quantlib-dev — Discussion of QuantLib development

Re: [Quantlib-dev] Compiling Quantlib for .NET

[Nathan A. <nka...@gm...>]

I suggest you should use C++/CLI. C++/CLI works just fine with QuantLib. If
you do not want to use C++ you can try QL.net. It is written in C#.

On Mon, Sep 20, 2010 at 1:49 AM, Ahmad Mahomed <ahm...@gm...>wrote:

> Good day Luigi,
>
> I have spotted this old thread on Wilmot (
> http://www.wilmott.com/messageview.cfm?catid=10&threadid=36148) regarding
> "Compiling Quantlib to .NET MIL". Are those comments still valid? Is it
> possible to compile Quantlib using the /clr option. I have tried this and
> the the compilation was successful albeit with a few warnings. However, I
> was not able to  use the resultant binary  in a C# project? Is this even
> possible? Would you suggest this? I think the question also what are the
> other compilations options available for QL for a .Net environment?
>
> I have successfully used the C# SWIG bindings and have been able to call
> into the QL library. I am looking for alternatives ways to use QL within a
> .Net environment. (The C# port of the QuantLib(qlnet.org) is not actively
> maintained, so that is not an option)
>
> Some background - the plan is to use QL within a Windows-based
> client-server environment (and possible a standalone server-side only
> application for batch processing). Are there any gotcha's that you may be
> aware of that I need to know?
>
> Your help/advice on this will be highly appreciated. I am complete C++
> noob, so please forgive some of the naive questions. There also does not
> seem to be much information apart from the C# SWIG options for QuantLib.
>
> Regards,
>
> --
> Ahmad Mahomed
>
>
> ------------------------------------------------------------------------------
> Start uncovering the many advantages of virtual appliances
> and start using them to simplify application deployment and
> accelerate your shift to cloud computing.
> http://p.sf.net/sfu/novell-sfdev2dev
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>

Re: [Quantlib-dev] QuantLibXL / ObjectHandler 1.0.1 Prerelease Files

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

Hi Eric,

I've downloaded and tested the QuantLibXL-bin.exe release candidate:
there were few workbooks which needed an update. I fixed all of them
but Interpolation.xls.

Interpolation.xls fails because of a broken feature: we used to be
able to input a comma separated string instead of a vector of numbers,
now it's not possible anymore.
The code must be there somewhere and we also have the function
ohStringSplit which implements that functionality in an effective way.
Unfortunately nesting ohStringSplit inside a function call does not
solve the issue. Could you take a look at it?

The most elegant solution would probably be to just fix the call

=myFunction(..., ohStringSplit(myvectorAsString, ","), ...)

so that it would up to the user to do the conversion and to provide
the delimiter (which is regional settings dependant)
The optional next step might be to also attempt a last-resort coercion
to vector<Whatever> at the C++ layer, in which case the delimiter
should be the regional setting default

thank you anyway

ciao -- Nando

[Quantlib-dev] Monte Carlo

[ANIMESH S. <ani...@gm...>]

GenericMonteCarlo.zip

https://docs.google.com/leaf?id=0Bz-6k70uEtu7Y2Y4MWQxZDAtN2U0NC00ZmVjLTllMGYtYTIxMzdiMWI5MzMy&hl=e


Hi,
   I had been work on a monte carlo design (with Stochastic Volatility -
Heston Model). My basic idea was to allow almost any exotic structure to be
priced (well 90% of them) using stochastic volatility coz
GeneralizedBlackScholes process is not practically useful. I designed this
from a trader / quants perspective. The design is very poor - I Admit!

I have tried to generalize the heston process, and using what I call hooks
(different exotic payoffs) the process will price them. The process
generates the paths, (cholesky decomposition used to generate correlated
random numbers). Halton sequence used for fast convergence. The hook just
uses the process to get the paths generated and updates the payoff. So any
new exotic structure added will just need a new hook.
As of now I have skipped the discounting portion, and is purely used by me
for personal trading. I do the discounting manually using HJM later.

I would like some suggestions from anyone who wants to take try this. Maybe
with lots of changes to design this methodology can be put into QuantLib.
This will help in solving the tight coupling of engines and process issue.

