quantlib-dev — Discussion of QuantLib development

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

[Philipp R. <rob...@gm...>]

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
>> ------------------------------------------------------------------------------
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>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
> 
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Re: [Quantlib-dev] [Quantlib-users] OFF TOPIC: Book on Term Structure Implementation

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

The reason I am seeking comments on the Quantlib/SWIG approach is speed.

Any comment on the speed of JQuantlib?
I read in their benefits "running at speeds competitive with C++"

For Quantlib, any comment in the speed in real life deployment?
What functions are good for speed benchmark in general, to differentiate good programming practice?

Billy Ng


  -----Original Message-----
  From: Q Boiler [mailto:q.b...@ya...]
  Sent: Thursday, January 20, 2011 4:00 AM
  To: Billy Ng; JQuantLib Developers
  Cc: qua...@li...; qua...@li...
  Subject: Fw: [Quantlib-users] OFF TOPIC: Book on Term Structure Implementation


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

[Q B. <q.b...@ya...>]

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[Quantlib-dev] [ quantlib-Patches-3161158 ] Added missing body for MakeSwaption member function

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

Patches item #3161158, was opened at 2011-01-18 20:55
Message generated for change (Tracker Item Submitted) made by 
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3161158&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,
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Leon Sit ()
Assigned to: Nobody/Anonymous (nobody)
Summary: Added missing body for MakeSwaption member function

Initial Comment:
Added missing body for MakeSwaption member function

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

[Don S. <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...



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Re: [Quantlib-dev] [Quantlib-users] Inflation Linked Gilt

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

Thanks tons! I will look into it and let you know.

I was implementing it for gilt and the day counting convention was
terribly confusing.

Leon



On Sun, Jan 16, 2011 at 2:20 PM, Chris Kenyon <chr...@ya...> wrote:
> Hi Leon,
>
> I've added an inflation-lined bond into the QL trunk, as CPIbond in
> ql/instruments/bonds/cpibond.cpp.
>
> If you look at the new test inflationcpiswap.cpp you'll see how it works -
> all comments/suggestions welcome.
>
> I've also added some other CPI-linked functionality e.g. CPI-swaps and a
> CPICapFloor Instrument (test is in inflationcpicapfloor.cpp).
>
> Regards,
>
> Chris
>
> On Thu, 2011-01-06 at 15:00 -0600, Leon Sit wrote:
>>> I am trying to implement Inflation Linked Gilt. Is there a general
>>> advice on what part of quantlib I can reuse? I think I can probably
>>> reuse InflationTermStructurem, InflationIndex, and Bond. Any
>
>>> implementation advice?
>
>>You'll probably want to inherit a class from Coupon that takes an
>>InflationIndex and uses it to implement its rate() and accruedAmount()
>>methods (possibly a ZeroInflationIndex.  I find it easier to cope with;
>>the YoYInflationIndex is a bit more quirky about retrieving fixings.)
>
>>Once you have the coupon, you can inherit a class from Bond. The
>>constructor will assemble the correct cash flows. If you're lucky, that
>>would be all; if instead your bond price must be rescaled by some
>>inflation factor, you'll have to put that calculation somewhere.  You
>>might override performCalculation to do the rescaling after calling the
>>base-class implementation.
>
>>Luigi
>
> ------------------------------------------------------------------------------
> 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.
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> _______________________________________________
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> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>

Re: [Quantlib-dev] Inflation Linked Gilt

[Chris K. <chr...@ya...>]

Hi Leon,
I've added an inflation-lined bond into the QL trunk, as CPIbond in 
ql/instruments/bonds/cpibond.cpp.  
If you look at the new test inflationcpiswap.cpp you'll see how it works - all 
comments/suggestions welcome.  
I've also added some other CPI-linked functionality e.g. CPI-swaps and a 
CPICapFloor Instrument (test is in inflationcpicapfloor.cpp). 

