quantlib-users — QuantLib users discussion list

Re: [Quantlib-users] Building and installing QuantLib on Docker with aarch64 (Apple silicon)

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

Hi Marius,

This was reported on GitHub here:
https://github.com/lballabio/QuantLib/issues/1675

Your options are 1) download from the master branch instead of the 1.30
tag, 2) manually apply the fix linked in the issue above, or 3) install
using automake instead of CMake.

2023년 5월 25일 (목) 02:32, Marius Räsener <mar...@fi...>님이 작성:

> Hey everybody,
>
> I’m trying to get a working docker image to finally run some Python code
> which uses QuantLib.
>
> Dockerfile:
>
> ```
> FROM python:slim
>
> RUN apt-get update \
>     && apt-get install -y \
>     curl \
>     build-essential \
>     libboost-all-dev \
>     cmake \
>     ninja-build
>
> RUN curl -L
> https://github.com/lballabio/QuantLib/releases/download/QuantLib-v1.30/QuantLib-1.30.tar.gz
> --output QuantLib-1.30.tar.gz \
>     && tar xzf QuantLib-1.30.tar.gz \
>     && rm QuantLib-1.30.tar.gz
> ```
>
> then I just run an instance and continue manually (to run have a faster
> trial and error loop)
>
> docker build --ssh default . -f Dockerfile -t foo
>
> and
>
> docker run -it --rm foo bash
>
> inside the container I do the following:
>
> cd QuantLib-1.30/build
> cmake .. -G Ninja -D CMAKE_BUILD_TYPE=Release
> ninja
> ninja install
>
> Now, at `ninja install` I run into the following issue, and it seems I
> can’t find anything useful in the internetz.
>
> .
> .
> .
> -- Installing: /usr/local/include/ql/currencies/all.hpp
> -- Installing: /usr/local/include/ql/experimental/all.hpp
> CMake Error at ql/cmake_install.cmake:5243 (file):
>   file INSTALL cannot find
>   "/QuantLib-1.30/build/ql/experimental/amortizingbonds/all.hpp": No such
>   file or directory.
> Call Stack (most recent call first):
>   cmake_install.cmake:47 (include)
>
>
> FAILED: CMakeFiles/install.util
> cd /QuantLib-1.30/build && /usr/bin/cmake -P cmake_install.cmake
> ninja: build stopped: subcommand failed.
>
> Can someone point me into the right direction?
>
> Disclaimer: I actually work at this from a ops perspective and I don’t
> really know what QuantLib is doing or any other details about it :)
>
> Thx in advance and have a nice day,
> Marius
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

[Quantlib-users] Building and installing QuantLib on Docker with aarch64 (Apple silicon)

[Marius R. <mar...@fi...>]

Hey everybody,

I’m trying to get a working docker image to finally run some Python code which uses QuantLib.

Dockerfile:

```
FROM python:slim

RUN apt-get update \
    && apt-get install -y \
    curl \
    build-essential \
    libboost-all-dev \
    cmake \
    ninja-build

RUN curl -L https://github.com/lballabio/QuantLib/releases/download/QuantLib-v1.30/QuantLib-1.30.tar.gz --output QuantLib-1.30.tar.gz \
    && tar xzf QuantLib-1.30.tar.gz \
    && rm QuantLib-1.30.tar.gz 
```

then I just run an instance and continue manually (to run have a faster trial and error loop)

docker build --ssh default . -f Dockerfile -t foo

and 

docker run -it --rm foo bash

inside the container I do the following:

cd QuantLib-1.30/build
cmake .. -G Ninja -D CMAKE_BUILD_TYPE=Release
ninja
ninja install

Now, at `ninja install` I run into the following issue, and it seems I can’t find anything useful in the internetz.

.
.
.
-- Installing: /usr/local/include/ql/currencies/all.hpp
-- Installing: /usr/local/include/ql/experimental/all.hpp
CMake Error at ql/cmake_install.cmake:5243 (file):
  file INSTALL cannot find
  "/QuantLib-1.30/build/ql/experimental/amortizingbonds/all.hpp": No such
  file or directory.
Call Stack (most recent call first):
  cmake_install.cmake:47 (include)


FAILED: CMakeFiles/install.util
cd /QuantLib-1.30/build && /usr/bin/cmake -P cmake_install.cmake
ninja: build stopped: subcommand failed.

Can someone point me into the right direction?

Disclaimer: I actually work at this from a ops perspective and I don’t really know what QuantLib is doing or any other details about it :)

Thx in advance and have a nice day,
Marius

Re: [Quantlib-users] including problem!

[Donghee S. <dh7...@gm...>]

Dear Luigi,
Thanks for your reply!  I will use your valuable QuantLib faithfully!!
Thanks again!
Donghee

On Mon, May 22, 2023 at 10:30 PM Luigi Ballabio <lui...@gm...>
wrote:

> Hello Donghee,
>     hard to say without seeing exactly how you modified the library
> files.  My suggestion is to use the QuantLib sources unchanged (because
> they're known to build correctly) and to either qualify types with the
> QuantLib namespace in your application or use "using namespace QuantLib".
> This will also help you when you upgrade the version of QuantLib you're
> using, since you won't have to modify the namespace all over again.
>
> Hope this helps,
>     Luigi
>
>
> On Tue, May 16, 2023 at 1:57 AM Donghee Shim <dh7...@gm...> wrote:
>
>> Dear all of experts!
>>
>> My previous colleague had developed some programs for evaluating
>> non-standard financial products (not included in QuantLib) using QuantLib
>> with a test-suite approach! He named these code as analyticresolver. I’m
>> trying to include a simple fixedratebond code to this analyticresolver for
>> my training exercise. When I built with Cmake , errors (Days, Months, Years
>> are not declared) occurred at both instruments/bond.cpp and
>> time/daycounter/actualactual.cpp. When I included time/all.hpp at
>> corresponding instruments/bond.hpp and time/daycounter/actualactual.hpp,
>> the same errors occurred. (I changed the namespace QuantLib as
>> anlyticsolver for every code files.)
>>
>>
>>
>> To eliminate the error stating that the variables were not declared, I
>> resorted to a workaround by modifying Days, Months, and Years to 2, 4, and
>> 8 respectively, and completed the library build.
>>
>> My application fixedratebond.cpp including the corresponding header files
>> bond.hpp and actualactual.hpp files, also using the builted library at link
>> phase, runs successfully.
>>
>>
>>
>> But these ridiculous modification are not normal, How can I fix this
>> problem?
>>
>>
>>
>> Thanks!!!
>>
>>
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>

Re: [Quantlib-users] Yield calculation - derivative for Newton method

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

Hello Lukasz,
    I think you're probably right, the derivative should include that
factor.  This said, as Francois mentioned, the "can't bracket" message is
probably raised before the solver starts using the derivative; it's still
checking that the minimum and maximum value for the yield bracket the
solution, that is, that one gives a negative error and the other gives a
positive one, otherwise the solution can't be found in that range.  We'd
have the same message even if we used a solver (e.g. Brent) that doesn't
require the derivative.

I guess the workaround in C++ would be to use the overload of the
BondFunctions::yield method that takes an explicit solver (so you can avoid
Newton) and to pass an explicit xMin and xMax so your range can extend over
1376%.

Would you be so kind as to open an issue on GitHub so we can check and fix
the derivative?  Thanks!

