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From: Luigi B. <lui...@gm...> - 2010-06-30 15:57:53
|
On Wed, 2010-06-30 at 15:15 +0000, na...@us... wrote: > Revision: 17320 > http://quantlib.svn.sourceforge.net/quantlib/?rev=17320&view=rev > Author: nando > Date: 2010-06-30 15:15:30 +0000 (Wed, 30 Jun 2010) > > Log Message: > ----------- > generalized to BondHelpers instead of FixedRateBondHelpers > > Modified Paths: > -------------- > trunk/QuantLib/ql/termstructures/yield/fittedbonddiscountcurve.cpp > trunk/QuantLib/ql/termstructures/yield/fittedbonddiscountcurve.hpp > > Modified: trunk/QuantLib/ql/termstructures/yield/fittedbonddiscountcurve.cpp > =================================================================== > --- trunk/QuantLib/ql/termstructures/yield/fittedbonddiscountcurve.cpp 2010-06-30 15:06:15 UTC (rev 17319) > +++ trunk/QuantLib/ql/termstructures/yield/fittedbonddiscountcurve.cpp 2010-06-30 15:15:30 UTC (rev 17320) > @@ -48,7 +48,7 @@ > FittedBondDiscountCurve::FittedBondDiscountCurve ( > Natural settlementDays, > const Calendar& calendar, > - const vector<shared_ptr<FixedRateBondHelper> >& instruments, > + const vector<shared_ptr<BondHelper> >& bondHelpers, > const DayCounter& dayCounter, > const FittingMethod& fittingMethod, > Real accuracy, I don't think the change is backward compatible, as a vector of Derived is not convertible to a vector of Base---did you try compiling the relevant example? I guess you'll need to overload the constructor... Luigi -- Any software problem can be solved by adding another layer of indirection. -- David J. Wheeler |
|
From: SourceForge.net <no...@so...> - 2010-06-29 10:34:26
|
Patches item #3022766, was opened at 2010-06-29 12:31 Message generated for change (Settings changed) made by dimathematician 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: Open 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 ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3022766&group_id=12740 |
|
From: SourceForge.net <no...@so...> - 2010-06-29 10:32:02
|
Patches item #3022766, was opened at 2010-06-29 12:31 Message generated for change (Tracker Item Submitted) made by dimathematician 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: Open Resolution: None Priority: 5 Private: No Submitted By: Dimathematician (dimathematician) Assigned to: Nobody/Anonymous (nobody) Summary: BlackDeltaCalculator Initial Comment: Added various functions such as the derivatives of all deltas with respect to strike and volatility ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3022766&group_id=12740 |
|
From: Ferdinando M. A. <fer...@am...> - 2010-06-28 07:56:28
|
Hi Michael > I developed a minor enhancement to QL, allowing to use > ZeroBonds in class "FittedBondDiscountCurve", furthermore I > added the complete "FittedBondDiscountCurve" functionality to > QuantlibAddin / XL, to be able to calculate the curve > fitting in XL. Replacing FixedRateBondHelper with BondHelper does compile successfully (and no problem from the test suite), so the usage of FixedRateBondHelper was probably just a legacy limitation and any kind of Bond can be used now. Am I missing something ? ciao -- Nando |
|
From: Simon C. <cou...@gm...> - 2010-06-27 10:36:17
|
Hi Amiruddin, Thanks for getting in touch. My plan had been to start from a top-level module design and then move onto porting a small discrete part of QuantLib, such as the Dates/Calendar part, to haskell, before doing more. The quantifa project is interesting, and I'll get in touch with their admins to see if we can work together, perhaps on top-level design etc. My initial objective is to start a sourceforge project - provisionally entitled QuantHas - as a basis of organizing the work and people who want to be involved. Regards Simon Courtenage On Sat, Jun 26, 2010 at 7:22 PM, Amiruddin Nagri <ami...@gm...>wrote: > Hi Simon, > > I am interested in this project. > > I have been trying to do something similar for long time, also I digged a > little about what's happening in the Functional world related to finance > libs, I got a few projects on sourceforge which are trying to do the same : > http://sourceforge.net/projects/quantifa/ > > But they are not active/very less active. > > I know Haskell decent enough, have been trying to get hold of functional > paradigm, its pretty interesting and a project like this will definitely > polish my weak areas. > > Let me know what is your plan. > > Regards, > Amiruddin Nagri, > Bangalore, 560008, KA > India > > Y! IM : ami...@ya... > GTalk : ami...@gm... > > > > On Sat, Jun 26, 2010 at 2:46 PM, Simon Courtenage <cou...@gm...