quantlib-dev — Discussion of QuantLib development

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

[Andreas S. <an...@sp...>]

Hi,

in trying to use QLs MarketModel classes for implementing a Target
Redemption Note, I found that MarketModelPathwiseDiscounter::getFactors()
does not resize the "factors" parameter properly before writing into it,
thereby overwriting members of the calling object in my environment (i.e.
PathwiseAccountingEngine::numberCashFlowsThisIndex_).

With the following change, the error is avoided:

*** pathwisediscounter.cpp      2010-12-21 08:28:38.000000000 +0100
--- pathwisediscounter.cpp.orig 2010-12-21 08:30:11.000000000 +0100
***************
*** 59,66 ****
      Real preDF = Discounts[currentStep][before_];
      Real postDF = Discounts[currentStep][before_+1];

-     factors.resize(numberRates_ + 1);
-
      for (Size i=before_+1; i<numberRates_; ++i)
          factors[i+1] =0.0;

--- 59,64 ----


Rgds,
Andreas

[Quantlib-dev] [ quantlib-Patches-3139291 ] Enhancement to linear least squares regression

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

Patches item #3139291, was opened at 2010-12-17 15:13
Message generated for change (Comment added) made by shlagbaum
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3139291&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: Slava Mazur (shlagbaum)
Assigned to: Nobody/Anonymous (nobody)
Summary: Enhancement to linear least squares regression

Initial Comment:
The idea behind proposed enhancement is application of the current linear least squares regression to a wider range of containers. Currently the input data must be in std::vector<double>. However, in my particular case for example, i need to perform linear least squares on the data in boost::circular_buffer<double> and it is highly undesirable to create vector copies of the original data just to satisfy rather rigid requirements of the current linear least squares design. A proposed patch relaxes such a requirement and at the same time preserves backward compatibility. A correspondent test case is added to the test_suite.

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

Comment By: Slava Mazur (shlagbaum)
Date: 2010-12-20 13:13

Message:
I agree, but the reason for the proposed design was the current design of
the LinearRegression class, which handles both 1d and multi-dimensional
regressions. In addition to generalize wrt input data type, my goal was to
optimize the existing solution, since currently LinearRegression class
treats a one-dimensional regression as being a multi-dimensional one, which
introduces although small, but an overhead in 1d case. Such an overhead may
become significant if LinearRegression is used repeatedly in a loop. If the
LinearRegression class were a template instead, things would be much
simpler, but this would break the backward compatibility. 

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

Comment By: Klaus Spanderen (klausspanderen)
Date: 2010-12-18 11:22

Message:
Enhancing the flexibilty of the class LinearLeastSquaresRegression is a
good idea. Just a design question: instead of adding more classes would it
be better for the "end user" to stay with one LinearLeastSquaresRegression
class but add two "templatized" constructors to this class? These
constructors would allow  e.g. boost::circular_buffer<double> to be used as
input parameters.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3139291&group_id=12740

[Quantlib-dev] [ quantlib-Patches-3140878 ] SWIG, calendars.i, added name(), added BespokeCalendar

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

Patches item #3140878, was opened at 2010-12-20 18:04
Message generated for change (Tracker Item Submitted) made by hheck
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3140878&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: hheck (hheck)
Assigned to: Nobody/Anonymous (nobody)
Summary: SWIG, calendars.i, added name(), added BespokeCalendar

Initial Comment:
Additions to QuantLib-SWIG/SWIG/calendars.i:
+exposed Calendar::name() via SWIG
+exposed BespokeCalendar via SWIG


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

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Re: [Quantlib-dev] A little bit of documentation

[Rob P. <rob...@sy...>]

Bitbucket is excellent for Mercurial. If you're inclined to use Mercurial. 

Rob Philipp
703.623.4063 (cell)
703.537.0119 (fax)
rob...@Sy...