Luigi


On Mon, May 22, 2023 at 3:41 PM Lukasz Skowronek <
luk...@su...> wrote:

> Hi,
>
> Could anyone here comment on the non-inclusion of
>
> * CashFlows.npv(bond.cashflows(),...
>
> in the derivative of the npv function, as I described
>
> (in lenght, I admit) in my email some time ago?
>
> QuantLib does not seem to include this factor,
>
> but for Newton method to work for my example (independently),
>
> I needed to define the derivative with the additional
>
> CashFlows.npv factor included.
>
> Am I missing some important point or reading QuantLib
>
> code incorrectly?
>
> Best regards,
>
> Łukasz
>
>
> On 8.05.2023 10:48, Lukasz Skowronek wrote:
>
> *Warning: This message originated from outside the organization. Use
> caution when following links or opening attachments.*
>
> Hi,
>
> My name is Lukasz and I'm currently working on a small summary screen for
> various bonds
>
> that uses QuantLib under the hood.
>
> I got an error report from our testers for the following inputs:
> request.CouponPaymentsPerYear = 1;
> request.Coupon = 0.0;
> request.RedemptionPrice = 100.0;
> request.CleanPrice = 1376.0;
> request.FaceValue = 1000.0;
>
> ...
> request.ExpirationDate = new DateTime(2024, 6, 27);
> request.InvestmentDate = new DateTime(2023, 2, 9);
>
> In short, this input corresponds to a zero coupon bond priced extremely
> high (at 1376%).
>
> The error I'm getting says the solver cannot bracket the root of the
> target function.
>
> After shifting the dot in the clean price by one decimal place, I get the
> code to work
>
> as expected. Still, even if the testers did not intend to challenge my
> code with
>
> bonds priced at a 85% markup (that is, -85% yield), I would expect the
> solver to
>
> find the root for the original input.
>
> Digging into QuantLib's source code, I traced a few pieces related to how
> yield
>
> calculation is really done:
>
> In *bondfunctions.cpp (line 360):*
>
> Rate BondFunctions::yield(const Bond& bond, ...
>
> in *bondfunctions.hpp (line 160):*
>
> static Rate yield(const Solver& solver, ...
>
> in *cashflows.hpp (line 276):*
>
> static Rate yield(const Solver& solver, ...
>
>             IrrFinder objFunction(leg, npv, dayCounter, compounding,
>                                   frequency, includeSettlementDateFlows,
>                                   settlementDate, npvDate);
>             return solver.solve(objFunction, accuracy, guess, guess/10.0);
>
> and finally, in *cashflows.cpp (line 728):*
>
> CashFlows::IrrFinder::IrrFinder(const Leg& leg, ...
>
>     Real CashFlows::IrrFinder::operator()(Rate y) const {
>         InterestRate yield(y, dayCounter_, compounding_, frequency_);
>         Real *NPV = CashFlows::npv(leg_, yield,*
> *                                  includeSettlementDateFlows_,*
> *                                  settlementDate_, npvDate_);*
>         return *npv_ - NPV*;
>     }
>
>     Real CashFlows::IrrFinder::derivative(Rate y) const {
>         InterestRate yield(y, dayCounter_, compounding_, frequency_);
>         return *modifiedDuration(leg_, yield,*
> *                                includeSettlementDateFlows_,*
> *                                settlementDate_, npvDate_)*;
>     }
>
> Is this target function + derivative correct?
>
> What worked on my side, when simulating the Newton method for finding the
> root
>
> separately, was:
> double f(double rate) {
> InterestRate ir = new InterestRate(rate, dayCounter, Compounding.
> Compounded, frequency);
> return (cleanPrice + bond.accruedAmount(investmentDate)) * bond.notional(
> investmentDate) / 100.0 -
> CashFlows.npv(bond.cashflows(), ir, false, investmentDate, investmentDate);
>
> }
> // <-- target function
> double d(double rate) {
> InterestRate ir = new InterestRate(rate, dayCounter, Compounding.
> Compounded, frequency);
> return CashFlows.modifiedDuration(bond.cashflows(), ir, false,
> investmentDate, investmentDate) * CashFlows.npv(bond.cashflows(), ir,
> false, investmentDate, investmentDate);
> }
> // <-- derivative
> (this is C# code that has QLNet as dependency)
>
> Hence, there is an additional multiplication by CashFlows.npv(..., which
> plays well with the
>
> definition of modified duration as -dPdy / P
>
> There does not seem to be a similar factor in QuantLib.
>
> Am I mistaken? Is the multiplication by NPV in the derivative handled some
> other way?
>
> Best regards,
>
> Lukasz Skowronek
>
>
>
>
> _______________________________________________
> QuantLib-users mailing lis...@li...://lists.sourceforge.net/lists/listinfo/quantlib-users
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Re: [Quantlib-users] Yield calculation - derivative for Newton method

[Lukasz S. <luk...@su...>]

Hi,

Could anyone here comment on the non-inclusion of

*CashFlows.npv(bond.cashflows(),...

in the derivative of the npv function, as I described

(in lenght, I admit) in my email some time ago?

QuantLib does not seem to include this factor,

but for Newton method to work for my example (independently),

I needed to define the derivative with the additional

CashFlows.npv factor included.

Am I missing some important point or reading QuantLib

code incorrectly?

Best regards,

Łukasz


On 8.05.2023 10:48, Lukasz Skowronek wrote:
>
> *Warning: This message originated from outside the organization. Use 
> caution when following links or opening attachments.*
>
> Hi,
>
> My name is Lukasz and I'm currently working on a small summary screen 
> for various bonds
>
> that uses QuantLib under the hood.
>
> I got an error report from our testers for the following inputs:
>
> request.CouponPaymentsPerYear=1;
> request.Coupon=0.0;
> request.RedemptionPrice=100.0;
> request.CleanPrice=1376.0;
> request.FaceValue=1000.0;
>
> ...
>
> request.ExpirationDate=newDateTime(2024, 6, 27);
> request.InvestmentDate=newDateTime(2023, 2, 9);
>
> In short, this input corresponds to a zero coupon bond priced 
> extremely high (at 1376%).
>
> The error I'm getting says the solver cannot bracket the root of the 
> target function.
>
> After shifting the dot in the clean price by one decimal place, I get 
> the code to work
>
> as expected. Still, even if the testers did not intend to challenge my 
> code with
>
> bonds priced at a 85% markup (that is, -85% yield), I would expect the 
> solver to
>
> find the root for the original input.
>
> Digging into QuantLib's source code, I traced a few pieces related to 
> how yield
>
> calculation is really done:
>
> In *bondfunctions.cpp (line 360):*
>
> Rate BondFunctions::yield(const Bond& bond, ...
>
> in *bondfunctions.hpp (line 160):*
>
> static Rate yield(const Solver& solver, ...
>
> in *cashflows.hpp (line 276):*
>
> static Rate yield(const Solver& solver, ...
>
>             IrrFinder objFunction(leg, npv, dayCounter, compounding,
>                                   frequency, includeSettlementDateFlows,
>                                   settlementDate, npvDate);
>             return solver.solve(objFunction, accuracy, guess, guess/10.0);
>
> and finally, in *cashflows.cpp (line 728):*
>
> CashFlows::IrrFinder::IrrFinder(const Leg& leg, ...
>
>     Real CashFlows::IrrFinder::operator()(Rate y) const {
>         InterestRate yield(y, dayCounter_, compounding_, frequency_);
>         Real *NPV = CashFlows::npv(leg_, yield,**
> **includeSettlementDateFlows_,**
> **                                  settlementDate_, npvDate_);*
>         return *npv_ - NPV*;
>     }
>
>     Real CashFlows::IrrFinder::derivative(Rate y) const {
>         InterestRate yield(y, dayCounter_, compounding_, frequency_);
>         return *modifiedDuration(leg_, yield,**
> **includeSettlementDateFlows_,**
> **                                settlementDate_, npvDate_)*;
>     }
>
> Is this target function + derivative correct?
>
> What worked on my side, when simulating the Newton method for finding 
> the root
>
> separately, was:
>
> doublef(doublerate) {
> InterestRateir=newInterestRate(rate, dayCounter, 
> Compounding.Compounded, frequency);
> return(cleanPrice+bond.accruedAmount(investmentDate)) 
> *bond.notional(investmentDate) /100.0-
> CashFlows.npv(bond.cashflows(), ir, false, investmentDate, 
> investmentDate);
> }
> // <-- target function
> doubled(doublerate) {
> InterestRateir=newInterestRate(rate, dayCounter, 
> Compounding.Compounded, frequency);
> returnCashFlows.modifiedDuration(bond.cashflows(), ir, false, 
> investmentDate, investmentDate) *CashFlows.npv(bond.cashflows(), ir, 
> false, investmentDate, investmentDate);
> }
> // <-- derivative
> (this is C# code that has QLNet as dependency)
>
> Hence, there is an additional multiplication by CashFlows.npv(..., 
> which plays well with the
>
> definition of modified duration as -dPdy / P
>
> There does not seem to be a similar factor in QuantLib.
>
> Am I mistaken? Is the multiplication by NPV in the derivative handled 
> some other way?
>
> Best regards,
>
> Lukasz Skowronek
>
>
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

Re: [Quantlib-users] including problem!

