quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] Disposable doesn't work?

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

So, this how it works. Thank you for clarification.

Re: [Quantlib-dev] Disposable doesn't work?

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

On Fri, 2010-12-03 at 11:45 -0500, Kakhkhor Abdijalilov wrote:
> Disposable template is supposed to eliminate unnecessary copy
> construction when returning temporal objects from functions. On my
> platform it actually prevents RVO (elide optimization) and triggers
> copy construction, whereas without Disposable RVO eliminates
> unnecessary copy construction.
> 
> Explicit assignment triggers copying with or without Disposable.

Of course it triggers assignment.  Your class must support Disposable
for it to work fully (see, e.g., the Array class.)  In your case, it
should be something like

struct A {
    A() {}
    A(const A&) { cout << "Triggered copy ctor A(const A&)\n"; }
    A(const Disposable<A>& a) { swap(const_cast<Disposable<A>&>(a)); }

    A& operator=(const A&) {
        cout << "Triggered assignment A::=\n";
        return *this;
    }
    A& operator=(const Disposable<A>& a) {
        swap(const_cast<Disposable<A>&>(a));
        return *this;
    }

    void swap(A&) {}
};

Hopefully, in a few years all compilers will support C++0X and we'll be
able to use rvalue references instead... (your class will still have to
support them. though.)

Luigi


-- 

For every problem there is one solution which is simple, neat, and
wrong. 
-- H. L. Mencken 

[Quantlib-dev] Disposable doesn't work?

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

Disposable template is supposed to eliminate unnecessary copy
construction when returning temporal objects from functions. On my
platform it actually prevents RVO (elide optimization) and triggers
copy construction, whereas without Disposable RVO eliminates
unnecessary copy construction.

Explicit assignment triggers copying with or without Disposable.

The code is below.

Regards,
Kakhkhor Abdijalilov.

//-------------------------------------------
/*
    Compile with optimization ON.
*/
#include <iostream>
#include <ql/utilities/disposable.hpp>

using namespace std;
using namespace QuantLib;

struct A {
    A() {}
    A(const A&) { cout << "Triggered copy ctor A(const A&)\n"; }

    A& operator=(const A&) {
        cout << "Triggered assignment A::=\n";
        return *this;
    }

    void swap(A&) {}
};

Disposable<A> f1() {
    A a;
    return a;
}

A f2() {
    A a;
    return a;
}

int main() {

    cout << "\nTesting RVO with Disposable...\n";
    A x1 = f1();
    cout << "\nTesting RVO without Disposable...\n";
    A x2 = f2();

    cout << "\nTesting explicit assignment with Disposable...\n";
    A y1;
    y1 = f1();
    cout << "\nTesting explicit assignment without Disposable...\n";
    A y2;
    y2 = f2();

    // Possible solution/guideline to assignment problem?
    cout << "\nUsing swap explicitly without Disposable...\n";
    A z;
    z.swap(f2());

    return 0;
}

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

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

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.
In the short-term, I've fully specialised the addSamples() function and
defined some arithmetic operations for std::vector<double>.

In the long-term, I'd prefer a cleaner solution.

I'd suggest making GenericSequenceStatistics into a double template
class - GenericRiskStatistics<GaussianStatistics,template <class> class
TVector = std::vector> and create a specific TVector class for
MonteCarlo simulations.

What do you think?

Simon


> Then either
> 
> a)       Define arithmetic operations for the VECTOR return type or
> 
> b)       Write parts of MonteCarloModel specialised (via class
> template) for the particular traits class.

No, I don't think you need to do that.  SequenceStatistics doesn't do
statistics on the passed vectors as such, it just maintains a set of 1-D
statistics.  This part should just work.

Let me know how it goes,
	Luigi





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
*****************************************************************

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

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

On Wed, 2010-11-24 at 10:46 +0000, Simon Ibbotson wrote:
> Is there any existing way for returning multiple values from a
> MonteCarlo simulation? I can’t see a way for any of the existing
> pricing engines.