On Dec 18, 2010, at 12:00 PM, Luigi Ballabio <lui...@gm...> wrote:

> 
> On Dec 18, 2010, at 3:41 PM, Dima wrote:
> 
>> You're absolutely right, apologies. I'll put everything online  
>> (including latex and C++
>> code) and will post a link. If there are people out there who know  
>> LaTex, have time,
>> energy and persistence and would like to put the slides in a book,  
>> let me know. I
>> have started to set something up and have a non-finished book  
>> version of the slides.
>> One can move from there easily.
> 
> 
> You'll need a version control system to collaborate.  If you're not  
> scared by git, github might be the one with least setup effort--and  
> will also give you the storage for the files.
> 
> Luigi
> 
> 
> 
> ------------------------------------------------------------------------------
> Lotusphere 2011
> Register now for Lotusphere 2011 and learn how
> to connect the dots, take your collaborative environment
> to the next level, and enter the era of Social Business.
> http://p.sf.net/sfu/lotusphere-d2d
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] A little bit of documentation

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

On Dec 18, 2010, at 6:11 PM, Dirk Eddelbuettel wrote:
> I am still partial to SVN and really like Google Code.  But yes, all  
> the kids
> these days (and even some of the elder statesmen like Luigi :) like  
> github.
> But it is clearly not the only game in town.  Sourceforge is still  
> there too
> and trying to catch up.

Yes---we're still hosted on Sourceforge, after all :)
But it has a few more hurdles to setup a project, while github (and  
bitbucket) are instantaneous.
Also, I'm not sure that Sourceforge will accept the project if you  
choose a Creative Commons license for it (which might be a sensible  
choice for a book, as opposed to a library.)  I seem to remember that  
Nando tried it and got it rejected.

Luigi

Re: [Quantlib-dev] A little bit of documentation

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

On 18 December 2010 at 18:00, Luigi Ballabio wrote:
| 
| On Dec 18, 2010, at 3:41 PM, Dima wrote:
| 
| > You're absolutely right, apologies. I'll put everything online  
| > (including latex and C++
| > code) and will post a link. If there are people out there who know  
| > LaTex, have time,
| > energy and persistence and would like to put the slides in a book,  
| > let me know. I
| > have started to set something up and have a non-finished book  
| > version of the slides.
| > One can move from there easily.
| 
| 
| You'll need a version control system to collaborate.  If you're not  
| scared by git, github might be the one with least setup effort--and  
| will also give you the storage for the files.

Fully seconded re the collaboration. Works great for code, works great for
Latex too.

I am still partial to SVN and really like Google Code.  But yes, all the kids
these days (and even some of the elder statesmen like Luigi :) like github.
But it is clearly not the only game in town.  Sourceforge is still there too
and trying to catch up.

Dirk

-- 
Dirk Eddelbuettel | ed...@de... | http://dirk.eddelbuettel.com

Re: [Quantlib-dev] A little bit of documentation

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

On Dec 18, 2010, at 3:41 PM, Dima wrote:

> You're absolutely right, apologies. I'll put everything online  
> (including latex and C++
> code) and will post a link. If there are people out there who know  
> LaTex, have time,
> energy and persistence and would like to put the slides in a book,  
> let me know. I
> have started to set something up and have a non-finished book  
> version of the slides.
> One can move from there easily.


You'll need a version control system to collaborate.  If you're not  
scared by git, github might be the one with least setup effort--and  
will also give you the storage for the files.

Luigi

[Quantlib-dev] [ quantlib-Patches-3139291 ] Enhancement to linear least squares regression

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

Patches item #3139291, was opened at 2010-12-17 20:13
Message generated for change (Comment added) made by klausspanderen
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3139291&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: Slava Mazur (shlagbaum)
Assigned to: Nobody/Anonymous (nobody)
Summary: Enhancement to linear least squares regression

Initial Comment:
The idea behind proposed enhancement is application of the current linear least squares regression to a wider range of containers. Currently the input data must be in std::vector<double>. However, in my particular case for example, i need to perform linear least squares on the data in boost::circular_buffer<double> and it is highly undesirable to create vector copies of the original data just to satisfy rather rigid requirements of the current linear least squares design. A proposed patch relaxes such a requirement and at the same time preserves backward compatibility. A correspondent test case is added to the test_suite.

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

Comment By: Klaus Spanderen (klausspanderen)
Date: 2010-12-18 16:22

Message:
Enhancing the flexibilty of the class LinearLeastSquaresRegression is a
good idea. Just a design question: instead of adding more classes would it
be better for the "end user" to stay with one LinearLeastSquaresRegression
class but add two "templatized" constructors to this class? These
constructors would allow  e.g. boost::circular_buffer<double> to be used as
input parameters.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3139291&group_id=12740

Re: [Quantlib-dev] A little bit of documentation

[Simon C. <cou...@gm...>]

i know some latex - what kind of help do you need?

