quantlib-dev — Discussion of QuantLib development

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

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

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 

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

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

Hi,

I could get this to work after I fixed 5 errors (4 in CDO pricers, 1 in 
inflation) in the R1000 branch.  


Wrote /Users/ckenyon/QuantLib/R1000cla/elc.32752/quantlib.elc

real38m23.998s
user41m35.872s
sys4m0.185s
[~/QuantLib/R1000cla] 


Wrote /Users/ckenyon/QuantLib/R1000/elc.75673/quantlib.elc

real36m37.880s
user55m59.165s
sys5m29.281s
[~/QuantLib/R1000] 
 
Clang++ is about 41/56 compiling faster on a previous-generation iMac. (with 
make -j2)
 
Best regards,
Chris

[Quantlib-dev] [ quantlib-Patches-3101580 ] Fix to KnuthUniformRng

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

Patches item #3101580, was opened at 2010-11-02 14:25
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3101580&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: Closed
>Resolution: Accepted
Priority: 5
Private: No
Submitted By: Slava Mazur (shlagbaum)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Fix to KnuthUniformRng

Initial Comment:
The proposed fix makes KnuthUniformRng class safely copyable.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2010-11-19 16:54

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


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

Comment By: Slava Mazur (shlagbaum)
Date: 2010-11-02 14:28

Message:
vector iterators replaced by indices.

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

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

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

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    ---
> ------------------------------------------------------------------------------
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[Quantlib-dev] [ quantlib-Patches-2783225 ] EnhancedBlackScholesProcess that supports vega stresstests

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

Patches item #2783225, was opened at 2009-04-28 23:40
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2783225&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: Closed
>Resolution: Accepted
Priority: 5
Private: No
Submitted By: Michael Heckl (heckl)
>Assigned to: Luigi Ballabio (lballabio)
Summary: EnhancedBlackScholesProcess that supports vega stresstests

Initial Comment:
This BlackScholes Process takes 5 extra arguments which define a square of the local volatility surface that is stressed by a configurable stress-level.

You can also use this process for local vol curve stress tests. The solution is quite easy but very very helpful. I did lots of testing on it and it works perfectly. Especially for examining where (what moneyness and what time bucket) the vega sensitivities are at path dependent asian options you can do wonderful stresstests with monte carlo.  This is because it is not always wanted to stress the implied surface (since this could cause smoothness problems), but also to stress the local volatility surface. There is no other option to do this so far. That is why i developed this process.

Check it out. I can also provide some test cases that demonstrate the tremendous usefulness of this process.

Greetings,
Michael

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2010-11-19 15:57

Message:
Sorry it took so long.  Your code is now in the <ql/experimental/processes>
folder.
I renamed the class for clarity and inherited it from the
GeneralizedBlackScholesProcess class so that it can be used with the rest
of the library.
Thanks for the contribution.

Luigi

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

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[Quantlib-dev] LNK1106

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

Hi, this was on this list some weeks ago (Linker Error LNK1106: invalid 
file or disk full, can not seek to ...). 

This error can be observed on different machines (with most probably no 
disk problems) and different MSVC versions (at least 2005 and 2008) when 
linking the ql xll. The error is reproduceable on certain "source code 
configurations".

I googled two possible solutions which are

using linker option /OPT:NOICF
using linker option /IGNOREIDL

The second has no effect in my enviroment, but the first one seems to 
have solved the problem, hopefully forever.

Peter

Re: [Quantlib-dev] Boost Serialization Error

[eric.ehlers <eri...@na...>]

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    ---

Re: [Quantlib-dev] JQuantLib latest version

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

On Tue, 2010-11-09 at 15:25 +0100, tar...@li... wrote:
> i would like to know what is the latest version of QuantLib available in Java 
> language.
> Could you please forward me a link to download it.

If you mean the Java bindings generated with SWIG, it's version 1.0 of
the bindings and it also works with version 1.0.1 of the library.
You can get them at
<https://sourceforge.net/projects/quantlib/files/QuantLib/1.0/bindings/>.

If you're referring to the Java port instead, I'm afraid I have no idea
of its status...