>wrote: > >> I posted this message to the quantlib-users list, but in case it's not the >> right place, am reposting it here. >> >> is anyone interested in a Haskell port of quantlib? haskell is a >> functional programming language that is being used in some risk modelling >> etc. >> circles. as a haskell programmer, I'd be interested in producing a port >> and wondered if anyone would be interested in such a thing or can see any >> value in it. >> >> Regards >> >> Simon Courtenage >> >> >> ------------------------------------------------------------------------------ >> This SF.net email is sponsored by Sprint >> What will you do first with EVO, the first 4G phone? >> Visit sprint.com/first -- http://p.sf.net/sfu/sprint-com-first >> _______________________________________________ >> QuantLib-dev mailing list >> Qua...@li... >> https://lists.sourceforge.net/lists/listinfo/quantlib-dev >> >> > -- ------------------------------------------------------------------------ Simon Courtenage | simoncourtenage.wordpress.com Twitter: simoncourtenage | Skype: simon99ctg Facebook: Simon Courtenage | IM: sim...@ho... |
|
From: Amiruddin N. <ami...@gm...> - 2010-06-26 18:23:22
|
Hi Simon, I am interested in this project. I have been trying to do something similar for long time, also I digged a little about what's happening in the Functional world related to finance libs, I got a few projects on sourceforge which are trying to do the same : http://sourceforge.net/projects/quantifa/ But they are not active/very less active. I know Haskell decent enough, have been trying to get hold of functional paradigm, its pretty interesting and a project like this will definitely polish my weak areas. Let me know what is your plan. Regards, Amiruddin Nagri, Bangalore, 560008, KA India Y! IM : ami...@ya... GTalk : ami...@gm... On Sat, Jun 26, 2010 at 2:46 PM, Simon Courtenage <cou...@gm...>wrote: > I posted this message to the quantlib-users list, but in case it's not the > right place, am reposting it here. > > is anyone interested in a Haskell port of quantlib? haskell is a > functional programming language that is being used in some risk modelling > etc. > circles. as a haskell programmer, I'd be interested in producing a port > and wondered if anyone would be interested in such a thing or can see any > value in it. > > Regards > > Simon Courtenage > > > ------------------------------------------------------------------------------ > This SF.net email is sponsored by Sprint > What will you do first with EVO, the first 4G phone? > Visit sprint.com/first -- http://p.sf.net/sfu/sprint-com-first > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > |
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From: Simon C. <cou...@gm...> - 2010-06-26 09:16:17
|
I posted this message to the quantlib-users list, but in case it's not the right place, am reposting it here. is anyone interested in a Haskell port of quantlib? haskell is a functional programming language that is being used in some risk modelling etc. circles. as a haskell programmer, I'd be interested in producing a port and wondered if anyone would be interested in such a thing or can see any value in it. Regards Simon Courtenage |
|
From: SourceForge.net <no...@so...> - 2010-06-25 11:12:01
|
Patches item #3017462, was opened at 2010-06-17 03:06 Message generated for change (Comment added) made by renorm You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3017462&group_id=12740 Please note that this message will contain a full copy of the comment thread, including the initial issue submission, for this request, not just the latest update. Category: None Group: None Status: Open Resolution: None Priority: 5 Private: No Submitted By: renorm (renorm) Assigned to: Nobody/Anonymous (nobody) Summary: Ziggurat Algorithm (repost) Initial Comment: New zip file is attached. The old one had typo. ---------------------------------------------------------------------- >Comment By: renorm (renorm) Date: 2010-06-25 07:12 Message: I converted normal variates back into uniform 32 bit unsigned integers and run diehard test on them. All p-values look good. No extreme values suck as 0.9999 or 0.0001. Because of large number of computed p-values (~200), 0.01 (or 0.99) isn't extreme. ---------------------------------------------------------------------- Comment By: renorm (renorm) Date: 2010-06-25 03:52 Message: I found another bug, which didn't show up in statistical tests. The unloaded file contains GSL implementation and Matlab file used to generate look up tables. For some strange reason GSL implementation uses different value for the right-most step. My implementation uses the same value as reported in Marsaglia and Tsang (2000). If you use GSL value in the matlab file, it fails the diagnostics step. ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3017462&group_id=12740 |