No, existing ones don't do that.


> As far as I can see, I’d have to:
> 
> Define a different traits (mctraits.hpp) struct which used a
> PathPricer<path_type, VECTOR return type>.
> 
> Use a GenericSequenceStatistics<GaussianStatistics> class (instead of
> a GenericRiskStatistics<GaussianStatistics> class).

True and true.


> Then either
> 
> a)       Define arithmetic operations for the VECTOR return type or
> 
> b)       Write parts of MonteCarloModel specialised (via class
> template) for the particular traits class.

No, I don't think you need to do that.  SequenceStatistics doesn't do
statistics on the passed vectors as such, it just maintains a set of 1-D
statistics.  This part should just work.

Let me know how it goes,
	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 

Re: [Quantlib-dev] Black-Scholes Process required in MCHimalayanEngine

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

On Mon, 2010-11-29 at 20:15 +0100, Andreas Spengler wrote:
> Am 29.11.2010 17:16, schrieb Luigi Ballabio:
> 
> > Hmm. I'm not sure I would do that.  For one thing, even when using the
> > Black-Scholes model, one might want to use a different curve for the
> > discount; asking the process for the risk-free rate would prevent that.
> > Furthermore, I'm not sure that a riskFreeRate method belongs to the
> > generic StochasticProcess interface.
> 
> I second that, however I found another problem with using the
> GeometricBrownianMotionProcess as is: it inherits an otherwise empty
> time(const Date&) method from StochasticProcess which simply QL_FAILs...

Right---the date/time conversion.  Hmm.  For the time being, you might
have the process take a DayCounter and a referenceDate, and implement
time() in terms of those.

Sigh.  We'll have to rethink this stuff one day...

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 

[Quantlib-dev] [ quantlib-Patches-3017462 ] Ziggurat Algorithm (repost)

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

Patches item #3017462, was opened at 2010-06-17 09:06
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3017462&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: Closed
>Resolution: Accepted
Priority: 5
Private: No
Submitted By: renorm (renorm)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Ziggurat Algorithm (repost)

Initial Comment:
New zip file is attached. The old one had typo.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2010-11-30 12:58

Message:
The patch was applied (with some modifications) to the code repository.
It will be included in next release.
Thank you.


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

Comment By: renorm (renorm)
Date: 2010-08-10 12:46

Message:
code is the same. updated comments only


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

Comment By: renorm (renorm)
Date: 2010-08-03 19:56

Message:
Added specializations of  RandomSequenceGenerator, InverseCumulativeRsg and
InverseCumulativeRng to use ZigguratGenerator. New trait
PseudoRandomZiggurat can be used with MC pricing engines.  Example program
included.

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

Comment By: renorm (renorm)
Date: 2010-06-25 13:12

Message:
I converted normal variates back into uniform 32 bit unsigned integers and
run diehard test on them. All p-values look good. No extreme values suck as
0.9999 or 0.0001. Because of large number of computed p-values  (~200), 
0.01 (or 0.99) isn't extreme.

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

Comment By: renorm (renorm)
Date: 2010-06-25 09:52

Message:
I found another bug, which didn't show up in statistical tests. The
unloaded file contains GSL implementation and Matlab file used to generate
look up tables. For some strange reason GSL implementation uses different
value for the right-most step. My implementation uses the same value as
reported in Marsaglia and Tsang (2000). If you use GSL value in the matlab
file, it fails the diagnostics step.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3017462&group_id=12740

Re: [Quantlib-dev] Black-Scholes Process required in MCHimalayanEngine

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

Am 29.11.2010 17:16, schrieb Luigi Ballabio:

> Hmm. I'm not sure I would do that.  For one thing, even when using the
> Black-Scholes model, one might want to use a different curve for the
> discount; asking the process for the risk-free rate would prevent that.
> Furthermore, I'm not sure that a riskFreeRate method belongs to the
> generic StochasticProcess interface.

I second that, however I found another problem with using the
GeometricBrownianMotionProcess as is: it inherits an otherwise empty
time(const Date&) method from StochasticProcess which simply QL_FAILs...

