quantlib-dev — Discussion of QuantLib development

[Quantlib-dev] [ quantlib-Bugs-3096252 ] errors in syntheticcdo.cpp

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

Bugs item #3096252, was opened at 2010-10-27 09:48
Message generated for change (Comment added) made by leibniz777
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3096252&group_id=12740

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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: leibniz777 (leibniz777)
Assigned to: Nobody/Anonymous (nobody)
Summary: errors in syntheticcdo.cpp

Initial Comment:
There should be made the following corrections:

1.) Implementation of  Real SyntheticCDO::protectionLegNPV():
The last return value should be protectionValue_ instead of premiumValue_.

2.) Implementation of Rate SyntheticCDO::fairPremium ():
If the runningRate_ is set to zero, the premiumValue_ would be zero. This means that the return value is an error value. Wouldn't it be better to introduce the concept of a premium bpv and to use this value to calculate the fair premium?

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

>Comment By: leibniz777 (leibniz777)
Date: 2010-10-27 10:47

Message:
I also suggest to implement a function that gives the upfront premium value
similar to the function premiumValue() that gives the running premium
value.

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

You can respond by visiting: 
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Re: [Quantlib-dev] QuantLib-dev Digest, Vol 53, Issue 8

[Gary W. <su...@co...>]

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[Quantlib-dev] [ quantlib-Bugs-3096252 ] errors in syntheticcdo.cpp

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

Bugs item #3096252, was opened at 2010-10-27 09:48
Message generated for change (Tracker Item Submitted) made by leibniz777
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3096252&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: leibniz777 (leibniz777)
Assigned to: Nobody/Anonymous (nobody)
Summary: errors in syntheticcdo.cpp

Initial Comment:
There should be made the following corrections:

1.) Implementation of  Real SyntheticCDO::protectionLegNPV():
The last return value should be protectionValue_ instead of premiumValue_.

2.) Implementation of Rate SyntheticCDO::fairPremium ():
If the runningRate_ is set to zero, the premiumValue_ would be zero. This means that the return value is an error value. Wouldn't it be better to introduce the concept of a premium bpv and to use this value to calculate the fair premium?

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3096252&group_id=12740

Re: [Quantlib-dev] Need some tips in order to price a Brazilian floating rate swap leg

[Piter D. <pit...@pi...>]

> No, I don't think so. In the existing coupons, gearing and spread just work as g*F + s, with F being some fixing.

It sounds like I have something to do here. As soon as I have something I let you guys know.

Thanks a lot
_______________________
Piter Dias
pit...@pi...

Re: [Quantlib-dev] Need some tips in order to price a Brazilian floating rate swap leg

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

On Thu, 2010-09-30 at 23:42 -0300, Piter Dias wrote:
> Here in Brazil we have something called “CDI cash flow” [...] It is
> something like:
> 
> ·         Given a CDI Annual Bus/252 rate, a S Annual Bus/252 spread
> and P a % of CDI
> 
> ·         Calculate TDI = (1+CDI)^(1/252)-1
> 
> ·         Calculate s = (1+S)^(1/252)-1
> 
> ·         Calculate f = (1+TDI*P)*(1+s)
> 
> Is QuantLib gearing able to behave the same way as “P” above?

No, I don't think so. In the existing coupons, gearing and spread just
work as g*F + s, with F being some fixing.

> Does QuantLib support multiplicative spread (like S, above)?

Same thing.

Luigi


-- 

The doctrine of human equality reposes on this: that there is no man 
really clever who has not found that he is stupid. 
-- Gilbert K. Chesterson 

Re: [Quantlib-dev] Variance Swap Implementation

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

On Mon, 2010-08-30 at 15:11 +0530, animesh saxena wrote:
> I have been trying to price Variance Swap using Monte carlo
> simulation. After trying various codes including the one in test-suite
> I wasn't able to get the correct price. There is a huge different in
> fair price. For example fair strike of variance swap for 20%
> volatility generally is implied vol of 90 Strike put. Roughly this is
> around 30% - 33%. 
> Quantlib gives out 20%. 

Animesh,
	sorry I haven't had a chance to come back on this.  Did you make any
progress (or any patch) in the meantime?