Regards,
Chris
On Thu, 2011-01-06 at 15:00 -0600, Leon Sit wrote: >> I am trying to implement 
Inflation Linked Gilt. Is there a general >> advice on what part of quantlib I 
can reuse? I think I can probably >> reuse InflationTermStructurem, 
InflationIndex, and Bond. Any
>> implementation advice?  >You'll probably want to inherit a class from Coupon 
>>that takes an >InflationIndex and uses it to implement its rate() and 
>>accruedAmount() >methods (possibly a ZeroInflationIndex.  I find it easier to 
>>cope with; >the YoYInflationIndex is a bit more quirky about retrieving 
>>fixings.)  >Once you have the coupon, you can inherit a class from Bond. The 
>>>constructor will assemble the correct cash flows. If you're lucky, that >would 
>>be all; if instead your bond price must be rescaled by some >inflation factor, 
>>you'll have to put that calculation somewhere.  You >might override 
>>performCalculation to do the rescaling after calling the >base-class 
>>implementation.  >Luigi

Re: [Quantlib-dev] Template based Hull White model

[Sebastian S. <seb...@sc...>]

Hi Arthur,

thank you for your comment. Indeed the patch file was not complete. Sorry for that.
I just submitted a revised patch file. In case my SVN tool again misses something I
also added the source files I added/modified. 

Unfortunately I had some trouble with the patch tool. Therefore I added a duplicate
item instead of a new attachment.

Meanwhile I also coded an AD enabled HW model. Since I use an unpublished tool
by a collegue I can not submit the complete code. However I added my QL files to
the ZIP (NOT in the diff-patch). This illustrates how Automatic Differentiation may 
work in this context in principle. I think it would be easy to adapt it to an open source
AD tool like ADOL-C for example.

Please let me know if you have any comments or problems with the patch.

Sebastian


On Jan 13, 2011, Arthur Pham <art...@gm...> wrote: 

Hi Sebastian,
I have some trouble to compile this.Did you svn add everything ? Seems that i miss some files in QuantLib\ql\experimental\templatehullwhite after I apply the patch.

 I've personally used automatic differentiation for conjugate gradient minization and also for certain greeks calculations (with closed formed formula for the premium). It looks much better than the classic "finite difference" calculation for greeks.

Cheers,
Arthur PHA...@gm...
On Mon, Jan 10, 2011 at 6:40 AM, Sebastian Schlenkrich <seb...@sc...> wrote:




Hi Luigi,



thanks for your response. I just submitted a patch and an example XL workbook.



Please let me know if you have any questions or remarks.



Sebastian





On Jan 7, 2011, Luigi Ballabio <lui...@gm...> wrote:



On Tue, 2010-12-28 at 14:05 +0000, seb...@sc... wrote:

> I coded a Hull White model in the QuantLib framework which I would

> like to contribute to the experimental folder. I am aware that there

> is already a Hull White model in QuantLib. Nevertheless I think it is

> not duplicate work. [...] I would like to know if I should simply

> submit a patch and/or if you would like to discuss the approach first

> in the mailing list.



Hi Sebastian,

I guess any discussion would require seeing the code anyway, so please

go ahead and submit the patch.



Thanks,

Luigi





--



A little inaccuracy sometimes saves tons of explanation.

-- H.H. Munro, "Saki"







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_______________________________________________

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[Quantlib-dev] [ quantlib-Patches-3159383 ] Template-based Hull White model - correction of patch file

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

Patches item #3159383, was opened at 2011-01-16 20:41
Message generated for change (Settings changed) made by sschlenkrich
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3159383&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: sschlenkrich (sschlenkrich)
Assigned to: Nobody/Anonymous (nobody)
>Summary: Template-based Hull White model - correction of patch file

Initial Comment:
In the original patch there were two source files missing. This attachment replaces the original patch.

