quantlib-dev — Discussion of QuantLib development

[Quantlib-dev] [ quantlib-Bugs-3013290 ] Bug: CMS Swap

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

Bugs item #3013290, was opened at 2010-06-08 17:13
Message generated for change (Comment added) made by miemiec
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3013290&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: Andre Miemiec (miemiec)
Assigned to: Nobody/Anonymous (nobody)
Summary: Bug: CMS Swap

Initial Comment:
In Version 1.1 the CMS Swap does not work correctly. The problem is located in the constructor 

BlackVanillaOptionPricer::BlackVanillaOptionPricer(Rate forwardValue, 
                                                                                  Date expiryDate, 
                                                                                  const Period& swapTenor, 
                                                                                  const boost::shared_ptr<SwaptionVolatilityStructure>& volatilityStructure ) 


where the member variable smile_ should be initialized with the result from volatilityStructure_->smileSection(expiryDate_, swapTenor_). 
As far as I can see inside the function volatilityStructure_->smileSection(expiryDate_, swapTenor_) everything is constructed correctly.

But as soon as the result is copied into smile_ some of the data are not set.
In particular the variable exerciseTime_ is a huge negative number causing an error later on. 







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

>Comment By: Andre Miemiec (miemiec)
Date: 2010-06-11 13:06

Message:
Even in release mode the results are not convincing. Recomputation of a
cms-swap produces two different results. The cashflow table of the CMS-Leg
is completely wrong.

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

Comment By: Andre Miemiec (miemiec)
Date: 2010-06-10 09:18

Message:
Seems only to appear in Debug Mode (Static XL). 

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3013290&group_id=12740

Re: [Quantlib-dev] Generalized Hull-White model problems

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

On Thu, 2010-06-10 at 10:16 -0700, Javit Hafizoglu wrote:
> I'm relocating. Lots of things to do. I'm planning to finish this update by
> the end of June.

No problem, take your time.

Luigi



> Luigi Ballabio wrote:
> > 
> > On Thu, 2010-05-27 at 10:04 -0700, Javit Hafizoglu wrote:
> >> I believe Luigi forgot to change the generalized HW code when he made the
> >> change in the parameter class to include the positive constraint.
> > 
> > Yes, possibly.
> > 
> >> Your point for the "size()"  vs "size()+1" is valid.
> > 
> >> Luigi, please let me know if you would like me to get involved also.
> > 
> > Yes, please. If you could correct the size issue and check that the
> > trunk version calibrates correctly, that would be great.
> > 
> > Thanks,
> > 	Luigi
> > 
> > 
> > -- 
> > 
> > Ogden's Law: 
> > The sooner you fall behind, the more time you have to catch up. 
> > 
> > 
> > 
> > ------------------------------------------------------------------------------
> > 
> > _______________________________________________
> > QuantLib-dev mailing list
> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> > 
> > 
> 


-- 

Father's got the sack from the water-works 
For smoking of his old cherry-briar; 
Father's got the sack from the water-works 
'Cos he might set the water-works on fire. 

[Quantlib-dev] catching access violation, compiler settings and xl addin crash.

[P N. <pn...@gm...>]

Good morning all,

Due to the current quantlib compiler settings, access violations are not
caught with catch(...)
as a result we can have some rather ungraceful crashes.

I wonder are there reasons why the settings are the way they are?

I'd suggest changing the settings.
To do this in MS Visual C++ 2008, click on:
*   Project -> Properties -> Configuration Properties -> C/C++ -> Code
Generatoin
*and set:
*   Enable C++ Exceptions
*to
*   Yes With SEH Exceptions (/EHa)
*rather than
   Yes ( /EHsc)

Here are some details of the compiler settings:
      http://msdn.microsoft.com/en-us/library/1deeycx5.aspx

Right now, when I use the quantlib XL addin in excel ( 2007 ) as excel is
closes it crashes ( almost always).
There are two problems with this,
1: some error is thrown
2: the error is not caught

By changing the settings above we can at least solve number 2.

Cheers
Philip

Re: [Quantlib-dev] Generalized Hull-White model problems

[Javit H. <ch...@vi...>]

I'm relocating. Lots of things to do. I'm planning to finish this update by
the end of June.