Luigi


-- 

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

Re: [Quantlib-dev] using quantlib in Matlab

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

On Mon, 2010-11-08 at 09:47 -0800, steven e. pav wrote:
> > It sounds like the library thinks the instrument is expired and skips the 
> > calculation.
> > Are you settings the evaluation date correctly? (Look for where 
> > Settings::instance().evaluationDate() is set in the standalone.)
> 
> I do not think that is the problem. I tried an even simpler version of the
> code [...]

Hmm. In this case, I'm afraid I have no idea.  You can try stepping
through the code in a debugger, if Matlab allows it, or at least adding
some print statement in the performCalculation() method of the
instrument and the calculate() method of the engine to try and see
what's happening...

Luigi


-- 

There are two ways to write error-free programs; only the third one
works. 
-- unknown 

Re: [Quantlib-dev] new singleton test

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

Sure. It makes sense to postpone ICC support until after Visual Studio
2010 issues are fixed.

Re: [Quantlib-dev] Small bug in inflationPeriod()

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

Hi Niall, and all,

thanks for catching this.  Fix+test now in SVN on R1000 branch, and trunk.

Best regards,
Chris

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

Message: 5
Date: Wed, 10 Nov 2010 15:59:12 +0000
From: Niall O'Sullivan <Nia...@de...>
Subject: [Quantlib-dev] Small bug in inflationPeriod() in
    termstructures/inflationtermstructure.cpp
To: qua...@li...
Message-ID:
    
<OF7...@hy...>

    
Content-Type: text/plain; charset="us-ascii"



Hi all,

I believe there is a small bug in the function inflationPeriod() in
infaltiontermstructure.cpp.

The following example program fails in QL 1.0.1.

#include<ql/termstructures/inflationtermstructure.hpp>
using namespace QuantLib;
int main () {
  Date d = Date(1,Dec,2009);
  Frequency f = Quarterly;
  std::pair<Date,Date> res = inflationPeriod (d,f);
  return 0;
}

with the error message:
terminate called after throwing an instance of 'Quantlib::Error'
  what (): month 14 outside January-December range [1,12]

The problem occurs when the month is December and the frequency is either
Quarterly or Semiannual (for some other months you don't get an exception,
but the function returns the incorrect period). We have the following in
inflationtermstructure.cpp:

  case Quarterly:
    startMonth = Month(3*(month-1)/3 + 1);
    endMonth = Month(startMonth + 2);

When month is 12 then startMonth is (incorrectly) set to
  3*(12-1)/3+1 = 12
and endMonth is set to 14 which ultimately causes the above exception.

The bug is the order of evaluation which should be something like
3*((month-1)/3)+1
giving us startMonth = 3*((12-1)/3)+1 = 10 and thus endMonth = 12.

The Semiannual block of code has the same problem, to fix both I propose
adding 2 pairs of brackets as below:

<   startMonth = Month(6*(month-1)/6 + 1);
<   startMonth = Month(3*(month-1)/3 + 1);
--
>   startMonth = Month(6*((month-1)/6) + 1);
>   startMonth = Month(3*((month-1)/3) + 1);

Regards,
Niall.

[Quantlib-dev] Complex numbers in Add-In

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

Hi,

 

Has anyone tried implementing complex numbers in the QuantLib Add-In (as
a supported input type)? I'm trying to export fourier transform (and
characteristic function) capability but don't want to duplicate other
people's work.

 

Thanks,

Simon

 

 




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[Quantlib-dev] Small bug in inflationPeriod() in termstructures/inflationtermstructure.cpp

[Niall O'S. <Nia...@de...>]

Hi all,

I believe there is a small bug in the function inflationPeriod() in
infaltiontermstructure.cpp.

The following example program fails in QL 1.0.1.

#include<ql/termstructures/inflationtermstructure.hpp>
using namespace QuantLib;
int main () {
  Date d = Date(1,Dec,2009);
  Frequency f = Quarterly;
  std::pair<Date,Date> res = inflationPeriod (d,f);
  return 0;
}

with the error message:
terminate called after throwing an instance of 'Quantlib::Error'
  what (): month 14 outside January-December range [1,12]

The problem occurs when the month is December and the frequency is either
Quarterly or Semiannual (for some other months you don't get an exception,
but the function returns the incorrect period). We have the following in
inflationtermstructure.cpp:

  case Quarterly:
    startMonth = Month(3*(month-1)/3 + 1);
    endMonth = Month(startMonth + 2);

When month is 12 then startMonth is (incorrectly) set to
  3*(12-1)/3+1 = 12
and endMonth is set to 14 which ultimately causes the above exception.