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From: SourceForge.net <no...@so...> - 2010-06-25 07:52:32
|
Patches item #3017462, was opened at 2010-06-17 03:06 Message generated for change (Comment added) made by renorm You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3017462&group_id=12740 Please note that this message will contain a full copy of the comment thread, including the initial issue submission, for this request, not just the latest update. Category: None Group: None Status: Open Resolution: None Priority: 5 Private: No Submitted By: renorm (renorm) Assigned to: Nobody/Anonymous (nobody) Summary: Ziggurat Algorithm (repost) Initial Comment: New zip file is attached. The old one had typo. ---------------------------------------------------------------------- >Comment By: renorm (renorm) Date: 2010-06-25 03:52 Message: I found another bug, which didn't show up in statistical tests. The unloaded file contains GSL implementation and Matlab file used to generate look up tables. For some strange reason GSL implementation uses different value for the right-most step. My implementation uses the same value as reported in Marsaglia and Tsang (2000). If you use GSL value in the matlab file, it fails the diagnostics step. ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3017462&group_id=12740 |
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From: Luigi B. <lui...@gm...> - 2010-06-23 15:51:03
|
On Tue, 2010-06-22 at 10:06 +0200, Michael Waßmann wrote: > I am using Quantlib for a bit, and I started to develop some enhancements > to the library. > > As I am new to Quantlib development, I am not sure about the right > procedure to supply source code to QuantLib. How and with whom can/should > I discuss my solution? Is there anybody who can help me? You can either post your code here, or submit a patch to the Sourceforge patch manager. If you're contributing modifications to old files (as opposed to entirely new files), a diff would be the best way. Later, Luigi -- Blessed is the man who, having nothing to say, abstains from giving wordy evidence of the fact. -- George Eliot |
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From: Luigi B. <lui...@gm...> - 2010-06-23 15:45:42
|
On Wed, 2010-06-16 at 18:22 -0500, Kakhkhor Abdijalilov wrote: > OK, it is done. I submitted my implementation to SourceForge patch > system Ok, thanks. I'll have a look. Luigi -- A debugged program is one for which you have not yet found the conditions that make it fail. -- Jerry Ogdin |
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From: Michael W. <wa...@im...> - 2010-06-22 09:15:17
|
Hi there, I am using Quantlib for a bit, and I started to develop some enhancements to the library. As I am new to Quantlib development, I am not sure about the right procedure to supply source code to QuantLib. How and with whom can/should I discuss my solution? Is there anybody who can help me? These are my topics: 1) I developed a minor enhancement to QL, allowing to use ZeroBonds in class "FittedBondDiscountCurve", furthermore I added the complete "FittedBondDiscountCurve" functionality to QuantlibAddin / XL, to be able to calculate the curve fitting in XL. I would like to provide these enhancement to the project or someone who will review these changes to ensure that they are conform to the coding styles from Quantlib. Can you please let me know how to continue or whom to contact? 2) Currently I am working on simultaneously fitting credit spread curves based on coporate bonds with different ratings as input. In other words: I am simultaneously fitting multiple sets of bonds (Fixedratebonds and Zerobonds) for different ratings. For each set of bonds I am calculating the spread on top of a basis curve (e.g. Swapcurve) which will be simultaneously fitted with a simplified Nelson-Siegel method. The fit is done with constraints, so that the resulting curves have the expected behaviour. This functionality is completely available in XL (and QuantLibAddin) as well. Might this be of interest for the QL-project? Please let me know. Kind regards Michael |
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From: Alexander L. <ale...@go...> - 2010-06-19 09:37:19
|
Javit Hafizoglu wrote: > > I'm relocating. Lots of things to do. I'm planning to finish this update > by the end of June. > > Hi Javit, Great. I could assist you by tests. Just let me know, if you need any help. Take care Alex -- View this message in context: http://old.nabble.com/Generalized-Hull-White-model-problems-tp28647789p28933607.html Sent from the quantlib-dev mailing list archive at Nabble.com. |