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

Hello Donghee,
    hard to say without seeing exactly how you modified the library files.
My suggestion is to use the QuantLib sources unchanged (because they're
known to build correctly) and to either qualify types with the QuantLib
namespace in your application or use "using namespace QuantLib".  This will
also help you when you upgrade the version of QuantLib you're using, since
you won't have to modify the namespace all over again.

Hope this helps,
    Luigi


On Tue, May 16, 2023 at 1:57 AM Donghee Shim <dh7...@gm...> wrote:

> Dear all of experts!
>
> My previous colleague had developed some programs for evaluating
> non-standard financial products (not included in QuantLib) using QuantLib
> with a test-suite approach! He named these code as analyticresolver. I’m
> trying to include a simple fixedratebond code to this analyticresolver for
> my training exercise. When I built with Cmake , errors (Days, Months, Years
> are not declared) occurred at both instruments/bond.cpp and
> time/daycounter/actualactual.cpp. When I included time/all.hpp at
> corresponding instruments/bond.hpp and time/daycounter/actualactual.hpp,
> the same errors occurred. (I changed the namespace QuantLib as
> anlyticsolver for every code files.)
>
>
>
> To eliminate the error stating that the variables were not declared, I
> resorted to a workaround by modifying Days, Months, and Years to 2, 4, and
> 8 respectively, and completed the library build.
>
> My application fixedratebond.cpp including the corresponding header files
> bond.hpp and actualactual.hpp files, also using the builted library at link
> phase, runs successfully.
>
>
>
> But these ridiculous modification are not normal, How can I fix this
> problem?
>
>
>
> Thanks!!!
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Re: [Quantlib-users] FixedRateBond (BulletLoan)

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

Hello Dagur,
    you probably need a more recent version of QuantLib; that check was
removed in version 1.29.  In the meantime, I wrote some actual code in
Python and I published it at <
https://www.implementingquantlib.com/2023/05/pik-bonds.html>.

Luigi


On Fri, May 19, 2023 at 4:00 PM Dagur Gunnarsson <da...@ko...> wrote:

> Thank you for your reply,
>
> I still get an error due to the increasing notionals
>
> terminate called after throwing an instance of 'QuantLib::Error'
>   what():  increasing coupon notionals
> Aborted (core dumped)
>
> I use the  bond = new Bond(0, calendar_, interestFromDate_, coupons);
> Where coupons is QuantLib::Leg coupons; and the coupons added as in the
> pseudo-code example.
>
> regards
> Dagur G
>
> On Thu, Apr 27, 2023 at 3:42 PM Luigi Ballabio <lui...@gm...>
> wrote:
>
>> For a fixed-rate bullet bond, I'd try building the coupons manually, as
>> in (pseudo-code, not tested, take with a grain of salt):
>>
>>     Leg coupons;
>>     coupons.push_back(ext::make_shared<FixedRateCoupon>(date[0], 100,
>> ...));
>>     for (each other coupon) {
>>         const auto& last = coupons.back();
>>         coupons.push_back(ext::make_shared<FixedRateCoupon>(date[1],
>> last->nominal() + last->amount(), ...)
>>     }
>>
>> once you have all of them, you can pass them to the proper Bond
>> constructor:
>>
>>     auto bond = ext::make_shared<Bond>(settlementDays, calendar,
>> issueDate, coupons);
>>
>> Due to the increasing notionals, the constructor will add negative
>> payments at each coupon date that represent adding amount to the notional
>> and will cancel out the coupon payments.
>>
>> Let me know if this works for you.
>>
>> Luigi
>>
>>
>>
>> On Mon, Apr 17, 2023 at 5:20 PM Dagur Gunnarsson <da...@ko...> wrote:
>>
>>> Hello,
>>>
>>> Is there any way to define a BulletLoan, Bond in QuantLib such that the
>>> coupon payments add to the notional each period?
>>>
>>> First the notional is 100.0
>>> then 103.5 .etc. until maturity.
>>>
>>> -Dagur
>>> _______________________________________________
>>> QuantLib-users mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>>
>>

Re: [Quantlib-users] FixedRateBond (BulletLoan)

[Dagur G. <da...@ko...>]

Thank you for your reply,

I still get an error due to the increasing notionals

terminate called after throwing an instance of 'QuantLib::Error'
  what():  increasing coupon notionals
Aborted (core dumped)

I use the  bond = new Bond(0, calendar_, interestFromDate_, coupons);
Where coupons is QuantLib::Leg coupons; and the coupons added as in the
pseudo-code example.

regards
Dagur G

On Thu, Apr 27, 2023 at 3:42 PM Luigi Ballabio <lui...@gm...>
wrote:

> For a fixed-rate bullet bond, I'd try building the coupons manually, as in
> (pseudo-code, not tested, take with a grain of salt):
>
>     Leg coupons;
>     coupons.push_back(ext::make_shared<FixedRateCoupon>(date[0], 100,
> ...));
>     for (each other coupon) {
>         const auto& last = coupons.back();
>         coupons.push_back(ext::make_shared<FixedRateCoupon>(date[1],
> last->nominal() + last->amount(), ...)
>     }
>
> once you have all of them, you can pass them to the proper Bond
> constructor:
>
>     auto bond = ext::make_shared<Bond>(settlementDays, calendar,
> issueDate, coupons);
>
> Due to the increasing notionals, the constructor will add negative
> payments at each coupon date that represent adding amount to the notional
> and will cancel out the coupon payments.
>
> Let me know if this works for you.
>
> Luigi
>
>
>
> On Mon, Apr 17, 2023 at 5:20 PM Dagur Gunnarsson <da...@ko...> wrote:
>
>> Hello,
>>
>> Is there any way to define a BulletLoan, Bond in QuantLib such that the
>> coupon payments add to the notional each period?
>>
>> First the notional is 100.0
>> then 103.5 .etc. until maturity.
>>
>> -Dagur
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>

Re: [Quantlib-users] Problems of include

[Cay C. O. <cay...@fr...>]

Dear Shim,

Thanks for using QuantLib.

So it is common wisdom that you should never change a dependent library, 
unless - on the very rare occasion - you are forced to.

I don't think this is the case here.

So please don't change the QuantLib code (benefitting you as well as 
your employer), and maybe start reading one book about basic programming 
practices. Or take a course. Or watch a YouTube video. Or...

It certainly wouldn't hurt.


Best regards,


Cay


On 15.05.23 17:05, Donghee Shim wrote:
>
> Dear all of experts!
>
> My previous colleague had developed some programs for evaluating 
> non-standard financial products (not included in QuantLib) using 
> QuantLib with a test-suite approach! He named these code as 
> analyticresolver. I’m trying to include a simple fixedratebond code to 
> this analyticresolver for my training exercise. When I built with 
> Cmake , errors (Days, Months, Years are not declared) occurred at both 
> instruments/bond.cpp and time/daycounter/actualactual.cpp. When I 
> included time/all.hpp at corresponding instruments/bond.hpp and 
> time/daycounter/actualactual.hpp, the same errors occurred. (I changed 
> the namespace QuantLib as anlyticsolver for every code files.)
>
> How can I fix this problem?
>
> Thanks!!!
>

Re: [Quantlib-users] Problems of include

[Donghee S. <dh7...@gm...>]

Dear Sweemer,
Thanks for your kind comments.

The errors occurred during the Built of the library.
(In this built, both bond.cpp and actualactual.cpp must be included)


To eliminate the error stating that the variables were not declared, I
resorted to a workaround by modifying Days, Months, and Years to 2, 4, and
8 respectively, and completed the library build.

And my application fixedratebond.cpp including the corresponding header
files bond.hpp and actualactual.hpp files, using the linked library,  runs
successfully.