The bug is the order of evaluation which should be something like
 3*((month-1)/3)+1
giving us startMonth = 3*((12-1)/3)+1 = 10 and thus endMonth = 12.

The Semiannual block of code has the same problem, to fix both I propose
adding 2 pairs of brackets as below:

<   startMonth = Month(6*(month-1)/6 + 1);
<   startMonth = Month(3*(month-1)/3 + 1);
--
>   startMonth = Month(6*((month-1)/6) + 1);
>   startMonth = Month(3*((month-1)/3) + 1);

Regards,
Niall.

[Quantlib-dev] QuantLibXL Documentation

[Breig, C. (I. GmbH) <CHR...@IN...>]

Hi all,

I successfully added the example function "qlStock" to QuantLibXL (http://quantlib.org/quantlibaddin/extend__tutorial.html). Then I have been trying to add the function to the documentation which does not work properly. That is, I ran the doc-QuantLibAddin_vc9.vcproj. The compiler results showed no errors. Afterwards, the stockFunctions appeared (in QuantLibAddin-docs-1.0.0.chm) under the category "Categories" but not under "Functions". What exactly do I have to do to automatically add a function to the rubrique "Functions"?

Cheers and Thanks in advance,
Chris

[Quantlib-dev] Quanto Basket

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

Hello,

I am pricing an equity basket with quanto adj but before change my source code 
I am wondering if anyone already worked in this topics and/or some example are 
available, or this feature of equity basket has never been considered inside 
the comunity?

Thx & Rgrds
Paolo

Re: [Quantlib-dev] new serialization code problem

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

On Tue, Nov 9, 2010 at 5:08 PM, eric.ehlers <eri...@gm...> wrote:
> I'll have a look this weekend. I tested it before and it looked OK so
> I'd be grateful if you could send me a test case to recreate the problem.

just creating a SimpleQuote and serializing it returns the error
"ohObjectSave - unregistered class - derived class not registered or
exported"

anyway I've committed
trunk\QuantLibXL\Workbooks\Bugs\SerializationBug.xls just in case you
need it

ciao -- Nando

[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 04:21
Message generated for change (Comment added) made by lballabio
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: Pending
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: Luigi Ballabio (lballabio)
Date: 2010-11-09 17:23

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 22:20

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

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

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Re: [Quantlib-dev] new serialization code problem

[eric.ehlers <eri...@gm...>]

Hi Nando,

Yes you can revert the changeset, sorry for the trouble.

I'll have a look this weekend. I tested it before and it looked OK so I'd be grateful if you could send me a test case to recreate the problem.

Thanks,
Eric
------Original Message------
From: Ferdinando Ametrano
Sender: Ferdinando Ametrano
To: Eric Ehlers
To: QuantLib Mailing Lists
Subject: new serialization code problem
Sent: Nov 9, 2010 16:05

Hi Eric

I've just checked out your last serialization code changeset and using
boost 1.44 and VC9 even the most simple serialization attempt fails
with broken files:

<?xml version="1.0" encoding="UTF-8" standalone="yes" ?>
<!DOCTYPE boost_serialization>
<boost_serialization signature="serialization::archive" version="7">
<object_list class_id="0" tracking_level="0" version="0">
	<count>1</count>
	<item_version>1</item_version>
	<item class_id="1" tracking_level="0" version="1">
		<px</boost_serialization>

should we revert the changeset until the problem is fixed ?

ciao -- Nando


--   BlackBerry® from Mobistar    ---

[Quantlib-dev] new serialization code problem

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

Hi Eric

I've just checked out your last serialization code changeset and using
boost 1.44 and VC9 even the most simple serialization attempt fails
with broken files:

<?xml version="1.0" encoding="UTF-8" standalone="yes" ?>
<!DOCTYPE boost_serialization>
<boost_serialization signature="serialization::archive" version="7">
<object_list class_id="0" tracking_level="0" version="0">
	<count>1</count>
	<item_version>1</item_version>
	<item class_id="1" tracking_level="0" version="1">
		<px</boost_serialization>

should we revert the changeset until the problem is fixed ?

ciao -- Nando

[Quantlib-dev] JQuantLib latest version

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

Hello,

i would like to know what is the latest version of QuantLib available in Java 
language.
Could you please forward me a link to download it.