Link is a google doc to attached code (zip file). It's in Mac (XCode) gui,
but well can be compiled on any platform easily. (No dependencies on Boost
etc)

Thanks for your time,

Animesh



(http://quantanalysis.wordpress.com)

[Quantlib-dev] Compiling Quantlib for .NET

[Ahmad M. <ahm...@gm...>]

Good day Luigi,

I have spotted this old thread on Wilmot (
http://www.wilmott.com/messageview.cfm?catid=10&threadid=36148) regarding
"Compiling Quantlib to .NET MIL". Are those comments still valid? Is it
possible to compile Quantlib using the /clr option. I have tried this and
the the compilation was successful albeit with a few warnings. However, I
was not able to  use the resultant binary  in a C# project? Is this even
possible? Would you suggest this? I think the question also what are the
other compilations options available for QL for a .Net environment?

I have successfully used the C# SWIG bindings and have been able to call
into the QL library. I am looking for alternatives ways to use QL within a
.Net environment. (The C# port of the QuantLib(qlnet.org) is not actively
maintained, so that is not an option)

Some background - the plan is to use QL within a Windows-based client-server
environment (and possible a standalone server-side only application for
batch processing). Are there any gotcha's that you may be aware of that I
need to know?

Your help/advice on this will be highly appreciated. I am complete C++ noob,
so please forgive some of the naive questions. There also does not seem to
be much information apart from the C# SWIG options for QuantLib.

Regards,

-- 
Ahmad Mahomed

[Quantlib-dev] QuantLibXL / ObjectHandler 1.0.1 Prerelease Files

[Eric E. <eri...@na...>]

Hi All,

The prerelease files for version 1.0.1 of QuantLibAddin, QuantLibXL,
ObjectHandler and gensrc are available at this link:

http://sourceforge.net/projects/quantlib/files/prerelease/

I'd be grateful to anyone who could spare some time to test the files and let
me know how it goes.

There was no 1.0.0 release.  These files are compatible with QuantLib  
1.0.0 and 1.0.1.

Kind Regards,
Eric

===================================================
Eric Ehlers
nazcatech sprl | Brussels | http://www.nazcatech.be
* Distributed computing for pricing analytics
* Use Microsoft Excel as a client to the Grid

[Quantlib-dev] [ quantlib-Patches-3064373 ] unitofmeasureconversionmanager.hpp change

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

Patches item #3064373, was opened at 2010-09-11 19:28
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3064373&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: Deleted
>Resolution: Duplicate
Priority: 5
Private: No
Submitted By: manas (manasb)
Assigned to: Nobody/Anonymous (nobody)
Summary: unitofmeasureconversionmanager.hpp change

Initial Comment:
removed friend reference to the class from which it is derived ie 

class UnitOfMeasureConversionManager
        : public Singleton<UnitOfMeasureConversionManager> {
        friend class Singleton<UnitOfMeasureConversionManager>;

to

class UnitOfMeasureConversionManager
        : public Singleton<UnitOfMeasureConversionManager> {
    


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

>Comment By: Luigi Ballabio (lballabio)
Date: 2010-09-17 13:08

Message:
copy of 3064571

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3064373&group_id=12740

Re: [Quantlib-dev] Yield to Maturity and Duration example.

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

I have some code which might help:

     boost::shared_ptr<YieldTermStructure> curvePtr=getBondYieldCurve(); 
// this function constructs the yield curve
    Handle<YieldTermStructure> curve(curvePtr);

    Natural settlementDays = 1;
    Calendar cal=UnitedStates(UnitedStates::GovernmentBond);
    Real faceAmount = 100.0;
    Date today(14,Sep,2009);
    Settings::instance().evaluationDate() = today;
    Date settlementDate=cal.advance(today,settlementDays,Days);
    Date maturityDate(15,Nov,2017);
    DayCounter dc=ActualActual(ActualActual::Bond);
    Date issueDate(15,Nov,2007);

    BusinessDayConvention bdc=Unadjusted;
   
    Schedule bondSchedule=MakeSchedule(issueDate,maturityDate, 
Period(Semiannual), cal, bdc).backwards();

    std::vector<Date> couponDates=bondSchedule.dates();
   
