by probando
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3163475&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: probando excel (probando)
Assigned to: Nobody/Anonymous (nobody)
Summary: Error in qlInterpolation, probably easy to fix

Initial Comment:
Helo all, first of all i would want to say that i am an user.. nor a programmer.( and my first language is not english).

Im actualy using QuantLibXL 1.0.1, and i can use the function 'qlInterpolation' and the other functios that need an object of this kind with no problems. Except when selecting any Method of Interpolation that is related with cubic splines. For example: im success using "Linear" or "LogLinear" but when i tried "MonotonicNaturalCubicSpline"( or leave it in blank because its the default) i get an error(Type mismatch)... the same happens with other cubic spline as "NaturalCubicSpline".

Hope that someone has an answer for this.. because i dont think im doing anything wrong... 

Thanks in advance! Cya

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3163475&group_id=12740

Re: [Quantlib-dev] QuantLib Forum

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

On my side at least, I would like to say thanks to everybody who
organised the conference and also thanks for organising it in London and
travelling in to give your presentations -- it made it very convenient
and accessible for us who are here! 
 
I agree with summary that people were interested "more" of a lot of
things...  The two topics which particularly caught my eye was "more
Python" (and seeing that Luigi for example uses it often); and, plans
for new, SWIG-based, Excel add-in.

In fact thinking now about this, I see there could be a nice shortcut in
enabling this: write the Excel interface in Python. This would allow the
work to concentrate on the C++ -> Python SWIG wrapper, and Python
modules could then quite easily re-wrap this functionality for
Excel. This would also have the added advantage that a lot of
higher-level functionality could be in Python but still easily
accessible from Excel.  What do people think about this?

Best,
Bojan

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

Re: [Quantlib-dev] QuantLib Forum

[Dario C. <Dar...@st...>]

Tks Nando,
Your words are very nice and very much appreciated. Compliments to you all for the great job done on QuantLib.
Long live QuantLib!!
Cheers,
Dario

Sent via Blackberry.
This email and any files transmitted with it are confidential and intended solely for the intended recipient. If you are not the named addressee you should not disseminate, distribute, copy or alter this email. Any views or opinions presented in this email are solely those of the author and might not represent those of StatPro. Warning: Although StatPro has taken reasonable precautions to ensure no viruses are present in this email, the company cannot accept responsibility for any loss or damage arising from the use of this email or attachments.

Sent via Blackberry.

----- Original Message -----
From: fer...@gm... <fer...@gm...>
To: qua...@li... <qua...@li...>; QuantLib Mailing Lists <qua...@li...>
Cc: Dario Cintioli; Jeanine Leuckel; Barbara Seljak
Sent: Thu Jan 20 14:38:19 2011
Subject: QuantLib Forum

Hi all

as you probably know last Tuesday there has been the First QuantLib
Forum in London, sponsored by StatPro:
http://www.statpro.com/quantlib_forum.aspx

It has been a great time meeting a lot of "QL names" in person, both
the old friends and the new ones.

Luigi's acrobatics were surely the main attraction ;-), but all
presentations were very interesting, and the organization was
impeccable: kudos to all speakers and organizers, it has been a real
pleasure to collaborate with you.

This is not just my subjective opinion: there were about 90 delegates
attending the event, and according to the feedback forms 96% of them
would attend a future QuantLib Forum again. The event scored a
remarkable 5.23 out of 6.00!

The presentations are available at
http://www.statpro.com/quantlib_forum/quantlib_presentations.aspx

There has been a lot of suggestions for future initiatives: more
Python, more case studies, LMM, Credit, more (model) details, better
overview, more background for less experienced users, more academic
presentations, more examples on implementation.
In a word people wants more, which is great and we will take these
suggestions into account.

This first forum also marks the 10th QL anniversary, so this is a good
time for my heartfelt "thank you" to Dario Cintioli. While probably an
obscure name to the mailing list subscribers he has always encouraged
and sustained the QuantLib development since the first days at RiskMap
up to these days at StatPro. He has showed a forward looking attitude
quite rare between the managers I've worked with, and a remarkable
courage to invest his own resources in what might have appeared a
crazy project at the time

To wrap it up from my side while looking forward to other reports: if
you missed the first QL forum... well don't miss it next time!

ciao -- Nando


BlackSpider MailControl : To report this as spam, forward the email to sp...@ma...


This message is private and confidential. If you have received this message in error, please notify us and remove it from your system. Any views or opinions presented in this email are solely those of the author and might not represent those of StatPro. Warning: Although StatPro has taken reasonable precautions to ensure no viruses are present in this email, the company cannot accept responsibility for any loss or damage arising from the use of this email or attachments.

[Quantlib-dev] Last fixing date of a swap with respect to today [Kind of urgent]

[Leon S. <win...@gm...>]

Hi all

In quantlib, is there a way to query the last fixing date of a swap
with respect to the evaluation date?

Thanks tons

Leon

[Quantlib-dev] QuantLib Forum

[Ferdinando A. <na...@am...>]

Hi all

as you probably know last Tuesday there has been the First QuantLib
Forum in London, sponsored by StatPro:
http://www.statpro.com/quantlib_forum.aspx

It has been a great time meeting a lot of "QL names" in person, both
the old friends and the new ones.

Luigi's acrobatics were surely the main attraction ;-), but all
presentations were very interesting, and the organization was
impeccable: kudos to all speakers and organizers, it has been a real
pleasure to collaborate with you.

This is not just my subjective opinion: there were about 90 delegates
attending the event, and according to the feedback forms 96% of them
would attend a future QuantLib Forum again. The event scored a
remarkable 5.23 out of 6.00!