Re: [Quantlib-dev] [Quantlib-users] clang++ cannot compile quantlib >> 5 fixes then OK

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

On Tue, 2010-11-23 at 09:51 -0600, Leon Sit wrote:
> I had been using 1.0.1 for dev work and getting it ready for
> production code. Is the trunk stable for production code? 

The test suite passes, and I was thinking to make a release in a few
weeks.  That is not a guarantee, though: you'll want to perform some
tests yourself.

Luigi


-- 

When I was a boy of fourteen, my father was so ignorant I could hardly 
stand to have the old man around. But when I got to be twenty-one, I 
was astonished at how much the old man had learned in seven years. 
-- Mark Twain 

Re: [Quantlib-dev] Black-Scholes Process required in MCHimalayanEngine

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

On Sat, 2010-11-27 at 23:41 +0100, Andreas Spengler wrote:
> However, instead of changing the interface for the affected
> Engine classes, I would rather, as stated in my other mail, propose to
> pull up the riskFreeRate member of GeneralizedBlackScholesProcess to the
> StochasticProcess class and add another parameter (empty by default) in
> e.g. GeometricBrownianMotionProcess' or StochasticProcessArray's
> constructor.

Hmm. I'm not sure I would do that.  For one thing, even when using the
Black-Scholes model, one might want to use a different curve for the
discount; asking the process for the risk-free rate would prevent that.
Furthermore, I'm not sure that a riskFreeRate method belongs to the
generic StochasticProcess interface.

Luigi


-- 

Blessed is the man who, having nothing to say, abstains from giving 
wordy evidence of the fact. 
-- George Eliot 

Re: [Quantlib-dev] [Quantlib-users] Boost Serialization Error

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

Hi Eric

I've now also debugged and the error it's thrown at line 400 in
\boost-1_44\boost\archive\detail\oserializer.hpp

basically it cannot retrieve the type of the object pointed to.
Unfortunately I'm lost on the serialization subject and cannot provide
further help

ciao -- Nando


On Thu, Nov 25, 2010 at 12:16 PM, Ferdinando Ametrano
<na...@am...> wrote:
> Hi Eric
>
> ok at least now I've realized why you don't see the bug I'm
> experiencing: you're probably using QuantLibXL-vc90-mt-1_1_0.xll which
> does NOT have problems, while I'm using
> QuantLibXLDynamic-vc90-mt-1_1_0.xll
>
> Sorry for the underspecified bug report. Can I still count on your
> help to fix it?
>
> ciao -- Nando
>
> On Fri, Nov 19, 2010 at 4:09 PM, Ferdinando Ametrano <na...@am...> wrote:
>> Hi Eric
>>
>> sorry I could not debug yet, but I've got the same error on a
>> different machine using boost 1.39.
>>
>> So to recap:
>>
>> 1) VC9, boost 1.39, Excel 2002 (10.6864.6858) SP3, error message
>> "ohObjectSave - unregistered class";
>> 2) VC9, boost 1.44, Excel 2003 (11.8328.8329) SP3, error message
>> "ohObjectSave - unregistered class - derived class not registered or
>> exported"
>>
>> it might be helpful is somebody else on this list would try it on his
>> workstation... any volunteer please?
>>
>> ciao -- Nando
>>
>> On Tue, Nov 16, 2010 at 3:57 PM, eric.ehlers <eri...@na...> wrote:
>>>
>>> Apologies, I should have put the attached message in quantlib-dev in thread "new serialization code problem".
>>> --   BlackBerry® from Mobistar    ---
>>>
>>> -----Original Message-----
>>> From: "eric.ehlers" <eri...@na...>
>>> Date: Tue, 16 Nov 2010 10:26:33
>>> To: <qua...@li...>
>>> Reply-To: eri...@na...
>>> Subject: Boost Serialization Error
>>>
>>> Hi Nando,
>>>
>>> I'm unable to recreate your results.
>>>
>>> I did an svn update which puts me on revision 17476. I already have VC9 configured to pick up boost 1.44, I did a full rebuild of all projects and configurations. I tested each of the four resulting XLLs with your SerializationBug.xls, each time I get the expected output.
>>>
>>> Any chance you could dig a bit deeper? The next step would be to run it in the debugger, with the debugger set to stop as soon as any std::exception is thrown.
>>>
>>> Your output is incomplete but you didn't say anything about an exception (i.e. you didn't mention that ohObjectSave() returns #NUM). This makes me think that boost::serialization is bailing out in mid-flow, but that the exception is caught higher up and not propagated to the user.
>>>
>>> Regards,
>>> Eric
>>> --   BlackBerry® from Mobistar    ---
>>> ------------------------------------------------------------------------------
>>> Beautiful is writing same markup. Internet Explorer 9 supports
>>> standards for HTML5, CSS3, SVG 1.1,  ECMAScript5, and DOM L2 & L3.
>>> Spend less time writing and  rewriting code and more time creating great
>>> experiences on the web. Be a part of the beta today
>>> http://p.sf.net/sfu/msIE9-sfdev2dev
>>> _______________________________________________
>>> QuantLib-users mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>