    FixedRateBond fixedRateBond(
                 settlementDays,
                 faceAmount,
                 bondSchedule,
                 std::vector<Rate>(1, 0.0425),
                 dc,bdc,faceAmount,issueDate);

     boost::shared_ptr<PricingEngine> bondEngine(new 
DiscountingBondEngine(curve));
     fixedRateBond.setPricingEngine(bondEngine);

     std::cout << "Clean Price:"<< fixedRateBond.cleanPrice() << std::endl;
     std::cout << "Dirty Price:"<< fixedRateBond.dirtyPrice() << std::endl;
    
     Real accruedInterest= fixedRateBond.dirtyPrice()- 
fixedRateBond.cleanPrice();
     std::cout << "Accrued Interest:" << accruedInterest << std::endl;
    
     Rate yield=fixedRateBond.yield(dc,Compounded,Semiannual);
     InterestRate yieldRate=InterestRate(yield,dc,Compounded,Semiannual);
     std::cout << "Bond Yield:"<< yield << std::endl;
   
     Real 
durationMod=CashFlows::duration(fixedRateBond.cashflows(),yieldRate, 
Duration::Modified);
     std::cout << "Duration:" << - durationMod << std::endl;
     std::cout << "BPV:" << 
CashFlows::basisPointValue(fixedRateBond.cashflows(),yieldRate)*100 << 
std::endl;
   
     Real 
convexity=CashFlows::convexity(fixedRateBond.cashflows(),yieldRate);
     std::cout << "Convexity:" << convexity << std::endl;
   



Luigi Ballabio schrieb:
> On Wed, 2010-09-15 at 18:26 -0700, mdp788 wrote:
>   
>> I am new to Quantlib, and using the Java binding. I am interested in YTM,
>> and duration calculation of Fixed as well floating rate coupon bond.
>> Unfortunately I can't find any examples or docs on how to do so. Could you
>> please point me to where I can find some example, or some other reference
>> documents on how to do what I stated earlier.
>>     
>
> Unfortunately, I have no example ready; however, once you have
> instantiated your bond, you can extract its cashflows (by calling
> bond.cashflows()) and pass them to the yield(...) and duration(...)
> static methods of the CashFlows class.
>
> Luigi
>
>
>   

Re: [Quantlib-dev] Yield to Maturity and Duration example.

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

On Wed, 2010-09-15 at 18:26 -0700, mdp788 wrote:
> I am new to Quantlib, and using the Java binding. I am interested in YTM,
> and duration calculation of Fixed as well floating rate coupon bond.
> Unfortunately I can't find any examples or docs on how to do so. Could you
> please point me to where I can find some example, or some other reference
> documents on how to do what I stated earlier.

Unfortunately, I have no example ready; however, once you have
instantiated your bond, you can extract its cashflows (by calling
bond.cashflows()) and pass them to the yield(...) and duration(...)
static methods of the CashFlows class.

Luigi


-- 

Humphrey's Requirements Uncertainty Principle: 
For a new software system, the requirements will not be 
completely known until after the users have used it. 

Re: [Quantlib-dev] QL_HEX_VERSION Version Number in version.hpp

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

Ahmad,
	you're probably using the SWIG bindings from the Subversion repository.
Use QuantLib-SWIG 1.0, which works with QuantLib 1.0.1.

Luigi

On Thu, 2010-09-16 at 10:31 +0200, Ahmad Mahomed wrote:
> I'm not a C++ developer - but just wanted to make sure that the
> QL_HEX_VERSION  number is correct '0x010001f0' in version.hpp from the
> v1.0.1 download. 
> 
> 
> The NQuantLibc for the SWIG C# bindings does not compile. The error is
> as follows:
> 
> 
>         \quantlib_wrap.cpp(345) : fatal error C1189: #error :  using
>         an old version of QuantLib, please update
> 
> 
> Changing Line 344 of 'quantlib_wrap.cpp' to the following works. 
> 
> 
>         #if QL_HEX_VERSION < 0x010001f0//0x010100f0
> 
> 
> 
> Regards,
> 
> -- 
> Ahmad Mahomed
> 
> ------------------------------------------------------------------------------
> Start uncovering the many advantages of virtual appliances
> and start using them to simplify application deployment and
> accelerate your shift to cloud computing.
> http://p.sf.net/sfu/novell-sfdev2dev
> _______________________________________________ QuantLib-dev mailing list Qua...@li... https://lists.sourceforge.net/lists/listinfo/quantlib-dev