Thanks,
	Luigi



-- 

I hate quotations. 
-- Ralph Waldo Emerson 

Re: [Quantlib-dev] Extending short-rate models for credit / inflation.

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

On Mon, 2010-10-25 at 13:20 +0100, Simon Ibbotson wrote:
> That was what I meant (making the classes into template classes ) -
> but it would affect many classes, not just the TSCM and the TSFP.
> Also, any classes that derive from those (e.g. Hull-White, CIR++) and
> that use them (Grids etc.).
> 
> [...]
> 
> Extending the TermStructure definition would be much simpler - or
> adding another layer (e.g. RateBasedTermStructure) which would derive
> from TermStructure and be the base class for YieldTermStructure,
> DefaultProbabilityTermStructure, InflationTermStructure etc.

I'm not sure.  On the one hand, you'd have to modify all the classes
anyway so that they take a RateBasedTermStructure instead of a
YieldTermStructure.  Once you're doing that, you might as well make them
into templates.  On the other hand, RateBasedTermStructure has no
particular concept associated besides "a term structure returning some
kind of rate" or something like that (is default probability a rate?)
which is a bit too generic. It looks to me it would be just an
implementation thing with no actual financial concept behind.

Since the problem you're trying to solve is to unify different
interfaces in some way, have you thought about doing it explicitly and
using an Adapter pattern instead?  Off the top of my head (so I haven't
tested the design to see if there's any showstoppers) you might define
inside the model an inner class like:

class TermStructureConsistentModel {
    ...
  private:
    class OneFactorThingamabob {  // the name is your call
      public:
        virtual ~OneFactorThingamabob() {}
        virtual Real discountOrSomething(Time t) const = 0;
    }

    Handle<OneFactorThingamabob> bob_;
    ...
};


then an adapter like:

template <class T>
class ThingamabobAdapter;

and specializations such as:

template <>
class ThingamabobAdapter<YieldTermStructure>
    : public OneFactorThingamabob {
  public:
    // take and store a YieldTermStructure
    Real discountOrSomething(Time t) const {
        return storedYTS_->discount(t);
    }
};

template <>
class ThingamabobAdapter<DefaultProbabilityTermStructure>
    : public OneFactorThingamabob {
  public:
    // take and store a DefaultProbabilityTermStructure
    Real discountOrSomething(Time t) const {
        return storedYTS_->defaultProbability(t);
    }
};

and finally a template constructor for TSCM:

template <class T>
TermStructureConsistentModel(const Handle<T>& h, ...) {
    bob_ = new ThingamabobAdapter<T>(h);
    ...
}

This should adapt the several interfaces and do the right thing for
each.  It might even remove the need of turning the classes into
templates, since adding templates constructors might suffice.

The problem would be backward compatibility.  But it might (emphasis on
might) be saved by keeping the old constructors as special cases.


Later,
	Luigi



-- 

Brady's First Law of Problem Solving: 
When confronted by a difficult problem, you can solve it more 
easily by reducing it to the question, "How would the Lone 
Ranger have handled this?" 

Re: [Quantlib-dev] Extending short-rate models for credit / inflation.

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

That was what I meant (making the classes into template classes ) - but it would affect many classes, not just the TSCM and the TSFP. Also, any classes that derive from those (e.g. Hull-White, CIR++) and that use them (Grids etc.).

However, there is already an inheritance (specialisation) structure in place for TermStructure. I don't see that it would make any sense to add a template based specialisation in the short-rate models to replicate this.

Extending the TermStructure definition would be much simpler - or adding another layer (e.g. RateBasedTermStructure) which would derive from TermStructure and be the base class for YieldTermStructure, DefaultProbabilityTermStructure, InflationTermStructure etc.

I dare say one of the administrators would have to comment.

Simon

-----Original Message-----
From: ja...@fr... [mailto:ja...@fr...] 
Sent: 25 October 2010 13:08
To: Simon Ibbotson
Cc: qua...@li...
Subject: Re: [Quantlib-dev] Extending short-rate models for credit / inflation.