But these modification is not normal, How can I fix this problem?

Thanks again!!!

Best Regards!

Donghee Shim

On Tue, May 16, 2023 at 5:52 AM Jonathan Sweemer <sw...@gm...> wrote:

> Hi Donghee,
>
> Are you modifying the QuantLib source files directly? If so, then that’s
> not the usual way to use the library. Usually what you should do is build
> the library first, and then use that in your project by including the
> headers and linking with it.
>
> If that’s not what you’re doing then I’ll need to see the complete build
> log to provide more help.
>
> By the way, did you know that QuantLib is also available in python? It
> might be faster to prototype your training exercise in python if you
> haven’t tried yet.
>
> 2023년 5월 16일 (화) 00:08, Donghee Shim <dh7...@gm...>님이 작성:
>
>> Dear all of experts!
>>
>> My previous colleague had developed some programs for evaluating
>> non-standard financial products (not included in QuantLib) using QuantLib
>> with a test-suite approach! He named these code as analyticresolver. I’m
>> trying to include a simple fixedratebond code to this analyticresolver for
>> my training exercise. When I built with Cmake , errors (Days, Months, Years
>> are not declared) occurred at both instruments/bond.cpp and
>> time/daycounter/actualactual.cpp. When I included time/all.hpp at
>> corresponding instruments/bond.hpp and time/daycounter/actualactual.hpp,
>> the same errors occurred. (I changed the namespace QuantLib as
>> anlyticsolver for every code files.)
>>
>> How can I fix this problem?
>>
>> Thanks!!!
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>

[Quantlib-users] including problem!

[Donghee S. <dh7...@gm...>]

Dear all of experts!

My previous colleague had developed some programs for evaluating
non-standard financial products (not included in QuantLib) using QuantLib
with a test-suite approach! He named these code as analyticresolver. I’m
trying to include a simple fixedratebond code to this analyticresolver for
my training exercise. When I built with Cmake , errors (Days, Months, Years
are not declared) occurred at both instruments/bond.cpp and
time/daycounter/actualactual.cpp. When I included time/all.hpp at
corresponding instruments/bond.hpp and time/daycounter/actualactual.hpp,
the same errors occurred. (I changed the namespace QuantLib as
anlyticsolver for every code files.)



To eliminate the error stating that the variables were not declared, I
resorted to a workaround by modifying Days, Months, and Years to 2, 4, and
8 respectively, and completed the library build.

My application fixedratebond.cpp including the corresponding header files
bond.hpp and actualactual.hpp files, also using the builted library at link
phase, runs successfully.



But these ridiculous modification are not normal, How can I fix this
problem?



Thanks!!!

Re: [Quantlib-users] Problems of include

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

Hi Donghee,

Are you modifying the QuantLib source files directly? If so, then that’s
not the usual way to use the library. Usually what you should do is build
the library first, and then use that in your project by including the
headers and linking with it.

If that’s not what you’re doing then I’ll need to see the complete build
log to provide more help.

By the way, did you know that QuantLib is also available in python? It
might be faster to prototype your training exercise in python if you
haven’t tried yet.

2023년 5월 16일 (화) 00:08, Donghee Shim <dh7...@gm...>님이 작성:

> Dear all of experts!
>
> My previous colleague had developed some programs for evaluating
> non-standard financial products (not included in QuantLib) using QuantLib
> with a test-suite approach! He named these code as analyticresolver. I’m
> trying to include a simple fixedratebond code to this analyticresolver for
> my training exercise. When I built with Cmake , errors (Days, Months, Years
> are not declared) occurred at both instruments/bond.cpp and
> time/daycounter/actualactual.cpp. When I included time/all.hpp at
> corresponding instruments/bond.hpp and time/daycounter/actualactual.hpp,
> the same errors occurred. (I changed the namespace QuantLib as
> anlyticsolver for every code files.)
>
> How can I fix this problem?
>
> Thanks!!!
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

[Quantlib-users] Problems of include

[Donghee S. <dh7...@gm...>]

Dear all of experts!

My previous colleague had developed some programs for evaluating
non-standard financial products (not included in QuantLib) using QuantLib
with a test-suite approach! He named these code as analyticresolver. I’m
trying to include a simple fixedratebond code to this analyticresolver for
my training exercise. When I built with Cmake , errors (Days, Months, Years
are not declared) occurred at both instruments/bond.cpp and
time/daycounter/actualactual.cpp. When I included time/all.hpp at
corresponding instruments/bond.hpp and time/daycounter/actualactual.hpp,
the same errors occurred. (I changed the namespace QuantLib as
anlyticsolver for every code files.)

How can I fix this problem?

Thanks!!!

Re: [Quantlib-users] RFR IR Options

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

Hi Kostas,

I believe there is no support in QuantLib as of now. There is an open
dev branch for swaptions.

We have added support for RFR caps and swaptions in ORE, following the
approach in Lyashenko / Mercurio.

https://github.com/OpenSourceRisk/Engine/blob/master/QuantExt/qle/cashflows/blackovernightindexedcouponpricer.cpp#L58

For the time being you might look into using the ORE library
"QuantExt" in conjunction with our ORE QuantLib fork. I am aware that
both the additional library and the modified QuantLib fork are not the
ideal solution and we aim at consolidating everything into the
original QuantLib, but I fear it is not realistic that this happens in
the short term.

BTW help from the community is greatly appreciated here, as we see it
in the case of RFR swaptions. However we want to make sure that both
QuantLib and ORE work on the new code after such a migration, i.e. the
task is not done when the functionality is added to QuantLib, it has
to be removed from QuantExt and dependencies in the other ORE
libraries have to be updated as well.

Thank you
Peter

On Wed, 10 May 2023 at 14:02, kmylonakis via QuantLib-users
<qua...@li...> wrote:
>
> Hello dear community,
>
> Excuse me if the below is very naive, but I am a not so experienced QuantLib user.
>
> Based on my understanding the library can't handle at the moment RFR Caps/Floors and swaptions. Or am I missing something? I am searching if the decay function is applied to IR options when RFR rates are as underlying i.e. an adjustment similar to the one suggested by Lyashenko & Mercurio 2019.
>
> Thank you very much in advance,
> Kostas
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Quantlib-users] RFR IR Options

[kmylonakis <kmy...@pr...>]

Hello dear community,

Excuse me if the below is very naive, but I am a not so experienced QuantLib user.

Based on my understanding the library can't handle at the moment RFR Caps/Floors and swaptions. Or am I missing something? I am searching if the decay function is applied to IR options when RFR rates are as underlying i.e. an adjustment similar to the one suggested by Lyashenko & Mercurio 2019.

Thank you very much in advance,
Kostas

[Quantlib-users] FixedRateBondHelper

[Capt'n V. <vr...@ho...>]