Thank you
Paolo

[Quantlib-dev] [ quantlib-Patches-3105608 ] binomial tree support for non-flat interest rates

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

Patches item #3105608, was opened at 2010-11-08 18:12
Message generated for change (Comment added) made by venkyvemparala
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3105608&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: Venky Vemparala (venkyvemparala)
Assigned to: Nobody/Anonymous (nobody)
Summary: binomial tree support for non-flat interest rates

Initial Comment:
I have added 6 files in support for this :

ql/methods/lattices/generalizedcrr.hpp/cpp : Implement the Cox-Ross-Rubinstein equal jumps binomial tree, for non-constant interest rates ( per John Hull ).
ql/methods/lattices/generalizedbsmlattice.hpp : Implements the appropriate discount factors at each time step in the binomial tree ( based on the forward rate at each step )
ql/pricingengines/vanilla/generalizedbinomialengine.hpp : Implement compatibility with the GeneralizedBlackScholesProcess and the above changes. Also, re-implement the greeks.
examples/equityoption.cpp : Added code to test the GeneralizedBinomialEngine/CRR/Lattice


In addition I have made the following changes to the exisiting files :

1. ql/pricingengines/vanilla/discretizedvanillaoption.hpp -- replaced the inclusion of bsmlattice.hpp with stochasticprocess.hpp. ( former is not needed and the discretizedvanillaoption need not be constrained to the standard bsmlattice )

2. ql/methods/lattices/binomialtree.hpp : Removed the inclusion of dividendschedule.hpp -- not needed. Additionally, made two methods in the EqualJumpsBinomialTree virtual - functions "underlying" and "probability" -- needed to support other equal jumps tree implementations.

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

>Comment By: Venky Vemparala (venkyvemparala)
Date: 2010-11-08 18:18

Message:
Correction -- The patch consists of 4 new files and changes to 3 existing
files.

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

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[Quantlib-dev] [ quantlib-Patches-3105608 ] binomial tree support for non-flat interest rates

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

Patches item #3105608, was opened at 2010-11-08 18:12
Message generated for change (Tracker Item Submitted) made by venkyvemparala
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3105608&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: Venky Vemparala (venkyvemparala)
Assigned to: Nobody/Anonymous (nobody)
Summary: binomial tree support for non-flat interest rates

Initial Comment:
I have added 6 files in support for this :

ql/methods/lattices/generalizedcrr.hpp/cpp : Implement the Cox-Ross-Rubinstein equal jumps binomial tree, for non-constant interest rates ( per John Hull ).
ql/methods/lattices/generalizedbsmlattice.hpp : Implements the appropriate discount factors at each time step in the binomial tree ( based on the forward rate at each step )
ql/pricingengines/vanilla/generalizedbinomialengine.hpp : Implement compatibility with the GeneralizedBlackScholesProcess and the above changes. Also, re-implement the greeks.
examples/equityoption.cpp : Added code to test the GeneralizedBinomialEngine/CRR/Lattice


In addition I have made the following changes to the exisiting files :

1. ql/pricingengines/vanilla/discretizedvanillaoption.hpp -- replaced the inclusion of bsmlattice.hpp with stochasticprocess.hpp. ( former is not needed and the discretizedvanillaoption need not be constrained to the standard bsmlattice )

2. ql/methods/lattices/binomialtree.hpp : Removed the inclusion of dividendschedule.hpp -- not needed. Additionally, made two methods in the EqualJumpsBinomialTree virtual - functions "underlying" and "probability" -- needed to support other equal jumps tree implementations.