Is the problem that TSCM refers to a YTS rather than a TS?
Arguably ugly but could it help defaulting to the type used now: TSCM<TS_T=YTS> and the typedefs? it saves the existing code..... except for the T_ syntax to add, maybe thats what you meant.
And somthing similar for TermStructureFittingParameter.

Regards
Pepe

----- "Simon Ibbotson" <Sim...@fs...> a écrit :

> Hi,
> 
> 
> 
> I'm looking at extending the definitions in the short-rate models for
> credit (or inflation) purposes.
> 
> Problems arise with the TermStructureConsistentModel,
> TermStructureFittingParameters etc.
> 
> There are two possible approaches:
> 
> 
> 
> 1) Specialise using templates for the short-rate models.
> 
> 2) Specialise by adding to the TermStructure class.
> 
> 
> 
> The first method requires rewriting of many classes within a template
> structure - and specialising some of the class functions to return the
> survival probability instead of the discount factor. The second
> requires adding a function named oneFactorPrimitive() (or similar) to
> TermStructure which specialises using the standard C++ inheritance.
> 
> 
> 
> I'm leaning towards the second method as it is much simpler.
> 
> 
> 
> Any advice?
> 
> 
> 
> 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
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> _______________________________________________
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> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: [Quantlib-dev] Extending short-rate models for credit / inflation.

[<ja...@fr...>]

Is the problem that TSCM refers to a YTS rather than a TS?
Arguably ugly but could it help defaulting to the type used now: TSCM<TS_T=YTS> and the typedefs? it saves the existing code..... except for the T_ syntax to add, maybe thats what you meant.
And somthing similar for TermStructureFittingParameter.

Regards
Pepe

----- "Simon Ibbotson" <Sim...@fs...> a écrit :

> Hi,
> 
> 
> 
> I’m looking at extending the definitions in the short-rate models for
> credit (or inflation) purposes.
> 
> Problems arise with the TermStructureConsistentModel,
> TermStructureFittingParameters etc.
> 
> There are two possible approaches:
> 
> 
> 
> 1) Specialise using templates for the short-rate models.
> 
> 2) Specialise by adding to the TermStructure class.
> 
> 
> 
> The first method requires rewriting of many classes within a template
> structure – and specialising some of the class functions to return the
> survival probability instead of the discount factor. The second
> requires adding a function named oneFactorPrimitive() (or similar) to
> TermStructure which specialises using the standard C++ inheritance.
> 
> 
> 
> I’m leaning towards the second method as it is much simpler.
> 
> 
> 
> Any advice?
> 
> 
> 
> 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
> *****************************************************************
> 
> ------------------------------------------------------------------------------
> Nokia and AT&T present the 2010 Calling All Innovators-North America
> contest
> Create new apps & games for the Nokia N8 for consumers in  U.S. and
> Canada
> $10 million total in prizes - $4M cash, 500 devices, nearly $6M in
> marketing
> Develop with Nokia Qt SDK, Web Runtime, or Java and Publish to Ovi
> Store 
> http://p.sf.net/sfu/nokia-dev2dev
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Quantlib-dev] Extending short-rate models for credit / inflation.

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

Hi,

 

I'm looking at extending the definitions in the short-rate models for
credit (or inflation) purposes. 

Problems arise with the TermStructureConsistentModel,
TermStructureFittingParameters etc.

There are two possible approaches:

 

1)       Specialise using templates for the short-rate models.

2)       Specialise by adding to the TermStructure class.

 

The first method requires rewriting of many classes within a template
structure - and specialising some of the class functions to return the
survival probability instead of the discount factor. The second requires
adding a function named oneFactorPrimitive() (or similar) to
TermStructure which specialises using the standard C++ inheritance.

 

I'm leaning towards the second method as it is much simpler.

 

Any advice?