-- 

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

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

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

On Thu, Sep 16, 2010 at 1:50 PM, Luigi Ballabio
<lui...@gm...> wrote:
> If anyone could report success with VC2008
> and Bppst 1.44, that would be of help.

no problem with the current trunk on my Windows XP box using VC2008
Express and boost 1.44 release configuration

ciao -- Nando

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

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

On Thu, 2010-09-16 at 05:01 -0500, Kakhkhor Abdijalilov wrote:
> Did anyone run the test suite with boost 1.44? It is failing under
> Visual Studio 2008 as well as under ICC. In the past v1.01 test suite
> run fine under Visual Studio 2008, but now it is crashing with memory
> access violation error message. Maybe something is wrong with boost?

It's running with gcc on Linux.  I might try a Windows box, but it's
going to take me some time.  If anyone could report success with VC2008
and Bppst 1.44, that would be of help.

Luigi


-- 

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

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

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

Did anyone run the test suite with boost 1.44? It is failing under
Visual Studio 2008 as well as under ICC. In the past v1.01 test suite
run fine under Visual Studio 2008, but now it is crashing with memory
access violation error message. Maybe something is wrong with boost?

Re: [Quantlib-dev] Random Numbers

[animesh s. <ani...@gm...>]

  Also FYI convergence diagram for my code (3 Asset basket option) with 
Stochastic Vol (less than 30 seconds to price)

http://quantanalysis.files.wordpress.com/2010/09/091510_2334_montecarlob101.jpg

On 9/16/10 3:25 PM, animesh saxena wrote:
>  Hi Luigi,
>       Thanks for your mail. I think I might have tried Mersenne 
> twister (from sample code), coz the sequence gave my code convergence 
> issues. I initially went with my own implementation of Halton sequence 
> to improve the convergence, but well Sobol is much much better :)
>
> I had used Cholesky decomposition for generating correlated random 
> numbers. Using some of the code from QuantLib I am able to generate an 
> N dimension array. If I have this huge array I can use it for pricing 
> almost any exotic (by repeating the simulations). All that changes is 
> the payoff function. For instance Heston model combined with Path 
> generation can be used for pricing almost any exotic structure (well 
> majority of them). I still am trying to think of how to make the 
> payoff specification generic.
>
> So is it possible to have a generic pricer in QuantLib which will 
> allow the user to specify a PayOff function using the multi path 
> generated above? I think it can be pretty useful. Coz currently as you 
> mentioned we have Engines tightly coupled with Exotic Options and 
> Processes.
>
> Let me know your views on that.
>
> Thanks,
>
> Animesh
> On 9/16/10 2:57 PM, Luigi Ballabio wrote:
>> On Thu, 2010-09-16 at 13:19 +0530, animesh saxena wrote:
>>> What is the method used for Random number generation in QuantLib for
>>> Monte Carlo Simulations (for instance Heston Model)?
>>> Is it Mersene Twister or something else?
>> It depends on the traits you choose when you instantiate the engine.
>> For the PseudoRandom traits, it's Mersenne Twister.  For LowDiscrepancy,
>> it's Sobol.  If you want something else, you can make a new traits class
>> and use that one; look at<ql/math/randomnumbers/rngtraits.hpp>  and
>> <ql/methods/montecarlo/mctraits.hpp>  for examples and details.
>>
>> Luigi
>>
>>
>

-- 
Regards,
Animesh Saxena

(http://quantanalysis.wordpress.com)
Ph: (+91)9920098221

Re: [Quantlib-dev] Random Numbers

[animesh s. <ani...@gm...>]

  Hi Luigi,
       Thanks for your mail. I think I might have tried Mersenne twister 
(from sample code), coz the sequence gave my code convergence issues. I 
initially went with my own implementation of Halton sequence to improve 
the convergence, but well Sobol is much much better :)

I had used Cholesky decomposition for generating correlated random 
numbers. Using some of the code from QuantLib I am able to generate an N 
dimension array. If I have this huge array I can use it for pricing 
almost any exotic (by repeating the simulations). All that changes is 
the payoff function. For instance Heston model combined with Path 
generation can be used for pricing almost any exotic structure (well 
majority of them). I still am trying to think of how to make the payoff 
specification generic.