Re: [Quantlib-dev] Black-Scholes Process required in MCHimalayanEngine

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

Am 27.11.2010 22:22, schrieb Luigi Ballabio:

> I'd change the constructor to take a generic process and a handle to
> a discount curve, and use the first for path generator ad the second
> for discounting the payoff.  I'd be grateful if you contributed the
> resulting code.

Gladly. However, instead of changing the interface for the affected
Engine classes, I would rather, as stated in my other mail, propose to
pull up the riskFreeRate member of GeneralizedBlackScholesProcess to the
StochasticProcess class and add another parameter (empty by default) in
e.g. GeometricBrownianMotionProcess' or StochasticProcessArray's
constructor.

One could then check in all relevant situations, whether riskFreeRate
contains a valid object...

Re: [Quantlib-dev] Black-Scholes Process required in MCHimalayanEngine

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

On Nov 27, 2010, at 8:39 PM, Andreas Spengler wrote:
> I can adapt the MCHimalayaEngine to get the riskFreeRate from  
> somewhere
> else, but my original question was, whether there is anywhere deep in
> the MC code that also demands the StochasticProcess derived class to
> actually be a (Generalized)BlackScholesProcess...

No, no deep reason as far as I know.  I'd change the constructor to  
take a generic process and a handle to a discount curve, and use the  
first for path generator ad the second for discounting the payoff.   
I'd be grateful if you contributed the resulting code.

Luigi

Re: [Quantlib-dev] Black-Scholes Process required in MCHimalayanEngine

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

Am 27.11.2010 19:36, schrieb Marcin Pawlik:

> What I'm trying to propose is to emulate GeometricBrownianMotion (GBM
> for short) with an instance of GeneralizedBlackScholesProcess (GBSP
> for short). Since you cannot instantiate GBSP with constants as you're
> doing it with GBM

The GBM has no constant coefficients, since it's coefficients are
dependant on S also.

That's why I want to use a GBM; it represents a different SDE.

I can adapt the MCHimalayaEngine to get the riskFreeRate from somewhere
else, but my original question was, whether there is anywhere deep in
the MC code that also demands the StochasticProcess derived class to
actually be a (Generalized)BlackScholesProcess...


Rgds,

Andreas

Re: [Quantlib-dev] Black-Scholes Process required in MCHimalayanEngine

[Marcin P. <paw...@gm...>]

On 27 November 2010 19:18, Andreas Spengler <an...@sp...> wrote:
> Hi Marcin,
>
> Am 27.11.2010 15:35, schrieb Marcin Pawlik:
>
>> Perhaps you could feed GenBSProc with the following:
>>  - flat interest rates curve with a rate that suits you (mu + 0.5*sigma^2)
>>  - flat dividend yield curve with a rate equal to 0
>>  - BlackConstantVol initiated with your sigma
>
> How would that make a GenBSProc represent a _Geometric_BrownianMotian?