Simon

On Sat, Dec 18, 2010 at 2:41 PM, Dima <dim...@go...>wrote:

> You're absolutely right, apologies. I'll put everything online (including
> latex and C++
> code) and will post a link. If there are people out there who know LaTex,
> have time,
> energy and persistence and would like to put the slides in a book, let me
> know. I
> have started to set something up and have a non-finished book version of
> the slides.
> One can move from there easily.
>
>
>
>

Re: [Quantlib-dev] A little bit of documentation

[Dima <dim...@go...>]

You're absolutely right, apologies. I'll put everything online (including
latex and C++
code) and will post a link. If there are people out there who know LaTex,
have time,
energy and persistence and would like to put the slides in a book, let me
know. I
have started to set something up and have a non-finished book version of the
slides.
One can move from there easily.






2010/12/18 Dirk Eddelbuettel <ed...@de...>

>
> On 16 December 2010 at 11:39, Dima wrote:
> | So, what shall we do with this? Shall we put it somewhere? Delete it?
> | Hate it? Worship it?
>
> Whatever we do can we please decide to NOT email four megabyte files into
> everybody's mailbox? There are webservers that can host this. You could
> start
> with eg Google Pages if you have no other free hosting.
>
> That said, thanks for writing and sharing docs.  Sharing latex source
> (under
> CC or GFDL or ...) would be cool too.
>
> Dirk
>
> --
> Dirk Eddelbuettel | ed...@de... | http://dirk.eddelbuettel.com
>

Re: [Quantlib-dev] A little bit of documentation

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

On 16 December 2010 at 11:39, Dima wrote:
| So, what shall we do with this? Shall we put it somewhere? Delete it? 
| Hate it? Worship it?

Whatever we do can we please decide to NOT email four megabyte files into
everybody's mailbox? There are webservers that can host this. You could start
with eg Google Pages if you have no other free hosting.

That said, thanks for writing and sharing docs.  Sharing latex source (under
CC or GFDL or ...) would be cool too. 

Dirk

-- 
Dirk Eddelbuettel | ed...@de... | http://dirk.eddelbuettel.com

[Quantlib-dev] [ quantlib-Patches-3139291 ] Enhancement to linear least squares regression

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

Patches item #3139291, was opened at 2010-12-17 15:13
Message generated for change (Tracker Item Submitted) made by shlagbaum
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3139291&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: Slava Mazur (shlagbaum)
Assigned to: Nobody/Anonymous (nobody)
Summary: Enhancement to linear least squares regression

Initial Comment:
The idea behind proposed enhancement is application of the current linear least squares regression to a wider range of containers. Currently the input data must be in std::vector<double>. However, in my particular case for example, i need to perform linear least squares on the data in boost::circular_buffer<double> and it is highly undesirable to create vector copies of the original data just to satisfy rather rigid requirements of the current linear least squares design. A proposed patch relaxes such a requirement and at the same time preserves backward compatibility. A correspondent test case is added to the test_suite.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3139291&group_id=12740

[Quantlib-dev] A little bit of documentation

[Dima <dim...@go...>]

Hi all,



I decided to share some slides on QuantLib and Boost which I used for 
teaching in one of my courses.
Basically, the slides are in a working stage as I could surely improve 
formatting, some explanations and
code examples. Also, the documents include slides only. I'll not have 
time to polish this to perfection but
I still think it is valuable resource as it includes a lot of 
documentation, explanations and examples. The level
is introductionary and I do not spend a lot of time discussing the 
architecture (use Luigi's pdf's for that). It's a
hands on intro. For all presentations, I also have the C++ code which I 
have not attached. Anyways, this
should get some people started. Due to time constraints I'll not be able 
to work on this further and incorporate
suggestions, improvements and correct typos.


So, what shall we do with this? Shall we put it somewhere? Delete it? 
Hate it? Worship it?