 

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] OneMarketData One Tick Database

[johnacandy <hay...@ho...>]

Hi , i was told to do a little R&D on One Tick Database from OneMarketData,
being new in finance application development i really dont have much of an
idea. I hope you experts out there might help me out , as there isnt really
any information available about this product online. Is this database a
replacement for a database such as SQL Server, MySQL,Oracle etc.... and any
links or tutorials available ?? is this database available for trial
downloads... ?? I would love anything which could atleast point me in the
right direction... Thanks again
-- 
View this message in context: http://old.nabble.com/OneMarketData-One-Tick-Database-tp30045187p30045187.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[17435] trunk/QuantLib/ql

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

On Thu, 2010-10-21 at 15:07 -0500, Kakhkhor Abdijalilov wrote:
> The first clause will try to rethrow a sliced down copy of e.
> std::exception can't be constructed for a string. waht() method of the
> rethrown object will return some implementation dependent message, not
> the original error message.

Correct--see the attached test program.  You're slicing the message
away, so it seems like you're doing the opposite of what you meant...

Later,
	Luigi


-- 

These are my principles, and if you don't like them... Well, I have
others. 
-- Groucho Marx 

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[17435] trunk/QuantLib/ql

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

The first clause will try to rethrow a sliced down copy of e.
std::exception can't be constructed for a string. waht() method of the
rethrown object will return some implementation dependent message, not
the original error message.

Regards,
Kakhkhor Abdijalilov.

Re: [Quantlib-dev] [QuantLib-svn] SF.net SVN: quantlib:[17435] trunk/QuantLib/ql

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

On Thu, 2010-10-21 at 16:14 +0000, na...@us... wrote:
> Revision: 17435
>           http://quantlib.svn.sourceforge.net/quantlib/?rev=17435&view=rev
> Author:   nando
> Date:     2010-10-21 16:14:28 +0000 (Thu, 21 Oct 2010)
> 
> Log Message:
> -----------
> added specialized handling of std::exception
> 
> @@ -138,6 +142,9 @@
>                                    // case of bootstrapping
>              try {
>                  performCalculations();
> +            } catch (std::exception& e) {
> +                calculated_ = false;
> +                throw e;
>              } catch (...) {
>                  calculated_ = false;
>                  throw;

Nando,
	that's not specialized.  The two catch clauses do the same thing (i.e.,
the same exception that's caught is rethrown.)  Did you have any
problems with the previous version? What behavior did you see that you
were trying to fix?

Luigi


-- 

There are no rules of architecture for a castle in the clouds. 
-- Gilbert K. Chesterton 

[Quantlib-dev] [ quantlib-Patches-3000492 ] Enhancements to TimeSeries class

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

Patches item #3000492, was opened at 2010-05-12 17:02
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3000492&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: Enhancements to TimeSeries class

Initial Comment:
I propose the following changes to TimeSeries class:
-- to add an extra template parameter Time with default to Date - this will allow for use of alternative data/time types (e.g. time_t);
-- to add time and value projection iterators so that one would be able to iterate through time and values independently - this feature would allow for treatment of a TimeSeries object as a simple sequence of time and/or value elemnets;
-- to add time and value iterator generating members: begin_time(), end_time(), begin_values(), end_values()

The diff of proposed changes is attached

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

Comment By: Luigi Ballabio (lballabio)
Date: 2010-10-21 17:34

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


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

Comment By: Slava Mazur (shlagbaum)
Date: 2010-10-18 19:24

Message:
The following changes are made to ql/timeseries.hpp:
-- projection iterators are implemented via boost::transform_iterator;
-- reverse iterators are defined only for containers that support
bidirectional iteration, for those that does not an instance of TimeSeries
class can be created, but methods that require a reverse iterator will not
compile;
-- c++0x compliant method added, cbegin(), cend() etc.

In TimeSeriesTest class a new testIterators method added.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2010-09-29 17:00

Message:
Slava,
    unfortunately, redefining TimeSeries as

template <class T, class Time = Date, class Container = std::map<Time, T>
>

is not backward-compatible with the existing declaration; existing client
code instantiating TimeSeries<T, MyContainer> would break. As Time needs to
come before Container in the template parameters, I don't think we'll be
able to apply this change until we start breaking things for a 2.0
release.

However, the iterators you defined would be a welcome addition.  May you
attach a new diff that adds them, but without the Time template parameter?

