quantlib-users — QuantLib users discussion list

Re: [Quantlib-users] How to use ql.FuturesRateHelper with EURIBOR futures trading on ICE Futures Europe (former LIFFE)

[ze73 m. <ze7...@ya...>]

 I might be misunderstanding your last message, Trent. Take for example the 3-Month EuriBor Nov '23, expiring on 13 Nov 2024 (as also confirmed by ICE). What iborStartDate is ql.FuturesRateHelper expecting for this contract? I thought this needed a "type" argument different than Futures::IMM since none of these dates are IMM dates that are also not matching the dates obtained with ql.IMM.nextDate()?
Thank you!


    On Thursday, November 2, 2023 at 05:08:19 PM EDT, Trent Maetzold <tr...@ma...> wrote:  
 
  I’m looking at mine and they follow imm dates, monthly starts for the first six contracts then the standard imm dates for the next 6. Use ql.IMM.nextDate(date, False) to get the series of monthly IMM dates.
Then pass the start and end date to the futures rate helper constructor.
 Sent from Proton Mail for iOS 

On Thu, Nov 2, 2023 at 15:55, ze73 man <ze7...@ya...> wrote:
  Thanks, Trent. I followed your suggestion and created a new index.
However ql.FuturesRateHelper expects IMM futures and checks for IMM dates here so I get the error below. It seems the only way to use the rate helper with non-IMM futures is to add support for it in C++ and recompile quantlib? These futures are trading on ICE Futures Europe (Three Month Euribor Futures) and the expiration schedules are different. I don't see a way to use the underlying RateHelper class or /BootstrapHelper template in Python.
RuntimeError: November 13th, 2023 is not a valid IMM date
Any thoughts on this are welcome. Thanks, everyone!
    On Wednesday, November 1, 2023 at 06:33:11 PM EDT, Trent Maetzold <tr...@ma...> wrote:  
 
  Create the IborIndex directly. https://quantlib-python-docs.readthedocs.io/en/latest/indexes.html#ql.IborIndex
 Sent from Proton Mail for iOS 

On Wed, Nov 1, 2023 at 17:27, ze73 man via QuantLib-users <qua...@li...> wrote:
 Hi QuantLib Gurus!
I am experimenting with ql.FuturesRateHelper to use this market data 3-Month EuriBor Futures Prices to evaluate if a EURIBOR forward curve created this way might be viable for my use-case. The index class ql.Euribor3M() in theory facilitates the setup however it represents the IMM index so the calendar is different, the expiration dates different, etc...
I did see a FuturesEU calendar in the QuantExt project derived from QuantLib, meant to represent the ICE Futures Europe calendar, which could be a starting point, but is there no standard ql.Euribor3M() equivalent in quantlib for ICE? Does anyone know of an example set up of a ICE Europe futures contract using quantlib, please? Would this warrant a new rate helper or at least new index class?
Kind regards

Ze

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3-Month EuriBor Prices and 3-Month EuriBor Futures Prices - Barchart.com

Today's 3-Month EuriBor prices with latest 3-Month EuriBor charts, news and 3-Month EuriBor futures quotes.
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Re: [Quantlib-users] How to use ql.FuturesRateHelper with EURIBOR futures trading on ICE Futures Europe (former LIFFE)

[Trent M. <tr...@ma...>]

I’m looking at mine and they follow imm dates, monthly starts for the first six contracts then the standard imm dates for the next 6. Use ql.IMM.nextDate(date, False) to get the series of monthly IMM dates.

Then pass the start and end date to the futures rate helper constructor.

Sent from [Proton Mail](https://proton.me/mail/home) for iOS

On Thu, Nov 2, 2023 at 15:55, ze73 man <[ze7...@ya...](mailto:On Thu, Nov 2, 2023 at 15:55, ze73 man <<a href=)> wrote:

> Thanks, Trent. I followed your suggestion and created a new index.
>
> However ql.FuturesRateHelper expects IMM futures and checks for IMM dates [here](https://github.com/quantlib/QuantLib/blob/master/ql/termstructures/yield/ratehelpers.cpp) so I get the error below. It seems the only way to use the rate helper with non-IMM futures is to add support for it in C++ and recompile quantlib? These futures are trading on ICE Futures Europe ([Three Month Euribor Futures](https://www.ice.com/products/38527986/Three-Month-Euribor-Futures)) and the expiration schedules are different. I don't see a way to use the underlying RateHelper class or /BootstrapHelper template in Python.
>
> RuntimeError: November 13th, 2023 is not a valid IMM date
>
> Any thoughts on this are welcome. Thanks, everyone!
>
> On Wednesday, November 1, 2023 at 06:33:11 PM EDT, Trent Maetzold <tr...@ma...> wrote:
>
> Create the IborIndex directly. https://quantlib-python-docs.readthedocs.io/en/latest/indexes.html#ql.IborIndex
>
> Sent from [Proton Mail](https://proton.me/mail/home) for iOS
>
> On Wed, Nov 1, 2023 at 17:27, ze73 man via QuantLib-users <[qua...@li...](mailto:On Wed, Nov 1, 2023 at 17:27, ze73 man via QuantLib-users <<a href=)> wrote:
>
>> Hi QuantLib Gurus!
>>
>> I am experimenting with ql.FuturesRateHelper to use this market data [3-Month EuriBor Futures Prices](https://www.barchart.com/futures/quotes/IMX23/futures-prices) to evaluate if a EURIBOR forward curve created this way might be viable for my use-case. The index class ql.Euribor3M() in theory facilitates the setup however it represents the IMM index so the calendar is different, the expiration dates different, etc...
>>
>> I did see a FuturesEU calendar in the QuantExt project derived from QuantLib, meant to represent the ICE Futures Europe calendar, which could be a starting point, but is there no standard ql.Euribor3M() equivalent in quantlib for ICE? Does anyone know of an example set up of a ICE Europe futures contract using quantlib, please? Would this warrant a new rate helper or at least new index class?
>>
>> Kind regards
>>
>> Ze
>>
>> https://www.barchart.com/futures/quotes/IMX23/futures-prices
>>
>> 3-Month EuriBor Prices and 3-Month EuriBor Futures Prices - Barchart.com
>>
>> Today's 3-Month EuriBor prices with latest 3-Month EuriBor charts, news and 3-Month EuriBor futures quotes.

Re: [Quantlib-users] How to use ql.FuturesRateHelper with EURIBOR futures trading on ICE Futures Europe (former LIFFE)

[ze73 m. <ze7...@ya...>]

 Thanks, Trent. I followed your suggestion and created a new index.
However ql.FuturesRateHelper expects IMM futures and checks for IMM dates here so I get the error below. It seems the only way to use the rate helper with non-IMM futures is to add support for it in C++ and recompile quantlib? These futures are trading on ICE Futures Europe (Three Month Euribor Futures) and the expiration schedules are different. I don't see a way to use the underlying RateHelper class or /BootstrapHelper template in Python.
RuntimeError: November 13th, 2023 is not a valid IMM date
Any thoughts on this are welcome. Thanks, everyone!
    On Wednesday, November 1, 2023 at 06:33:11 PM EDT, Trent Maetzold <tr...@ma...> wrote:  
 
  Create the IborIndex directly. https://quantlib-python-docs.readthedocs.io/en/latest/indexes.html#ql.IborIndex
 Sent from Proton Mail for iOS 

On Wed, Nov 1, 2023 at 17:27, ze73 man via QuantLib-users <qua...@li...> wrote:
 Hi QuantLib Gurus!
I am experimenting with ql.FuturesRateHelper to use this market data 3-Month EuriBor Futures Prices to evaluate if a EURIBOR forward curve created this way might be viable for my use-case. The index class ql.Euribor3M() in theory facilitates the setup however it represents the IMM index so the calendar is different, the expiration dates different, etc...
I did see a FuturesEU calendar in the QuantExt project derived from QuantLib, meant to represent the ICE Futures Europe calendar, which could be a starting point, but is there no standard ql.Euribor3M() equivalent in quantlib for ICE? Does anyone know of an example set up of a ICE Europe futures contract using quantlib, please? Would this warrant a new rate helper or at least new index class?
Kind regards

Ze

| 
| 
| 
|  |  |

 |

 |
| 
|  | 
3-Month EuriBor Prices and 3-Month EuriBor Futures Prices - Barchart.com

Today's 3-Month EuriBor prices with latest 3-Month EuriBor charts, news and 3-Month EuriBor futures quotes.
 |

 |

 |

 



  

Re: [Quantlib-users] How to use ql.FuturesRateHelper with EURIBOR futures trading on ICE Futures Europe (former LIFFE)

[Trent M. <tr...@ma...>]

Create the IborIndex directly. https://quantlib-python-docs.readthedocs.io/en/latest/indexes.html#ql.IborIndex

Sent from [Proton Mail](https://proton.me/mail/home) for iOS

On Wed, Nov 1, 2023 at 17:27, ze73 man via QuantLib-users <[qua...@li...](mailto:On Wed, Nov 1, 2023 at 17:27, ze73 man via QuantLib-users <<a href=)> wrote:

> Hi QuantLib Gurus!
>
> I am experimenting with ql.FuturesRateHelper to use this market data [3-Month EuriBor Futures Prices](https://www.barchart.com/futures/quotes/IMX23/futures-prices) to evaluate if a EURIBOR forward curve created this way might be viable for my use-case. The index class ql.Euribor3M() in theory facilitates the setup however it represents the IMM index so the calendar is different, the expiration dates different, etc...
>
> I did see a FuturesEU calendar in the QuantExt project derived from QuantLib, meant to represent the ICE Futures Europe calendar, which could be a starting point, but is there no standard ql.Euribor3M() equivalent in quantlib for ICE? Does anyone know of an example set up of a ICE Europe futures contract using quantlib, please? Would this warrant a new rate helper or at least new index class?
>
> Kind regards
>
> Ze
>
> https://www.barchart.com/futures/quotes/IMX23/futures-prices
>
> 3-Month EuriBor Prices and 3-Month EuriBor Futures Prices - Barchart.com
>
> Today's 3-Month EuriBor prices with latest 3-Month EuriBor charts, news and 3-Month EuriBor futures quotes.