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From: SourceForge.net <no...@so...> - 2010-06-17 07:06:31
|
Patches item #3017462, was opened at 2010-06-17 03:06 Message generated for change (Tracker Item Submitted) made by renorm You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3017462&group_id=12740 Please note that this message will contain a full copy of the comment thread, including the initial issue submission, for this request, not just the latest update. Category: None Group: None Status: Open Resolution: None Priority: 5 Private: No Submitted By: renorm (renorm) Assigned to: Nobody/Anonymous (nobody) Summary: Ziggurat Algorithm (repost) Initial Comment: New zip file is attached. The old one had typo. ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3017462&group_id=12740 |
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From: Kakhkhor A. <kab...@gm...> - 2010-06-16 23:22:06
|
OK, it is done. I submitted my implementation to SourceForge patch system (Ziggurat Algorithm by renorm). The underlying RNG is MersenneTwisterUniformRng (MT19937). In my tests Ziggurat was about 2-3 times faster than MT19937+Acklam and about 7 times faster than MT19937+boot's quantile function. I tested Ziggurat with Diehard battery and everything looked OK. I also did some changes to MersenneTwisterUniformRng and InverseCumulativeNormal (Acklam's method). On my platform MersenneTwisterUniformRng is slightly faster than boost's mt19937 and considerable faster that the old MersenneTwisterUniformRng, especially in debug mode. Apparently, using STL vector instead of plain array makes a difference in this case. InverseCumulativeNormal features static std_ic (standard normal inverse cumulative) method. It computes inverse CDF with mean=0 and sigma=0. Using std_ic instead of operator() saves us 2 floating point operation. The performance difference is quite noticeable. Regards, Kakhkhor Abdijalilov. |
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From: SourceForge.net <no...@so...> - 2010-06-16 23:06:01
|
Patches item #3017364, was opened at 2010-06-16 19:06 Message generated for change (Tracker Item Submitted) made by renorm You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3017364&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: Ziggurat Algorithm Initial Comment: My implementation of Ziggurat algorithm to generate normal deviates + some changes to MersenneTwisterUniformRng and InverseCumulativeNormal. ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3017364&group_id=12740 |
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From: Peter C. <pet...@wg...> - 2010-06-16 16:22:00
|
Hi Nando,
I think so. This looks similar to my workaround except that it is done only
in the QuantlibObjects Layer, invoking the Quantlib member function from
there.
This is much better than my solution and exactly what I need. Makes me
happy, really.
Thanks a lot, best regards
Peter
"Ferdinando M.
Ametrano"
<ferdinando@ametr An
ano.net> Peter Caspers
<pet...@wg...>
16.06.2010 18:01 Kopie
qua...@li...
Thema
Re: Re: [Quantlib-dev] Return
object in QLXL
Hi Peter
> What I do not manage is to export a member function in another object of
> type A which returns a shared_ptr to another type B.
here it is, namely a SwapRateHelper returning a shared_ptr<VanillaSwap>
using its own SwapRateHelper::swap()
method: |
|
From: Ferdinando M. A. <fer...@am...> - 2010-06-16 16:07:15
|
Hi Peter
> What I do not manage is to export a member function in another object of
> type A which returns a shared_ptr to another type B.
here it is, namely a SwapRateHelper returning a shared_ptr<VanillaSwap>
using its own SwapRateHelper::swap() method:
VanillaSwap::VanillaSwap(
const shared_ptr<ValueObject>& properties,
const shared_ptr<QuantLib::SwapRateHelper>& swapRH,
bool permanent)
: Swap(properties, permanent)
{
libraryObject_ = swapRH->swap();
}
and the wrapping code is auto-generated by the following xml:
<Constructor name='qlVanillaSwapFromSwapRateHelper'>
<libraryFunction>VanillaSwap</libraryFunction>
<SupportedPlatforms>
<SupportedPlatform name='Excel'/>
<SupportedPlatform name='Cpp'/>
</SupportedPlatforms>
<ParameterList>
<Parameters>
<Parameter name='SwapRateHelper'>
<type>QuantLib::SwapRateHelper</type>
<tensorRank>scalar</tensorRank>
<description>SwapRateHelper object ID.</description>
</Parameter>
</Parameters>
</ParameterList>
</Constructor>
The key point here is that even if in C++ swap() is just a method
of SwapRateHelper returning shared_ptr<VanillaSwap>, in QLXL is used as
"constructor" of a new Object wrapping the shared_ptr<VanillaSwap>
does this answer your question?