Regards, Dimitri

Re: [Quantlib-dev] Business Day Convention in Calendar Does not Seem to work

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

On Wed, 2010-12-15 at 11:29 -0500, Irakli Machabeli wrote:
> Below is the sample (in C# but hopefully context is clear)
> 
>             Calendar cal = new 
> UnitedStates(UnitedStates.Market.GovernmentBond);
>             Date dec30 = new Date(30, Month.December , 2010);
>             Date d2mf = cal.advance(dec30, new Period(2, TimeUnit.Days), 
> BusinessDayConvention.ModifiedFollowing);
>             Console.WriteLine("ModifiedFollowing -- {0}", d2mf.__str__());
> 
> ModifiedFollowing -- January 3rd, 2011   //I would expect to see Dec 31

At first, that's what I would have expected, too.  But then, I'm not
sure that it makes a great deal of sense to say "advance 2 business
days, Modified Following"

Nando, you're our resident ISDA expert.  What do you think?

Luigi


-- 

Quote me as saying I was misquoted. 
-- Groucho Marx 

[Quantlib-dev] [ quantlib-Patches-3138030 ] SWIG, Coupon methods exposed + CashFlow casting

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

Patches item #3138030, was opened at 2010-12-15 17:47
Message generated for change (Tracker Item Submitted) made by hheck
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3138030&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: hheck (hheck)
Assigned to: Nobody/Anonymous (nobody)
Summary: SWIG, Coupon methods exposed + CashFlow casting

Initial Comment:
expose more methods of FixedRateCoupon, FloatingRateCoupon and IborCoupon via the SWIG interface;
add static casting methods to cast CashFlow to the above mentioned classes via SWIG interface

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

You can respond by visiting: 
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[Quantlib-dev] Business Day Convention in Calendar Does not Seem to work

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

Below is the sample (in C# but hopefully context is clear)

            Calendar cal = new 
UnitedStates(UnitedStates.Market.GovernmentBond);
            Date dec30 = new Date(30, Month.December , 2010);
            Date d2mf = cal.advance(dec30, new Period(2, TimeUnit.Days), 
BusinessDayConvention.ModifiedFollowing);
            Date d2f = cal.advance(dec30, new Period(2, TimeUnit.Days), 
BusinessDayConvention.Following);
            Console.WriteLine("ModifiedFollowing -- {0}", d2mf.__str__());
            Console.WriteLine("Following -- {0}", d2f.__str__());


ModifiedFollowing -- January 3rd, 2011   //I would expect to see Dec 31 for 
ModifiedFollowing
Following -- January 3rd, 2011

Regards
Irakli 

Re: [Quantlib-dev] "spatial convergence speed of Heston engine" test error

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

Hi Nando,

so it should be fixed now, thanks for the hint!

regards 
 Klaus


On Monday 13 December 2010 18:00:52 Ferdinando Ametrano wrote:
> On Mon, Dec 13, 2010 at 4:20 PM, Klaus Spanderen <kl...@sp...> wrote:
> > unfortunately the test case runs without an error on my linux machine.
> >  Can you please do me a favour and add the following line to the test
> > case rerum it and send me the result?
>
> I've checked in this changed line
>                 if (avgPriceDiff > tol[i]) {
>                     BOOST_ERROR("\nFailed to reproduce Heston prices" <<
>                         "\n scheme    : " << schemes[i].name <<
>                         "\n model     : " << hestonModels[j].name <<
>                         "\n error     : " << avgPriceDiff <<
>                         "\n tolerance : " << tol[i]);
>                 }
>
> the errors (see below) are so huge that this might be an easy fix... ;-)
>
> ciao -- Nando
>
> >Auto run test
>
> 1>=======================================================
> 1>Testing QuantLib-vc90-mt.lib (deprecated code disabled)
> 1>=======================================================
> 1>Running 4 test cases...
> 1>Platform: Win32
> 1>Compiler: Microsoft Visual C++ version 9.0
> 1>STL     : Dinkumware standard library version 505
> 1>Boost   : 1.44.0
> 1>Testing spatial convergence speed of Heston engine...
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV2
> 1> model     : 't Hout case 1
> 1> error     : 5.13291e+166
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV2
> 1> model     : 't Hout case 2
> 1> error     : 3.02071e+136
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV2
> 1> model     : 't Hout case 3
> 1> error     : 1.00308e+164
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV2
> 1> model     : 't Hout case 4
> 1> error     : 1.33395e+176
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV2
> 1> model     : Ikonen-Toivanen
> 1> error     : 2.00548e+160
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV2
> 1> model     : Kahl-Jaeckel
> 1> error     : 6.90768e+194
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV2
> 1> model     : Equity case
> 1> error     : 2.37078e+198
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV2
> 1> model     : high correlation
> 1> error     : 3.87152e+202
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV2
> 1> model     : low Vol-Of-Vol
> 1> error     : 6.07056e+139
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV2
> 1> model     : kappaEqSigRho
> 1> error     : 7.19017e+178
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV1
> 1> model     : 't Hout case 1
> 1> error     : 5.13291e+166
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV1
> 1> model     : 't Hout case 2
> 1> error     : 3.02071e+136
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV1
> 1> model     : 't Hout case 3
> 1> error     : 1.00308e+164
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV1
> 1> model     : 't Hout case 4
> 1> error     : 1.33395e+176
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV1
> 1> model     : Ikonen-Toivanen
> 1> error     : 2.00548e+160
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV1
> 1> model     : Kahl-Jaeckel
> 1> error     : 6.90768e+194
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV1
> 1> model     : Equity case
> 1> error     : 2.37078e+198
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV1
> 1> model     : high correlation
> 1> error     : 3.87152e+202
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV1
> 1> model     : low Vol-Of-Vol
> 1> error     : 6.07056e+139
> 1> tolerance : 0.02
> 1>./hybridhestonhullwhiteprocess.cpp(1185): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": 1>Failed to reproduce Heston prices
> 1> scheme    : HV1
> 1> model     : kappaEqSigRho
> 1> error     : 7.19017e+178
> 1> tolerance : 0.02
> 1>
>
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Re: [Quantlib-dev] Returning multiple values from a Monte-Carlo pricing engine