Luigi Ballabio wrote:
> 
> On Thu, 2010-05-27 at 10:04 -0700, Javit Hafizoglu wrote:
>> I believe Luigi forgot to change the generalized HW code when he made the
>> change in the parameter class to include the positive constraint.
> 
> Yes, possibly.
> 
>> Your point for the "size()"  vs "size()+1" is valid.
> 
>> Luigi, please let me know if you would like me to get involved also.
> 
> Yes, please. If you could correct the size issue and check that the
> trunk version calibrates correctly, that would be great.
> 
> Thanks,
> 	Luigi
> 
> 
> -- 
> 
> Ogden's Law: 
> The sooner you fall behind, the more time you have to catch up. 
> 
> 
> 
> ------------------------------------------------------------------------------
> 
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> 
> 

-- 
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[Quantlib-dev] [ quantlib-Bugs-3013290 ] Bug: CMS Swap

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

Bugs item #3013290, was opened at 2010-06-08 17:13
Message generated for change (Comment added) made by miemiec
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3013290&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: Andre Miemiec (miemiec)
Assigned to: Nobody/Anonymous (nobody)
Summary: Bug: CMS Swap

Initial Comment:
In Version 1.1 the CMS Swap does not work correctly. The problem is located in the constructor 

BlackVanillaOptionPricer::BlackVanillaOptionPricer(Rate forwardValue, 
                                                                                  Date expiryDate, 
                                                                                  const Period& swapTenor, 
                                                                                  const boost::shared_ptr<SwaptionVolatilityStructure>& volatilityStructure ) 


where the member variable smile_ should be initialized with the result from volatilityStructure_->smileSection(expiryDate_, swapTenor_). 
As far as I can see inside the function volatilityStructure_->smileSection(expiryDate_, swapTenor_) everything is constructed correctly.

But as soon as the result is copied into smile_ some of the data are not set.
In particular the variable exerciseTime_ is a huge negative number causing an error later on. 







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

>Comment By: Andre Miemiec (miemiec)
Date: 2010-06-10 09:18

Message:
Seems only to appear in Debug Mode (Static XL). 

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3013290&group_id=12740

[Quantlib-dev] [ quantlib-Bugs-3013290 ] Bug: CMS Swap

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

Bugs item #3013290, was opened at 2010-06-08 17:13
Message generated for change (Tracker Item Submitted) made by miemiec
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3013290&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: Andre Miemiec (miemiec)
Assigned to: Nobody/Anonymous (nobody)
Summary: Bug: CMS Swap

Initial Comment:
In Version 1.1 the CMS Swap does not work correctly. The problem is located in the constructor 

BlackVanillaOptionPricer::BlackVanillaOptionPricer(Rate forwardValue, 
                                                                                  Date expiryDate, 
                                                                                  const Period& swapTenor, 
                                                                                  const boost::shared_ptr<SwaptionVolatilityStructure>& volatilityStructure ) 


where the member variable smile_ should be initialized with the result from volatilityStructure_->smileSection(expiryDate_, swapTenor_). 
As far as I can see inside the function volatilityStructure_->smileSection(expiryDate_, swapTenor_) everything is constructed correctly.

But as soon as the result is copied into smile_ some of the data are not set.
In particular the variable exerciseTime_ is a huge negative number causing an error later on. 







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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3013290&group_id=12740

[Quantlib-dev] Code to expose default probability functionality in QuantLibXL

[Don S. <Don...@fs...>]

Hi there,
Using the tutorial
http://quantlib.org/quantlibaddin/extend_tutorial.html and some trial
and error I've been able to expose QuantLib's default probability
functionality to QuantLibXL. The attached zip file contains the source
code changes made to QuantLibAddin-1.0.0b3 (which as far as I'm aware is
the latest published version of QuantLibAddin). 

I've compiled this code using Microsoft Visual C++ 2008 to both Debug
(runtime static) and Release (runtime static) .xll files. I've used
these in Excel 2003 to back out probability of default from CDS spreads
which validate against data I have from JP Morgan and against a separate
model built in Matlab by a colleague.

I'd like to publish this code to the QuantLib source code base and would
appreciate it if someone could enlighten me how to do this. 

I'd also appreciate any comments on whether my code exposes this
functionality in an optimal manner. For instance, is it necessary to
manually add source code to
QuantLibAddin\qlo\enumerations\constructors\enumeratedpairs.xpp or
manually create
QuantLibAddin\qlo\enumerations\factories\defaulttermstructuresfactory.hp
p rather than auto generate them via python from qlgensrc project.
 
In case anyone wants to compile this code then the installation process
is:-
Download and install the QuantLib source code stack. The parent
directory I used looks like
  gensrc
  log4cxx
  ObjectHandler
  QuantLib
  QuantLibAddin
  QuantLibXL
Unzip the attached zip file QuantLibAddinWithDefautlProability.zip to
this parent directory. The contents should overwrite some files in the
QuantLibAddin sub-directory.
Invoke Visual C++ 2008 and open the QuantLibXL\QuantLibXL_full_vc9.sln.
Select either Debug (runtime static) or Release (runtime static)
solution configuration.
Press F7 to build the solution.
After successful compilation, the QuantLibXL\xll sub-directory should
contain a .xll add in that can be loaded in Excel. 
 
 
Regards Don Stewart
don...@fs...