I used GenBSProc as short for GeneralizedBlackScholesProcess.

I understood that you want to use in your simulation something as
simple as GeometricBrownianMotion where the simulated trajectories are
determined by constant parameters (mu, sigma). Unfortunately the MC
himalaya option engine uses StochasticProcessArray consisting of n
GeneralizedBlackScholesProcesses and those are not as simple as the
thing you wanted to use (i.e. GeneralizedBlackScholesProcess).

What I'm trying to propose is to emulate GeometricBrownianMotion (GBM
for short) with an instance of GeneralizedBlackScholesProcess (GBSP
for short). Since you cannot instantiate GBSP with constants as you're
doing it with GBM, you may try to instantiate GBSP using flat yield
curve (FlatForwardCurve class) and const vol (BlackConstantVol). Such
approach would result in GBSP with constant drift coefficient (just
like in GBM) and constant volatility (again just like in GBM).

Is it what you're looking for?

M.

Re: [Quantlib-dev] Black-Scholes Process required in MCHimalayanEngine

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

Hi Marcin,

Am 27.11.2010 15:35, schrieb Marcin Pawlik:

> Perhaps you could feed GenBSProc with the following:
>  - flat interest rates curve with a rate that suits you (mu + 0.5*sigma^2)
>  - flat dividend yield curve with a rate equal to 0
>  - BlackConstantVol initiated with your sigma

How would that make a GenBSProc represent a _Geometric_BrownianMotian?

Rgds,

Andreas

Re: [Quantlib-dev] Black-Scholes Process required in MCHimalayanEngine

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

Hi,

Am 27.11.2010 15:35, schrieb Marcin Pawlik:

> Perhaps you could feed GenBSProc with the following:
>  - flat interest rates curve with a rate that suits you (mu + 0.5*sigma^2)
>  - flat dividend yield curve with a rate equal to 0
>  - BlackConstantVol initiated with your sigma

in the meantime I looked at the code. I would propose to pull up the
riskFreeRate member to StochasticProcess and add a corresponding
constructor with an empty default parameter.

One could then check in all necessary situations whether riskFreeRate
contains a valid object...

Re: [Quantlib-dev] Black-Scholes Process required in MCHimalayanEngine

[Marcin P. <paw...@gm...>]

On 26 November 2010 17:38, Andreas Spengler <an...@sp...> wrote:

> StochasticProcessArray demands the usage of a
> (Generalized)BlackScholesProcess-derived class?
>
> I would like to use a GeometricBrownianMotionProcess to model the
> underlying indices...

Perhaps you could feed GenBSProc with the following:
 - flat interest rates curve with a rate that suits you (mu + 0.5*sigma^2)
 - flat dividend yield curve with a rate equal to 0
 - BlackConstantVol initiated with your sigma

M.

[Quantlib-dev] Black-Scholes Process required in MCHimalayanEngine

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

Hi,

apart from the determination of the risk free rate to discount the final
option payment, is there any reason why the MCHimalayanEngine resp. its
StochasticProcessArray demands the usage of a
(Generalized)BlackScholesProcess-derived class?

I would like to use a GeometricBrownianMotionProcess to model the
underlying indices...

Rgds,

Andreas

Re: [Quantlib-dev] [Quantlib-users] Boost Serialization Error

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

Hi Eric

ok at least now I've realized why you don't see the bug I'm
experiencing: you're probably using QuantLibXL-vc90-mt-1_1_0.xll which
does NOT have problems, while I'm using
QuantLibXLDynamic-vc90-mt-1_1_0.xll

Sorry for the underspecified bug report. Can I still count on your
help to fix it?