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

You can respond by visiting: 
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[Quantlib-dev] [ quantlib-Patches-3159383 ] Template-based Hull White - correction of patch file

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

Patches item #3159383, was opened at 2011-01-16 20:41
Message generated for change (Settings changed) made by sschlenkrich
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3159383&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: sschlenkrich (sschlenkrich)
Assigned to: Nobody/Anonymous (nobody)
>Summary: Template-based Hull White - correction of patch file

Initial Comment:
In the original patch there were two source files missing. This attachment replaces the original patch.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3159383&group_id=12740

[Quantlib-dev] [ quantlib-Patches-3159383 ] Correction of original patch file

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

Patches item #3159383, was opened at 2011-01-16 20:41
Message generated for change (Tracker Item Submitted) made by sschlenkrich
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3159383&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: sschlenkrich (sschlenkrich)
Assigned to: Nobody/Anonymous (nobody)
Summary: Correction of original patch file

Initial Comment:
In the original patch there were two source files missing. This attachment replaces the original patch.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3159383&group_id=12740

Re: [Quantlib-dev] Template based Hull White model

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

Hi Sebastian,

I have some trouble to compile this.
Did you svn add everything ? Seems that i miss some files in
QuantLib\ql\experimental\templatehullwhite after I apply the patch.

 I've personally used automatic differentiation for conjugate gradient
minization and also for certain greeks calculations (with closed formed
formula for the premium). It looks much better than the classic "finite
difference" calculation for greeks.

Cheers,

Arthur PHAM
art...@gm...

On Mon, Jan 10, 2011 at 6:40 AM, Sebastian Schlenkrich <
seb...@sc...> wrote:

>
> Hi Luigi,
>
> thanks for your response. I just submitted a patch and an example XL
> workbook.
>
> Please let me know if you have any questions or remarks.
>
> Sebastian
>
>
> On Jan 7, 2011, Luigi Ballabio <lui...@gm...> wrote:
>
> On Tue, 2010-12-28 at 14:05 +0000, seb...@sc... wrote:
> > I coded a Hull White model in the QuantLib framework which I would
> > like to contribute to the experimental folder. I am aware that there
> > is already a Hull White model in QuantLib. Nevertheless I think it is
> > not duplicate work. [...] I would like to know if I should simply
> > submit a patch and/or if you would like to discuss the approach first
> > in the mailing list.
>
> Hi Sebastian,
> I guess any discussion would require seeing the code anyway, so please
> go ahead and submit the patch.
>
> Thanks,
> Luigi
>
>
> --
>
> A little inaccuracy sometimes saves tons of explanation.
> -- H.H. Munro, "Saki"
>
>
>
>
> ------------------------------------------------------------------------------
> Gaining the trust of online customers is vital for the success of any
> company
> that requires sensitive data to be transmitted over the Web.   Learn how to
> best implement a security strategy that keeps consumers' information secure
> and instills the confidence they need to proceed with transactions.
> http://p.sf.net/sfu/oracle-sfdevnl
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Re: [Quantlib-dev] Problem with abstrat class

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

On Tue, 2011-01-11 at 08:17 +0100, tar...@li... wrote:
> I've added into ql/processes a new class with is the same as 
> blackscholesprocess class with a very small change to handle a quanto 
> adjustment.
> I can build quantlib but when I go to use this class into my project it 
> returns me the error
> "cannot instantiate abstract class".
> 
> any suggestion?

Check that you provided implementations for all pure virtual methods
defined in the base classes.

Luigi


-- 

The wisdom of the wise and the experience of the ages are perpetuated 
by quotations. 
-- Benjamin Disraeli 

[Quantlib-dev] Problem with abstrat class

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

Hello,

I've added into ql/processes a new class with is the same as 
blackscholesprocess class with a very small change to handle a quanto 
adjustment.
I can build quantlib but when I go to use this class into my project it 
returns me the error
"cannot instantiate abstract class".

any suggestion?

thanks in advance,
regards,
Paolo

Re: [Quantlib-dev] MarketModelPathwiseDiscounter::getFactors() does not resize factors vector

[Mark j. <mar...@gm...>]

i have put a fix into PathwiseAccountingEngine

regards

Mark


On 27 December 2010 07:24, Mark joshi <mar...@gm...> wrote:

> I am on holiday right now.
>
> Andreas is probably right. I'll look into it when I get back to the office.
>
> Happy Solstice!
>
> Mark
>
>
> --
>
> Prof Mark Joshi
> Centre for Actuarial Studies
> University of Melbourne
> My website is www.markjoshi.com
>