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Re: [Quantlib-dev] Adding new functions to blackcalculator

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

On Mon, 2010-06-07 at 18:05 +0200, Dima wrote:
> I feel kind of bad since I needed so much time to check!

After seeing _my_ response times? You're too harsh on yourself :)

> Anyways, I checked and everything seems to be ok. I've attached an
> example project which uses the contributed class, similar to the other
> example projects. You might want to add it to the trunk.

Ok, I'll have a look.

Thanks,
	Luigi


-- 

There's no sense in being precise when you don't even know what you're 
talking about. 
-- John von Neumann 

Re: [Quantlib-dev] subtle bug in InverseCumulativeNormal

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

On Thu, 2010-05-27 at 01:58 -0500, Kakhkhor Abdijalilov wrote:
> If the argument x is close to 0.0 or 1.0, the implementation sets it
> exactly to 0.0 or 1.0.
> This leads to an attempt to evaluate std::log(0.0) or std::log(1.0).

You're right.  I wonder why it does it though, since 0 and 1 are outside
the domain of the function.  If I were to return a value, I'd return the
maximum allowed double for 1 and the minimum for 0 (to get an
approximation of plus/minus infinity.)  But I'd rather throw an
exception in that case.

Thoughts?

Luigi


-- 

Call on God, but row away from the rocks. 
-- Indian proverb 

Re: [Quantlib-dev] [R-SIG-Finance] ta-lib & quantlib libraries for R

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

On Fri, 2010-05-28 at 10:01 -0400, Joseph Wang wrote:
> The one thing that I
> might have to rework is how Seasonality is written so that it gets
> passed around using boost shared pointers. 

Done.

Luigi


-- 

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

[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 18:27
Message generated for change (Tracker Item Submitted) made by pawel3
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: 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

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

You can respond by visiting: 
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Re: [Quantlib-dev] GARCH11 Log Likelihood ......

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

On Tue, 2010-06-01 at 16:12 +0530, Deepak wrote:
> Can anyone help me that in Garch11, how we calculate alpha, beta and
> omega.

>From what I see, there's only a stub for the calibration method in the
Garch class---no actual code.  Anyone wanting to give it a try?

Luigi


-- 

Glendower: I can call spirits from the vasty deep. 
Hotspur: Why, so can I, or so can any man; 
But will they come when you do call for them? 
-- King Henry the Fourth Part I, Act III, Scene I 

Re: [Quantlib-dev] GARCH11 Log Likelihood ......

[Yee M. C. <ym...@ya...>]

I think the Hull book described a way to estimate alpha, beta for GARCH(1,1) using past data. If you need to do anything more than GARCH(1,1), you need a optimization package, e.g. levmar.

You can also use Kalman filter to fit these parameters to option prices. But I have never done that though.

Good luck!
Yee Man

--- On Tue, 6/1/10, Deepak <dee...@3i...> wrote:

From: Deepak <dee...@3i...>
Subject: [Quantlib-dev] GARCH11 Log Likelihood ......
To: qua...@li...
Cc: qua...@li...
Date: Tuesday, June 1, 2010, 3:42 AM




 
 







HI





Can anyone help me that in Garch11, how we calculate alpha, beta and omega.

I’m using QuantLib 0.9.7, is it available in latest version of QuantLib release. 

Thanks & Regards, 



Deepak Sharma,
Software Engineer , Banking Products Group , 3i Infotech Ltd. 

Tel. Direct: +91 22 6792 8893 | Cell: + 91 9223513327 | Email:
dee...@3i... | www.3i-infotech.com




 

   



* 3i Infotech wins the "WorldBlu List of Most Democratic Workplaces 2010" Award


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Re: [Quantlib-dev] [R-SIG-Finance] ta-lib & quantlib libraries for R

[Jorge N. <jor...@mo...>]

Ok.. I will take a look in detail tonight.  


Jorge Nieves
Moore Capital 
Telephone 212.782.7083
Fax 212.642.7644

-----Original Message-----
From: Joseph Wang [mailto:joe...@gm...] 
Sent: Friday, May 28, 2010 10:01 AM
To: Jorge Nieves
Cc: qua...@li...; Dirk Eddelbuettel; Jeff Ryan; r-s...@st...; bal...@th...
Subject: Re: [R-SIG-Finance] ta-lib & quantlib libraries for R

The first thing is to check out Quantlib-SWIG from

https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib-SWIG/

and build the R bindings.  There are build instructions in the distribution and test examples.

Once you have that done it's a matter of looking at the .hpp file of the objects you want to bind.  Find a similar object in the SWIG directory and then transform the .hpp declaration adding it to the file SWIG/inflation.i

For example what I did to create the inflation collar instruments is that I cut and paste the non-inflation collar instruments and then modified the signatures to match the .hpp files.  The one thing that I might have to rework is how Seasonality is written so that it gets passed around using boost shared pointers.