The presentations are available at
http://www.statpro.com/quantlib_forum/quantlib_presentations.aspx

There has been a lot of suggestions for future initiatives: more
Python, more case studies, LMM, Credit, more (model) details, better
overview, more background for less experienced users, more academic
presentations, more examples on implementation.
In a word people wants more, which is great and we will take these
suggestions into account.

This first forum also marks the 10th QL anniversary, so this is a good
time for my heartfelt "thank you" to Dario Cintioli. While probably an
obscure name to the mailing list subscribers he has always encouraged
and sustained the QuantLib development since the first days at RiskMap
up to these days at StatPro. He has showed a forward looking attitude
quite rare between the managers I've worked with, and a remarkable
courage to invest his own resources in what might have appeared a
crazy project at the time

To wrap it up from my side while looking forward to other reports: if
you missed the first QL forum... well don't miss it next time!

ciao -- Nando

Re: [Quantlib-dev] [Jquant-devel] Fw: [Quantlib-users] OFF TOPIC: Book on Term Structure Implementation

[Richard G. <rgo...@ya...>]

Hi Billy,

Thanks very much for your message and thank you guys from QuantLib 
mailing lists for forwarding Billy's question to us.

In order to avoid off topic messages on QuantLib mailing list, I'm 
finishing this answer here and I will send another message answering the 
question.

Thanks

Richard Gomes
M: +44(77)9955-6813
http://tinyurl.com/frgomes
twitter: frgomes

JQuantLib is a library for Quantitative Finance written in Java.
http://www.jquantlib.com/
twitter: jquantlib

On 20/01/11 13:13, JQuantLib Developers wrote:
> I use QL-SWIG. works reliably. JNI doesn't incur a performance hit if used carefully. May need to learn SWIG to expose QL methods that aren't yet exposed.
>
> Robert Philipp
> Synapse Financial Engineering
> 703.623.4063 (mobile)
> 703.537.0119 (fax)
>
> rob...@Sy...
> www.synapsefe.com
>
> On Jan 19, 2011, at 2:59 PM, Q Boiler<q.b...@ya...>  wrote:
>
>> Billy,
>> forwarding over to the Jquant-dev list.
>>
>> JQuantLib may not have Bonds Fully implemented at this point, however:
>> You can subscribe to the JQuantLib Mailing List.
>>
>> Once you settle on a project,
>> Please feel from to share the requirements on the JQL forum.
>> there is a chance that someone may shadow you on this effort.
>>
>> Best of Luck and Best Regards,
>>
>> | Q. Boiler |  P. (773)-21-QUANT | Blog: http://goo.gl/WxI5p
>>
>>
>>
>>
>> ----- Forwarded Message ----
>> From: "Johnson, Cedrick W."<ce...@ce...>
>> To: qua...@li...
>> Sent: Tue, January 18, 2011 8:58:32 PM
>> Subject: Re: [Quantlib-users] OFF TOPIC: Book on Term Structure Implementation
>>
>> you may want to take a look at JQuantLib:
>> http://www.jquantlib.org/index.php/Main_Page
>>
>> I see it was updated on jan 17, based on quantlib 0.9.7 so far..
>>
>> -c
>>
>> On 01/18/2011 12:35 PM, Billy Ng wrote:
>>>
>>> I am a MSc student planning for a project.
>>> This is my first financial project which involves adding in a Term Structure into an existing Package based on J2EE.
>>>
>>> Would that be a good approach for a first time project to use the QuantLib-SWIG wrapper approach?
>>> My concern is whether this is a robust approach with a sizable-to-large quantlib user base and active users in this mailing list.
>>>
>>> Any recommendation for a practical book in Term Structure Implementation such as using LIBOR Forward Model?
>>> Should I start with this book "Interest Rate Models - Theory and Practice, by D. Brigo, F. Mercurio"?
>>>
>>> Under QuantLib, any good example for reference?
>>> Is FittedBondCurve.cpp a good start?
>>>
>>> Many Thanks
>>>
>>> Billy Ng
>>> ------------------------------------------------------------------------------
>>> Protect Your Site and Customers from Malware Attacks
>>> Learn about various malware tactics and how to avoid them. Understand
>>> malware threats, the impact they can have on your business, and how you
>>> can protect your company and customers by using code signing.
>>> http://p.sf.net/sfu/oracle-sfdevnl
>>> _______________________________________________
>>> QuantLib-users mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>> ------------------------------------------------------------------------------
>> Protect Your Site and Customers from Malware Attacks
>> Learn about various malware tactics and how to avoid them. Understand
>> malware threats, the impact they can have on your business, and how you
>> can protect your company and customers by using code signing.
>> http://p.sf.net/sfu/oracle-sfdevnl
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>> ------------------------------------------------------------------------------
>> Protect Your Site and Customers from Malware Attacks
>> Learn about various malware tactics and how to avoid them. Understand
>> malware threats, the impact they can have on your business, and how you
>> can protect your company and customers by using code signing.
>> http://p.sf.net/sfu/oracle-sfdevnl
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> ------------------------------------------------------------------------------
> Protect Your Site and Customers from Malware Attacks
> Learn about various malware tactics and how to avoid them. Understand
> malware threats, the impact they can have on your business, and how you
> can protect your company and customers by using code signing.
> http://p.sf.net/sfu/oracle-sfdevnl
> _______________________________________________
> Jquant-devel mailing list
> Jqu...@li...
> https://lists.sourceforge.net/lists/listinfo/jquant-devel
>