-- 

Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com

Re: [Quantlib-dev] Proposed change to RangeAccrual classes

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

On Wed, 2010-12-22 at 14:17 +0100, Andreas Spengler wrote:
> I am currently looking into the classes surrounding the RangeAccrualLeg;
> as there are variations of those on the market which (at times) pay out a
> portion of a fixed coupon instead of a portion of an index, I would
> propose the addition of an "alternativeFixedRate" member as outlined
> below.
> 
> Could someone give me a hint as to how I would integrate this alternative
> into the "RangeAccrualPricer"s; also, how would I go about integrating the
> spread into the accrual formula? [(3M-Libor + x% spread) * n/N - where n
> is the # of days in the period that satisfy the range condition and N is
> the total # of days in the period...]

You might consider writing a different coupon class instead of adding
another parameter to the existing one---especially since the formula for
pricing the coupon with alternative spread would be different (a sum of
digital options on Libor, possibly?)  Trying to shoehorn both inside the
pricer might be a bit of a tall order, seeing as it's quite complex
already.  Also, inheriting your new class from Coupon instead of
FloatingRateCoupon might allow you to skip the pricer machinery and just
override the rate() method, which would be simpler.  You might switch to
a pricer later, if you need more methods to price the coupon.

Luigi


-- 

A debugged program is one for which you have not yet found the 
conditions that make it fail. 
-- Jerry Ogdin 

Re: [Quantlib-dev] Template based Hull White model

[Sebastian S. <seb...@sc...>]

Hi Luigi,

thanks for your response. I just submitted a patch and an example XL workbook.

Please let me know if you have any questions or remarks.

Sebastian


On Jan 7, 2011, Luigi Ballabio <lui...@gm...> wrote: 

On Tue, 2010-12-28 at 14:05 +0000, seb...@sc... wrote:
> I coded a Hull White model in the QuantLib framework which I would
> like to contribute to the experimental folder. I am aware that there
> is already a Hull White model in QuantLib. Nevertheless I think it is
> not duplicate work. [...] I would like to know if I should simply
> submit a patch and/or if you would like to discuss the approach first
> in the mailing list.

Hi Sebastian,
I guess any discussion would require seeing the code anyway, so please
go ahead and submit the patch.

Thanks,
Luigi


-- 

A little inaccuracy sometimes saves tons of explanation. 
-- H.H. Munro, "Saki" 

[Quantlib-dev] [ quantlib-Patches-3154178 ] Template-based Hull White Model

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

Patches item #3154178, was opened at 2011-01-10 12:32
Message generated for change (Tracker Item Submitted) made by sschlenkrich
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3154178&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,
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: sschlenkrich (sschlenkrich)
Assigned to: Nobody/Anonymous (nobody)
Summary: Template-based Hull White Model

Initial Comment:
Hi,

as explained in the QuantLib-dev thread "Template based Hull White model" I would like to contribute an alternative implementation of a Hull White model to the experimental folder.

Sebastian

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3154178&group_id=12740

Re: [Quantlib-dev] Issues with C# Swig Bindings, NUnit and Settings.instance().setEvaluationDate()

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

On Tue, 2011-01-04 at 19:29 +0100, Henner Heck wrote:
> Here is one quick scenario i got from the debugger [...] The observer
> at index 13 is recognized only as Observer, which seems odd, and it is
> also the observer in which update() fails (this == 0x19ef7398). It
> seems to me that it is not a fully constructed/destructed IborCoupon
> object.

Yes, it seems so.  Strange...  Is there any chance that we can reproduce
this in C++?

Luigi


-- 

No, I'm not interested in developing a powerful brain. All I'm after 
is just a mediocre brain, something like the president of American 
Telephone and Telegraph Company. 
-- Alan Turing on the possibilities of a thinking machine, 1943. 

Re: [Quantlib-dev] Template based Hull White model

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

On Tue, 2010-12-28 at 14:05 +0000, seb...@sc... wrote:
> I coded a Hull White model in the QuantLib framework which I would
> like to contribute to the experimental folder. I am aware that there
> is already a Hull White model in QuantLib. Nevertheless I think it is
> not duplicate work. [...] I would like to know if I should simply
> submit a patch and/or if you would like to discuss the approach first
> in the mailing list.