On Fri, May 28, 2010 at 9:48 AM, Jorge Nieves <jor...@mo...> wrote:
> If you explain me the process, I think I can help.
>
>
> Jorge Nieves
>
>
> -----Original Message-----
> From: Joseph Wang [mailto:joe...@gm...]
> Sent: Friday, May 28, 2010 09:47 AM
> To: Jorge Nieves
> Cc: qua...@li...; Dirk Eddelbuettel; Jeff 
> Ryan; r-s...@st...; 
> bal...@th...
> Subject: Re: [R-SIG-Finance] ta-lib & quantlib libraries for R
>
> I just checked in a file inflation.i into Quantlib-SWIG which provides 
> bindings for some of the inflation based instruments.  It's very sparse.
> I'll try to add the other instruments over time, but it's likely to be 
> slow to add (i.e. a few weeks), but if there are any volunteers that 
> would want to add to the file, let me know and I'll check in any 
> additions.
>
> What needs to be done is pretty mechanical (cut and paste) things.
>

Re: [Quantlib-dev] [R-SIG-Finance] ta-lib & quantlib libraries for R

[Joseph W. <joe...@gm...>]

The first thing is to check out Quantlib-SWIG from

https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib-SWIG/

and build the R bindings.  There are build instructions in the
distribution and test examples.

Once you have that done it's a matter of looking at the .hpp file of
the objects you want to bind.  Find a similar object in the SWIG
directory and then transform the .hpp declaration adding it to the
file SWIG/inflation.i

For example what I did to create the inflation collar instruments is
that I cut and paste the non-inflation collar instruments and then
modified the signatures to match the .hpp files.  The one thing that I
might have to rework is how Seasonality is written so that it gets
passed around using boost shared pointers.

On Fri, May 28, 2010 at 9:48 AM, Jorge Nieves <jor...@mo...> wrote:
> If you explain me the process, I think I can help.
>
>
> Jorge Nieves
>
>
> -----Original Message-----
> From: Joseph Wang [mailto:joe...@gm...]
> Sent: Friday, May 28, 2010 09:47 AM
> To: Jorge Nieves
> Cc: qua...@li...; Dirk Eddelbuettel; Jeff Ryan;
> r-s...@st...; bal...@th...
> Subject: Re: [R-SIG-Finance] ta-lib & quantlib libraries for R
>
> I just checked in a file inflation.i into Quantlib-SWIG which provides
> bindings for some of the inflation based instruments.  It's very sparse.
> I'll try to add the other instruments over time, but it's likely to be
> slow to add (i.e. a few weeks), but if there are any volunteers that
> would want to add to the file, let me know and I'll check in any
> additions.
>
> What needs to be done is pretty mechanical (cut and paste) things.
>

Re: [Quantlib-dev] Generalized Hull-White model problems

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

On Thu, 2010-05-27 at 10:04 -0700, Javit Hafizoglu wrote:
> I believe Luigi forgot to change the generalized HW code when he made the
> change in the parameter class to include the positive constraint.

Yes, possibly.

> Your point for the "size()"  vs "size()+1" is valid.

> Luigi, please let me know if you would like me to get involved also.

Yes, please. If you could correct the size issue and check that the
trunk version calibrates correctly, that would be great.

Thanks,
	Luigi


-- 

Ogden's Law: 
The sooner you fall behind, the more time you have to catch up. 

Re: [Quantlib-dev] Generalized Hull-White model problems

[Alexander L. <ale...@go...>]

Hello Javit,

I used this setting:

  TimeGrid grid(times.begin(), times.end(), 1);


        // defining the models
        boost::shared_ptr<G2> modelG2(new G2(rhTermStructure));
        boost::shared_ptr<HullWhite> modelHW(new
HullWhite(rhTermStructure));
        boost::shared_ptr<HullWhite> modelHW2(new
HullWhite(rhTermStructure));
        boost::shared_ptr<BlackKarasinski> modelBK(
                                        new
BlackKarasinski(rhTermStructure));

		//------------------ GHW model ---------

		std::vector<Date> GHWdates;
		GHWdates.push_back(calendar.advance(settlementDate,0,Years));
	
GHWdates.push_back(calendar.advance(settlementDate,12,Months,floatingLegConvention));
	
GHWdates.push_back(calendar.advance(settlementDate,73,Months,floatingLegConvention));

		std::vector<Real> a(3, 0.04);
		std::vector<Real> sigma(3, 0.1);

		boost::shared_ptr<GeneralizedHullWhite> generalizedHWmodel(
			new GeneralizedHullWhite(rhTermStructure, GHWdates, GHWdates, a, sigma));

Please correct me, if I've forgotten something. 