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

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Re: [Quantlib-dev] using quantlib in Matlab

[steven e. p. <sha...@gm...>]

On Sat, 6 Nov 2010, Luigi Ballabio wrote:

>> I am trying to use the quantlib library from Matlab. As a test case, I
>> adapted the EquityOption.cpp example code from the quantlib webpage to a 
>> cpp
>> file which would generate the price of an American Put option with 
>> parameters
>> given by the user, using a few different pricing engines. Before writing 
>> the
>> mex, I had created a standalone version which accepted input from std::cin, 
>> and
>> this ran fine.
>> However, when I run the code from matlab, the results always come back as 
>> 0. I
>
> It sounds like the library thinks the instrument is expired and skips the 
> calculation.
> Are you settings the evaluation date correctly? (Look for where 
> Settings::instance().evaluationDate() is set in the standalone.)

I do not think that is the problem. I tried an even simpler version of the
code, quoted here:


#ifdef IS_MATLAB
#include <mex.h>
#endif

// the only header you need to use QuantLib
#include <ql/quantlib.hpp>
#include <iostream>
#include <iomanip>

using namespace QuantLib;

#if defined(QL_ENABLE_SESSIONS)
namespace QuantLib {
     Integer sessionId() { return 0; }
}
#endif

#ifdef IS_MATLAB
void mexFunction(int nlhs, mxArray *plhs[],int nrhs, const mxArray *prhs[]) {
#else
int main(int argc, char* argv[]) {
#endif
         // set up dates
         Calendar calendar = TARGET();
         Date todaysDate(15, May, 1998);
         Date settlementDate(17, May, 1998);
         Settings::instance().evaluationDate() = todaysDate;

         // our options
         Option::Type type(Option::Put);
         Real underlying = 36;
         Real strike = 40;
         Spread dividendYield = 0.00;
         Rate riskFreeRate = 0.06;
         Volatility volatility = 0.20;
         Date maturity(17, May, 1999);
         DayCounter dayCounter = Actual365Fixed();

         std::cout << "Option type = "  << type << std::endl;
         std::cout << "Maturity = "        << maturity << std::endl;
         std::cout << "Underlying price = "        << underlying << std::endl;
         std::cout << "Strike = "                  << strike << std::endl;
         std::cout << "Risk-free interest rate = " << io::rate(riskFreeRate)
                   << std::endl;
         std::cout << "Dividend yield = " << io::rate(dividendYield)
                   << std::endl;
         std::cout << "Volatility = " << io::volatility(volatility)
                   << std::endl;
         std::string method;
         boost::shared_ptr<Exercise> europeanExercise(
                                          new EuropeanExercise(maturity));
         Handle<Quote> underlyingH(
             boost::shared_ptr<Quote>(new SimpleQuote(underlying)));

         // bootstrap the yield/dividend/vol curves
         Handle<YieldTermStructure> flatTermStructure(
             boost::shared_ptr<YieldTermStructure>(
                 new FlatForward(settlementDate, riskFreeRate, dayCounter)));
         Handle<YieldTermStructure> flatDividendTS(
             boost::shared_ptr<YieldTermStructure>(
                 new FlatForward(settlementDate, dividendYield, dayCounter)));
         Handle<BlackVolTermStructure> flatVolTS(
             boost::shared_ptr<BlackVolTermStructure>(
                 new BlackConstantVol(settlementDate, calendar, volatility,
                                      dayCounter)));
         boost::shared_ptr<StrikedTypePayoff> payoff(
                                         new PlainVanillaPayoff(type, strike));
         boost::shared_ptr<BlackScholesMertonProcess> bsmProcess(
                  new BlackScholesMertonProcess(underlyingH, flatDividendTS,
                                                flatTermStructure, flatVolTS));

         // options
         VanillaOption europeanOption(payoff, europeanExercise);

         // Analytic formulas:

         // Black-Scholes for European
         method = "Black-Scholes";
         europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                                      new AnalyticEuropeanEngine(bsmProcess)));
         std::cout << method << ": " << europeanOption.NPV()
                   << std::endl;

#ifdef IS_MATLAB
 				return;
#else
 				return 1;
#endif
}

when I compile this as a standalone using the -UIS_MATLAB compiler flag, and
run it, I get the results:

Option type = Put
Maturity = May 17th, 1999
Underlying price = 36
Strike = 40
Risk-free interest rate = 6.000000 %
Dividend yield = 0.000000 %
Volatility = 20.000000 %
Black-Scholes: 3.84431

when I compile with -DIS_MATLAB into a Matlab mex file, and run it from within
Matlab, I get the following:

Option type = Put
Maturity = May 17th, 1999
Underlying price = 36.000000
Strike = 40.000000
Risk-free interest rate = 6.000000 %
Dividend yield = 0.000000 %
Volatility = 20.000000 %
Black-Scholes: 0.000000

everything is the same except the results from NPV(), and the representation of
the price and strike (e.g. 36 vs. 36.000000).