ciao -- Nando

On Fri, Nov 19, 2010 at 4:09 PM, Ferdinando Ametrano <na...@am...> wrote:
> Hi Eric
>
> sorry I could not debug yet, but I've got the same error on a
> different machine using boost 1.39.
>
> So to recap:
>
> 1) VC9, boost 1.39, Excel 2002 (10.6864.6858) SP3, error message
> "ohObjectSave - unregistered class";
> 2) VC9, boost 1.44, Excel 2003 (11.8328.8329) SP3, error message
> "ohObjectSave - unregistered class - derived class not registered or
> exported"
>
> it might be helpful is somebody else on this list would try it on his
> workstation... any volunteer please?
>
> ciao -- Nando
>
> On Tue, Nov 16, 2010 at 3:57 PM, eric.ehlers <eri...@na...> wrote:
>>
>> Apologies, I should have put the attached message in quantlib-dev in thread "new serialization code problem".
>> --   BlackBerry® from Mobistar    ---
>>
>> -----Original Message-----
>> From: "eric.ehlers" <eri...@na...>
>> Date: Tue, 16 Nov 2010 10:26:33
>> To: <qua...@li...>
>> Reply-To: eri...@na...
>> Subject: Boost Serialization Error
>>
>> Hi Nando,
>>
>> I'm unable to recreate your results.
>>
>> I did an svn update which puts me on revision 17476. I already have VC9 configured to pick up boost 1.44, I did a full rebuild of all projects and configurations. I tested each of the four resulting XLLs with your SerializationBug.xls, each time I get the expected output.
>>
>> Any chance you could dig a bit deeper? The next step would be to run it in the debugger, with the debugger set to stop as soon as any std::exception is thrown.
>>
>> Your output is incomplete but you didn't say anything about an exception (i.e. you didn't mention that ohObjectSave() returns #NUM). This makes me think that boost::serialization is bailing out in mid-flow, but that the exception is caught higher up and not propagated to the user.
>>
>> Regards,
>> Eric
>> --   BlackBerry® from Mobistar    ---
>> ------------------------------------------------------------------------------
>> Beautiful is writing same markup. Internet Explorer 9 supports
>> standards for HTML5, CSS3, SVG 1.1,  ECMAScript5, and DOM L2 & L3.
>> Spend less time writing and  rewriting code and more time creating great
>> experiences on the web. Be a part of the beta today
>> http://p.sf.net/sfu/msIE9-sfdev2dev
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

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

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

Is there any existing way for returning multiple values from a
MonteCarlo simulation? I can't see a way for any of the existing pricing
engines.

 

By this, I mean being able to calculate many different values for each
MC path (e.g. price, leg 1 value, leg 2 value, dv01 etc) and 

 

As far as I can see, I'd have to:

 

Define a different traits (mctraits.hpp) struct which used a
PathPricer<path_type, VECTOR return type>.

Use a GenericSequenceStatistics<GaussianStatistics> class (instead of a
GenericRiskStatistics<GaussianStatistics> class).

 

Then either

 

a)       Define arithmetic operations for the VECTOR return type or

b)       Write parts of MonteCarloModel specialised (via class template)
for the particular traits class.

 

 

Would this be correct?

 

Thanks,

Simon

 




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
*****************************************************************

[Quantlib-dev] [ quantlib-Feature Requests-2909164 ] VS2010 QL solution, projects, and code changes

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

Feature Requests item #2909164, was opened at 2009-12-05 03:21
Message generated for change (Comment added) made by sf-robot
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=2909164&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: Closed
Priority: 5
Private: No
Submitted By: Craig Miller (c-miller)
Assigned to: Nobody/Anonymous (nobody)
Summary: VS2010 QL solution, projects, and code changes

Initial Comment:
Visual Studio 2010 Beta 2 is on track to be a significant IDE improvement for multicore programming AND it free to use during the beta testing (release 'might be' in March).  There is some pain with the new compiler spewing new errors and warnings that did not appear in msvc-9.0, but I'm sure you expected that   :-0

New files include the QL solution, all project files, and some code changes (primarily needed to handle namespace collisions).  I've also included a Excel spreadsheet with the build output and a table to filter on the ~14 unfiltered warnings (lots of work to clean up, or filter).  The zip file is ~1.2MB so it is too large for uploading to SourceForge.  I'll send a copy to Nando for circulation or you can send me an email at <cra...@fl...>.