Cheers

Alexander



Javit Hafizoglu wrote:
> 
> Alexander,
> 
> I believe Luigi forgot to change the generalized HW code when he made the
> change in the parameter class to include the positive constraint. Your
> point for the "size()"  vs "size()+1" is valid.
> 
> I didn't notice anything because I still use the older version of GHW with
> quantlib 9.7.
> 
> Per the tests, I tested the GHW code and it worked when I submitted. I ran
> my tests by adding couple of lines into BermudanSwaption.cpp I used only
> two timepoints for the volatility and the reversion parameters. It takes
> significantly long if you include more time points. I would suggest both
> decreasing the timegrid and the timepoints (let me know if you don't
> understand what I meant here by timepoints) to decrease the optimization
> time. And once optimized, initiate your next search with the most recent
> model parameters.
> 
> Luigi, please let me know if you would like me to get involved also.
> 
> Thank you,
> Javit
> 
> 
> 
> Alexander Lotter wrote:
>> 
>> Hello Luigi,
>> 
>> thanks for the quick reply.
>> 
>>>The PiecewiseConstantParameter class was modified in revision 17224 to
>>>take an optional constraint, so that's taken care of; the code in the
>>>trunk instantiates it with a PositiveConstraint.
>> 
>> I am not sure this is enough. This peace of code in QL causes problems:
>> 
>> ----
>>  PiecewiseConstantParameter(const std::vector<Time>& times,
>>                                    const Constraint& constraint =
>>                                                             
>> NoConstraint())
>>         : Parameter(times.size()+1,
>>                     boost::shared_ptr<Parameter::Impl>(
>>                                  new
>> PiecewiseConstantParameter::Impl(times)),
>>                     constraint)
>>         {}
>> ----
>> 
>> should be
>> 
>> ----
>> public:
>>         PiecewiseConstantParameter(const std::vector<Time>& times,
>>                                    const Constraint& constraint =
>>                                                             
>> NoConstraint())
>>         : Parameter(times.size(),
>> ----                    
>> 
>> times.size() not times.size() + 1, in this case I get run time exception
>> in the following functions
>> 
>> ---
>> 
>>  boost::function<Real (Time)> GeneralizedHullWhite::speed() const {
>> 
>> 		std::vector<Real> speedvals;
>> 		speedvals.push_back(a_(0.0001));
>> 		for (Size i=0;i<a_.size()-1;i++)
>> 			speedvals.push_back(
>> 			a_(
>> 			(speedstructure_[i+1]-speedstructure_[0])/365.0
>> 			- 0.00001));
>> 
>> 		return PiecewiseLinearCurve(speedperiods_, speedvals);
>> 	}
>> 
>>     boost::function<Real (Time)> GeneralizedHullWhite::vol() const {
>> 
>> 		std::vector<Real> volvals;
>> 		volvals.push_back(sigma_(0.0001));
>> 		for (Size i=0;i<sigma_.size()-1;i++)
>> 			volvals.push_back(
>> 			sigma_(
>> 			(speedstructure_[i+1]-speedstructure_[0])/365.0
>> 			- 0.00001));
>> 
>> 		return PiecewiseLinearCurve(volperiods_, volvals);
>> 	}
>> ---
>> 
>> vector subscript out of range
>> 
>> a_.size() - 1 and sigma_.size() - 1 are bigger than speedstructure_[i+1]
>> 
>> 
> 
> 

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Re: [Quantlib-dev] Generalized Hull-White model problems

[Javit H. <ch...@vi...>]

Alexander,

I believe Luigi forgot to change the generalized HW code when he made the
change in the parameter class to include the positive constraint. Your point
for the "size()"  vs "size()+1" is valid.

I didn't notice anything because I still use the older version of GHW with
quantlib 9.7.

Per the tests, I tested the GHW code and it worked when I submitted. I ran
my tests by adding couple of lines into BermudanSwaption.cpp I used only two
timepoints for the volatility and the reversion parameters. It takes
significantly long if you include more time points. I would suggest both
decreasing the timegrid and the timepoints (let me know if you don't
understand what I meant here by timepoints) to decrease the optimization
time. And once optimized, initiate your next search with the most recent
model parameters.

Luigi, please let me know if you would like me to get involved also.