--sep


[ Steven E. Pav                      {bikes/bitters/linux} nerd ]
[ google voice: 909.SHBYCHF        shabbychef a.t gmail d0t com ]
[ parent of tinyurl.com/oskarpix                                ]
[ a palindrome:                              zoos sure Russo Oz ]

Re: [Quantlib-dev] using quantlib in Matlab

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

On Nov 6, 2010, at 12:02 AM, steven e. pav wrote:

> I am trying to use the quantlib library from Matlab. As a test case, I
> adapted the EquityOption.cpp example code from the quantlib webpage  
> to a cpp
> file which would generate the price of an American Put option with  
> parameters
> given by the user, using a few different pricing engines. Before  
> writing the
> mex, I had created a standalone version which accepted input from  
> std::cin, and
> this ran fine.
> However, when I run the code from matlab, the results always come  
> back as 0. I
> do not know a lot about the guts of quantlib, and the lazy  
> evaluation methods
> being used. However, it seems that when I run the standalone, it  
> takes about 1
> second or so (there are some binomial lattice engines being used),  
> whereas when
> I run the mex file from matlab, it returns zeros instantaneously.

It sounds like the library thinks the instrument is expired and skips  
the calculation.
Are you settings the evaluation date correctly? (Look for where  
Settings::instance().evaluationDate() is set in the standalone.)

Luigi

Re: [Quantlib-dev] using quantlib in Matlab

[Robert P. <rob...@gm...>]

A real easy way of talking to Quantlib from Matlab is to call the java 
wrappers for Quantlib. Matlab is written in Java and so it is easy to 
load classes from there and call them.

Robert Philipp
Synapse Financial Engineering
703.623.4063 (mobile)
703.537.0119 (fax)

rob...@Sy...


On 11/5/2010 7:02 PM, steven e. pav wrote:
>
>
> hello;
>
>
> I am trying to use the quantlib library from Matlab. As a test case, I
> adapted the EquityOption.cpp example code from the quantlib webpage to a cpp
> file which would generate the price of an American Put option with parameters
> given by the user, using a few different pricing engines. Before writing the
> mex, I had created a standalone version which accepted input from std::cin, and
> this ran fine.
> However, when I run the code from matlab, the results always come back as 0. I
> do not know a lot about the guts of quantlib, and the lazy evaluation methods
> being used. However, it seems that when I run the standalone, it takes about 1
> second or so (there are some binomial lattice engines being used), whereas when
> I run the mex file from matlab, it returns zeros instantaneously. I suspect
> somehow that the<<  operator in the standalone (copied from EquityOption.cpp)
> forces the option to be evaluated under the given engine, but this is not being
> done in my matlab mex.
> Am I wrong about this? Do I have to force evaluation somehow? As a snippet of
> code, I have things like this in the mex:
>
>   	americanOptionPut.setPricingEngine(boost::shared_ptr<PricingEngine>(
>   						new BinomialVanillaEngine<JarrowRudd>(bsmProcess,timeSteps)));
>   	P[iii] = (double)americanOptionPut.NPV();   //puts the results in the output
>
> whereas in the standalone it looks more like:
>   	americanOptionPut.setPricingEngine(boost::shared_ptr<PricingEngine>(
>   						new BinomialVanillaEngine<JarrowRudd>(bsmProcess,timeSteps)));
>   	std::cout<<  "the result is "<<  americanOptionPut.NPV()<<  std::endl;
>
>
> any hints? thanks,
>
>
> --sep
>
>
> [ Steven E. Pav                      {bikes/bitters/linux} nerd ]
> [ google voice: 909.SHBYCHF        shabbychef a.t gmail d0t com ]
> [ parent of tinyurl.com/oskarpix                                ]
> [ a palindrome:                                    wondered now ]
>
>
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