[Quantlib-users] How to use ql.FuturesRateHelper with EURIBOR futures trading on ICE Futures Europe (former LIFFE)

[ze73 m. <ze7...@ya...>]

Hi QuantLib Gurus!
I am experimenting with ql.FuturesRateHelper to use this market data 3-Month EuriBor Futures Prices to evaluate if a EURIBOR forward curve created this way might be viable for my use-case. The index class ql.Euribor3M() in theory facilitates the setup however it represents the IMM index so the calendar is different, the expiration dates different, etc...
I did see a FuturesEU calendar in the QuantExt project derived from QuantLib, meant to represent the ICE Futures Europe calendar, which could be a starting point, but is there no standard ql.Euribor3M() equivalent in quantlib for ICE? Does anyone know of an example set up of a ICE Europe futures contract using quantlib, please? Would this warrant a new rate helper or at least new index class?
Kind regards

Ze

| 
| 
| 
|  |  |

 |

 |
| 
|  | 
3-Month EuriBor Prices and 3-Month EuriBor Futures Prices - Barchart.com

Today's 3-Month EuriBor prices with latest 3-Month EuriBor charts, news and 3-Month EuriBor futures quotes.
 |

 |

 |

 

Re: [Quantlib-users] Eris SOFR Swap Futures

[Mike D. <mik...@gm...>]

Sure no problem. Happy to help. I’ve never seen a special rate helper for
swap futures in QL but that’s probably a better question for
Luigi/Peter/Tom.  My default assumption would be that you will have to
convert back to a fair rate and use the traditional swapRateHelpers as you
suggested. Also don’t forget that those swap futures are forward imm
starting not spot.


On Mon, Oct 30, 2023 at 13:30 ze73 man <ze7...@ya...> wrote:

> Yes, understood, thanks a lot, Mike. I am trying to evaluate what is
> possible using only futures data since that is a lot cheaper to license
> than swap data. In my context, the basis you mentioned might be acceptable
> if it is well understood and then I could also look for ways to account for
> it as you wrote. I could not find an example of directly using swap futures
> in quantlib but wondered if anyone had done this. Otherwise, I'd first back
> swap rates from the futures and then use the swap helper.
>
> On Monday, October 30, 2023 at 09:59:16 AM EDT, Mike DelMedico <
> mik...@gm...> wrote:
>
>
> Keep in mind this is a CME curve you are going to build not LCH (where the
> majority of risk is transferred). So depending on your desired need of
> accuracy for whatever you are trying to value off the resulting curve, you
> need to account for that basis as well as the limited liquidity in one
> venue vs the other.  Take a look at the OI and daily volumes of one vs the
> other?
>
>
> On Mon, Oct 30, 2023 at 08:30 ze73 man via QuantLib-users <
> qua...@li...> wrote:
>
> Thanks so much for shring your thoughts, Tom and Peter!
>
> I mean to directly build the curve from the Eris futures market prices
> (available from IB for example) and from the instrument spec on the Eris
> web site. The data in their FTP server is indeed great for validation but
> we don't have a license for it. My understanding was also that we would
> need a new rate helper for OIS Swap Futures and I was wondering if anyone
> would kindly share any experience modeling swap futures in quantlib, please?
>
>
>
> On Monday, October 30, 2023 at 04:02:59 AM EDT, Peter Caspers <
> pca...@gm...> wrote:
>
>
> Well, I meant to use their PV01. But their ftp data has everything you
> need anyhow
>
> http://files.erisfutures.com/ftp/Eris_20230703_EOD_ParCouponCurve_SOFR.csv
>
> Even daily discount factors which is arguably the safest way to
> replicate their curve precisely
>
> http://files.erisfutures.com/ftp/Eris_20230703_EOD_DiscountFactors_SOFR.csv
>
> To directly build the curve from the futures prices and the PAI we
> would need a new rate helper.
>
> On Sun, 29 Oct 2023 at 19:38, Tom Anderson <tw...@ur...> wrote:
> >
> > On Sun, 29 Oct 2023, Peter Caspers wrote:
> >
> > > Hi Ze, one approach could be to convert the futures price to the
> > > equivalent par swap rate as described in the primer. Provided that you
> > > have access to the necessary additional data?
> >
> > The necessary details (accrued PAI) are openly available here:
> >
> > https://www.erisfutures.com/sofrdata
> >
> > But a problem will be that the price of an Eris future corresponds to the
> > net value of the underlying swap on the expiry date of the future, not
> > today, because it settles daily like all futures. To turn that into a
> swap
> > rate you can use for building a curve, you would need to discount that to
> > today. And to do that, you need a curve!
> >
> > Oh, or at least, you need a rate from now to the front IMM date. And you
> > can get that directly from the SOFR future which is currently in accrual,
> > so maybe this isn't so bad.
> >
> > Personally, i am a bit skeptical that there is enough liquidity in the
> > Eris markets to give good pricing information, but it's worth a shot.
> >
> > tom
> >
> > --
> > Vegetables, rice and peas.
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>

Re: [Quantlib-users] Eris SOFR Swap Futures

[ze73 m. <ze7...@ya...>]

 Yes, understood, thanks a lot, Mike. I am trying to evaluate what is possible using only futures data since that is a lot cheaper to license than swap data. In my context, the basis you mentioned might be acceptable if it is well understood and then I could also look for ways to account for it as you wrote. I could not find an example of directly using swap futures in quantlib but wondered if anyone had done this. Otherwise, I'd first back swap rates from the futures and then use the swap helper.
    On Monday, October 30, 2023 at 09:59:16 AM EDT, Mike DelMedico <mik...@gm...> wrote:  
 
 Keep in mind this is a CME curve you are going to build not LCH (where the majority of risk is transferred). So depending on your desired need of accuracy for whatever you are trying to value off the resulting curve, you need to account for that basis as well as the limited liquidity in one venue vs the other.  Take a look at the OI and daily volumes of one vs the other?

On Mon, Oct 30, 2023 at 08:30 ze73 man via QuantLib-users <qua...@li...> wrote:

 Thanks so much for shring your thoughts, Tom and Peter!

I mean to directly build the curve from the Eris futures market prices (available from IB for example) and from the instrument spec on the Eris web site. The data in their FTP server is indeed great for validation but we don't have a license for it. My understanding was also that we would need a new rate helper for OIS Swap Futures and I was wondering if anyone would kindly share any experience modeling swap futures in quantlib, please?
 
    On Monday, October 30, 2023 at 04:02:59 AM EDT, Peter Caspers <pca...@gm...> wrote:  
 
 Well, I meant to use their PV01. But their ftp data has everything you
need anyhow

http://files.erisfutures.com/ftp/Eris_20230703_EOD_ParCouponCurve_SOFR.csv

Even daily discount factors which is arguably the safest way to
replicate their curve precisely

http://files.erisfutures.com/ftp/Eris_20230703_EOD_DiscountFactors_SOFR.csv

To directly build the curve from the futures prices and the PAI we
would need a new rate helper.

On Sun, 29 Oct 2023 at 19:38, Tom Anderson <tw...@ur...> wrote:
>
> On Sun, 29 Oct 2023, Peter Caspers wrote:
>
> > Hi Ze, one approach could be to convert the futures price to the
> > equivalent par swap rate as described in the primer. Provided that you
> > have access to the necessary additional data?
>
> The necessary details (accrued PAI) are openly available here:
>
> https://www.erisfutures.com/sofrdata
>
> But a problem will be that the price of an Eris future corresponds to the
> net value of the underlying swap on the expiry date of the future, not
> today, because it settles daily like all futures. To turn that into a swap
> rate you can use for building a curve, you would need to discount that to
> today. And to do that, you need a curve!
>
> Oh, or at least, you need a rate from now to the front IMM date. And you
> can get that directly from the SOFR future which is currently in accrual,
> so maybe this isn't so bad.
>
> Personally, i am a bit skeptical that there is enough liquidity in the
> Eris markets to give good pricing information, but it's worth a shot.
>
> tom
>
> --
> Vegetables, rice and peas.
  _______________________________________________
QuantLib-users mailing list
Qua...@li...
https://lists.sourceforge.net/lists/listinfo/quantlib-users

  

Re: [Quantlib-users] Eris SOFR Swap Futures

[Mike D. <mik...@gm...>]

Keep in mind this is a CME curve you are going to build not LCH (where the
majority of risk is transferred). So depending on your desired need of
accuracy for whatever you are trying to value off the resulting curve, you
need to account for that basis as well as the limited liquidity in one
venue vs the other.  Take a look at the OI and daily volumes of one vs the
other?