It goes without saying, but I'll say it anyway, you'll need to run a command lime build of the Boost Library using toolset=msvc-10.0 from both the x86 and x64 shell.  Remember to set unique target directories to avoid overwriting the files (x86 and x64 lib files have the same name).

Enjoy,
Craig Miller


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

>Comment By: SourceForge Robot (sf-robot)
Date: 2010-11-23 17:20

Message:
This Tracker item was closed automatically by the system. It was
previously set to a Pending status, and the original submitter
did not respond within 14 days (the time period specified by
the administrator of this Tracker).

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

Comment By: Luigi Ballabio (lballabio)
Date: 2010-11-09 16:23

Message:
VC++10 projects and solutions are now in the Subversion repository.  They
were generated by converting the VC++9 projects with the final VC++ 10
Express.  May you check that they work correctly?  Also, the conversion
didn't provide x64 targets; I'd be grateful if you could add them.

Thanks,
    Luigi

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

Comment By: Matt Schuetze (mpschuetze)
Date: 2010-11-04 21:20

Message:
Looking forward to seeing this in a future build now that VS2010 is GA.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=2909164&group_id=12740

Re: [Quantlib-dev] [Quantlib-users] clang++ cannot compile quantlib >> 5 fixes then OK

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

Hi All:

I had been using 1.0.1 for dev work and getting it ready for production
code. Is the trunk stable for production code?

Sincerely,

Leon


On Tue, Nov 23, 2010 at 5:18 AM, Luigi Ballabio <lui...@gm...>wrote:

> On Tue, 2010-11-23 at 02:33 -0800, Chris Kenyon wrote:
> > I could get this to work after I fixed 5 errors (4 in CDO pricers, 1
> > in inflation) in the R1000 branch.
>
> Yes, possibly the same fixes I've made in the trunk.  I can port them to
> the 1.0.x branch.
>
> 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
>
>
>
>
> ------------------------------------------------------------------------------
> Increase Visibility of Your 3D Game App & Earn a Chance To Win $500!
> Tap into the largest installed PC base & get more eyes on your game by
> optimizing for Intel(R) Graphics Technology. Get started today with the
> Intel(R) Software Partner Program. Five $500 cash prizes are up for grabs.
> http://p.sf.net/sfu/intelisp-dev2dev
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

[Quantlib-dev] [ quantlib-Bugs-3116601 ] Bond Yield calculation for short maturity bonds

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

Bugs item #3116601, was opened at 2010-11-23 14:01
Message generated for change (Comment added) made by 
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3116601&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: https://www.google.com/accounts ()
Assigned to: Nobody/Anonymous (nobody)
Summary: Bond Yield calculation for short maturity bonds

Initial Comment:
Source file: bond.cpp

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

>Comment By: https://www.google.com/accounts ()
Date: 2010-11-23 14:03

Message:
Rate Bond::yield(const DayCounter& dc,
                     Compounding comp,
                     Frequency freq,
                     Real accuracy,
                     Size maxEvaluations) const {
        Real currentNotional = notional(settlementDate());
        if (currentNotional == 0.0)
            return 0.0;

        return BondFunctions::yield(*this, cleanPrice(), dc, comp, freq,
                                    settlementDate(),
                                    accuracy, maxEvaluations);
    }

In the above function:
 Real currentNotional = notional(settlementDate());
should be
 Real currentNotional = notional(settlementDate(settlement));
else it will always return yield=0 if settlement < maturity date. this is
observed for short maturity bonds.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3116601&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-3116601 ] Bond Yield calculation for short maturity bonds

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

Bugs item #3116601, was opened at 2010-11-23 14:01
Message generated for change (Tracker Item Submitted) made by 
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3116601&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: https://www.google.com/accounts ()
Assigned to: Nobody/Anonymous (nobody)
Summary: Bond Yield calculation for short maturity bonds

Initial Comment:
Source file: bond.cpp

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3116601&group_id=12740