<meta http-equiv="Content-Type" content="text/html; charset=utf-8"><div dir="auto"><div class="gmail_quote" dir="auto"><blockquote class="quote" style="margin:0 0 0 .8ex;border-left:1px #ccc solid;padding-left:1ex"><font face="Calibri" size="2"><span style="font-size:11pt"><div>Hi All,</div>
<div>&nbsp;</div>
<div>I’m trying to construct an yield curve using <a href="https://quantlib-python-docs.readthedocs.io/en/latest/thelpers.html?highlight=FixedRateBondHelper"><font color="blue"><u>FixedRateBondHelper</u></font></a> on real US treasury data and following this
example <a href="https://quant.stackexchange.com/questions/54526/parameter-in-fixedratebondhelper-of-quantlib"><font color="blue"><u>https://quant.stackexchange.com/questions/54526/parameter-in-fixedratebondhelper-of-quantlib</u></font></a>. Here is my reproducible
code: </div>
<div>&nbsp;</div>
<div>`from QuantLib import *</div>
<div>from pandas import DataFrame</div>
<div>import numpy as np</div>
<div>import matplotlib.pyplot as plt</div>
<div>&nbsp;</div>
<div>calc_date = ql.Date(5, 5, 2023)</div>
<div>Settings.instance().evaluationDate = calc_date</div>
<div>&nbsp;</div>
<div>calendar = UnitedStates(UnitedStates.GovernmentBond)</div>
<div>business_convention = Unadjusted</div>
<div>day_count = ql.ActualActual(ql.ActualActual.Bond)</div>
<div>end_of_month = True</div>
<div>settlement_days = 1</div>
<div>face_amount = 100</div>
<div>coupon_frequency = Period(Semiannual)</div>
<div>&nbsp;</div>
<div>&nbsp;</div>
<div>data = [</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('31-08-2021',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '31-08-2023',&nbsp;&nbsp;&nbsp; 0.125,&nbsp;&nbsp; 98.43537),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('30-09-2021',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '30-09-2023',&nbsp;&nbsp;&nbsp; 0.25,&nbsp;&nbsp;&nbsp; 98.13213),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('01-11-2021',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '31-10-2023',&nbsp;&nbsp;&nbsp; 0.375,&nbsp;&nbsp; 97.82426),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('30-11-2021',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '30-11-2023',&nbsp;&nbsp;&nbsp; 0.5,&nbsp;&nbsp;&nbsp;&nbsp; 97.56833),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('31-12-2021',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '31-12-2023',&nbsp;&nbsp;&nbsp; 0.75,&nbsp;&nbsp;&nbsp; 97.36831),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('31-01-2022',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '31-01-2024',&nbsp;&nbsp;&nbsp; 0.875,&nbsp;&nbsp; 97.16839),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('28-02-2022',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '29-02-2024',&nbsp;&nbsp;&nbsp; 1.5,&nbsp;&nbsp;&nbsp;&nbsp; 97.35896),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('31-03-2022',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '31-03-2024',&nbsp;&nbsp;&nbsp; 2.25,&nbsp;&nbsp;&nbsp; 97.79973),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('02-05-2022',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '30-04-2024',&nbsp;&nbsp;&nbsp; 2.5,&nbsp;&nbsp;&nbsp;&nbsp; 97.88095),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('31-05-2022',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '31-05-2024',&nbsp;&nbsp;&nbsp; 2.5,&nbsp;&nbsp;&nbsp;&nbsp; 97.77523),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('30-06-2022',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '30-06-2024',&nbsp;&nbsp;&nbsp; 3.0,&nbsp;&nbsp;&nbsp;&nbsp; 98.2304),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('01-08-2022',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '31-07-2024',&nbsp;&nbsp;&nbsp; 3.0,&nbsp;&nbsp;&nbsp;&nbsp; 98.21679),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('31-08-2022',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '31-08-2024',&nbsp;&nbsp;&nbsp; 3.25,&nbsp;&nbsp;&nbsp; 98.53124),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('30-09-2022',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '30-09-2024',&nbsp;&nbsp;&nbsp; 4.25,&nbsp;&nbsp;&nbsp; 99.87726),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('31-10-2022',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '31-10-2024',&nbsp;&nbsp;&nbsp; 4.375,&nbsp;&nbsp; 100.14486),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('30-11-2022',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '30-11-2024',&nbsp;&nbsp;&nbsp; 4.5,&nbsp;&nbsp;&nbsp;&nbsp; 100.42819),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('03-01-2023',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '31-12-2024',&nbsp;&nbsp;&nbsp; 4.25,&nbsp;&nbsp;&nbsp; 100.1332),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('31-01-2023',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '31-01-2025',&nbsp;&nbsp;&nbsp; 4.125,&nbsp;&nbsp; 100.0258),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('28-02-2023',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '28-02-2025',&nbsp;&nbsp;&nbsp; 4.625,&nbsp;&nbsp; 101.04361),</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ('15-03-2022',&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; '15-03-2025',&nbsp;&nbsp;&nbsp; 1.75,&nbsp;&nbsp;&nbsp; 95.98058),</div>
<div>&nbsp;</div>
<div>&nbsp;&nbsp;&nbsp;&nbsp; ]</div>
<div>helpers = []</div>
<div>&nbsp;</div>
<div>for issue_date, maturity, coupon, price in data:</div>
<div>&nbsp;&nbsp;&nbsp; price = ql.QuoteHandle(ql.SimpleQuote(price))</div>
<div>&nbsp;&nbsp;&nbsp; issue_date = ql.Date(issue_date, '%d-%m-%Y')</div>
<div>&nbsp;&nbsp;&nbsp; maturity = ql.Date(maturity, '%d-%m-%Y')</div>
<div>&nbsp;&nbsp;&nbsp; schedule = ql.MakeSchedule(issue_date, maturity, ql.Period(ql.Semiannual))</div>
<div>&nbsp;&nbsp;&nbsp; helper = ql.FixedRateBondHelper(price, 2, 100, schedule, [coupon / 100], day_count)</div>
<div>&nbsp;&nbsp;&nbsp; helpers.append(helper)</div>
<div>yc = ql.PiecewiseLogCubicDiscount(calc_date, helpers, day_count) `</div>
<div>&nbsp;</div>
<div>which follows the example.&nbsp;&nbsp; However, I’m getting the following error when trying `yc.nodes()`:</div>
<div>`RuntimeError: 1st iteration: failed at 20th alive instrument, pillar March 15th, 2025, maturity March 15th, 2025, reference date May 5th, 2023: invalid range: xMin_ (0.930502) &gt;= xMax_ (0.930502)’ .&nbsp; The 19<font size="1"><span style="font-size:7.3pt"><sup>th</sup></span></font>
and 20<font size="1"><span style="font-size:7.3pt"><sup>th</sup></span></font> treasuries (CUSIPs <font face="Calibri">91282CGN</font><font face="Calibri"> and </font></div>
<div> <font face="Calibri">91282CED</font><font face="Calibri"> </font>yield 4.019113 and 4.02135 respectively? </div>
<div>&nbsp;</div>
<div>Thank you for your help in advance,</div>
<div>Greg</div></span></font></blockquote></div></div>

[Quantlib-users] Year-on-year index not defined as ratio?

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

Hello everybody,
    in the `YoYInflationIndex` class, we have a `ratio` parameter that
tells us whether or not the index is the actual year-on-year ratio of an
underlying CPI index.  I see the `ratio=true` case as the "usual" case, but
I don't really see how the `ratio=false` case would work—do indexes exist
which are published as a supposedly year-to-year index, but are independent
of an underlying index? And in that case, what does year-on-year even mean?

Do you have any examples?

Thanks,
    Luigi

Re: [Quantlib-users] Yield calculation - derivative for Newton method

[Lukasz S. <luk...@su...>]

Hi Francois,

Thank you for the quick reply. I guess my problem is simpler that you 
assumed.

I'm just using the BondFunctions function 'yield' with a constant yield 
(a single

number / rate; not a non-trivial forward curve).

So, my question is just if the Newton procedure for finding yield of a bond

gets correct inputs, because I ran into problems when trying to simply 
replicate

the formulas I seem to find in the C++ QuantLib source code available in the

web - the npv derivative seems to be modifiedDuration there, without

multiplication of the result by npv, which seems wrong. But I may be

mistaken.