Hi Sebastian,
	I guess any discussion would require seeing the code anyway, so please
go ahead and submit the patch.

Thanks,
	Luigi


-- 

A little inaccuracy sometimes saves tons of explanation. 
-- H.H. Munro, "Saki" 

Re: [Quantlib-dev] Returning multiple values from a Monte-Carlo pricing engine

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

On Tue, 2011-01-04 at 10:22 +0000, Simon Ibbotson wrote:
> Unfortunately, that would mean producing a specialised template routine
> for McSimulation::value() (and others) as we cannot instantiate both
> result_type of Array and result_type of double using begin() and end()
> arguments. That would take us back to the beginning of this email
> chain...

Oh, rats.

> I personally would go for a constructor of Array(const
> std::vector<double>&) for simplicity. Would you agree?

Hmm, I don't like coupling Array and vector.  I'd try doing it as
locally as possible.  For example, in McSimulation, we could use two
template functions copy and combine (add? average?) instead of operator=
and operator+ so that we can write specializations for double and
Array/vector.




-- 

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

Re: [Quantlib-dev] Issues with C# Swig Bindings, NUnit and Settings.instance().setEvaluationDate()

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

This is a bit of a long shot, but:

Might be worth checking if there is a situation in which
setEvaluationDate gets called from a constructor of an object? This
probably isn't a good idea and could lead to partially constructed
objects that you are seeing.

Best,
Bojan

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

Re: [Quantlib-dev] Handle class conversion. Open discussion.

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

On Tue, 2011-01-04 at 10:36 +0000, Simon Ibbotson wrote:
> I created some dynamic_handle_cast code about 2 years ago. There was
> some discussion at the time: see 28th Feb 2008
> 
> http://osdir.com/ml/finance.quantlib.devel/2008-02/
> 
> I submitted an implementation but had no response - and it hasn't made
> its way into the library. I can provide it again if required.

Hi Simon,
	sorry for the contribution being lost silently---I guess I lost track
of it.  I went back to it, and it seems to me it adds quite a bit of
complexity to the Handle class.  We can discuss it, though (for
instance, would it be acceptable for your use cases to have a separate
class for that?)

However, unless I misinterpreted Kakhkhor's post, his proposal was to
enable upcasting from Handle<Derived> to Handle<Base>, while yours
implemented downcasting from Handle<Base> to Handle<Derived>.  I think
upcasting was not implemented originally because all handles were
relinkable, and that made upcasting risky (as in:

class A {};
class B : public A {};
class C : public A {};

Handle<B> h1;
Handle<A> h2 = h1;
h2.linkTo(shared_ptr<C>(...));
// ... and now you're in trouble, because your 
// original Handle<B> links to a C which is not a B.

for the same reason, C++ doesn't allow casting from Derived** to Base**)

But now that you can't link through a Handle, it might be safe (provided
that when you upcast a RelinkableHandle you get a simple Handle.)

Luigi


-- 

Don't say "yes" until I finish talking. 
-- Darryl F. Zanuck 

Re: [Quantlib-dev] Handle class conversion. Open discussion.

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

I agree on the proposal and sorry Simon if your previous contribution
was missed.

Luigi?