On Mon, Oct 30, 2023 at 08:30 ze73 man via QuantLib-users <
qua...@li...> wrote:

> Thanks so much for shring your thoughts, Tom and Peter!
>
> I mean to directly build the curve from the Eris futures market prices
> (available from IB for example) and from the instrument spec on the Eris
> web site. The data in their FTP server is indeed great for validation but
> we don't have a license for it. My understanding was also that we would
> need a new rate helper for OIS Swap Futures and I was wondering if anyone
> would kindly share any experience modeling swap futures in quantlib, please?
>
>
>
> On Monday, October 30, 2023 at 04:02:59 AM EDT, Peter Caspers <
> pca...@gm...> wrote:
>
>
> Well, I meant to use their PV01. But their ftp data has everything you
> need anyhow
>
> http://files.erisfutures.com/ftp/Eris_20230703_EOD_ParCouponCurve_SOFR.csv
>
> Even daily discount factors which is arguably the safest way to
> replicate their curve precisely
>
> http://files.erisfutures.com/ftp/Eris_20230703_EOD_DiscountFactors_SOFR.csv
>
> To directly build the curve from the futures prices and the PAI we
> would need a new rate helper.
>
> On Sun, 29 Oct 2023 at 19:38, Tom Anderson <tw...@ur...> wrote:
> >
> > On Sun, 29 Oct 2023, Peter Caspers wrote:
> >
> > > Hi Ze, one approach could be to convert the futures price to the
> > > equivalent par swap rate as described in the primer. Provided that you
> > > have access to the necessary additional data?
> >
> > The necessary details (accrued PAI) are openly available here:
> >
> > https://www.erisfutures.com/sofrdata
> >
> > But a problem will be that the price of an Eris future corresponds to the
> > net value of the underlying swap on the expiry date of the future, not
> > today, because it settles daily like all futures. To turn that into a
> swap
> > rate you can use for building a curve, you would need to discount that to
> > today. And to do that, you need a curve!
> >
> > Oh, or at least, you need a rate from now to the front IMM date. And you
> > can get that directly from the SOFR future which is currently in accrual,
> > so maybe this isn't so bad.
> >
> > Personally, i am a bit skeptical that there is enough liquidity in the
> > Eris markets to give good pricing information, but it's worth a shot.
> >
> > tom
> >
> > --
> > Vegetables, rice and peas.
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Re: [Quantlib-users] Eris SOFR Swap Futures

[ze73 m. <ze7...@ya...>]

 Thanks so much for shring your thoughts, Tom and Peter!

I mean to directly build the curve from the Eris futures market prices (available from IB for example) and from the instrument spec on the Eris web site. The data in their FTP server is indeed great for validation but we don't have a license for it. My understanding was also that we would need a new rate helper for OIS Swap Futures and I was wondering if anyone would kindly share any experience modeling swap futures in quantlib, please?
 
    On Monday, October 30, 2023 at 04:02:59 AM EDT, Peter Caspers <pca...@gm...> wrote:  
 
 Well, I meant to use their PV01. But their ftp data has everything you
need anyhow

http://files.erisfutures.com/ftp/Eris_20230703_EOD_ParCouponCurve_SOFR.csv

Even daily discount factors which is arguably the safest way to
replicate their curve precisely

http://files.erisfutures.com/ftp/Eris_20230703_EOD_DiscountFactors_SOFR.csv

To directly build the curve from the futures prices and the PAI we
would need a new rate helper.

On Sun, 29 Oct 2023 at 19:38, Tom Anderson <tw...@ur...> wrote:
>
> On Sun, 29 Oct 2023, Peter Caspers wrote:
>
> > Hi Ze, one approach could be to convert the futures price to the
> > equivalent par swap rate as described in the primer. Provided that you
> > have access to the necessary additional data?
>
> The necessary details (accrued PAI) are openly available here:
>
> https://www.erisfutures.com/sofrdata
>
> But a problem will be that the price of an Eris future corresponds to the
> net value of the underlying swap on the expiry date of the future, not
> today, because it settles daily like all futures. To turn that into a swap
> rate you can use for building a curve, you would need to discount that to
> today. And to do that, you need a curve!
>
> Oh, or at least, you need a rate from now to the front IMM date. And you
> can get that directly from the SOFR future which is currently in accrual,
> so maybe this isn't so bad.
>
> Personally, i am a bit skeptical that there is enough liquidity in the
> Eris markets to give good pricing information, but it's worth a shot.
>
> tom
>
> --
> Vegetables, rice and peas.
  

Re: [Quantlib-users] Eris SOFR Swap Futures

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

Well, I meant to use their PV01. But their ftp data has everything you
need anyhow

http://files.erisfutures.com/ftp/Eris_20230703_EOD_ParCouponCurve_SOFR.csv

Even daily discount factors which is arguably the safest way to
replicate their curve precisely

http://files.erisfutures.com/ftp/Eris_20230703_EOD_DiscountFactors_SOFR.csv

To directly build the curve from the futures prices and the PAI we
would need a new rate helper.

On Sun, 29 Oct 2023 at 19:38, Tom Anderson <tw...@ur...> wrote:
>
> On Sun, 29 Oct 2023, Peter Caspers wrote:
>
> > Hi Ze, one approach could be to convert the futures price to the
> > equivalent par swap rate as described in the primer. Provided that you
> > have access to the necessary additional data?
>
> The necessary details (accrued PAI) are openly available here:
>
> https://www.erisfutures.com/sofrdata
>
> But a problem will be that the price of an Eris future corresponds to the
> net value of the underlying swap on the expiry date of the future, not
> today, because it settles daily like all futures. To turn that into a swap
> rate you can use for building a curve, you would need to discount that to
> today. And to do that, you need a curve!
>
> Oh, or at least, you need a rate from now to the front IMM date. And you
> can get that directly from the SOFR future which is currently in accrual,
> so maybe this isn't so bad.
>
> Personally, i am a bit skeptical that there is enough liquidity in the
> Eris markets to give good pricing information, but it's worth a shot.
>
> tom
>
> --
> Vegetables, rice and peas.

Re: [Quantlib-users] Eris SOFR Swap Futures

[Tom A. <tw...@ur...>]

On Sun, 29 Oct 2023, Peter Caspers wrote:

> Hi Ze, one approach could be to convert the futures price to the 
> equivalent par swap rate as described in the primer. Provided that you 
> have access to the necessary additional data?

The necessary details (accrued PAI) are openly available here:

https://www.erisfutures.com/sofrdata

But a problem will be that the price of an Eris future corresponds to the 
net value of the underlying swap on the expiry date of the future, not 
today, because it settles daily like all futures. To turn that into a swap 
rate you can use for building a curve, you would need to discount that to 
today. And to do that, you need a curve!

Oh, or at least, you need a rate from now to the front IMM date. And you 
can get that directly from the SOFR future which is currently in accrual, 
so maybe this isn't so bad.

Personally, i am a bit skeptical that there is enough liquidity in the 
Eris markets to give good pricing information, but it's worth a shot.

tom

-- 
Vegetables, rice and peas.

Re: [Quantlib-users] Eris SOFR Swap Futures

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

Hi Ze, one approach could be to convert the futures price to the
equivalent par swap rate as described in the primer. Provided that you
have access to the necessary additional data?
Best, Peter

[Quantlib-users] Eris SOFR Swap Futures

[ze73 m. <ze7...@ya...>]

Hello QuantLib Gurus!
I experimented with using ql.SofrFutureRateHelper and ql.OISRateHelper to bootstrap 1-Month and 3-Month Term SOFR forward curves from futures and swap market data and it seems to work well. But I'd be interested in using Eris SOFR Swap Futures instead of swaps because I already license this data. Would anyone kindly share any experience or ideas on using quantlib to do this, please?

Thank you!
Ze

Re: [Quantlib-users] Installation of QL in custom folder

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

Strange.  Glad it worked out in the end.

Luigi


On Thu, Oct 26, 2023 at 5:40 PM George Sebastine <geo...@ao...>
wrote:

> Thanks Luigi.
>
> It happens that if I dont break the line using '\' i.e. put everything in
> one line only, everything work just fine and I am able to run examples in
> QL.
>
> I dont have answer though why breaking line using '\' is failing.
>
> Thanks and regards,
>
>
>
>
>
>
> On Thursday, 26 October 2023 at 16:18:02 GMT+5:30, Luigi Ballabio <
> lui...@gm...> wrote:
>
>
>
>
>
> Hi,
>
> > zsh: no such file or directory:
> --prefix=/Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL
>
> the above seems to mean that the '--prefix=' was considered a part of the
> directory name instead of an option.
>
> > configure: WARNING: you should use --build, --host, --target
> > configure: WARNING: invalid host type:
>
> > checking build system type... config.sub: missing argument
> > Try `config.sub --help' for more information.
> > configure: error: /bin/sh ./config/config.sub   failed
>
> and the above suggests something strange is going on in your system.  Just
> to check if the --prefix thing is the problem, may you remove it and see if
> configure works?
>
> Luigi
>
>
>
> On Thu, Oct 26, 2023 at 8:17 AM George Sebastine via QuantLib-users <
> qua...@li...> wrote:
> > Hi,
> >
> > Below is the output
> >
> > % ls /Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL
> >
> > BOOST            QuantLib-1.32        QuantLib-1.32.tar.gz
> >
> >
> > BOOST is the folder where the Boost library is installed.
> >
> >
> >
> > On Thursday, 26 October 2023 at 05:25:02 GMT+5:30, Jonathan Sweemer <
> sw...@gm...> wrote:
> >
> >
> >
> >
> >
> > What output do you see from `ls
> > /Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL`?
> >
> > If it is recognized as a valid directory then unfortunately I’m not sure
> what the problem could be.
> >
> >
> > 2023년 10월 26일 (목) 07:05, George Sebastine <geo...@ao...>님이
> 작성:
> >> Hi Jonathan,
> >>
> >> I tried below
> >>
> >> ./configure
> --with-boost-include='/Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL/BOOST/b2-4.10.1/include/'
> \
> >>
>             --prefix='/Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL' \
> >>             CXXFLAGS='-O2 -stdlib=libc++ -mmacosx-version-min=10.9' \
> >>             LDFLAGS='-stdlib=libc++ -mmacosx-version-min=10.9'
> >>
> >> With this I got below error
> >>
> >> configure: WARNING: you should use --build, --host, --target
> >>
> >> configure: WARNING: invalid host type:
> >>
> >> checking for a BSD-compatible install... /usr/bin/install -c
> >>
> >> checking whether build environment is sane... yes
> >>
> >> checking for a race-free mkdir -p... ./config/install-sh -c -d
> >>
> >> checking for gawk... no
> >>
> >> checking for mawk... no
> >>
> >> checking for nawk... no
> >>
> >> checking for awk... awk
> >>
> >> checking whether make sets $(MAKE)... yes
> >>
> >> checking whether make supports nested variables... yes
> >>
> >> checking whether UID '502' is supported by ustar format... yes
> >>
> >> checking whether GID '20' is supported by ustar format... yes
> >>
> >> checking how to create a ustar tar archive... gnutar
> >>
> >> checking for gawk... (cached) awk
> >>
> >> checking for -gcc... no
> >>
> >> checking for gcc... gcc
> >>
> >> checking whether the C compiler works... yes
> >>
> >> checking for C compiler default output file name... a.out
> >>
> >> checking for suffix of executables...
> >>
> >> checking whether we are cross compiling... no
> >>
> >> checking for suffix of object files... o
> >>
> >> checking whether the compiler supports GNU C... yes
> >>
> >> checking whether gcc accepts -g... yes
> >>
> >> checking for gcc option to enable C11 features... none needed
> >>
> >> checking whether gcc understands -c and -o together... yes
> >>
> >> checking whether make supports the include directive... yes (GNU style)
> >>
> >> checking dependency style of gcc... gcc3
> >>
> >> checking for -g++... no
> >>
> >> checking for -c++... no
> >>
> >> checking for -gpp... no
> >>
> >> checking for -aCC... no
> >>
> >> checking for -CC... no
> >>
> >> checking for -cxx... no
> >>
> >> checking for -cc++... no
> >>
> >> checking for -cl.exe... no
> >>
> >> checking for -FCC... no
> >>
> >> checking for -KCC... no
> >>
> >> checking for -RCC... no
> >>
> >> checking for -xlC_r... no
> >>
> >> checking for -xlC... no
> >>
> >> checking for -clang++... no
> >>
> >> checking for g++... g++
> >>
> >> checking whether the compiler supports GNU C++... yes
> >>
> >> checking whether g++ accepts -g... yes
> >>
> >> checking for g++ option to enable C++11 features... none needed
> >>
> >> checking dependency style of g++... gcc3
> >>
> >> checking how to run the C preprocessor... gcc -E
> >>
> >> checking build system type... config.sub: missing argument
> >>
> >> Try `config.sub --help' for more information.
> >>
> >> configure: error: /bin/sh ./config/config.sub   failed
> >>
> >> zsh: no such file or directory:
> --prefix=/Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL
> >>
> >> However one strange thing in above error message is the last line. I am
> pretty sure that the folder '
> /Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL' exists!
> >>
> >> I also have xcode installed in my computer.
> >>
> >> Any workaround will be helpful.
> >>
> >> Thanks,
> >>
> >>
> >>
> >> On Thursday, 26 October 2023 at 03:09:48 GMT+5:30, Jonathan Sweemer <
> sw...@gm...> wrote:
> >>
> >>
> >>
> >>
> >>
> >> The ${HOME} in your prefix looks out of place. Can you try removing it?
> >>
> >> If that doesn’t fix it then I would try escaping the ampersands in the
> directory name, or even better renaming the directory.
> >>
> >> By the way, the warning message means you can safely remove
> —with-boost-lib because it’s no longer required.
> >>
> >>
> >> 2023년 10월 26일 (목) 05:13, George Sebastine via QuantLib-users <
> qua...@li...>님이 작성:
> >>> Hi,
> >>>
> >>> I am following the instructions in
> https://www.quantlib.org/install/macosx.shtml to install QL in custom
> folder. So I tried following
> >>>
> >>> ./configure
> --with-boost-include='/Users/DDD/Library/CloudStorage/Dropbox/AAA &
> BBB/Programs/QuantLib/QL_INSTALL/BOOST/b2-4.10.1/include/' \
> >>>
> >>>
> --with-boost-lib='/Users/DDD/Library/CloudStorage/Dropbox/AAA &
> BBB/Programs/QuantLib/QL_INSTALL/BOOST/b2-4.10.1/lib/' \
> >>>
> >>>
> --prefix=${HOME}'/Users/DDD/Library/CloudStorage/Dropbox/AAA &
> BBB/Programs/QuantLib/QL_INSTALL' \
> >>>
> >>>             CXXFLAGS='-O2 -stdlib=libc++ -mmacosx-version-min=10.9' \
> >>>
> >>>             LDFLAGS='-stdlib=libc++ -mmacosx-version-min=10.9'
> >>>
> >>>
> >>> However with this, I am getting below error
> >>>
> >>> configure: WARNING: unrecognized options: --with-boost-lib
> >>>
> >>> checking for a BSD-compatible install... /usr/bin/install -c
> >>>
> >>> checking whether build environment is sane... configure: error: unsafe
> absolute working directory name
> >>>
> >>>
> >>> I am using iMac with MacOS version 13.6 (22G120)
> >>>
> >>>
> >>> Could you please guide what went wrong and the correct approach to
> install QL in some custom folder.
> >>>
> >>>
> >>> Thanks for your time.
> >>>
> >>>
> >>> _______________________________________________
> >>> QuantLib-users mailing list
> >>> Qua...@li...
> >>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
> >>>
> >>
> >
> >
> >
> > _______________________________________________
> > QuantLib-users mailing list
> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-users
> >
>
>

Re: [Quantlib-users] Has anyone tested ChatGPT or FinGPT for QuantLib functionality

[sanfranciscofogg <san...@gm...>]

re: – can we use natural language to execute Quantlib code reliability and
consistently. ?
Ben,
   Yes, that is the question.
    Prompt engineering of a non-trivial sort to craft a solution
   Interesting problem worth exploring.
Thanks,
Mark Fogg

On Wed, Oct 25, 2023 at 8:55 PM Ben Watson <ben...@ma...>
wrote:

> I am looking at this as a concept. Taken a bit of a look at FINGPT but
> from what I have seen it is just a training set for finetuning open source
> LLM’s on finance related q&a. Good for sentiment analysis, financial news
> etc.  Mostly done on smaller models. BBG GPT is closed source and from what
> I understand is not setting the world of fire…. They have basically held it
> back to keep researching. BBG are also quite famous for their vapor-were  -
> where they try and kill the incentive for innovation elsewhere.
>
>
> GPT-4 is not bad at coding Quantlib with a bit of guidance – I built a
> pretty good wrapper for FX options in very quick time as well. GPT4 has a
> good broad base financial product understanding and can make inferences
> that get you a long way. But the real benefit of GPT4 is when you
> understand what you are asking and GPT does the grunt work in generating
> code. If you know what the answer should look like, then GPT4 is really
> useful.
>
> But I suspect the question that you are asking – can we use natural
> language to execute Quantlib code reliability and consistently. This part I
> have been doing a lot thinking about and requires chunk of infrastructure
> wrapping around Quantlib. Aside from a high level abstraction above the
> Quantlib layer, you will need a combination things good prompt engineer,
>  RAG (retrieval augmentation generation) and that requires vector databases
> and good documentation,  a finetuned model that understand the instructions
> to create a properly formatted query.
>
>
>
> One of the big  issues is that prompting and RAG is about providing
> context to  the query and the LLM’s that we can run locally have a limited
> context windows. To get a longer window, we need bigger models and now you
> are getting into a hardware issue. Multi-agent framework might be able to
> solve some of these issues. The other big idea that is not really fully
> explored is the idea of meta programming where the output from an LLM
> returns functions that can be executed – this is adding custom vectors to
> the output  that translate to function calls to do certain things. Right
> now GPT4 is the only platform really doing this, but is not great and not
> customisable.
>
> Regards
>
>
>
> Ben
>
>
>
> *From:* sanfranciscofogg <san...@gm...>
> *Sent:* Thursday, October 26, 2023 12:27 AM
> *To:* Qua...@li...
> *Subject:* [Quantlib-users] Has anyone tested ChatGPT or FinGPT for
> QuantLib functionality
>
>
>
> All,
>
>    After going through the FinGPT documentation, it occurred to me that
> QuantLib equivalent output might result from a properly formatted query.
>
>    The code which might be output from such a query, was the specific
> interest.
>
>     Are there any participants of FinGPT who might offer commentary?
>
>
>
> Cordially,
>
> S.F.Fogg
>
>
>
>       *★** San Francisco Fogg **★*
>
> *               Mercury Algorithmics*
>
> *               Fogg Spirits*
>
> *               ecurie Foggio*
>
>
>
>
>

Re: [Quantlib-users] Installation of QL in custom folder

[George S. <geo...@ao...>]

Thanks Luigi.

It happens that if I dont break the line using '\' i.e. put everything in one line only, everything work just fine and I am able to run examples in QL.

I dont have answer though why breaking line using '\' is failing.

Thanks and regards,






On Thursday, 26 October 2023 at 16:18:02 GMT+5:30, Luigi Ballabio <lui...@gm...> wrote: 





Hi,

> zsh: no such file or directory: --prefix=/Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL

the above seems to mean that the '--prefix=' was considered a part of the directory name instead of an option.

> configure: WARNING: you should use --build, --host, --target
> configure: WARNING: invalid host type:  

> checking build system type... config.sub: missing argument
> Try `config.sub --help' for more information.
> configure: error: /bin/sh ./config/config.sub   failed

and the above suggests something strange is going on in your system.  Just to check if the --prefix thing is the problem, may you remove it and see if configure works?