Best regards,

Łukasz




On 8.05.2023 11:47, Francois Botha wrote:
>
> *Warning: This message originated from outside the organization. Use 
> caution when following links or opening attachments.*
>
> Hi Lukasz,
>
> Just to note that QLNet is an independent C# port of Quantlib (the C++ 
> version).
>
> That said, I'm guessing you're bootstrapping either on Zero or 
> Forwards rates and the default implementations of these have rates set 
> to a maximum of 300% ( 
> https://github.com/amaggiulli/QLNet/blob/d3b709a76098d5765b11da83d0217786b118bd58/src/QLNet/Termstructures/Yield/Bootstraptraits.cs#L100 
> and 
> https://github.com/amaggiulli/QLNet/blob/d3b709a76098d5765b11da83d0217786b118bd58/src/QLNet/Termstructures/Yield/Bootstraptraits.cs#L179).
>
> The implementation in Quantlib original is similar. I just briefly 
> glanced at the code and saw some branching related to the 
> QL_NEGATIVE_RATES preprocessor directive, which might be relevant. Try 
> enabling that directive. If that fails, you can implement your own 
> class that implements ITraits<YieldTermStructure> but removes the 300% 
> cap. I've had to use a variation of the last solution, but with my own 
> constraints, which in the end worked for me.
>
> Maybe someone else here has better suggestions.
>
> regards
> Francois Botha
>
>
> On Mon, 8 May 2023 at 11:10, Lukasz Skowronek 
> <luk...@su...> wrote:
>
>     Hi,
>
>     My name is Lukasz and I'm currently working on a small summary
>     screen for various bonds
>
>     that uses QuantLib under the hood.
>
>     I got an error report from our testers for the following inputs:
>
>     request.CouponPaymentsPerYear=1;
>     request.Coupon=0.0;
>     request.RedemptionPrice=100.0;
>     request.CleanPrice=1376.0;
>     request.FaceValue=1000.0;
>
>     ...
>
>     request.ExpirationDate=newDateTime(2024, 6, 27);
>     request.InvestmentDate=newDateTime(2023, 2, 9);
>
>     In short, this input corresponds to a zero coupon bond priced
>     extremely high (at 1376%).
>
>     The error I'm getting says the solver cannot bracket the root of
>     the target function.
>
>     After shifting the dot in the clean price by one decimal place, I
>     get the code to work
>
>     as expected. Still, even if the testers did not intend to
>     challenge my code with
>
>     bonds priced at a 85% markup (that is, -85% yield), I would expect
>     the solver to
>
>     find the root for the original input.
>
>     Digging into QuantLib's source code, I traced a few pieces related
>     to how yield
>
>     calculation is really done:
>
>     In *bondfunctions.cpp (line 360):*
>
>     Rate BondFunctions::yield(const Bond& bond, ...
>
>     in *bondfunctions.hpp (line 160):*
>
>     static Rate yield(const Solver& solver, ...
>
>     in *cashflows.hpp (line 276):*
>
>     static Rate yield(const Solver& solver, ...
>
>                 IrrFinder objFunction(leg, npv, dayCounter, compounding,
>                                       frequency,
>     includeSettlementDateFlows,
>                                       settlementDate, npvDate);
>                 return solver.solve(objFunction, accuracy, guess,
>     guess/10.0);
>
>     and finally, in *cashflows.cpp (line 728):*
>
>     CashFlows::IrrFinder::IrrFinder(const Leg& leg, ...
>
>         Real CashFlows::IrrFinder::operator()(Rate y) const {
>             InterestRate yield(y, dayCounter_, compounding_, frequency_);
>             Real *NPV = CashFlows::npv(leg_, yield,**
>     **includeSettlementDateFlows_,**
>     **                                  settlementDate_, npvDate_);*
>             return *npv_ - NPV*;
>         }
>
>         Real CashFlows::IrrFinder::derivative(Rate y) const {
>             InterestRate yield(y, dayCounter_, compounding_, frequency_);
>             return *modifiedDuration(leg_, yield,**
>     **includeSettlementDateFlows_,**
>     **                                settlementDate_, npvDate_)*;
>         }
>
>     Is this target function + derivative correct?
>
>     What worked on my side, when simulating the Newton method for
>     finding the root
>
>     separately, was:
>
>     doublef(doublerate) {
>     InterestRateir=newInterestRate(rate, dayCounter,
>     Compounding.Compounded, frequency);
>     return(cleanPrice+bond.accruedAmount(investmentDate))
>     *bond.notional(investmentDate) /100.0-
>     CashFlows.npv(bond.cashflows(), ir, false, investmentDate,
>     investmentDate);
>     }
>     // <-- target function
>     doubled(doublerate) {
>     InterestRateir=newInterestRate(rate, dayCounter,
>     Compounding.Compounded, frequency);
>     returnCashFlows.modifiedDuration(bond.cashflows(), ir, false,
>     investmentDate, investmentDate) *CashFlows.npv(bond.cashflows(),
>     ir, false, investmentDate, investmentDate);
>     }
>     // <-- derivative
>     (this is C# code that has QLNet as dependency)
>
>     Hence, there is an additional multiplication by CashFlows.npv(...,
>     which plays well with the
>
>     definition of modified duration as -dPdy / P
>
>     There does not seem to be a similar factor in QuantLib.
>
>     Am I mistaken? Is the multiplication by NPV in the derivative
>     handled some other way?
>
>     Best regards,
>
>     Lukasz Skowronek
>
>
>     _______________________________________________
>     QuantLib-users mailing list
>     Qua...@li...
>     https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Re: [Quantlib-users] Yield calculation - derivative for Newton method

[Francois B. <ig...@gm...>]

Hi Lukasz,

Just to note that QLNet is an independent C# port of Quantlib (the C++
version).

That said, I'm guessing you're bootstrapping either on Zero or Forwards
rates and the default implementations of these have rates set to a maximum
of 300% (
https://github.com/amaggiulli/QLNet/blob/d3b709a76098d5765b11da83d0217786b118bd58/src/QLNet/Termstructures/Yield/Bootstraptraits.cs#L100
and
https://github.com/amaggiulli/QLNet/blob/d3b709a76098d5765b11da83d0217786b118bd58/src/QLNet/Termstructures/Yield/Bootstraptraits.cs#L179
).

The implementation in Quantlib original is similar. I just briefly glanced
at the code and saw some branching related to the QL_NEGATIVE_RATES
preprocessor directive, which might be relevant. Try enabling that
directive. If that fails, you can implement your own class that
implements ITraits<YieldTermStructure> but removes the 300% cap. I've had
to use a variation of the last solution, but with my own constraints, which
in the end worked for me.

Maybe someone else here has better suggestions.

regards
Francois Botha


On Mon, 8 May 2023 at 11:10, Lukasz Skowronek <
luk...@su...> wrote:

> Hi,
>
> My name is Lukasz and I'm currently working on a small summary screen for
> various bonds
>
> that uses QuantLib under the hood.
>
> I got an error report from our testers for the following inputs:
> request.CouponPaymentsPerYear = 1;
> request.Coupon = 0.0;
> request.RedemptionPrice = 100.0;
> request.CleanPrice = 1376.0;
> request.FaceValue = 1000.0;
>
> ...
> request.ExpirationDate = new DateTime(2024, 6, 27);
> request.InvestmentDate = new DateTime(2023, 2, 9);
>
> In short, this input corresponds to a zero coupon bond priced extremely
> high (at 1376%).
>
> The error I'm getting says the solver cannot bracket the root of the
> target function.
>
> After shifting the dot in the clean price by one decimal place, I get the
> code to work
>
> as expected. Still, even if the testers did not intend to challenge my
> code with
>
> bonds priced at a 85% markup (that is, -85% yield), I would expect the
> solver to
>
> find the root for the original input.
>
> Digging into QuantLib's source code, I traced a few pieces related to how
> yield
>
> calculation is really done:
>
> In *bondfunctions.cpp (line 360):*
>
> Rate BondFunctions::yield(const Bond& bond, ...
>
> in *bondfunctions.hpp (line 160):*
>
> static Rate yield(const Solver& solver, ...
>
> in *cashflows.hpp (line 276):*
>
> static Rate yield(const Solver& solver, ...
>
>             IrrFinder objFunction(leg, npv, dayCounter, compounding,
>                                   frequency, includeSettlementDateFlows,
>                                   settlementDate, npvDate);
>             return solver.solve(objFunction, accuracy, guess, guess/10.0);
>
> and finally, in *cashflows.cpp (line 728):*
>
> CashFlows::IrrFinder::IrrFinder(const Leg& leg, ...
>
>     Real CashFlows::IrrFinder::operator()(Rate y) const {
>         InterestRate yield(y, dayCounter_, compounding_, frequency_);
>         Real *NPV = CashFlows::npv(leg_, yield,*
> *                                  includeSettlementDateFlows_,*
> *                                  settlementDate_, npvDate_);*
>         return *npv_ - NPV*;
>     }
>
>     Real CashFlows::IrrFinder::derivative(Rate y) const {
>         InterestRate yield(y, dayCounter_, compounding_, frequency_);
>         return *modifiedDuration(leg_, yield,*
> *                                includeSettlementDateFlows_,*
> *                                settlementDate_, npvDate_)*;
>     }
>
> Is this target function + derivative correct?
>
> What worked on my side, when simulating the Newton method for finding the
> root
>
> separately, was:
> double f(double rate) {
> InterestRate ir = new InterestRate(rate, dayCounter, Compounding.
> Compounded, frequency);
> return (cleanPrice + bond.accruedAmount(investmentDate)) * bond.notional(
> investmentDate) / 100.0 -
> CashFlows.npv(bond.cashflows(), ir, false, investmentDate, investmentDate);
>
> }
> // <-- target function
> double d(double rate) {
> InterestRate ir = new InterestRate(rate, dayCounter, Compounding.
> Compounded, frequency);
> return CashFlows.modifiedDuration(bond.cashflows(), ir, false,
> investmentDate, investmentDate) * CashFlows.npv(bond.cashflows(), ir,
> false, investmentDate, investmentDate);
> }
> // <-- derivative
> (this is C# code that has QLNet as dependency)
>
> Hence, there is an additional multiplication by CashFlows.npv(..., which
> plays well with the
>
> definition of modified duration as -dPdy / P
>
> There does not seem to be a similar factor in QuantLib.
>
> Am I mistaken? Is the multiplication by NPV in the derivative handled some
> other way?
>
> Best regards,
>
> Lukasz Skowronek
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