ciao -- Nando
|
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From: SourceForge.net <no...@so...> - 2010-06-16 10:00:20
|
Bugs item #3014862, was opened at 2010-06-11 16:43 Message generated for change (Comment added) made by amaggiulli You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3014862&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: Fixed Priority: 5 Private: No Submitted By: Andrea Maggiulli (amaggiulli) Assigned to: Nobody/Anonymous (nobody) Summary: Cannot Bootstrap Piecewise Curve Initial Comment: Hi , my EURIRS curve Values at 14/06/2010 are : 1M = 0,438 2M = 0,5440 3M = 0,7180 4M = 0,8030 5M = 0,8990 6M = 1,0010 7M = 1,0390 8M = 1,0890 9M = 1,1390 10M = 1,1800 11M = 1,2200 1Y = 1.0690 2Y = 1,2610 I cannot bootstrap this curve , have error root bracketed error for point 12 ( quote goes down form 1,22 to 1.0690 ) . Im using Piecewise curve for pricing a swap. How can i fix it ? Ty ---------------------------------------------------------------------- >Comment By: Andrea Maggiulli (amaggiulli) Date: 2010-06-16 12:00 Message: Fixed. Have to set : QL_NEGATIVE_RATES ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3014862&group_id=12740 |
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From: Peter C. <pet...@wg...> - 2010-06-16 08:40:05
|
Hi Nando,
thanks a lot. Sorry for my ignorance of QLXL first of all.
I have no problem exporting a constructor to excel which creates say an
object of type B.
What I do not manage is to export a member function in another object of
type A which returns a shared_ptr to another type B. As far as I understood
exporting member functions requires only an xml of the form
<Member name='qlMemberFunctionWhichReturnsB' type='QuantLib::A'>
...
<ReturnValue>
<type>QuantLib::B</type>
<superType>libraryClass</type>
<tensorRank>scalar</tensorRank>
</ReturnValue>
...
</Member>
but exactly this automatism does not work, because in the generated files
at some point "string" meets "shared_ptr" and compilation crashes.
I looked at the files recommended by you, but in qlo / vanillaswap.hpp I
only see constructors. Also I do not see that the underlyingSwap() method
of swapindex is exported to excel (at least not the way I want to do it).
My workaround is to export another constructor for type B which takes A as
an argument and mimics the member function I originally wanted to export.
Does this make sense? Can you help?
Or to put the question more simple: Is there any example in the xml files
where a member function is exported which returns a reference to a QuantLib
Object, which is not a native type or convertible to a native type?
Thanks a lot again, best
Peter
"Ferdinando M.
Ametrano"
<ferdinando@ametr An
ano.net> Peter Caspers
<pet...@ar...>
15.06.2010 12:32 Kopie
qua...@li...
Thema
Re: [Quantlib-dev] Return object
in QLXL
Hi Peter
On Fri, Jun 11, 2010 at 6:03 PM, Peter Caspers <pet...@ar...>
wrote:
> a member function which returns a shared_ptr<KerndelDensity>
> [...]
> I did not find an example in the existing code where an object
> (other than native types) is returned, so can someone explain
> to me, how to do this?
in QLXL if you have to return a shared_ptr<T> it's equivalent to
create a new Object in the repository, i.e. a new pointer to a new or
already existing object
Take a look at trunk\QuantLibAddin\qlo\vanillaswap.hpp for examples.