Luigi



On Thu, Oct 26, 2023 at 8:17 AM George Sebastine via QuantLib-users <qua...@li...> wrote:
> Hi,
> 
> Below is the output
> 
> % ls /Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL
> 
> BOOST            QuantLib-1.32        QuantLib-1.32.tar.gz
> 
> 
> BOOST is the folder where the Boost library is installed.
> 
> 
> 
> On Thursday, 26 October 2023 at 05:25:02 GMT+5:30, Jonathan Sweemer <sw...@gm...> wrote: 
> 
> 
> 
> 
> 
> What output do you see from `ls 
> /Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL`?
> 
> If it is recognized as a valid directory then unfortunately I’m not sure what the problem could be. 
> 
> 
> 2023년 10월 26일 (목) 07:05, George Sebastine <geo...@ao...>님이 작성:
>> Hi Jonathan,
>> 
>> I tried below
>> 
>> ./configure --with-boost-include='/Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL/BOOST/b2-4.10.1/include/' \            
>>             --prefix='/Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL' \
>>             CXXFLAGS='-O2 -stdlib=libc++ -mmacosx-version-min=10.9' \
>>             LDFLAGS='-stdlib=libc++ -mmacosx-version-min=10.9'
>> 
>> With this I got below error
>> 
>> configure: WARNING: you should use --build, --host, --target
>> 
>> configure: WARNING: invalid host type:  
>> 
>> checking for a BSD-compatible install... /usr/bin/install -c
>> 
>> checking whether build environment is sane... yes
>> 
>> checking for a race-free mkdir -p... ./config/install-sh -c -d
>> 
>> checking for gawk... no
>> 
>> checking for mawk... no
>> 
>> checking for nawk... no
>> 
>> checking for awk... awk
>> 
>> checking whether make sets $(MAKE)... yes
>> 
>> checking whether make supports nested variables... yes
>> 
>> checking whether UID '502' is supported by ustar format... yes
>> 
>> checking whether GID '20' is supported by ustar format... yes
>> 
>> checking how to create a ustar tar archive... gnutar
>> 
>> checking for gawk... (cached) awk
>> 
>> checking for -gcc... no
>> 
>> checking for gcc... gcc
>> 
>> checking whether the C compiler works... yes
>> 
>> checking for C compiler default output file name... a.out
>> 
>> checking for suffix of executables... 
>> 
>> checking whether we are cross compiling... no
>> 
>> checking for suffix of object files... o
>> 
>> checking whether the compiler supports GNU C... yes
>> 
>> checking whether gcc accepts -g... yes
>> 
>> checking for gcc option to enable C11 features... none needed
>> 
>> checking whether gcc understands -c and -o together... yes
>> 
>> checking whether make supports the include directive... yes (GNU style)
>> 
>> checking dependency style of gcc... gcc3
>> 
>> checking for -g++... no
>> 
>> checking for -c++... no
>> 
>> checking for -gpp... no
>> 
>> checking for -aCC... no
>> 
>> checking for -CC... no
>> 
>> checking for -cxx... no
>> 
>> checking for -cc++... no
>> 
>> checking for -cl.exe... no
>> 
>> checking for -FCC... no
>> 
>> checking for -KCC... no
>> 
>> checking for -RCC... no
>> 
>> checking for -xlC_r... no
>> 
>> checking for -xlC... no
>> 
>> checking for -clang++... no
>> 
>> checking for g++... g++
>> 
>> checking whether the compiler supports GNU C++... yes
>> 
>> checking whether g++ accepts -g... yes
>> 
>> checking for g++ option to enable C++11 features... none needed
>> 
>> checking dependency style of g++... gcc3
>> 
>> checking how to run the C preprocessor... gcc -E
>> 
>> checking build system type... config.sub: missing argument
>> 
>> Try `config.sub --help' for more information.
>> 
>> configure: error: /bin/sh ./config/config.sub   failed
>> 
>> zsh: no such file or directory: --prefix=/Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL
>> 
>> However one strange thing in above error message is the last line. I am pretty sure that the folder ' /Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL' exists!
>> 
>> I also have xcode installed in my computer.
>> 
>> Any workaround will be helpful.
>> 
>> Thanks,
>> 
>> 
>> 
>> On Thursday, 26 October 2023 at 03:09:48 GMT+5:30, Jonathan Sweemer <sw...@gm...> wrote: 
>> 
>> 
>> 
>> 
>> 
>> The ${HOME} in your prefix looks out of place. Can you try removing it?
>> 
>> If that doesn’t fix it then I would try escaping the ampersands in the directory name, or even better renaming the directory. 
>> 
>> By the way, the warning message means you can safely remove —with-boost-lib because it’s no longer required. 
>> 
>> 
>> 2023년 10월 26일 (목) 05:13, George Sebastine via QuantLib-users <qua...@li...>님이 작성:
>>> Hi,
>>> 
>>> I am following the instructions in https://www.quantlib.org/install/macosx.shtml to install QL in custom folder. So I tried following
>>> 
>>> ./configure --with-boost-include='/Users/DDD/Library/CloudStorage/Dropbox/AAA & BBB/Programs/QuantLib/QL_INSTALL/BOOST/b2-4.10.1/include/' \
>>> 
>>>             --with-boost-lib='/Users/DDD/Library/CloudStorage/Dropbox/AAA & BBB/Programs/QuantLib/QL_INSTALL/BOOST/b2-4.10.1/lib/' \
>>> 
>>>             --prefix=${HOME}'/Users/DDD/Library/CloudStorage/Dropbox/AAA & BBB/Programs/QuantLib/QL_INSTALL' \
>>> 
>>>             CXXFLAGS='-O2 -stdlib=libc++ -mmacosx-version-min=10.9' \
>>> 
>>>             LDFLAGS='-stdlib=libc++ -mmacosx-version-min=10.9' 
>>> 
>>> 
>>> However with this, I am getting below error
>>> 
>>> configure: WARNING: unrecognized options: --with-boost-lib
>>> 
>>> checking for a BSD-compatible install... /usr/bin/install -c
>>> 
>>> checking whether build environment is sane... configure: error: unsafe absolute working directory name
>>> 
>>> 
>>> I am using iMac with MacOS version 13.6 (22G120)
>>> 
>>> 
>>> Could you please guide what went wrong and the correct approach to install QL in some custom folder.
>>> 
>>> 
>>> Thanks for your time.
>>> 
>>> 
>>> _______________________________________________
>>> QuantLib-users mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>> 
>> 
> 
> 
> 
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
> 

[Quantlib-users] 2 factor rate model for CMBS OAS

[philippe h. <pha...@ma...>]

Working on an OAS model for CMBS whereby the slope of the yield curve (say 2’s-10’s) is a primary driver of certain cash flow speeds in the prepayment model. As a result, I would need a model that can decorrelate short tenors versus longer tenors. This points to at least a two factor model but probably more HJM/LMM type. Does QuantLib have any such model, and if so is there a calibration module for such model where I’d pass swaption vol grids? I’d be ok with ATM only although ability to model skews a plus.
I use the Python interface as an additional constraint.
Please LMK. 

Regards

Philippe Hatstadt
+1-203-252-0408

Re: [Quantlib-users] Installation of QL in custom folder

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

Hi,

> zsh: no such file or directory:
--prefix=/Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL

the above seems to mean that the '--prefix=' was considered a part of the
directory name instead of an option.

> configure: WARNING: you should use --build, --host, --target
> configure: WARNING: invalid host type:

> checking build system type... config.sub: missing argument
> Try `config.sub --help' for more information.
> configure: error: /bin/sh ./config/config.sub   failed

and the above suggests something strange is going on in your system.  Just
to check if the --prefix thing is the problem, may you remove it and see if
configure works?

Luigi



On Thu, Oct 26, 2023 at 8:17 AM George Sebastine via QuantLib-users <
qua...@li...> wrote:

> Hi,
>
> Below is the output
>
> % ls /Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL
>
> BOOST            QuantLib-1.32        QuantLib-1.32.tar.gz
>
>
> BOOST is the folder where the Boost library is installed.
>
>
>
> On Thursday, 26 October 2023 at 05:25:02 GMT+5:30, Jonathan Sweemer <
> sw...@gm...> wrote:
>
>
>
>
>
> What output do you see from `ls
> /Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL`?
>
> If it is recognized as a valid directory then unfortunately I’m not sure
> what the problem could be.
>
>
> 2023년 10월 26일 (목) 07:05, George Sebastine <geo...@ao...>님이 작성:
> > Hi Jonathan,
> >
> > I tried below
> >
> > ./configure
> --with-boost-include='/Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL/BOOST/b2-4.10.1/include/'
> \
> >
>             --prefix='/Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL' \
> >             CXXFLAGS='-O2 -stdlib=libc++ -mmacosx-version-min=10.9' \
> >             LDFLAGS='-stdlib=libc++ -mmacosx-version-min=10.9'
> >
> > With this I got below error
> >
> > configure: WARNING: you should use --build, --host, --target
> >
> > configure: WARNING: invalid host type:
> >
> > checking for a BSD-compatible install... /usr/bin/install -c
> >
> > checking whether build environment is sane... yes
> >
> > checking for a race-free mkdir -p... ./config/install-sh -c -d
> >
> > checking for gawk... no
> >
> > checking for mawk... no
> >
> > checking for nawk... no
> >
> > checking for awk... awk
> >
> > checking whether make sets $(MAKE)... yes
> >
> > checking whether make supports nested variables... yes
> >
> > checking whether UID '502' is supported by ustar format... yes
> >
> > checking whether GID '20' is supported by ustar format... yes
> >
> > checking how to create a ustar tar archive... gnutar
> >
> > checking for gawk... (cached) awk
> >
> > checking for -gcc... no
> >
> > checking for gcc... gcc
> >
> > checking whether the C compiler works... yes
> >
> > checking for C compiler default output file name... a.out
> >
> > checking for suffix of executables...
> >
> > checking whether we are cross compiling... no
> >
> > checking for suffix of object files... o
> >
> > checking whether the compiler supports GNU C... yes
> >
> > checking whether gcc accepts -g... yes
> >
> > checking for gcc option to enable C11 features... none needed
> >
> > checking whether gcc understands -c and -o together... yes
> >
> > checking whether make supports the include directive... yes (GNU style)
> >
> > checking dependency style of gcc... gcc3
> >
> > checking for -g++... no
> >
> > checking for -c++... no
> >
> > checking for -gpp... no
> >
> > checking for -aCC... no
> >
> > checking for -CC... no
> >
> > checking for -cxx... no
> >
> > checking for -cc++... no
> >
> > checking for -cl.exe... no
> >
> > checking for -FCC... no
> >
> > checking for -KCC... no
> >
> > checking for -RCC... no
> >
> > checking for -xlC_r... no
> >
> > checking for -xlC... no
> >
> > checking for -clang++... no
> >
> > checking for g++... g++
> >
> > checking whether the compiler supports GNU C++... yes
> >
> > checking whether g++ accepts -g... yes
> >
> > checking for g++ option to enable C++11 features... none needed
> >
> > checking dependency style of g++... gcc3
> >
> > checking how to run the C preprocessor... gcc -E
> >
> > checking build system type... config.sub: missing argument
> >
> > Try `config.sub --help' for more information.
> >
> > configure: error: /bin/sh ./config/config.sub   failed
> >
> > zsh: no such file or directory:
> --prefix=/Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL
> >
> > However one strange thing in above error message is the last line. I am
> pretty sure that the folder '
> /Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL' exists!
> >
> > I also have xcode installed in my computer.
> >
> > Any workaround will be helpful.
> >
> > Thanks,
> >
> >
> >
> > On Thursday, 26 October 2023 at 03:09:48 GMT+5:30, Jonathan Sweemer <
> sw...@gm...> wrote:
> >
> >
> >
> >
> >
> > The ${HOME} in your prefix looks out of place. Can you try removing it?
> >
> > If that doesn’t fix it then I would try escaping the ampersands in the
> directory name, or even better renaming the directory.
> >
> > By the way, the warning message means you can safely remove
> —with-boost-lib because it’s no longer required.
> >
> >
> > 2023년 10월 26일 (목) 05:13, George Sebastine via QuantLib-users <
> qua...@li...>님이 작성:
> >> Hi,
> >>
> >> I am following the instructions in
> https://www.quantlib.org/install/macosx.shtml to install QL in custom
> folder. So I tried following
> >>
> >> ./configure
> --with-boost-include='/Users/DDD/Library/CloudStorage/Dropbox/AAA &
> BBB/Programs/QuantLib/QL_INSTALL/BOOST/b2-4.10.1/include/' \
> >>
> >>
> --with-boost-lib='/Users/DDD/Library/CloudStorage/Dropbox/AAA &
> BBB/Programs/QuantLib/QL_INSTALL/BOOST/b2-4.10.1/lib/' \
> >>
> >>
> --prefix=${HOME}'/Users/DDD/Library/CloudStorage/Dropbox/AAA &
> BBB/Programs/QuantLib/QL_INSTALL' \
> >>
> >>             CXXFLAGS='-O2 -stdlib=libc++ -mmacosx-version-min=10.9' \
> >>
> >>             LDFLAGS='-stdlib=libc++ -mmacosx-version-min=10.9'
> >>
> >>
> >> However with this, I am getting below error
> >>
> >> configure: WARNING: unrecognized options: --with-boost-lib
> >>
> >> checking for a BSD-compatible install... /usr/bin/install -c
> >>
> >> checking whether build environment is sane... configure: error: unsafe
> absolute working directory name
> >>
> >>
> >> I am using iMac with MacOS version 13.6 (22G120)
> >>
> >>
> >> Could you please guide what went wrong and the correct approach to
> install QL in some custom folder.
> >>
> >>
> >> Thanks for your time.
> >>
> >>
> >> _______________________________________________
> >> QuantLib-users mailing list
> >> Qua...@li...
> >> https://lists.sourceforge.net/lists/listinfo/quantlib-users
> >>
> >
>
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Re: [Quantlib-users] Installation of QL in custom folder