[Quantlib-users] Yield calculation - derivative for Newton method

[Lukasz S. <luk...@su...>]

Hi,

My name is Lukasz and I'm currently working on a small summary screen 
for various bonds

that uses QuantLib under the hood.

I got an error report from our testers for the following inputs:

request.CouponPaymentsPerYear=1;
request.Coupon=0.0;
request.RedemptionPrice=100.0;
request.CleanPrice=1376.0;
request.FaceValue=1000.0;

...

request.ExpirationDate=newDateTime(2024, 6, 27);
request.InvestmentDate=newDateTime(2023, 2, 9);

In short, this input corresponds to a zero coupon bond priced extremely 
high (at 1376%).

The error I'm getting says the solver cannot bracket the root of the 
target function.

After shifting the dot in the clean price by one decimal place, I get 
the code to work

as expected. Still, even if the testers did not intend to challenge my 
code with

bonds priced at a 85% markup (that is, -85% yield), I would expect the 
solver to

find the root for the original input.

Digging into QuantLib's source code, I traced a few pieces related to 
how yield

calculation is really done:

In *bondfunctions.cpp (line 360):*

Rate BondFunctions::yield(const Bond& bond, ...

in *bondfunctions.hpp (line 160):*

static Rate yield(const Solver& solver, ...

in *cashflows.hpp (line 276):*

static Rate yield(const Solver& solver, ...

             IrrFinder objFunction(leg, npv, dayCounter, compounding,
                                   frequency, includeSettlementDateFlows,
                                   settlementDate, npvDate);
             return solver.solve(objFunction, accuracy, guess, guess/10.0);

and finally, in *cashflows.cpp (line 728):*

CashFlows::IrrFinder::IrrFinder(const Leg& leg, ...

     Real CashFlows::IrrFinder::operator()(Rate y) const {
         InterestRate yield(y, dayCounter_, compounding_, frequency_);
         Real *NPV = CashFlows::npv(leg_, yield,**
**includeSettlementDateFlows_,**
**                                  settlementDate_, npvDate_);*
         return *npv_ - NPV*;
     }

     Real CashFlows::IrrFinder::derivative(Rate y) const {
         InterestRate yield(y, dayCounter_, compounding_, frequency_);
         return *modifiedDuration(leg_, yield,**
**includeSettlementDateFlows_,**
**                                settlementDate_, npvDate_)*;
     }

Is this target function + derivative correct?

What worked on my side, when simulating the Newton method for finding 
the root

separately, was:

doublef(doublerate) {
InterestRateir=newInterestRate(rate, dayCounter, Compounding.Compounded, 
frequency);
return(cleanPrice+bond.accruedAmount(investmentDate)) 
*bond.notional(investmentDate) /100.0-
CashFlows.npv(bond.cashflows(), ir, false, investmentDate, investmentDate);
}
// <-- target function
doubled(doublerate) {
InterestRateir=newInterestRate(rate, dayCounter, Compounding.Compounded, 
frequency);
returnCashFlows.modifiedDuration(bond.cashflows(), ir, false, 
investmentDate, investmentDate) *CashFlows.npv(bond.cashflows(), ir, 
false, investmentDate, investmentDate);
}
// <-- derivative
(this is C# code that has QLNet as dependency)

Hence, there is an additional multiplication by CashFlows.npv(..., which 
plays well with the

definition of modified duration as -dPdy / P

There does not seem to be a similar factor in QuantLib.

Am I mistaken? Is the multiplication by NPV in the derivative handled 
some other way?

Best regards,

Lukasz Skowronek

[Quantlib-users] CDS Buyer Valuation

[Serhat G. <ki...@gm...>]

Hi everyone,

 

I am wondering if there is a method to factor in the counterparty default
risk in CDS pricing when the side is "ql.Protection.Buyer". Perhaps, there
could be an approach such as default correlation or embedding it into the
spread. Do you have any thoughts on this?

 

Regards,

Serhat

Re: [Quantlib-users] 1st iteration: failed at 1st alive instrument

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

Is that a probability curve you're bootstrapping?  If so, it seems that
even with probability of default = 1 (the second bound
in  f[2.22045e-16,1]) the pricer can't get the sign of the NPV to change
(the two values in [1.165963e+00,3.797374e-01] are the NPVs at the
bounds).  I don't see a workaround here...

Luigi


On Thu, Apr 27, 2023 at 12:06 PM Ben Watson <ben...@ma...>
wrote:

> I know that this topic has come up before. In this case, there is nothing
> specifically wrong with the code – the same bit of code works for 350+ CDS
> curves.
>
>
>
> This issues is that the CASINO GUICHARDPERRACHON looks like it is about to
> default. The 6m CDS spread is 11659. The root solver is failing.
>
>
>
> My question is… is there anything that could be done to control the root
> solver in this case? i.e.  adjust the tolerance or some other work around?
>
>
>
> Date      Ticker    ShortName
>                              RedCode              Tier
> Ccy        DocClause          Spread6m          Spread1y
> Spread2y            Spread3y            Spread4y
> Spread5y              Spread7y            Spread10y
>
> 2023-04-24        GROUPE             CASINO GUICHARDPERRACHON
> FG554O              SNRFOR              EUR       MM14
> 1.16596253              1.22492036        1.06136462
> 0.98585902        0.93722387              0.90058129
> 0.84189616        0.78298615
>
>
>
> 1st iteration: failed at 1st alive instrument, pillar December 20th, 2023,
> maturity December 20th, 2023, reference date April 26th, 2023: root not
> bracketed: f[2.22045e-16,1] -> [1.165963e+00,3.797374e-01]
>
>
>

Re: [Quantlib-users] FixedRateBond (BulletLoan)

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

For a fixed-rate bullet bond, I'd try building the coupons manually, as in
(pseudo-code, not tested, take with a grain of salt):

    Leg coupons;
    coupons.push_back(ext::make_shared<FixedRateCoupon>(date[0], 100, ...));
    for (each other coupon) {
        const auto& last = coupons.back();
        coupons.push_back(ext::make_shared<FixedRateCoupon>(date[1],
last->nominal() + last->amount(), ...)
    }

once you have all of them, you can pass them to the proper Bond constructor:

    auto bond = ext::make_shared<Bond>(settlementDays, calendar, issueDate,
coupons);

Due to the increasing notionals, the constructor will add negative payments
at each coupon date that represent adding amount to the notional and will
cancel out the coupon payments.

Let me know if this works for you.

Luigi



On Mon, Apr 17, 2023 at 5:20 PM Dagur Gunnarsson <da...@ko...> wrote:

> Hello,
>
> Is there any way to define a BulletLoan, Bond in QuantLib such that the
> coupon payments add to the notional each period?
>
> First the notional is 100.0
> then 103.5 .etc. until maturity.
>
> -Dagur
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

[Quantlib-users] 1st iteration: failed at 1st alive instrument

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

I know that this topic has come up before. In this case, there is nothing specifically wrong with the code – the same bit of code works for 350+ CDS curves. 