ciao -- Nando

On Tue, Jan 4, 2011 at 11:36 AM, Simon Ibbotson
<Sim...@fs...> wrote:
> Hi Kakhkhor,
>
> I created some dynamic_handle_cast code about 2 years ago. There was
> some discussion at the time: see 28th Feb 2008
>
> http://osdir.com/ml/finance.quantlib.devel/2008-02/
>
> I submitted an implementation but had no response - and it hasn't made
> its way into the library. I can provide it again if required.
>
> Simon
>
> -----Original Message-----
> From: Kakhkhor Abdijalilov [mailto:kab...@gm...]
> Sent: 24 December 2010 23:39
> To: qua...@li...
> Subject: [Quantlib-dev] Handle class conversion. Open discussion.
>
> Dear all,
> Current implementation of Handle class doesn't permit conversion from
> Handle<Derived> to Handle<Base>. If we supply Handle<Base> with
> converting constructor, an instance of Handle<Derived> could be
> substituted where an instance of Handle<Base> is expected. For
> example, an instance of Handle<SimpleQuote> could be passed  to term
> structure constructors instead of Handle<Quote> instance. This
> conversion makes sense, since SimpleQuote is a subtype of Quote.
>
> Enabling conversion would allow user code use derived class features
> without a need for dynamic casting. Safety of conversion can be
> checked at runtime, similar to pointer down-casting.
>
> I did some coding in this direction and so far everything looks OK.
> Since it is a design decision and not a bug fix, I wanted to know what
> other think before submitting my code.
>
> Regards,
> Kakhkhor Abdijalilov.
>
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Re: [Quantlib-dev] Issues with C# Swig Bindings, NUnit and Settings.instance().setEvaluationDate()

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

I changed the pure virtual update() method in QuantLib::Observer
to this to get a breakpoint inside the observer that causes the error:

virtual void update() {
	DebugBreak();
}


Here is one quick scenario i got from the debugger when the DebugBreak()  
triggered:




-		this	0x19ef7398 {observables_=[3]({px=0x19bfd760 pn={...}  
},{px=0x19d69608 pn={...} },{px=0x19dc5638 pn={...} })  
}	QuantLib::Observer * const

+		__vfptr	0x62780ee8 const QuantLib::Observer::`vftable'	*
-		observables_	[3]({px=0x19bfd760 pn={...} },{px=0x19d69608 pn={...}  
},{px=0x19dc5638 pn={...}  
})	std::list<boost::shared_ptr<QuantLib::Observable>,std::allocator<boost::shared_ptr<QuantLib::Observable>  
> >

-		[0]	{px=0x19bfd760 pn={...} }	boost::shared_ptr<QuantLib::Observable>
-		px	0x19bfd760 {coupon_=??? discount_=??? gearing_=???  
...}	QuantLib::Observable *
+		__vfptr	0x627c6054 const QuantLib::BlackIborCouponPricer::`vftable'{for  
`QuantLib::Observable'}	*
-		observers_	[13](0x19ef7e28 {iborIndex_={...} },0x19ef7d58  
{iborIndex_={...} },0x19ef7c88 {iborIndex_={...} },0x19ef7bb8  
{iborIndex_={...} },0x19ef7ae8 {iborIndex_={...} },0x19ef7a18  
{iborIndex_={...} },0x19ef7948 {iborIndex_={...} },0x19ef7878  
{iborIndex_={...} },0x19ef77a8 {iborIndex_={...} },0x19ef76d8  
{iborIndex_={...} },0x19ef7608 {iborIndex_={...} },0x19ef7538  
{iborIndex_={...} },0x19ef7468  
{iborIndex_=,...)	std::list<QuantLib::Observer  
*,std::allocator<QuantLib::Observer *> >
+		[0]	0x19ef7e28 {iborIndex_={...} }	QuantLib::Observer *
+		[1]	0x19ef7d58 {iborIndex_={...} }	QuantLib::Observer *
+		[2]	0x19ef7c88 {iborIndex_={...} }	QuantLib::Observer *
+		[3]	0x19ef7bb8 {iborIndex_={...} }	QuantLib::Observer *
+		[4]	0x19ef7ae8 {iborIndex_={...} }	QuantLib::Observer *
+		[5]	0x19ef7a18 {iborIndex_={...} }	QuantLib::Observer *
+		[6]	0x19ef7948 {iborIndex_={...} }	QuantLib::Observer *
+		[7]	0x19ef7878 {iborIndex_={...} }	QuantLib::Observer *
+		[8]	0x19ef77a8 {iborIndex_={...} }	QuantLib::Observer *
+		[9]	0x19ef76d8 {iborIndex_={...} }	QuantLib::Observer *
+		[10]	0x19ef7608 {iborIndex_={...} }	QuantLib::Observer *
+		[11]	0x19ef7538 {iborIndex_={...} }	QuantLib::Observer *
+		[12]	0x19ef7468 {iborIndex_={...} }	QuantLib::Observer *
+		pn	{pi_=0x19eecfd0 }	boost::detail::shared_count