[George S. <geo...@ao...>]

Hi,

Below is the output

% ls /Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL

BOOST            QuantLib-1.32        QuantLib-1.32.tar.gz


BOOST is the folder where the Boost library is installed.



On Thursday, 26 October 2023 at 05:25:02 GMT+5:30, Jonathan Sweemer <sw...@gm...> wrote: 





What output do you see from `ls 
/Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL`?

If it is recognized as a valid directory then unfortunately I’m not sure what the problem could be. 


2023년 10월 26일 (목) 07:05, George Sebastine <geo...@ao...>님이 작성:
> Hi Jonathan,
> 
> I tried below
> 
> ./configure --with-boost-include='/Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL/BOOST/b2-4.10.1/include/' \            
>             --prefix='/Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL' \
>             CXXFLAGS='-O2 -stdlib=libc++ -mmacosx-version-min=10.9' \
>             LDFLAGS='-stdlib=libc++ -mmacosx-version-min=10.9'
> 
> With this I got below error
> 
> configure: WARNING: you should use --build, --host, --target
> 
> configure: WARNING: invalid host type:  
> 
> checking for a BSD-compatible install... /usr/bin/install -c
> 
> checking whether build environment is sane... yes
> 
> checking for a race-free mkdir -p... ./config/install-sh -c -d
> 
> checking for gawk... no
> 
> checking for mawk... no
> 
> checking for nawk... no
> 
> checking for awk... awk
> 
> checking whether make sets $(MAKE)... yes
> 
> checking whether make supports nested variables... yes
> 
> checking whether UID '502' is supported by ustar format... yes
> 
> checking whether GID '20' is supported by ustar format... yes
> 
> checking how to create a ustar tar archive... gnutar
> 
> checking for gawk... (cached) awk
> 
> checking for -gcc... no
> 
> checking for gcc... gcc
> 
> checking whether the C compiler works... yes
> 
> checking for C compiler default output file name... a.out
> 
> checking for suffix of executables... 
> 
> checking whether we are cross compiling... no
> 
> checking for suffix of object files... o
> 
> checking whether the compiler supports GNU C... yes
> 
> checking whether gcc accepts -g... yes
> 
> checking for gcc option to enable C11 features... none needed
> 
> checking whether gcc understands -c and -o together... yes
> 
> checking whether make supports the include directive... yes (GNU style)
> 
> checking dependency style of gcc... gcc3
> 
> checking for -g++... no
> 
> checking for -c++... no
> 
> checking for -gpp... no
> 
> checking for -aCC... no
> 
> checking for -CC... no
> 
> checking for -cxx... no
> 
> checking for -cc++... no
> 
> checking for -cl.exe... no
> 
> checking for -FCC... no
> 
> checking for -KCC... no
> 
> checking for -RCC... no
> 
> checking for -xlC_r... no
> 
> checking for -xlC... no
> 
> checking for -clang++... no
> 
> checking for g++... g++
> 
> checking whether the compiler supports GNU C++... yes
> 
> checking whether g++ accepts -g... yes
> 
> checking for g++ option to enable C++11 features... none needed
> 
> checking dependency style of g++... gcc3
> 
> checking how to run the C preprocessor... gcc -E
> 
> checking build system type... config.sub: missing argument
> 
> Try `config.sub --help' for more information.
> 
> configure: error: /bin/sh ./config/config.sub   failed
> 
> zsh: no such file or directory: --prefix=/Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL
> 
> However one strange thing in above error message is the last line. I am pretty sure that the folder ' /Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL' exists!
> 
> I also have xcode installed in my computer.
> 
> Any workaround will be helpful.
> 
> Thanks,
> 
> 
> 
> On Thursday, 26 October 2023 at 03:09:48 GMT+5:30, Jonathan Sweemer <sw...@gm...> wrote: 
> 
> 
> 
> 
> 
> The ${HOME} in your prefix looks out of place. Can you try removing it?
> 
> If that doesn’t fix it then I would try escaping the ampersands in the directory name, or even better renaming the directory. 
> 
> By the way, the warning message means you can safely remove —with-boost-lib because it’s no longer required. 
> 
> 
> 2023년 10월 26일 (목) 05:13, George Sebastine via QuantLib-users <qua...@li...>님이 작성:
>> Hi,
>> 
>> I am following the instructions in https://www.quantlib.org/install/macosx.shtml to install QL in custom folder. So I tried following
>> 
>> ./configure --with-boost-include='/Users/DDD/Library/CloudStorage/Dropbox/AAA & BBB/Programs/QuantLib/QL_INSTALL/BOOST/b2-4.10.1/include/' \
>> 
>>             --with-boost-lib='/Users/DDD/Library/CloudStorage/Dropbox/AAA & BBB/Programs/QuantLib/QL_INSTALL/BOOST/b2-4.10.1/lib/' \
>> 
>>             --prefix=${HOME}'/Users/DDD/Library/CloudStorage/Dropbox/AAA & BBB/Programs/QuantLib/QL_INSTALL' \
>> 
>>             CXXFLAGS='-O2 -stdlib=libc++ -mmacosx-version-min=10.9' \
>> 
>>             LDFLAGS='-stdlib=libc++ -mmacosx-version-min=10.9' 
>> 
>> 
>> However with this, I am getting below error
>> 
>> configure: WARNING: unrecognized options: --with-boost-lib
>> 
>> checking for a BSD-compatible install... /usr/bin/install -c
>> 
>> checking whether build environment is sane... configure: error: unsafe absolute working directory name
>> 
>> 
>> I am using iMac with MacOS version 13.6 (22G120)
>> 
>> 
>> Could you please guide what went wrong and the correct approach to install QL in some custom folder.
>> 
>> 
>> Thanks for your time.
>> 
>> 
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>> 
> 

Re: [Quantlib-users] Has anyone tested ChatGPT or FinGPT for QuantLib functionality

[Ben W. <ben...@ma...>]

I am looking at this as a concept. Taken a bit of a look at FINGPT but from what I have seen it is just a training set for finetuning open source LLM’s on finance related q&a. Good for sentiment analysis, financial news etc.  Mostly done on smaller models. BBG GPT is closed source and from what I understand is not setting the world of fire…. They have basically held it back to keep researching. BBG are also quite famous for their vapor-were  - where they try and kill the incentive for innovation elsewhere.


GPT-4 is not bad at coding Quantlib with a bit of guidance – I built a pretty good wrapper for FX options in very quick time as well. GPT4 has a good broad base financial product understanding and can make inferences that get you a long way. But the real benefit of GPT4 is when you understand what you are asking and GPT does the grunt work in generating code. If you know what the answer should look like, then GPT4 is really useful. 

But I suspect the question that you are asking – can we use natural language to execute Quantlib code reliability and consistently. This part I have been doing a lot thinking about and requires chunk of infrastructure wrapping around Quantlib. Aside from a high level abstraction above the Quantlib layer, you will need a combination things good prompt engineer,  RAG (retrieval augmentation generation) and that requires vector databases and good documentation,  a finetuned model that understand the instructions to create a properly formatted query.  