 

This issues is that the CASINO GUICHARDPERRACHON looks like it is about to default. The 6m CDS spread is 11659. The root solver is failing. 

 

My question is… is there anything that could be done to control the root solver in this case? i.e.  adjust the tolerance or some other work around?

 

Date      Ticker    ShortName                                                                  RedCode              Tier                      Ccy        DocClause          Spread6m          Spread1y              Spread2y            Spread3y            Spread4y            Spread5y              Spread7y            Spread10y

2023-04-24        GROUPE             CASINO GUICHARDPERRACHON FG554O              SNRFOR              EUR       MM14                1.16596253              1.22492036        1.06136462        0.98585902        0.93722387              0.90058129        0.84189616        0.78298615

 

1st iteration: failed at 1st alive instrument, pillar December 20th, 2023, maturity December 20th, 2023, reference date April 26th, 2023: root not bracketed: f[2.22045e-16,1] -> [1.165963e+00,3.797374e-01]

 

Re: [Quantlib-users] Fixed Coupon Bond with 3 equal redemptions of capital

[Ngonidzashe F. <ngo...@gm...>]

Hi,

The ‘AmortizingFixedBond’ class works fine thanks.

Regards

On Mon, 24 Apr 2023 at 10:54, Luigi Ballabio <lui...@gm...>
wrote:

> Or you can use the `AmortizingFixedRateBond` class (see
> https://github.com/lballabio/QuantLib/blob/master/ql/instruments/bonds/amortizingfixedratebond.hpp
> ).
>
> Luigi
>
>
> On Mon, Apr 24, 2023 at 12:35 AM Ben Watson <
> ben...@ma...> wrote:
>
>> I would suggest that you build the bond from the cashflows… The bond
>> cashflows
>>
>> i.e.
>>
>> bond=ql.Bond(int(self.settlementDays), self.local_calendar, self.
>> start_date,self.bond_cashflows)
>>
>>
>>
>> the cashflows can be with FixedRate leg or FloatingRate Leg;
>>
>>
>>
>> ql.FixedRateLeg(schedule=self.extended_dates_schedule,dayCount =
>> fixedDayCount,nominals = [self.redemption],couponRates=self.extended_cpns
>> )
>>
>
>>
>>
>>
>>
>>
>>
>>
>> *From:* Ngonidzashe Fungura <ngo...@gm...>
>> *Sent:* Monday, April 24, 2023 1:24 AM
>> *To:* QuantLib users <qua...@li...>
>> *Subject:* [Quantlib-users] Fixed Coupon Bond with 3 equal redemptions
>> of capital
>>
>>
>>
>> Hi All,
>>
>>
>>
>> I have a valuation of a fixed coupon bond below and I need help with the
>> following;
>>
>>    1. The repayment of the capital shall be made in three equal amounts
>>    on the following dates: 30 April 2030, 30 April 2031, 30 April 2032. One
>>    third of the nominal value of the loan will be redeemed on the above
>>    mentioned dates, after which no further interest will accrue on the
>>    redeemed portion.
>>    2. Extraction of the following values (i) nominal value, (ii) cash
>>    flows (i.e., coupon and redeemed capital), (iii) payment date, (iv) accrual
>>    start date, (v) accrual end date, (vi) accrual period, (vii) discount
>>    factor and (vii) PV of cash flows
>>
>> *Valuation*
>>
>>
>> import QuantLib as ql
>>
>> calc_date = ql.Date(30, 6, 2022)
>> ql.Settings.instance().evaluationDate = calc_date
>> spot_dates = [ql.Date(30,6,2022), ql.Date(1,7,2022),
>>          ql.Date(4,7,2022), ql.Date(7,7,2022),
>>          ql.Date(29,7,2022), ql.Date(31,8,2022),
>>          ql.Date(30,9,2022), ql.Date(30,12,2022),
>>          ql.Date(31,3,2023), ql.Date(30,6,2023),
>>          ql.Date(28,6,2024), ql.Date(30,6,2025),
>>          ql.Date(30,6,2026), ql.Date(30,6,2027),
>>          ql.Date(30,6,2028), ql.Date(29,6,2029),
>>          ql.Date(28,6,2030), ql.Date(30,6,2031),
>>          ql.Date(30,6,2032), ql.Date(30,6,2034),
>>          ql.Date(30,6,2037), ql.Date(30,6,2042),
>>          ql.Date(28,6,2047), ql.Date(28,6,2052)]
>> spot_rates = [0.000000, 0.046757, 0.047312, 0.047849,
>>           0.049859, 0.049461, 0.051026, 0.063041,
>>           0.069505, 0.074170, 0.074904, 0.079587,
>>           0.082547, 0.085506, 0.088410, 0.091284,
>>           0.093731, 0.095888, 0.097472, 0.099379,
>>           0.100715, 0.100591, 0.099606, 0.097955]
>> day_count = ql.Thirty360()
>> calendar = ql.UnitedStates()
>> interpolation = ql.Linear()
>> compounding = ql.Compounded
>> compounding_frequency = ql.Annual
>> spot_curve = ql.ZeroCurve(spot_dates, spot_rates, day_count, calendar,
>>                           interpolation, compounding, compounding_frequency)
>> spot_curve_handle = ql.YieldTermStructureHandle(spot_curve)
>>
>> issue_date = ql.Date(30, 4, 2022)
>> maturity_date = ql.Date(30, 4, 2032)
>> tenor = ql.Period(ql.Semiannual)
>> calendar = ql.SouthAfrica()
>> business_convention = ql.Unadjusted
>> date_generation = ql.DateGeneration.Backward
>> month_end = False
>> schedule = ql.Schedule(issue_date, maturity_date, tenor,
>>                        calendar, business_convention,
>>                        business_convention, date_generation,
>>                        month_end)
>>
>> # Let us print the schedule to check if it is in agreement with what we expect it to be.
>> print("Payment dates: ",list(schedule))
>>
>> # Now that we have the schedule, we can create the FixedRateBond object.
>> coupon_rate = 0.105
>> coupons = [coupon_rate]
>> settlement_days = 0
>> face_value = 100
>> fixed_rate_bond = ql.FixedRateBond(settlement_days,face_value,schedule,coupons,day_count)
>>
>> bond_engine = ql.DiscountingBondEngine(spot_curve_handle)
>> fixed_rate_bond.setPricingEngine(bond_engine)
>>
>> print("NPV of Bond:",round(fixed_rate_bond.NPV(),2))
>>
>> print("Clean Bond Price:",round(fixed_rate_bond.cleanPrice(),2))
>>
>> print('Accrual start date:', ql.BondFunctions.accrualStartDate(fixed_rate_bond))
>>
>> print('Accrual end date:', ql.BondFunctions.accrualEndDate(fixed_rate_bond))
>>
>> print('Number of days between accrual start date and accrual end date:',
>>       day_count.dayCount(ql.BondFunctions.accrualStartDate(fixed_rate_bond),
>>                          ql.BondFunctions.accrualEndDate(fixed_rate_bond)))
>>
>> print('Accrued days:', ql.BondFunctions.accruedDays(fixed_rate_bond))
>>
>> print("Accrued Amount:",round(fixed_rate_bond.accruedAmount(),2))
>>
>> print("Dirty Bond Price:",round(fixed_rate_bond.dirtyPrice(),2))
>>
>> print("Bond yield:",round(fixed_rate_bond.bondYield(day_count,compounding,compounding_frequency),5))
>>
>> print("Day Count:",fixed_rate_bond.dayCounter())
>>
>> print("Settlement Date:",fixed_rate_bond.settlementDate())
>>
>> for c in fixed_rate_bond.cashflows():
>>     print('%20s %12f' % (c.date(), c.amount()))
>>
>> Thanks
>>
>>
>>
> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
> --
Kind regards,

Ngoni Fungura
Mobile: +27(0)644126086