Thank you,
Javit



Alexander Lotter wrote:
> 
> Hello Luigi,
> 
> thanks for the quick reply.
> 
>>The PiecewiseConstantParameter class was modified in revision 17224 to
>>take an optional constraint, so that's taken care of; the code in the
>>trunk instantiates it with a PositiveConstraint.
> 
> I am not sure this is enough. This peace of code in QL causes problems:
> 
> ----
>  PiecewiseConstantParameter(const std::vector<Time>& times,
>                                    const Constraint& constraint =
>                                                             
> NoConstraint())
>         : Parameter(times.size()+1,
>                     boost::shared_ptr<Parameter::Impl>(
>                                  new
> PiecewiseConstantParameter::Impl(times)),
>                     constraint)
>         {}
> ----
> 
> should be
> 
> ----
> public:
>         PiecewiseConstantParameter(const std::vector<Time>& times,
>                                    const Constraint& constraint =
>                                                             
> NoConstraint())
>         : Parameter(times.size(),
> ----                    
> 
> times.size() not times.size() + 1, in this case I get run time exception
> in the following functions
> 
> ---
> 
>  boost::function<Real (Time)> GeneralizedHullWhite::speed() const {
> 
> 		std::vector<Real> speedvals;
> 		speedvals.push_back(a_(0.0001));
> 		for (Size i=0;i<a_.size()-1;i++)
> 			speedvals.push_back(
> 			a_(
> 			(speedstructure_[i+1]-speedstructure_[0])/365.0
> 			- 0.00001));
> 
> 		return PiecewiseLinearCurve(speedperiods_, speedvals);
> 	}
> 
>     boost::function<Real (Time)> GeneralizedHullWhite::vol() const {
> 
> 		std::vector<Real> volvals;
> 		volvals.push_back(sigma_(0.0001));
> 		for (Size i=0;i<sigma_.size()-1;i++)
> 			volvals.push_back(
> 			sigma_(
> 			(speedstructure_[i+1]-speedstructure_[0])/365.0
> 			- 0.00001));
> 
> 		return PiecewiseLinearCurve(volperiods_, volvals);
> 	}
> ---
> 
> vector subscript out of range
> 
> a_.size() - 1 and sigma_.size() - 1 are bigger than speedstructure_[i+1]
> 
> 

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Re: [Quantlib-dev] [Quantlib-users] callable bonds & bond options vs swaptions?

[Allen K. <all...@ya...>]

Chris:  At the time we had this idea (see email below), but then we nixed it and went for the longer version, with the idea we'd eventually try to re-look at the problem. If you do refactor, I think you'll need to create a DiscretizedFixedRateBond (just like the DiscretizedSwap) and the structures would be parallel. At the time, Luigi noted that knowing the underlying was a Bond was not enough, since fixed and floating rate legs get discounted differently on tree engines. ( I later thought to myself- is there really a need for a floating rate callable bond, with little or no interest rate risk ? )

The idea of deriving from option rather than bond is more elegant from the interface perspective (as you know, options are naturally on some sort of underlying and it would be nice to wrap callability around fixed rate bonds and converts and/or whatever instruments) but I think at the time we figured out it would not be feasible underneath it all (I forget why now, perhaps its because of the need to create pretty customized discretized instruments to be rolled back on trees). Maybe you can figure out a way forward now ? I think options on fixed and floating rate Legs are pretty general classes. Also easy ways to transform from Instruments to "DiscretizedInstruments" may help (assuming we're still talking about the tree engines) but I assume that would be deep refactoring of Instrument.

Allen


On 08/01/2006 09:03:20 AM, Allen Kuo wrote:
>   I'm trying to build a callable bond class and was wondering what a
> QL preferred design would be. Two possibilities are below. I liked  
> the economy of the first method but the ConvertibleBond class is  
> designed the second way, so was not sure how to proceed.
> 
> (1)
>   class CallableBond : public Bond {
>  public:
>      CallableBond(const boost::shared_ptr<Bond> bond&
>                       const boost::shared_ptr<PricingEngine>& engine,
>                       const CallabilitySchedule& callability,
>                       );
>    etc.
>  }

I like this one, but the problem is that the engine should know what  
kind of bond it's being passed---or at least what kind of coupons it  
contains. I.e., if you choose a tree engine, fixed-rate and  
floating-rate coupons will be discounted in a different way on the  
tree. Therefore, the above mightn't be as generic as it seems.


>   (2)
>   Analogous to the ConvertibleBond class, we would have three  
> explicit constructors for each of three types of bonds (  
> CallableZeroCouponBond , CallableFloatingRateBond ,  
> CallableFixedCouponBond ).

This might be less nice, but it has the advantage of specifying the  
kind of bond to be called. I would go for this one first; after the  
code is done, we might try some refactoring to bring it closer to the  
first design.


> Doing it this way, in the future though, we
> might need three more constructors for convertible bonds:

No, convertible bonds manage callability already. (By the way, you can  
look at the relevant classes---Callability and such---so that you can  
reuse them.)

Later,
Luigi





________________________________
From: Chris Kenyon <chr...@ya...>
To: qua...@li...; qua...@li...
Sent: Thu, May 27, 2010 10:06:38 PM
Subject: [Quantlib-users] callable bonds & bond options vs swaptions?


Hi,

the setup for callable bonds is rather different from swaptions, and maybe it can be improved.