So is it possible to have a generic pricer in QuantLib which will allow 
the user to specify a PayOff function using the multi path generated 
above? I think it can be pretty useful. Coz currently as you mentioned 
we have Engines tightly coupled with Exotic Options and Processes.

Let me know your views on that.

Thanks,

Animesh
On 9/16/10 2:57 PM, Luigi Ballabio wrote:
> On Thu, 2010-09-16 at 13:19 +0530, animesh saxena wrote:
>> What is the method used for Random number generation in QuantLib for
>> Monte Carlo Simulations (for instance Heston Model)?
>> Is it Mersene Twister or something else?
> It depends on the traits you choose when you instantiate the engine.
> For the PseudoRandom traits, it's Mersenne Twister.  For LowDiscrepancy,
> it's Sobol.  If you want something else, you can make a new traits class
> and use that one; look at<ql/math/randomnumbers/rngtraits.hpp>  and
> <ql/methods/montecarlo/mctraits.hpp>  for examples and details.
>
> Luigi
>
>

-- 
Regards,
Animesh Saxena

(http://quantanalysis.wordpress.com)
Ph: (+91)9920098221

Re: [Quantlib-dev] Random Numbers

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

On Thu, 2010-09-16 at 13:19 +0530, animesh saxena wrote:
> What is the method used for Random number generation in QuantLib for 
> Monte Carlo Simulations (for instance Heston Model)?
> Is it Mersene Twister or something else?

It depends on the traits you choose when you instantiate the engine.
For the PseudoRandom traits, it's Mersenne Twister.  For LowDiscrepancy,
it's Sobol.  If you want something else, you can make a new traits class
and use that one; look at <ql/math/randomnumbers/rngtraits.hpp> and
<ql/methods/montecarlo/mctraits.hpp> for examples and details.

Luigi


-- 

standards, n.: 
The principles we use to reject other people's code. 

[Quantlib-dev] QL_HEX_VERSION Version Number in version.hpp

[Ahmad M. <ahm...@gm...>]

Hi,

I'm not a C++ developer - but just wanted to make sure that the
QL_HEX_VERSION  number is correct '0x010001f0' in version.hpp from the
v1.0.1 download.

The NQuantLibc for the SWIG C# bindings does not compile. The error is as
follows:

*\quantlib_wrap.cpp(345) : fatal error C1189: #error :  using an old version
of QuantLib, please update*


Changing Line 344 of 'quantlib_wrap.cpp' to the following works.

*#if QL_HEX_VERSION < 0x010001f0//0x010100f0*



Regards,

-- 
Ahmad Mahomed

[Quantlib-dev] Random Numbers

[animesh s. <ani...@gm...>]

  What is the method used for Random number generation in QuantLib for 
Monte Carlo Simulations (for instance Heston Model)?
Is it Mersene Twister or something else?

-- 
Regards,
Animesh Saxena

(http://quantanalysis.wordpress.com)
Ph: (+91)9920098221

[Quantlib-dev] Yield to Maturity and Duration example.

[mdp788 <md...@gm...>]

Hello,
I am new to Quantlib, and using the Java binding. I am interested in YTM,
and duration calculation of Fixed as well floating rate coupon bond.
Unfortunately I can't find any examples or docs on how to do so. Could you
please point me to where I can find some example, or some other reference
documents on how to do what I stated earlier.

Thanks a lor.
-- 
View this message in context: http://old.nabble.com/Yield-to-Maturity-and-Duration-example.-tp29724423p29724423.html
Sent from the quantlib-dev mailing list archive at Nabble.com.

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

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

It worked with all examples, but the test suite crashes with access
violation error. I suspect it as to do something with compiler
settings. Bjam uses different compiler settings for icc and it must be
run with preset environment variables. Some of the settings could be
different from Visual Studio project settings. I will recompiled boost
and QuantLib and try it again.