-		[1]	{px=0x19d69608 pn={...} }	boost::shared_ptr<QuantLib::Observable>
-		px	0x19d69608 {observers_=[1218](0x19f17418 {iborIndex_={...}  
},0x19f17348 {iborIndex_={...} },0x19f17278 {iborIndex_={...} },0x19f171a8  
{iborIndex_={...} },0x19f170d8 {iborIndex_={...} },0x19f17008  
{iborIndex_={...} },0x19f16f38 {iborIndex_={...} },0x19f16e68  
{iborIndex_={...} },0x19f16d98 {iborIndex_={...} },0x19f16cc8  
{iborIndex_={...} },0x19f16bf8 {iborIndex_={...} },0x19f16b28 {iborIndex_=  
},  	QuantLib::Observable *
+		__vfptr	0x6277f90c const QuantLib::Observable::`vftable'	*
+		observers_	[1218](0x19f17418 {iborIndex_={...} },0x19f17348  
{iborIndex_={...} },0x19f17278 {iborIndex_={...} },0x19f171a8  
{iborIndex_={...} },0x19f170d8 {iborIndex_={...} },0x19f17008  
{iborIndex_={...} },0x19f16f38 {iborIndex_={...} },0x19f16e68  
{iborIndex_={...} },0x19f16d98 {iborIndex_={...} },0x19f16cc8  
{iborIndex_={...} },0x19f16bf8 {iborIndex_={...} },0x19f16b28  
{iborIndex_={...} },0x19f16a58  
{iborIndex,...)	std::list<QuantLib::Observer  
*,std::allocator<QuantLib::Observer *> >
+		pn	{pi_=0x19d685e8 }	boost::detail::shared_count

-		[2]	{px=0x19dc5638 pn={...} }	boost::shared_ptr<QuantLib::Observable>
-		px	0x19dc5638	QuantLib::Observable *
+		[QuantLib::Euribor6M]	{...}	QuantLib::Euribor6M
+		__vfptr	0x627858c4 const QuantLib::Euribor6M::`vftable'{for  
`QuantLib::Index'}	*
-		observers_	[14](0x19ef7e28 {iborIndex_={...} },0x19ef7d58  
{iborIndex_={...} },0x19ef7c88 {iborIndex_={...} },0x19ef7bb8  
{iborIndex_={...} },0x19ef7ae8 {iborIndex_={...} },0x19ef7a18  
{iborIndex_={...} },0x19ef7948 {iborIndex_={...} },0x19ef7878  
{iborIndex_={...} },0x19ef77a8 {iborIndex_={...} },0x19ef76d8  
{iborIndex_={...} },0x19ef7608 {iborIndex_={...} },0x19ef7538  
{iborIndex_={...} },0x19ef7468  
{iborIndex_=,...)	std::list<QuantLib::Observer  
*,std::allocator<QuantLib::Observer *> >
+		[0]	0x19ef7e28 {iborIndex_={...} }	QuantLib::Observer *
+		[1]	0x19ef7d58 {iborIndex_={...} }	QuantLib::Observer *
+		[2]	0x19ef7c88 {iborIndex_={...} }	QuantLib::Observer *
+		[3]	0x19ef7bb8 {iborIndex_={...} }	QuantLib::Observer *
+		[4]	0x19ef7ae8 {iborIndex_={...} }	QuantLib::Observer *
+		[5]	0x19ef7a18 {iborIndex_={...} }	QuantLib::Observer *
+		[6]	0x19ef7948 {iborIndex_={...} }	QuantLib::Observer *
+		[7]	0x19ef7878 {iborIndex_={...} }	QuantLib::Observer *
+		[8]	0x19ef77a8 {iborIndex_={...} }	QuantLib::Observer *
+		[9]	0x19ef76d8 {iborIndex_={...} }	QuantLib::Observer *
+		[10]	0x19ef7608 {iborIndex_={...} }	QuantLib::Observer *
-		[11]	0x19ef7538 {iborIndex_={...} }	QuantLib::Observer *
+		[QuantLib::IborCoupon]	{iborIndex_={...} }	QuantLib::IborCoupon
+		__vfptr	0x627c5fc4 const QuantLib::IborCoupon::`vftable'{for  
`QuantLib::Observer'}	*
+		observables_	[3]({px=0x19bfd760 pn={...} },{px=0x19d69608 pn={...}  
},{px=0x19dc5638 pn={...}  
})	std::list<boost::shared_ptr<QuantLib::Observable>,std::allocator<boost::shared_ptr<QuantLib::Observable>  
> >
-		[12]	0x19ef7468 {iborIndex_={...} }	QuantLib::Observer *
+		[QuantLib::IborCoupon]	{iborIndex_={...} }	QuantLib::IborCoupon
+		__vfptr	0x627c5fc4 const QuantLib::IborCoupon::`vftable'{for  
`QuantLib::Observer'}	*
+		observables_	[3]({px=0x19bfd760 pn={...} },{px=0x19d69608 pn={...}  
},{px=0x19dc5638 pn={...}  
})	std::list<boost::shared_ptr<QuantLib::Observable>,std::allocator<boost::shared_ptr<QuantLib::Observable>  
> >
-		[13]	0x19ef7398 {observables_=[3]({px=0x19bfd760 pn={...}  
},{px=0x19d69608 pn={...} },{px=0x19dc5638 pn={...} })  
}	QuantLib::Observer *
-		__vfptr	0x62780ee8 const QuantLib::Observer::`vftable'	*
		[0]	0x61fd201c QuantLib::Observer::`vector deleting destructor'(unsigned  
int)	*
		[1]	0x61fcd7b5 QuantLib::Observer::update(void)	*
+		observables_	[3]({px=0x19bfd760 pn={...} },{px=0x19d69608 pn={...}  
},{px=0x19dc5638 pn={...}  
})	std::list<boost::shared_ptr<QuantLib::Observable>,std::allocator<boost::shared_ptr<QuantLib::Observable>  
> >
+		pn	{pi_=0x19eeb5d0 }	boost::detail::shared_count