Thanks,
    Luigi



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

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https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3000492&group_id=12740

Re: [Quantlib-dev] fix for intel's compiler

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

Unfortunately, I couldn't get it to pass the test suit. The suite
fails even with the stock QL on Visual Studio (it crashes instantly).
I suspect there is some conflict between compiler setting used to
compiler boost and QL. Reinstalling and recompiling didn't help. I
would have to reformat HD or get a new box at some point in the
future. Maybe someone could test it for us on Visual Studio? The file
is singleton.hpp and available from sourceforge.

The problem is with the test suite only. Everything else works fine on
ICC and Visual Studio. If the new singleton passes all tests on Visual
Studio, we could keep it. Complete ICC support would require more than
just fixing singleton. Let's postpone it until v1.2. I am planing to
work on it after transition to VS2010.

Regards,
Kakhkhor Abdijalilov.

[Quantlib-dev] [ quantlib-Patches-2825951 ] Affine model term structure class

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

Patches item #2825951, was opened at 2009-07-23 14:20
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2825951&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
Resolution: None
Priority: 5
Private: No
Submitted By: sk77 (sk-77)
Assigned to: Nobody/Anonymous (nobody)
Summary: Affine model term structure class

Initial Comment:
Affine interest rate models have a nice feature: the prices of discount bonds in the future in some state of the world can be computed analytically. In this way one can quite efficiently recover the complete yield term structure in the future in some particular realisation. It would be nice to have a class derived from YieldTermStructure that implements this functionality. Attached is my implementation proposal. This implementation was developed and tested in VisualC++. To check the correctness of the implementation I have compared the prices of swaptions obtained by tree methods and by Monte-Carlo using this class. The tests were performed with Hull-White and G2 affine models.

Best regards,

Sasha


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

Comment By: SourceForge Robot (sf-robot)
Date: 2010-10-20 12:20

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: 2009-09-30 15:30

Message:
A question before I can apply the patch: who owns the copyright of the code
you contributed? Is it you, your employer, your own company...? Posting the
copyright attribution I should use, i.e., something like
    Copyright (C) 2009 Random J. Hacker
or
    Copyright (C) 2009 ACME inc.
would be best.


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

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[Quantlib-dev] [ quantlib-Patches-3011676 ] calculate mean/variance using a numerically-stable method

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

Patches item #3011676, was opened at 2010-06-05 00:27
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3011676&group_id=12740

Please note that this message will contain a full copy of the comment thread,
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Category: None
Group: None
>Status: Pending
Resolution: None
Priority: 5
Private: No
Submitted By: Pawel  (pawel3)
Assigned to: Nobody/Anonymous (nobody)
Summary: calculate mean/variance using a numerically-stable method

Initial Comment:
patch to IncrementalStatistics that uses a numerically stable method for calculating mean and variance

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

Comment By: SourceForge Robot (sf-robot)
Date: 2010-10-20 12:20

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: 2010-09-30 17:43

Message:
A question before I can apply the patch: who owns the copyright of the code
you contributed? Is it you, your employer, your own company...? Posting the
copyright attribution I should use, i.e., something like
    Copyright (C) 2009 Random J. Hacker
or
    Copyright (C) 2009 ACME inc.
would be best.


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

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[Quantlib-dev] [ quantlib-Patches-3011676 ] calculate mean/variance using a numerically-stable method

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

Patches item #3011676, was opened at 2010-06-05 00:27
Message generated for change (Settings changed) made by lballabio
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https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3011676&group_id=12740

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Category: None
Group: None
>Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Pawel  (pawel3)
Assigned to: Nobody/Anonymous (nobody)
Summary: calculate mean/variance using a numerically-stable method

Initial Comment:
patch to IncrementalStatistics that uses a numerically stable method for calculating mean and variance

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

Comment By: SourceForge Robot (sf-robot)
Date: 2010-10-20 12:20

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: 2010-09-30 17:43

Message:
A question before I can apply the patch: who owns the copyright of the code
you contributed? Is it you, your employer, your own company...? Posting the
copyright attribution I should use, i.e., something like
    Copyright (C) 2009 Random J. Hacker
or
    Copyright (C) 2009 ACME inc.
would be best.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3011676&group_id=12740