 

One of the big  issues is that prompting and RAG is about providing context to  the query and the LLM’s that we can run locally have a limited context windows. To get a longer window, we need bigger models and now you are getting into a hardware issue. Multi-agent framework might be able to solve some of these issues. The other big idea that is not really fully explored is the idea of meta programming where the output from an LLM returns functions that can be executed – this is adding custom vectors to the output  that translate to function calls to do certain things. Right now GPT4 is the only platform really doing this, but is not great and not customisable. 

Regards

 

Ben

 

From: sanfranciscofogg <san...@gm...> 
Sent: Thursday, October 26, 2023 12:27 AM
To: Qua...@li...
Subject: [Quantlib-users] Has anyone tested ChatGPT or FinGPT for QuantLib functionality

 

All,

   After going through the FinGPT documentation, it occurred to me that QuantLib equivalent output might result from a properly formatted query.

   The code which might be output from such a query, was the specific interest.

    Are there any participants of FinGPT who might offer commentary?

 

Cordially,

S.F.Fogg

   

      ★ San Francisco Fogg ★    

               Mercury Algorithmics

               Fogg Spirits

               ecurie Foggio

               

   

Re: [Quantlib-users] How to handle stubs

[Ben W. <ben...@ma...>]

There are 2 ways – interpolating the fixing curve. Or you use the use the full fixing and have an accrued component.

This issue comes up with asset swaps as they typically have some kind of stub. Typically I would just interpolate the fixing curve, but I went through the process of reconciling BBG and they used the full fixing and adjusted the value with an accrued component. If you look at SWPM for an asset swap and on the floating leg you will see an accrued component – that is what that number is about. 

 

 

 

From: Giuseppe Trapani <tr...@gm...> 
Sent: Thursday, October 26, 2023 4:07 AM
To: Trent Maetzold <tr...@ma...>
Cc: QuantLib users <qua...@li...>
Subject: Re: [Quantlib-users] How to handle stubs

 

Hi Trent,

 

 

The fixing for the stub is left as a "pricing choice" since it's typically a contractual feature. 

 

For the Front stub you can use the the actual fixing of your index, or you can use a weighted one with a year-fraction based allocation (for example if you have a 5 months stub on a Euribor6M indexed contract you can do 1/3 of the Euribor3M + 2/3 of the Euribor6M).

 

For the Back stub I know of no direct way for weighted fixings, I assume you can do the same with with the forward rates from both curves and create an extra cashflow with that. 

 

Il Mer 25 Ott 2023, 15:16 Trent Maetzold <tr...@ma... <mailto:tr...@ma...> > ha scritto:

Seems I need a way to pass the fixing for the stub. I’m not seeing a way to do that directly. I’m using MakeVanillaSwap if it matters. Any help would be appreciated.

 

Sent from Proton Mail <https://proton.me/mail/home>  for iOS

 

 

On Tue, Oct 24, 2023 at 10:04, Trent Maetzold <tr...@ma... <mailto:On+Tue,+Oct+24,+2023+at+10:04,+Trent+Maetzold+%3C%3Ca+href=> > wrote:

Hi all,

 

I've been looking at CZK and market practice for the Ibors there seems to be to switch to one of the shorter dated Ibor Indexes when there is a stub (believe they are actually just interpolated and put into a quote in Bloomberg). The QuantLib model is spot on at pricing swaps except when there is a stub, since QuantLib is using my 3m or 6m index interpolation for the stub. What is the recommended way of handling this? It seems that a brute force way would be to build all the various indexes and then write a index chooser function to pick which one to use to forecast the fixings, but I'm wondering if there's a more straightforward way.

 

Thanks in advance,

Trent Maetzold

_______________________________________________
QuantLib-users mailing list
Qua...@li... <mailto:Qua...@li...> 
https://lists.sourceforge.net/lists/listinfo/quantlib-users

Re: [Quantlib-users] Installation of QL in custom folder

[Jonathan S. <sw...@gm...>]

What output do you see from `ls
/Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL`?

If it is recognized as a valid directory then unfortunately I’m not sure
what the problem could be.


2023년 10월 26일 (목) 07:05, George Sebastine <geo...@ao...>님이 작성:

> Hi Jonathan,
>
> I tried below
>
> ./configure
> --with-boost-include='/Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL/BOOST/b2-4.10.1/include/'
> \
>             --prefix='/Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL' \
>             CXXFLAGS='-O2 -stdlib=libc++ -mmacosx-version-min=10.9' \
>             LDFLAGS='-stdlib=libc++ -mmacosx-version-min=10.9'
>
> With this I got below error
>
> configure: WARNING: you should use --build, --host, --target
>
> configure: WARNING: invalid host type:
>
> checking for a BSD-compatible install... /usr/bin/install -c
>
> checking whether build environment is sane... yes
>
> checking for a race-free mkdir -p... ./config/install-sh -c -d
>
> checking for gawk... no
>
> checking for mawk... no
>
> checking for nawk... no
>
> checking for awk... awk
>
> checking whether make sets $(MAKE)... yes
>
> checking whether make supports nested variables... yes
>
> checking whether UID '502' is supported by ustar format... yes
>
> checking whether GID '20' is supported by ustar format... yes
>
> checking how to create a ustar tar archive... gnutar
>
> checking for gawk... (cached) awk
>
> checking for -gcc... no
>
> checking for gcc... gcc
>
> checking whether the C compiler works... yes
>
> checking for C compiler default output file name... a.out
>
> checking for suffix of executables...
>
> checking whether we are cross compiling... no
>
> checking for suffix of object files... o
>
> checking whether the compiler supports GNU C... yes
>
> checking whether gcc accepts -g... yes
>
> checking for gcc option to enable C11 features... none needed
>
> checking whether gcc understands -c and -o together... yes
>
> checking whether make supports the include directive... yes (GNU style)
>
> checking dependency style of gcc... gcc3
>
> checking for -g++... no
>
> checking for -c++... no
>
> checking for -gpp... no
>
> checking for -aCC... no
>
> checking for -CC... no
>
> checking for -cxx... no
>
> checking for -cc++... no
>
> checking for -cl.exe... no
>
> checking for -FCC... no
>
> checking for -KCC... no
>
> checking for -RCC... no
>
> checking for -xlC_r... no
>
> checking for -xlC... no
>
> checking for -clang++... no
>
> checking for g++... g++
>
> checking whether the compiler supports GNU C++... yes
>
> checking whether g++ accepts -g... yes
>
> checking for g++ option to enable C++11 features... none needed
>
> checking dependency style of g++... gcc3
>
> checking how to run the C preprocessor... gcc -E
>
> checking build system type... config.sub: missing argument
>
> Try `config.sub --help' for more information.
>
> configure: error: /bin/sh ./config/config.sub   failed
>
> zsh: no such file or directory:
> --prefix=/Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL
>
> However one strange thing in above error message is the last line. I am
> pretty sure that the folder '
> /Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL' exists!
>
> I also have xcode installed in my computer.
>
> Any workaround will be helpful.
>
> Thanks,
>
>
>
> On Thursday, 26 October 2023 at 03:09:48 GMT+5:30, Jonathan Sweemer <
> sw...@gm...> wrote:
>
>
>
>
>
> The ${HOME} in your prefix looks out of place. Can you try removing it?
>
> If that doesn’t fix it then I would try escaping the ampersands in the
> directory name, or even better renaming the directory.
>
> By the way, the warning message means you can safely remove
> —with-boost-lib because it’s no longer required.
>
>
> 2023년 10월 26일 (목) 05:13, George Sebastine via QuantLib-users <
> qua...@li...>님이 작성:
> > Hi,
> >
> > I am following the instructions in
> https://www.quantlib.org/install/macosx.shtml to install QL in custom
> folder. So I tried following
> >
> > ./configure
> --with-boost-include='/Users/DDD/Library/CloudStorage/Dropbox/AAA &
> BBB/Programs/QuantLib/QL_INSTALL/BOOST/b2-4.10.1/include/' \
> >
> >
> --with-boost-lib='/Users/DDD/Library/CloudStorage/Dropbox/AAA &
> BBB/Programs/QuantLib/QL_INSTALL/BOOST/b2-4.10.1/lib/' \
> >
> >             --prefix=${HOME}'/Users/DDD/Library/CloudStorage/Dropbox/AAA
> & BBB/Programs/QuantLib/QL_INSTALL' \
> >
> >             CXXFLAGS='-O2 -stdlib=libc++ -mmacosx-version-min=10.9' \
> >
> >             LDFLAGS='-stdlib=libc++ -mmacosx-version-min=10.9'
> >
> >
> > However with this, I am getting below error
> >
> > configure: WARNING: unrecognized options: --with-boost-lib
> >
> > checking for a BSD-compatible install... /usr/bin/install -c
> >
> > checking whether build environment is sane... configure: error: unsafe
> absolute working directory name
> >
> >
> > I am using iMac with MacOS version 13.6 (22G120)
> >
> >
> > Could you please guide what went wrong and the correct approach to
> install QL in some custom folder.
> >
> >
> > Thanks for your time.
> >
> >
> > _______________________________________________
> > QuantLib-users mailing list
> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-users
> >
>

Re: [Quantlib-users] How to handle stubs

[Mike D. <mik...@gm...>]

The way I would’ve handled it is to have a flag set when the swap is
created to signal that a stub is present then for each swap with flag
raised compute the proper stub rate and override the needed cash flow(s).
Maybe someone has a more elegant way of doing this.

If I remember correctly the cash flows are in the leg objects and there is
a fixed and float leg for each swap object. I’m working in Python though so
there may be more functionality available to you if working directly in
C++.