Re: [Quantlib-dev] [ quantlib-Patches-3047358 ] fixed gaussian orthogonal polynomial

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

denom and num aren't continues. Looks like "if (!denom)" was meant to
deal with the case when denom is exactly zero because of particular
choice of i, alpha and beta. In that case num must be exactly zero
too.

For example, if i=0, alpha=0 and beta=0, then denom is bitwise 0. In
that case num must be bitwise zero too. It will work if the test "if
(!denom)" is meant to be true only for a particular values of i, alpha
and beta.

Re: [Quantlib-dev] [ quantlib-Patches-3047358 ] fixed gaussian orthogonal polynomial

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

This probably doesn't work because the logic was reversed here: 

,----
|         if (std::fabs(denom)<QL_EPSILON) {
|             if (std::fabs(num)<QL_EPSILON) {
|                 QL_FAIL("can't compute b_k for jacobi integration\n");
`----

I think it should be something like

,----
|         if (std::fabs(denom)<QL_EPSILON) {
|             if (std::fabs(num)>QL_EPSILON) {
|                 QL_FAIL("can't compute b_k for jacobi integration\n");
`----

This test exists because l'Hopital rule doesn't work if the nominator is
finite, so an error is signalled if denom is close to zero while num is
_not_ close to zero.

Best,
Bojan

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

[Quantlib-dev] [ quantlib-Patches-3047358 ] fixed gaussian orthogonal polynomial

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

Patches item #3047358, was opened at 2010-08-18 01:25
Message generated for change (Settings changed) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3047358&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: Postponed
Priority: 5
Private: No
Submitted By: renorm (renorm)
Assigned to: Nobody/Anonymous (nobody)
Summary: fixed gaussian orthogonal polynomial

Initial Comment:
double with zero comparison  issue

Only fixed function are included

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

Comment By: renorm (renorm)
Date: 2010-09-14 21:44

Message:
Looks like "double with zero comparison" was meant for something. Let's
leave as it for now.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2010-09-01 16:07

Message:
With your patch, two cases in the test suite fail.  May you investigate?

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

Comment By: renorm (renorm)
Date: 2010-08-18 15:08

Message:
the whole file with fixes

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3047358&group_id=12740

[Quantlib-dev] [ quantlib-Patches-3047358 ] fixed gaussian orthogonal polynomial

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

Patches item #3047358, was opened at 2010-08-17 19:25
Message generated for change (Comment added) made by renorm
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3047358&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: renorm (renorm)
Assigned to: Nobody/Anonymous (nobody)
Summary: fixed gaussian orthogonal polynomial

Initial Comment:
double with zero comparison  issue

Only fixed function are included

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

>Comment By: renorm (renorm)
Date: 2010-09-14 15:44

Message:
Looks like "double with zero comparison" was meant for something. Let's
leave as it for now.

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

Comment By: Luigi Ballabio (lballabio)
Date: 2010-09-01 10:07

Message:
With your patch, two cases in the test suite fail.  May you investigate?

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

Comment By: renorm (renorm)
Date: 2010-08-18 09:08

Message:
the whole file with fixes

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3047358&group_id=12740

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

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

On Fri, 2010-09-10 at 10:25 -0500, Kakhkhor Abdijalilov wrote:
> Thanks a lot. That is encouraging.
> 
> What if the instance() method is synchronized with mutex, could it
> solve static singleton problem?

I'm not sure it's a synchronization problem. Are you? (Also, we'd have
the brand new problem of choosing a threading library.)

Luigi



-- 

Testing can never demonstrate the absence of errors in software, only 
their presence. 
-- W.E. Dijkstra 

Re: [Quantlib-dev] Contribute to Quantlib - Commodities

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

On Sun, 2010-09-12 at 01:42 +0800, manas bhatt wrote:
> Hi Luigi,
>   thanks for the suggestion. I will work on that. Also, i would like
> to improve the way the code is written especially how the commodity
> curve and it's associated classes (cashflows, unitofmeasure, etc) are
> defined. Hope, that's ok with you.

Sure, go ahead.

Later,
	Luigi


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