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

Unfortunately not; McSimulation::value() instantiates a result_type
(i.e. an Array) from a vector<double> obtained from the
sampleAccumulator at several points (also in ::valueWithSamples()).

Therefore, Array would need a new constructor either:

1) explicit Array(const std::vector<Real>&); or

2) template<class container> explicit Array(const container&,
container::value_type redundant = 0); or

3) template <class T> explicit Array(const T&); plus specialisations for
T=Array and T=Size etc.

The first works only with a STL vector.
The second one allows all STL containers but is opaque because of the
redundant second parameter (required to specialise only for STL
containers).
The third means that the existing constructors are duplicated (or
removed entirely).

Which would you recommend?

Simon


-----Original Message-----
From: Luigi Ballabio [mailto:lui...@gm...] 
Sent: 09 December 2010 11:29
To: Simon Ibbotson
Cc: qua...@li...
Subject: RE: [Quantlib-dev] Returning multiple values from a Monte-Carlo
pricing engine

On Fri, 2010-12-03 at 15:57 +0000, Simon Ibbotson wrote:
> The problem is that MonteCarloModel::addSamples(Size samples) does
some
> simple arithmetic operations on the result_type. Also,
> McSimulation::value() and McSimulation::calculate() do some other
simple
> operations.

Right, I overlooked those.  Hmm.  As far as I see,
MonteCarloModel::addSamples would work if one used Array as the result
type (it has algebra, and SequenceStatistics:add takes any container
regardless of what it uses internally.)   I don't see the calculations
in McSimulation::value(), apart from the call to maxError that should
work on any container.  Does the thing work if you use just use Array as
the result type, without other modifications?

Luigi


-- 

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precise answer to the wrong question. 
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[Quantlib-dev] Invalid null pointer

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

Hallo,

I downloaded boost_1_45_0 and the latest version of quantlib
on a  Win Server 2003 (64bits) and i built all with  Visual Studio
2010 as WIN32.

If I run the Test Suite I get the error

File c:\...\microsoft visual studio 10.0\vc\include\xutility
line: 2225
Debug Assertion Failed! "Expression: invalid null pointer"

Can you please help me understanding what I did wrong?

Thanks

--
- Alessandro Duci -

Re: [Quantlib-dev] "spatial convergence speed of Heston engine" test error

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

On Mon, Dec 13, 2010 at 4:20 PM, Klaus Spanderen <kl...@sp...> wrote:
> unfortunately the test case runs without an error on my linux machine.  Can
> you please do me a favour and add the following line to the test case rerum
> it and send me the result?