On Wed, Oct 25, 2023 at 16:56 Trent Maetzold <tr...@ma...> wrote:

> I haven’t tried to override the leg’s first cash flow, but that could
> work. Would prefer a way to input the fixing rate when the instrument is
> created so a trader can accomplish that. I guess I could write a function
> to build the swap too.
>
> Sent from Proton Mail <https://proton.me/mail/home> for iOS
>
>
> On Wed, Oct 25, 2023 at 12:21, Mike DelMedico <mik...@gm...
> <On+Wed,+Oct+25,+2023+at+12:21,+Mike+DelMedico+%3C%3Ca+href=>> wrote:
>
> He has to override the original cashflow though after the swap is created
> though correct? I think he’s asking how to efficiently do that.
>
> I would be curious as well.
>
> Thanks,
> Mike
>
>
> On Wed, Oct 25, 2023 at 12:10 Giuseppe Trapani <tr...@gm...> wrote:
>
>> Hi Trent,
>>
>>
>> The fixing for the stub is left as a "pricing choice" since it's
>> typically a contractual feature.
>>
>> For the Front stub you can use the the actual fixing of your index, or
>> you can use a weighted one with a year-fraction based allocation (for
>> example if you have a 5 months stub on a Euribor6M indexed contract you can
>> do 1/3 of the Euribor3M + 2/3 of the Euribor6M).
>>
>> For the Back stub I know of no direct way for weighted fixings, I assume
>> you can do the same with with the forward rates from both curves and create
>> an extra cashflow with that.
>>
>> Il Mer 25 Ott 2023, 15:16 Trent Maetzold <tr...@ma...> ha scritto:
>>
>>> Seems I need a way to pass the fixing for the stub. I’m not seeing a way
>>> to do that directly. I’m using MakeVanillaSwap if it matters. Any help
>>> would be appreciated.
>>>
>>> Sent from Proton Mail <https://proton.me/mail/home> for iOS
>>>
>>>
>>> On Tue, Oct 24, 2023 at 10:04, Trent Maetzold <tr...@ma...
>>> <On+Tue,+Oct+24,+2023+at+10:04,+Trent+Maetzold+%3C%3Ca+href=>> wrote:
>>>
>>> Hi all,
>>>
>>> I've been looking at CZK and market practice for the Ibors there seems
>>> to be to switch to one of the shorter dated Ibor Indexes when there is a
>>> stub (believe they are actually just interpolated and put into a quote in
>>> Bloomberg). The QuantLib model is spot on at pricing swaps except when
>>> there is a stub, since QuantLib is using my 3m or 6m index interpolation
>>> for the stub. What is the recommended way of handling this? It seems that a
>>> brute force way would be to build all the various indexes and then write a
>>> index chooser function to pick which one to use to forecast the fixings,
>>> but I'm wondering if there's a more straightforward way.
>>>
>>> Thanks in advance,
>>> Trent Maetzold
>>>
>>> _______________________________________________
>>> QuantLib-users mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>>
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>

Re: [Quantlib-users] Installation of QL in custom folder

[George S. <geo...@ao...>]

Hi Jonathan,

I tried below

./configure --with-boost-include='/Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL/BOOST/b2-4.10.1/include/' \            
            --prefix='/Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL' \
            CXXFLAGS='-O2 -stdlib=libc++ -mmacosx-version-min=10.9' \
            LDFLAGS='-stdlib=libc++ -mmacosx-version-min=10.9'

With this I got below error

configure: WARNING: you should use --build, --host, --target

configure: WARNING: invalid host type:  

checking for a BSD-compatible install... /usr/bin/install -c

checking whether build environment is sane... yes

checking for a race-free mkdir -p... ./config/install-sh -c -d

checking for gawk... no

checking for mawk... no

checking for nawk... no

checking for awk... awk

checking whether make sets $(MAKE)... yes

checking whether make supports nested variables... yes

checking whether UID '502' is supported by ustar format... yes

checking whether GID '20' is supported by ustar format... yes

checking how to create a ustar tar archive... gnutar

checking for gawk... (cached) awk

checking for -gcc... no

checking for gcc... gcc

checking whether the C compiler works... yes

checking for C compiler default output file name... a.out

checking for suffix of executables... 

checking whether we are cross compiling... no

checking for suffix of object files... o

checking whether the compiler supports GNU C... yes

checking whether gcc accepts -g... yes

checking for gcc option to enable C11 features... none needed

checking whether gcc understands -c and -o together... yes

checking whether make supports the include directive... yes (GNU style)

checking dependency style of gcc... gcc3

checking for -g++... no

checking for -c++... no

checking for -gpp... no

checking for -aCC... no

checking for -CC... no

checking for -cxx... no

checking for -cc++... no

checking for -cl.exe... no

checking for -FCC... no

checking for -KCC... no

checking for -RCC... no

checking for -xlC_r... no

checking for -xlC... no

checking for -clang++... no

checking for g++... g++

checking whether the compiler supports GNU C++... yes

checking whether g++ accepts -g... yes

checking for g++ option to enable C++11 features... none needed

checking dependency style of g++... gcc3

checking how to run the C preprocessor... gcc -E

checking build system type... config.sub: missing argument

Try `config.sub --help' for more information.

configure: error: /bin/sh ./config/config.sub   failed

zsh: no such file or directory: --prefix=/Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL

However one strange thing in above error message is the last line. I am pretty sure that the folder ' /Users/DDD/Library/CloudStorage/Dropbox/QL_INSTALL' exists!

I also have xcode installed in my computer.

Any workaround will be helpful.

Thanks,



On Thursday, 26 October 2023 at 03:09:48 GMT+5:30, Jonathan Sweemer <sw...@gm...> wrote: 





The ${HOME} in your prefix looks out of place. Can you try removing it?

If that doesn’t fix it then I would try escaping the ampersands in the directory name, or even better renaming the directory. 

By the way, the warning message means you can safely remove —with-boost-lib because it’s no longer required. 


2023년 10월 26일 (목) 05:13, George Sebastine via QuantLib-users <qua...@li...>님이 작성:
> Hi,
> 
> I am following the instructions in https://www.quantlib.org/install/macosx.shtml to install QL in custom folder. So I tried following
> 
> ./configure --with-boost-include='/Users/DDD/Library/CloudStorage/Dropbox/AAA & BBB/Programs/QuantLib/QL_INSTALL/BOOST/b2-4.10.1/include/' \
> 
>             --with-boost-lib='/Users/DDD/Library/CloudStorage/Dropbox/AAA & BBB/Programs/QuantLib/QL_INSTALL/BOOST/b2-4.10.1/lib/' \
> 
>             --prefix=${HOME}'/Users/DDD/Library/CloudStorage/Dropbox/AAA & BBB/Programs/QuantLib/QL_INSTALL' \
> 
>             CXXFLAGS='-O2 -stdlib=libc++ -mmacosx-version-min=10.9' \
> 
>             LDFLAGS='-stdlib=libc++ -mmacosx-version-min=10.9' 
> 
> 
> However with this, I am getting below error
> 
> configure: WARNING: unrecognized options: --with-boost-lib
> 
> checking for a BSD-compatible install... /usr/bin/install -c
> 
> checking whether build environment is sane... configure: error: unsafe absolute working directory name
> 
> 
> I am using iMac with MacOS version 13.6 (22G120)
> 
> 
> Could you please guide what went wrong and the correct approach to install QL in some custom folder.
> 
> 
> Thanks for your time.
> 
> 
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
> 

Re: [Quantlib-users] How to handle stubs

[Trent M. <tr...@ma...>]

I haven’t tried to override the leg’s first cash flow, but that could work. Would prefer a way to input the fixing rate when the instrument is created so a trader can accomplish that. I guess I could write a function to build the swap too.

Sent from [Proton Mail](https://proton.me/mail/home) for iOS

On Wed, Oct 25, 2023 at 12:21, Mike DelMedico <[mik...@gm...](mailto:On Wed, Oct 25, 2023 at 12:21, Mike DelMedico <<a href=)> wrote:

> He has to override the original cashflow though after the swap is created though correct? I think he’s asking how to efficiently do that.
>
> I would be curious as well.
>
> Thanks,
> Mike
>
> On Wed, Oct 25, 2023 at 12:10 Giuseppe Trapani <tr...@gm...> wrote:
>
>> Hi Trent,
>>
>> The fixing for the stub is left as a "pricing choice" since it's typically a contractual feature.
>>
>> For the Front stub you can use the the actual fixing of your index, or you can use a weighted one with a year-fraction based allocation (for example if you have a 5 months stub on a Euribor6M indexed contract you can do 1/3 of the Euribor3M + 2/3 of the Euribor6M).
>>
>> For the Back stub I know of no direct way for weighted fixings, I assume you can do the same with with the forward rates from both curves and create an extra cashflow with that.
>>
>> Il Mer 25 Ott 2023, 15:16 Trent Maetzold <tr...@ma...> ha scritto:
>>
>>> Seems I need a way to pass the fixing for the stub. I’m not seeing a way to do that directly. I’m using MakeVanillaSwap if it matters. Any help would be appreciated.
>>>
>>> Sent from [Proton Mail](https://proton.me/mail/home) for iOS
>>>
>>> On Tue, Oct 24, 2023 at 10:04, Trent Maetzold <[tr...@ma...](mailto:On+Tue,+Oct+24,+2023+at+10:04,+Trent+Maetzold+%3C%3Ca+href=)> wrote:
>>>
>>>> Hi all,
>>>>
>>>> I've been looking at CZK and market practice for the Ibors there seems to be to switch to one of the shorter dated Ibor Indexes when there is a stub (believe they are actually just interpolated and put into a quote in Bloomberg). The QuantLib model is spot on at pricing swaps except when there is a stub, since QuantLib is using my 3m or 6m index interpolation for the stub. What is the recommended way of handling this? It seems that a brute force way would be to build all the various indexes and then write a index chooser function to pick which one to use to forecast the fixings, but I'm wondering if there's a more straightforward way.
>>>>
>>>> Thanks in advance,
>>>> Trent Maetzold
>>>
>>> _______________________________________________
>>> QuantLib-users mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users