Swaption (const boost::shared_ptr< VanillaSwap > &swap, const boost::shared_ptr< Exercise > &exercise, Settlement::Type delivery=Settlement::Physical)

... the Swaption takes a Swap and some data.  Swaption is descendant of Option.  A callable bond:

CallableFixedRateBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const std::vector< Rate > &coupons, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, Real redemption=100.0, const Date &issueDate=Date(), const CallabilitySchedule &putCallSchedule=CallabilitySchedule())

... has a complete description and is a descendant of Bond, via CallableBond, not Option.

Now, granted, a swaption is an option on a swap and nothing happens before exercise whereas a bond may be paying coupons.  However, it would be more parsimonious to copy the swaption definition idea for callable bonds and bond options, e.g.

CallableBond(const boost::shared_ptr< Bond > &bond, const CallabilitySchedule &putCallSchedule=CallabilitySchedule()) 
... descendant of Bond - and can define Puttable and Callable versions from the Callability vector. N.B. a CallabilitySchedule is a typedef for std::vector<boost::shared_ptr< Callability > >

BondOption(const boost::shared_ptr< Bond > &bond, const CallabilitySchedule &putCallSchedule=CallabilitySchedule(), Settlement::Type delivery=Settlement::Physical)
... descendant of Option.  N.B. we need a Callability not an Exercise because we need the strike (in a swaption the strike is the fixed rate in the swap).

Any comments?  This approach could be applied to ConvertibleBond as well.

Regards,
Chris



      

[Quantlib-dev] callable bonds & bond options vs swaptions?

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

Hi,

the setup for callable bonds is rather different from swaptions, and maybe it can be improved.

Swaption (const boost::shared_ptr< VanillaSwap > &swap, const boost::shared_ptr< Exercise > &exercise, Settlement::Type delivery=Settlement::Physical)

... the Swaption takes a Swap and some data.  Swaption is descendant of Option.  A callable bond:

CallableFixedRateBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const std::vector< Rate > &coupons, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, Real redemption=100.0, const Date &issueDate=Date(), const CallabilitySchedule &putCallSchedule=CallabilitySchedule())

... has a complete description and is a descendant of Bond, via CallableBond, not Option.

Now, granted, a swaption is an option on a swap and nothing happens before exercise whereas a bond may be paying coupons.  However, it would be more parsimonious to copy the swaption definition idea for callable bonds and bond options, e.g.

CallableBond(const boost::shared_ptr< Bond > &bond, const CallabilitySchedule &putCallSchedule=CallabilitySchedule())
... descendant of Bond - and can define Puttable and Callable versions from the Callability vector. N.B. a CallabilitySchedule is a typedef for std::vector<boost::shared_ptr< Callability > >

BondOption(const boost::shared_ptr< Bond > &bond, const CallabilitySchedule &putCallSchedule=CallabilitySchedule(), Settlement::Type delivery=Settlement::Physical)
... descendant of Option.  N.B. we need a Callability not an Exercise because we need the strike (in a swaption the strike is the fixed rate in the swap).

Any comments?  This approach could be applied to ConvertibleBond as well.

Regards,
Chris

Re: [Quantlib-dev] subtle bug in InverseCumulativeNormal

[Nicolai L. <nl...@cb...>]

Kakhkhor Abdijalilov <kabdijalilov <at> gmail.com> writes:

> 
> Bug Report:
> 
> Where:            In "normaldistribution.cpp".
> What:              Undefined behavior or floating point exception.
> Severity:          Subtle.
> Burden:           Easy to fix. See below.
> 
> Description.
> If the argument x is close to 0.0 or 1.0, the implementation sets it
> exactly to 0.0 or 1.0.
> This leads to an attempt to evaluate std::log(0.0) or std::log(1.0).
> I propose that we cut it at x=1E-12 and x = 1 - 1E-12, which covers
> all draws between
> plus/minus 7 standard deviations. Any argument value beyond that range
> should be considered
> as either erroneous or astronomically improbable.
> 
> Regards,
> Kakhkhor Abdijalilov.

I am currently looking into replacing the Quantlib implementation of 
statistical distributions with the implementation provided by Boost. The best 
solution (in my opinion anyway) would be to get totally rid of the Quantlib 
distribution folder and rely totally on Boost - this would eliminate a layer of 
indirection but it would break backward compatibility. 

Therefore I have currently just replaced the internal parts of the Quantlib 
normaldistribution.xpp with the Boost implementation. Unfortunately these makes 
some testcases fail, and I am currently looking into why this can be.

If someone is interested I can post my modified normaldistribution.xpp files 
here.

Br,
Nicolai

[Quantlib-dev] subtle bug in InverseCumulativeNormal

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

Bug Report:

Where:            In "normaldistribution.cpp".
What:              Undefined behavior or floating point exception.
Severity:          Subtle.
Burden:           Easy to fix. See below.