I've checked in this changed line
                if (avgPriceDiff > tol[i]) {
                    BOOST_ERROR("\nFailed to reproduce Heston prices" <<
                        "\n scheme    : " << schemes[i].name <<
                        "\n model     : " << hestonModels[j].name <<
                        "\n error     : " << avgPriceDiff <<
                        "\n tolerance : " << tol[i]);
                }

the errors (see below) are so huge that this might be an easy fix... ;-)

ciao -- Nando

>Auto run test
1>=======================================================
1>Testing QuantLib-vc90-mt.lib (deprecated code disabled)
1>=======================================================
1>Running 4 test cases...
1>Platform: Win32
1>Compiler: Microsoft Visual C++ version 9.0
1>STL     : Dinkumware standard library version 505
1>Boost   : 1.44.0
1>Testing spatial convergence speed of Heston engine...
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV2
1> model     : 't Hout case 1
1> error     : 5.13291e+166
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV2
1> model     : 't Hout case 2
1> error     : 3.02071e+136
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV2
1> model     : 't Hout case 3
1> error     : 1.00308e+164
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV2
1> model     : 't Hout case 4
1> error     : 1.33395e+176
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV2
1> model     : Ikonen-Toivanen
1> error     : 2.00548e+160
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV2
1> model     : Kahl-Jaeckel
1> error     : 6.90768e+194
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV2
1> model     : Equity case
1> error     : 2.37078e+198
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV2
1> model     : high correlation
1> error     : 3.87152e+202
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV2
1> model     : low Vol-Of-Vol
1> error     : 6.07056e+139
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV2
1> model     : kappaEqSigRho
1> error     : 7.19017e+178
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV1
1> model     : 't Hout case 1
1> error     : 5.13291e+166
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV1
1> model     : 't Hout case 2
1> error     : 3.02071e+136
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV1
1> model     : 't Hout case 3
1> error     : 1.00308e+164
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV1
1> model     : 't Hout case 4
1> error     : 1.33395e+176
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV1
1> model     : Ikonen-Toivanen
1> error     : 2.00548e+160
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV1
1> model     : Kahl-Jaeckel
1> error     : 6.90768e+194
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV1
1> model     : Equity case
1> error     : 2.37078e+198
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV1
1> model     : high correlation
1> error     : 3.87152e+202
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV1
1> model     : low Vol-Of-Vol
1> error     : 6.07056e+139
1> tolerance : 0.02
1>./hybridhestonhullwhiteprocess.cpp(1185): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
1>Failed to reproduce Heston prices
1> scheme    : HV1
1> model     : kappaEqSigRho
1> error     : 7.19017e+178
1> tolerance : 0.02
1>

Re: [Quantlib-dev] "spatial convergence speed of Heston engine" test error

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

Hi Nando, 

unfortunately the test case runs without an error on my linux machine.  Can 
you please do me a favour and add the following line to the test case rerum 
it and send me the result?

line 1179 
printf("%s %s %f %f\n",schemes[i].name,
	hestonModels[j].name,avgPriceDiff, tol[i]);

(next line is if (avgPriceDiff > tol[i]) ....)


thanks in advance
 Klaus


On Monday 13 December 2010 15:02:53 Ferdinando Ametrano wrote:
> Hi Klaus
>
> the "spatial convergence speed of Heston engine" test fails with my
> configuration (details below).
> Any hint ?
>
> ciao -- Nando
>
> >Auto run test
>
> 7>=======================================================
> 7>Testing QuantLib-vc90-mt.lib (deprecated code disabled)
> 7>=======================================================
> 7>Running 467 test cases...
> 7>Platform: Win32
> 7>Compiler: Microsoft Visual C++ version 9.0
> 7>STL     : Dinkumware standard library version 505
> 7>Boost   : 1.44.0
> 7>Testing spatial convergence speed of Heston engine...
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV2
> 7>   model        : 't Hout case 1
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV2
> 7>   model        : 't Hout case 2
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV2
> 7>   model        : 't Hout case 3
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV2
> 7>   model        : 't Hout case 4
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV2
> 7>   model        : Ikonen-Toivanen
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV2
> 7>   model        : Kahl-Jaeckel
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV2
> 7>   model        : Equity case
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV2
> 7>   model        : high correlation
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV2
> 7>   model        : low Vol-Of-Vol
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV2
> 7>   model        : kappaEqSigRho
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV1
> 7>   model        : 't Hout case 1
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV1
> 7>   model        : 't Hout case 2
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV1
> 7>   model        : 't Hout case 3
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV1
> 7>   model        : 't Hout case 4
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV1
> 7>   model        : Ikonen-Toivanen
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV1
> 7>   model        : Kahl-Jaeckel
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV1
> 7>   model        : Equity case
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV1
> 7>   model        : high correlation
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV1
> 7>   model        : low Vol-Of-Vol
> 7>./hybridhestonhullwhiteprocess.cpp(1183): error in
> "QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::te
>stSpatialDiscretizatinError)": Failed to reproduce Heston prices
> 7>   scheme       : HV1
> 7>   model        : kappaEqSigRho
>
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[Quantlib-dev] "spatial convergence speed of Heston engine" test error