One can create a VanillaSwap in the classic way, or using helper
factories (MakeVanillaSwap, MakeIMMSwap), or can retrieve a new
pointer to an existing instance (SwapIndex->underlyingSwap(),
SwapRateHelper->swap()(
Let me know if you need more help
ciao -- Nando
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From: Ferdinando M. A. <fer...@am...> - 2010-06-15 15:43:26
|
On Tue, Jun 15, 2010 at 5:07 PM, Kakhkhor Abdijalilov <kab...@gm...> wrote: > In my tests I paired Mersenne > Twister with Acklam's approximation, boost's inverse CDF and Ziggurat > to generate standard normal distribution. for those who wonder Acklam's approximation is the (best) inverse CDF implemented in QuantLib > Ziggurat method was 3 times > faster than Acklam's approximation and 7 times faster than using > boost's inverse CDF. ok, so Ziggurat is interesting, even if it is only for pseudo-random and not for quasi-random > GSL version uses smaller look up > table and exponential distribution for the tails. smaller than what ? what is this lookup table ? > I might create my > own lookup table, but it would be exactly the same. of course, if it is the inverse cdf lookup table it's no problem to generate it again (even with Acklam improved by using one iteration of Halley's rational method in order to obtain full machine precision) > GSL is licensed under GPL v3, but I adopted only > "matematical formula", the implementation follows the original > Ziggurat paper. My implementation is hardwired to use Mersenne Twister > directly and doesn't rely on GSL. > [...] The math formula > is from the published paper, not from GSL. Given that the only thing I > took from GSL is precomputed look up table, is my implementation > covered by GPL? I would recompute the lookup table and then it's not covered by GPL ciao -- Nando |
|
From: Kakhkhor A. <kab...@gm...> - 2010-06-15 15:07:10
|
Did anyone implement Ziggurat algorithm already? I converted one from GSL into C++. In my tests I paired Mersenne Twister with Acklam's approximation, boost's inverse CDF and Ziggurat to generate standard normal distribution. Ziggurat method was 3 times faster than Acklam's approximation and 7 times faster than using boost's inverse CDF. GSL is licensed under GPL v3, but I adopted only "matematical formula", the implementation follows the original Ziggurat paper. My implementation is hardwired to use Mersenne Twister directly and doesn't rely on GSL. GSL version uses smaller look up table and exponential distribution for the tails. I might create my own lookup table, but it would be exactly the same. The math formula is from the published paper, not from GSL. Given that the only thing I took from GSL is precomputed look up table, is my implementation covered by GPL? What do you say? |
|
From: Ferdinando M. A. <fer...@am...> - 2010-06-15 10:57:03
|
Hi Peter On Fri, Jun 11, 2010 at 6:03 PM, Peter Caspers <pet...@ar...> wrote: > a member function which returns a shared_ptr<KerndelDensity> > [...] > I did not find an example in the existing code where an object > (other than native types) is returned, so can someone explain > to me, how to do this? in QLXL if you have to return a shared_ptr<T> it's equivalent to create a new Object in the repository, i.e. a new pointer to a new or already existing object Take a look at trunk\QuantLibAddin\qlo\vanillaswap.hpp for examples. One can create a VanillaSwap in the classic way, or using helper factories (MakeVanillaSwap, MakeIMMSwap), or can retrieve a new pointer to an existing instance (SwapIndex->underlyingSwap(), SwapRateHelper->swap()( Let me know if you need more help ciao -- Nando |
|
From: Peter C. <pet...@ar...> - 2010-06-11 16:03:12
|
Hi,
I have a little problem ...
There is a class KernelDensity declared as follows in the type.xml file:
<DataType defaultSuperType='libraryClass'>QuantLib::KernelDensity</DataType>
There is a second class RiskEngine with a member function which returns a shared_ptr<KerndelDensity>. In QuantLib:
boost::shared_ptr<KernelDensity> kernelDensity(string name, int method);
The xml for the declaration of this member function looks like this:
<ReturnValue>
<type>QuantLib::KernelDensity</type>
<tensorRank>scalar</tensorRank>
</ReturnValue>
When I compile the whole thing I get
error C2440: 'Initialisierung': 'boost::shared_ptr<T>' kann nicht in 'std::basic_string<_Elem,_Traits,_Ax>' konvertiert werden
with
2> T=QuantLib::KernelDensity
2> and
2> _Elem=char,
2> _Traits=std::char_traits<char>,
2> _Ax=std::allocator<char>
I did not find an example in the existing code where an object (other than native types) is returned, so can someone explain to me, how to do this?
Thanks a lot in advance, best regards
Peter
|
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From: SourceForge.net <no...@so...> - 2010-06-11 14:43:19
|
Bugs item #3014862, was opened at 2010-06-11 16:43 Message generated for change (Tracker Item Submitted) made by amaggiulli You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3014862&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: Andrea Maggiulli (amaggiulli) Assigned to: Nobody/Anonymous (nobody) Summary: Cannot Bootstrap Piecewise Curve Initial Comment: Hi , my EURIRS curve Values at 14/06/2010 are : 1M = 0,438 2M = 0,5440 3M = 0,7180 4M = 0,8030 5M = 0,8990 6M = 1,0010 7M = 1,0390 8M = 1,0890 9M = 1,1390 10M = 1,1800 11M = 1,2200 1Y = 1.0690 2Y = 1,2610 I cannot bootstrap this curve , have error root bracketed error for point 12 ( quote goes down form 1,22 to 1.0690 ) . Im using Piecewise curve for pricing a swap. How can i fix it ? Ty ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3014862&group_id=12740 |
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