Description.
If the argument x is close to 0.0 or 1.0, the implementation sets it
exactly to 0.0 or 1.0.
This leads to an attempt to evaluate std::log(0.0) or std::log(1.0).
I propose that we cut it at x=1E-12 and x = 1 - 1E-12, which covers
all draws between
plus/minus 7 standard deviations. Any argument value beyond that range
should be considered
as either erroneous or astronomically improbable.

Regards,
Kakhkhor Abdijalilov.

=============================================================
// current implementation
Real InverseCumulativeNormal::operator()(Real x) const {
    if (x < 0.0 || x > 1.0) {
        // try to recover if due to numerical error
        if (close_enough(x, 1.0)) {
            x = 1.0;
        } else if (std::fabs(x) < QL_EPSILON) {
            x = 0.0;
        } else {
            QL_FAIL("InverseCumulativeNormal(" << x
                    << ") undefined: must be 0 < x < 1");
        }
    }
.........................................
}

// new implementation
Real InverseCumulativeNormal::operator()(Real x) const {
    if (x < 1e-12 || x > (1.0 - 1e-12)) {
        // try to recover if due to numerical error
        if (close_enough(x, 1.0)) {
            x = 1.0 - 1e-12;
        } else if (std::fabs(x) < QL_EPSILON) {
            x = 1e-12;
        } else {
            QL_FAIL("InverseCumulativeNormal(" << x
                    << ") undefined: must be 0 < x < 1");
        }
    }
.........................................
}

Re: [Quantlib-dev] Generalized Hull-White model problems

[Alexander L. <ale...@go...>]

After this changes I get the project run, but calibration never returns...
Playing with TimeGrid didn't help.
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Re: [Quantlib-dev] Generalized Hull-White model problems

[Alexander L. <ale...@go...>]

Hello Luigi,

thanks for the quick reply.

>The PiecewiseConstantParameter class was modified in revision 17224 to
>take an optional constraint, so that's taken care of; the code in the
>trunk instantiates it with a PositiveConstraint.

I am not sure this is enough. This peace of code in QL causes problems:

----
 PiecewiseConstantParameter(const std::vector<Time>& times,
                                   const Constraint& constraint =
                                                             NoConstraint())
        : Parameter(times.size()+1,
                    boost::shared_ptr<Parameter::Impl>(
                                 new
PiecewiseConstantParameter::Impl(times)),
                    constraint)
        {}
----

should be

----
public:
        PiecewiseConstantParameter(const std::vector<Time>& times,
                                   const Constraint& constraint =
                                                             NoConstraint())
        : Parameter(times.size(),
----                    

times.size() not times.size() + 1, in this case I get run time exception in
the following functions

---

 boost::function<Real (Time)> GeneralizedHullWhite::speed() const {

		std::vector<Real> speedvals;
		speedvals.push_back(a_(0.0001));
		for (Size i=0;i<a_.size()-1;i++)
			speedvals.push_back(
			a_(
			(speedstructure_[i+1]-speedstructure_[0])/365.0
			- 0.00001));

		return PiecewiseLinearCurve(speedperiods_, speedvals);
	}

    boost::function<Real (Time)> GeneralizedHullWhite::vol() const {

		std::vector<Real> volvals;
		volvals.push_back(sigma_(0.0001));
		for (Size i=0;i<sigma_.size()-1;i++)
			volvals.push_back(
			sigma_(
			(speedstructure_[i+1]-speedstructure_[0])/365.0
			- 0.00001));

		return PiecewiseLinearCurve(volperiods_, volvals);
	}
---

vector subscript out of range

a_.size() - 1 and sigma_.size() - 1 are bigger than speedstructure_[i+1]

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Re: [Quantlib-dev] Generalized Hull-White model problems

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

On Sun, 2010-05-23 at 01:27 -0700, Alexander Lotter wrote:
> Hello Javit,
> 
> I found the Generalized Hull-White model checked by Luigi into the trunk a
> couple of months ago.
> 
> As you told me, the newest version was (see .zip file):
> http://old.nabble.com/Generalized-Hull-White-model-with-non-constant-parameters-td26287370.html#a26635940
> 
> The last version in trunk on sourceforge as far as I know 17226. This
> version have some differences to the version you posted in that archive in
> december 2009.

Yes. The differences are meant to be.

> There is also no examples in the current trunk of the QuantLib, which
> contains your version of BermudanSwaptions or some code for the test-suite. 

True, for some reason the example didn't make into the commit.
I remember it working, though.

> There is no a version of PiecewiseConstantParameter2 as you proposed to
> implement. So, without this change, I couldn't get the current trunk version
> to run without run-time error (vector subscript out of range). As I added
> this class, I got the current version to run, but calibration took me too
> long to wait.

The PiecewiseConstantParameter class was modified in revision 17224 to
take an optional constraint, so that's taken care of; the code in the
trunk instantiates it with a PositiveConstraint.

Anyway, I'll try to get the example working and get back.

Luigi


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