[Quantlib-dev] [ quantlib-Patches-3022766 ] BlackDeltaCalculator

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

Patches item #3022766, was opened at 2010-06-29 12:31
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3022766&group_id=12740

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including the initial issue submission, for this request,
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Category: None
Group: None
>Status: Pending
Resolution: None
Priority: 5
Private: No
Submitted By: Dimathematician (dimathematician)
Assigned to: Luigi Ballabio (lballabio)
Summary: BlackDeltaCalculator

Initial Comment:
Added various functions such as the derivatives of all deltas with respect to strike and volatility

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

Comment By: SourceForge Robot (sf-robot)
Date: 2010-10-20 12:20

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: 2010-09-29 15:52

Message:
Dimitri,
    sorry, but I can't make sense of the diffs.  In a nutshell, the
problem is:
- you previously contributed a version A of the files;
- I added it to the repository after some changes (formatting, replacing
const Real& with Real, etc.) so the file in ql/experimental/fx is now a
version B;
- you added new features to your original version A, obtaining a version
C;
- finally, you posted here the diffs between B and C.  But those are (C-A)
- (B-A), i.e., an intertwining of your additions with the formatting and
parameter changes.

Now, due to the changes between A and B, we have that on the one hand, the
diffs cover almost the entire file; and on the other hand, if I were to
apply them, I would just obtain C, thus losing the changes between A and B
entirely.

The best thing would be for you to take B from the repository, add the new
features to it, and post new clean diffs.

Thanks,
    Luigi

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3022766&group_id=12740

[Quantlib-dev] [ quantlib-Patches-3011676 ] calculate mean/variance using a numerically-stable method

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

Patches item #3011676, was opened at 2010-06-04 22:27
Message generated for change (Comment added) made by sf-robot
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3011676&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: None
Priority: 5
Private: No
Submitted By: Pawel  (pawel3)
Assigned to: Nobody/Anonymous (nobody)
Summary: calculate mean/variance using a numerically-stable method

Initial Comment:
patch to IncrementalStatistics that uses a numerically stable method for calculating mean and variance

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

>Comment By: SourceForge Robot (sf-robot)
Date: 2010-10-20 10:20

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: 2010-09-30 15:43

Message:
A question before I can apply the patch: who owns the copyright of the code
you contributed? Is it you, your employer, your own company...? Posting the
copyright attribution I should use, i.e., something like
    Copyright (C) 2009 Random J. Hacker
or
    Copyright (C) 2009 ACME inc.
would be best.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3011676&group_id=12740

[Quantlib-dev] [ quantlib-Patches-2825951 ] Affine model term structure class

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

Patches item #2825951, was opened at 2009-07-23 12:20
Message generated for change (Comment added) made by sf-robot
You can respond by visiting: 
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including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
>Status: Closed
Resolution: None
Priority: 5
Private: No
Submitted By: sk77 (sk-77)
Assigned to: Nobody/Anonymous (nobody)
Summary: Affine model term structure class

Initial Comment:
Affine interest rate models have a nice feature: the prices of discount bonds in the future in some state of the world can be computed analytically. In this way one can quite efficiently recover the complete yield term structure in the future in some particular realisation. It would be nice to have a class derived from YieldTermStructure that implements this functionality. Attached is my implementation proposal. This implementation was developed and tested in VisualC++. To check the correctness of the implementation I have compared the prices of swaptions obtained by tree methods and by Monte-Carlo using this class. The tests were performed with Hull-White and G2 affine models.

Best regards,

Sasha


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

>Comment By: SourceForge Robot (sf-robot)
Date: 2010-10-20 10:20

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: 2009-09-30 13:30

Message:
A question before I can apply the patch: who owns the copyright of the code
you contributed? Is it you, your employer, your own company...? Posting the
copyright attribution I should use, i.e., something like
    Copyright (C) 2009 Random J. Hacker
or
    Copyright (C) 2009 ACME inc.
would be best.