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

Hi Klaus

the "spatial convergence speed of Heston engine" test fails with my
configuration (details below).
Any hint ?

ciao -- Nando


>Auto run test
7>=======================================================
7>Testing QuantLib-vc90-mt.lib (deprecated code disabled)
7>=======================================================
7>Running 467 test cases...
7>Platform: Win32
7>Compiler: Microsoft Visual C++ version 9.0
7>STL     : Dinkumware standard library version 505
7>Boost   : 1.44.0
7>Testing spatial convergence speed of Heston engine...
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : 't Hout case 1
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : 't Hout case 2
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : 't Hout case 3
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : 't Hout case 4
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : Ikonen-Toivanen
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : Kahl-Jaeckel
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : Equity case
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : high correlation
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : low Vol-Of-Vol
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV2
7>   model        : kappaEqSigRho
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : 't Hout case 1
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : 't Hout case 2
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : 't Hout case 3
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : 't Hout case 4
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : Ikonen-Toivanen
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : Kahl-Jaeckel
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : Equity case
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : high correlation
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : low Vol-Of-Vol
7>./hybridhestonhullwhiteprocess.cpp(1183): error in
"QuantLib::detail::quantlib_test_case(&HybridHestonHullWhiteProcessTest::testSpatialDiscretizatinError)":
Failed to reproduce Heston prices
7>   scheme       : HV1
7>   model        : kappaEqSigRho

[Quantlib-dev] [ quantlib-Patches-3135930 ] calendar files for france

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

Patches item #3135930, was opened at 2010-12-12 15:22
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3135930&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: tallent_e (tallent_e)
Assigned to: Nobody/Anonymous (nobody)
Summary: calendar files for france

Initial Comment:
these are the france.hpp , france,cpp and Makefilediff.am files to be added to Quantlib-1.0.1\QuantLib\ql\time\calendars
and the calendarsdiff.i file to be include in the Quantlib-1.0.1\QuantLib-SWIG\SWIG directory

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3135930&group_id=12740

[Quantlib-dev] [ quantlib-Feature Requests-3135930 ] calendar files for france

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

Feature Requests item #3135930, was opened at 2010-12-12 15:22
Message generated for change (Tracker Item Submitted) made by tallent_e
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=3135930&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
Priority: 5
Private: No
Submitted By: tallent_e (tallent_e)
Assigned to: Nobody/Anonymous (nobody)
Summary: calendar files for france

Initial Comment:
these are the france.hpp , france,cpp and Makefilediff.am files to be added to Quantlib-1.0.1\QuantLib\ql\time\calendars
and the calendarsdiff.i file to be include in the Quantlib-1.0.1\QuantLib-SWIG\SWIG directory

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=3135930&group_id=12740

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

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

On Fri, 2010-12-03 at 15:57 +0000, Simon Ibbotson wrote:
> The problem is that MonteCarloModel::addSamples(Size samples) does some
> simple arithmetic operations on the result_type. Also,
> McSimulation::value() and McSimulation::calculate() do some other simple
> operations.

Right, I overlooked those.  Hmm.  As far as I see,
MonteCarloModel::addSamples would work if one used Array as the result
type (it has algebra, and SequenceStatistics:add takes any container
regardless of what it uses internally.)   I don't see the calculations
in McSimulation::value(), apart from the call to maxError that should
work on any container.  Does the thing work if you use just use Array as
the result type, without other modifications?

Luigi


-- 

Better to have an approximate answer to the right question than a 
precise answer to the wrong question. 
-- John Tukey as quoted by John Chambers