The Call Stack:



  	KernelBase.dll!761422a1() 	
  	[Frames below may be incorrect and/or missing, no symbols loaded for  
KernelBase.dll]	
> 	QuantLibJNI.dll!QuantLib::Observer::update()  Line 81 + 0x8 bytes	C++
  	QuantLibJNI.dll!QuantLib::Observable::notifyObservers()  Line 130 + 0x31  
bytes	C++
  	QuantLibJNI.dll!QuantLib::InterestRateIndex::update()  Line 94	C++
  	QuantLibJNI.dll!QuantLib::Observable::notifyObservers()  Line 130 + 0x31  
bytes	C++
  	QuantLibJNI.dll!QuantLib::ObservableValue<QuantLib::Date>::operator=(const  
QuantLib::Date & t={...})  Line 81	C++
  	QuantLibJNI.dll!QuantLib::Settings::DateProxy::operator=(const  
QuantLib::Date & d={...})  Line 37	C++
  	QuantLibJNI.dll!Settings_setEvaluationDate(QuantLib::Settings *  
self=0x19d685a8, const QuantLib::Date & d={...})  Line 4384	C++
  	QuantLibJNI.dll!Java_org_quantlib_QuantLibJNI_Settings_1setEvaluationDate(JNIEnv_  
* jenv=0x01ca4918, _jclass * jcls=0x003dfa4c, __int64 jarg1=433489320,  
_jobject * jarg1_=0x003dfa60, __int64 jarg2=433778680, _jobject *  
jarg2_=0x003dfa54)  Line 24282 + 0xd bytes	C++
  	0243e772()	
  	jvm.dll!6d8e3a9c() 	


The observable at index [2], an Euribor6M IborIndex, has 14 observers.
I assume all of them should be IborCoupons. The observer at index 13 is
recognized only as Observer, which seems odd, and it is also the observer
in which update() fails (this == 0x19ef7398). It seems to me that it is not
a fully constructed/destructed IborCoupon object.
In my final Euribor6M index i expect 21 coupons.

Best regards,
Henner Heck