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=2825951&group_id=12740

[Quantlib-dev] [ quantlib-Patches-3022766 ] BlackDeltaCalculator

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

Patches item #3022766, was opened at 2010-06-29 10:31
Message generated for change (Comment added) made by sf-robot
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3022766&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: None
Priority: 5
Private: No
Submitted By: Dimathematician (dimathematician)
Assigned to: Luigi Ballabio (lballabio)
Summary: BlackDeltaCalculator

Initial Comment:
Added various functions such as the derivatives of all deltas with respect to strike and volatility

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

>Comment By: SourceForge Robot (sf-robot)
Date: 2010-10-20 10:20

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: 2010-09-29 13:52

Message:
Dimitri,
    sorry, but I can't make sense of the diffs.  In a nutshell, the
problem is:
- you previously contributed a version A of the files;
- I added it to the repository after some changes (formatting, replacing
const Real& with Real, etc.) so the file in ql/experimental/fx is now a
version B;
- you added new features to your original version A, obtaining a version
C;
- finally, you posted here the diffs between B and C.  But those are (C-A)
- (B-A), i.e., an intertwining of your additions with the formatting and
parameter changes.

Now, due to the changes between A and B, we have that on the one hand, the
diffs cover almost the entire file; and on the other hand, if I were to
apply them, I would just obtain C, thus losing the changes between A and B
entirely.

The best thing would be for you to take B from the repository, add the new
features to it, and post new clean diffs.

Thanks,
    Luigi

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3022766&group_id=12740

[Quantlib-dev] [ quantlib-Patches-3000492 ] Enhancements to TimeSeries class

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

Patches item #3000492, was opened at 2010-05-12 11:02
Message generated for change (Comment added) made by shlagbaum
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https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3000492&group_id=12740

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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Slava Mazur (shlagbaum)
Assigned to: Nobody/Anonymous (nobody)
Summary: Enhancements to TimeSeries class

Initial Comment:
I propose the following changes to TimeSeries class:
-- to add an extra template parameter Time with default to Date - this will allow for use of alternative data/time types (e.g. time_t);
-- to add time and value projection iterators so that one would be able to iterate through time and values independently - this feature would allow for treatment of a TimeSeries object as a simple sequence of time and/or value elemnets;
-- to add time and value iterator generating members: begin_time(), end_time(), begin_values(), end_values()

The diff of proposed changes is attached

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

>Comment By: Slava Mazur (shlagbaum)
Date: 2010-10-18 13:24

Message:
The following changes are made to ql/timeseries.hpp:
-- projection iterators are implemented via boost::transform_iterator;
-- reverse iterators are defined only for containers that support
bidirectional iteration, for those that does not an instance of TimeSeries
class can be created, but methods that require a reverse iterator will not
compile;
-- c++0x compliant method added, cbegin(), cend() etc.

In TimeSeriesTest class a new testIterators method added.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2010-09-29 11:00

Message:
Slava,
    unfortunately, redefining TimeSeries as

template <class T, class Time = Date, class Container = std::map<Time, T>
>

is not backward-compatible with the existing declaration; existing client
code instantiating TimeSeries<T, MyContainer> would break. As Time needs to
come before Container in the template parameters, I don't think we'll be
able to apply this change until we start breaking things for a 2.0
release.

However, the iterators you defined would be a welcome addition.  May you
attach a new diff that adds them, but without the Time template parameter?

Thanks,
    Luigi



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

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Re: [Quantlib-dev] [Quantlib-users] Hull-White and CIR path generation

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

On Fri, 2010-10-15 at 16:50 +0100, Simon Ibbotson wrote:
> I've written some code for generating random numbers for the Gamma
> distribution, the Chi-squared distribution and the Non-Central
> Chi-Squared distribution but I need to wrap these up into a path
> generator for CIR which can then be used for Monte-Carlo pricing.
> [...] I don't want to use the InverseCumulativeRsg as inverting the
> CIR distribution is really slow compared to sampling from the
> Non-Central Chi-Squared.
> 
> So, I'm assuming that (to use the Monte Carlo framework) I need to
> create 
> 1) A CIR sequence generator.
> 2) A RNG traits template class which enables the CIR sequence generator
> class. 
> 
> Is this correct? Or is there something that I've missed?

Correct.  You can already generate numbers according to your
distribution, so just wrap them in a sequence generator and you should
be done.

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