quantlib-users — QuantLib users discussion list

Re: [Quantlib-users] SOFR index runtime Error

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

Just to add to what Jonathan said: QuantLib does not model SOFR
swaptions correctly at the moment, so even if the technical issue is
resolved you'll not get an accurate valuation.
Best, Peter

On Sat, 15 Oct 2022 at 11:23, Jonathan Sweemer <sw...@gm...> wrote:
>
> Hi Mark,
>
> You can find the source of the error message here: https://github.com/lballabio/QuantLib/blob/master/ql/processes/gsrprocess.cpp#L92-L93
>
> Looks like your Sofr term structure somehow contains a forward from 0.915068 to 0.912329, which of course is not allowed, but it's a bit hard to know why without seeing the rest of your code.
>
>
> On Sat, Oct 15, 2022 at 11:58 AM Mark <gr...@gm...> wrote:
>>
>> Hi,
>>
>> If I used index=Euribor6M(termstructure) as the yield curve I can calculate European swaption through GSR model, but once I changed the index to index=Sofr(termstructure), I will get below error:
>>
>> atmSwaption.NPV()
>> Return _QuantLib.Intrument_NPV(self)
>> RuntimeError:  G(t,w) should be called with w (0.912329) not lesser than t(0.915068)
>>
>> Does anyone know what this error message means?
>>
>> Thanks,
>> Mark
>> _______________________________________________
>> 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] Getting different theta when using BlackVarianceSurface and constant Vol

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

Looks like it's due to some numerical error in
the FdBlackScholesVanillaEngine. If I replace FdBlackScholesVanillaEngine
with AnalyticDividendEuropeanEngine in your code then I get 0.37 as the
breakeven vol for both the constant vol case as well as the vol surface
case as expected.

Is there any reason that you need to use the FdBlackScholesVanillaEngine?
If not then I suppose you can use the AnalyticDividendEuropeanEngine
instead. But if your question is what is causing the numerical error in the
FdBlackScholesVanillaEngine then that will require more debugging.

I'm sure you know already, but a constant vol surface is not suitable for
real-world pricing, especially for short maturities where the skew in SPX
is most extreme. You'll want to try out other pricing engines to obtain
meaningful results on real-world data.


On Tue, Oct 11, 2022 at 11:31 PM Dan VolPM <dan...@gm...> wrote:

> Hi,
>
> I am running into an issue where quantlib outputs different thetas whether
> i price with a blackvariancesurface or with the constant vol extracted from
> the surface.
>
> I have a vol surface from the market on the SPX index. Not all
> strikes/maturities are populated. In addition, there could potentially be
> arbitrages in short maturities since we have lots of daily options and I am
> not correcting yet for arbitrages.
>
> Yet when building a BlackVarianceSurface with this data and price a
> vanilla option, I expect that option to be priced with a constant vol
> interpolated from the grid.
>
> When I pass the surface object to the pricer I am getting a very different
> theta (and therefore breakeven vol) from simply passing the constant vol
> taken from the surface.
>
> Could you help me understand exactly how QLIB handles the surface and how
> is theta computed ?
>
> Thank you very very much.
>
> Here's some sample code that compares a constant vol with a surface vol
> pricing. Notice how the theta changes between the 2 cases leading to a very
> different break even vol.
>
>
> import pandas as pd, QuantLib as ql, math, numpy as npfrom datetime import datetime
>
>
> def from_YYYYMMDD_to_ql_date(ymd):
>     ymd = int(ymd)
>     year = math.floor(ymd / 10000)
>     month = int(ymd / 100) % 100
>     day = ymd % 100
>
>     ql_date = ql.Date(day, month, year)
>     return ql_date
>
>
> def run_test():
>
>     ####################################################################
>     ####            Global Variables
>     ####################################################################
>     pricing_date = datetime.strptime('20220916', '%Y%m%d')
>     ql_pricing_date = ql.Date(16, 9, 2022)
>     calendar = ql.UnitedStates(ql.UnitedStates.Settlement)
>     day_counter = ql.ActualActual()
>     spot = 3876.00
>     spot_handle = ql.QuoteHandle(ql.SimpleQuote(spot))
>     flat_ts = ql.YieldTermStructureHandle(ql.FlatForward(ql_pricing_date, 0, day_counter))
>     dividend_yield = ql.YieldTermStructureHandle(ql.FlatForward(ql_pricing_date, 0, day_counter))
>     K = 3800
>     ql_date_expiry = ql.Date(16, 12, 2022)
>     exercise = ql.EuropeanExercise(ql_date_expiry)
>     payoff = ql.PlainVanillaPayoff(ql.Option.Put, strike=K)
>
>
>     ####################################################################
>     ####            Build Vol surface
>     ####################################################################
>     list_opts = []
>     expirations = [datetime.strptime('20220921', '%Y%m%d'), datetime.strptime('20221118', '%Y%m%d'), datetime.strptime('20221216', '%Y%m%d'), ]
>     list_opts.append([pricing_date, expirations[0], 3800., 45.])
>     list_opts.append([pricing_date, expirations[0], 3900., 40.])
>
>     list_opts.append([pricing_date, expirations[1], 3800., 27.])
>     list_opts.append([pricing_date, expirations[1], 3900., 25.])
>
>     list_opts.append([pricing_date, expirations[2], 3800., 37.])
>     list_opts.append([pricing_date, expirations[2], 3900., 31.])
>
>     df = pd.DataFrame(list_opts, columns=['date', 'maturity', 'strike', 'vol'])
>
>     df['ymd'] = df['maturity'].dt.strftime('%Y%m%d')
>     df['q_exp_dates'] = df['ymd'].apply(from_YYYYMMDD_to_ql_date)
>
>     strikes = sorted(df.strike.unique())
>     expirations = sorted(df['q_exp_dates'].unique())
>
>     df['strike_idx'] = df['strike'].apply(lambda x: strikes.index(x))
>     df['expiry_idx'] = df['q_exp_dates'].apply(lambda x: expirations.index(x))
>
>     volMat_np = np.full((len(strikes), len(expirations)), np.nan)
>
>     for strk, exp, vol in zip(df['strike_idx'], df['expiry_idx'], df['vol']):
>         volMat_np[strk][exp] = vol / 100
>
>     df_vals = pd.DataFrame(volMat_np, index=strikes, columns=expirations)
>     print(df_vals)
>
>     ql_Matrix = ql.Matrix(len(strikes), len(expirations), np.nan)
>     for i in range(len(strikes)):
>         for j in range(len(expirations)):
>             ql_Matrix[i][j] = volMat_np[i, j]
>
>
>     ####################################################################
>     ####            We build 1 vol surface and a constant vol = BlackVol(surface)
>     ####################################################################
>
>     vol_process = ql.BlackVarianceSurface(ql_pricing_date, calendar, expirations, strikes,
>                                           ql_Matrix, day_counter)
>
>     option_vol = vol_process.blackVol(ql_date_expiry,K)
>     constant_vol = ql.BlackConstantVol(ql_pricing_date, calendar, option_vol, day_counter)
>
>     ####################################################################
>     ####            Build Process
>     ####################################################################
>
>     process_surface = ql.BlackScholesMertonProcess(spot_handle, dividendTS=dividend_yield, riskFreeTS=flat_ts,
>                                            volTS=ql.BlackVolTermStructureHandle(vol_process))
>
>     process_constant = ql.BlackScholesMertonProcess(spot_handle, dividendTS=dividend_yield, riskFreeTS=flat_ts,
>                                            volTS=ql.BlackVolTermStructureHandle(constant_vol))
>
>
>     ####################################################################
>     ####            Build Option to price
>     ####################################################################
>     option_surface = ql.DividendVanillaOption(payoff, exercise, [], [])
>     engine_surface = ql.FdBlackScholesVanillaEngine(process_surface, 200, 200)
>     option_surface.setPricingEngine(engine_surface)
>
>     option_constant = ql.DividendVanillaOption(payoff, exercise, [], [])
>     engine_constant = ql.FdBlackScholesVanillaEngine(process_constant, 200, 200)
>     option_constant.setPricingEngine(engine_constant)
>
>     prc_cst = option_constant.NPV()
>     gamma_cst = option_constant.gamma()
>     theta_cst = option_constant.theta() / 252. # biz day theta
>     vol_be_sqrt252_cst = round(math.sqrt(-2. * theta_cst / (gamma_cst * spot ** 2)) * math.sqrt(252),4)      # calculate theta-gamma break even vol to estimate what vol is being used by quantlib
>     print(f'Option details')
>     print(f'-------------------------------------------------')
>     print(f'Maturity: {ql_date_expiry}')
>     print(f'Strike: {K}')
>     print(f'Vol from surface: {option_vol}')
>     print(f'')
>     print(f'-------------------------------------------------')
>     print(f'Constant vol case')
>     print(f'-----------------')
>     print(f'Option price: {prc_cst}')
>     print(f'Option gamma: {gamma_cst}')
>     print(f'Option theta: {theta_cst}')
>     print(f'Break even Vol = {vol_be_sqrt252_cst} should be {option_vol}')
>
>     prc_surface = option_surface.NPV()
>     gamma_surface = option_surface.gamma()
>     theta_surface = option_surface.theta() / 252. # biz day theta
>     vol_be_sqrt252_surface = round(math.sqrt(-2. * theta_surface / (gamma_surface * spot ** 2)) * math.sqrt(252),4)      # calculate theta-gamma break even vol to estimate what vol is being used by quantlib
>     print(f'-------------------------------------------------')
>     print(f'Vol Surface case')
>     print(f'----------------')
>     print(f'Option price: {prc_surface}')
>     print(f'Option gamma: {gamma_surface}')
>     print(f'Option theta: {theta_surface}')
>     print(f'Break even Vol = {vol_be_sqrt252_surface} should be {option_vol}')
>
>
> if __name__ == '__main__':
>     run_test()
>
>
>
> We get the following results:
>
>             September 21st, 2022  November 18th, 2022  December 16th, 2022
>     3800.0                  0.45                 0.27                 0.37
>     3900.0                  0.40                 0.25                 0.31
>     Option details
>     -------------------------------------------------
>     Maturity: December 16th, 2022
>     Strike: 3800
>     Vol from surface: 0.37
>
>     -------------------------------------------------
>     Constant vol case
>     -----------------
>     Option price: 246.10555275972283
>     Option gamma: 0.0005462073912642451
>     Option theta: -2.2348817578128877
>     Break even Vol = 0.3705 should be 0.37
>     -------------------------------------------------
>     Vol Surface case
>     ----------------
>     Option price: 246.10595637993455
>     Option gamma: 0.0005462035022605052
>     Option theta: -3.3101198905503284
>     Break even Vol = 0.4509 should be 0.37
>
> If you change the vol surface to something which is not arbitrable but
> still has high very short term vol, the problem persists and even
> accentuates. In all cases the difference appears on the theta. The price of
> the option does not change.
>
> list_opts.append([pricing_date, expirations[0], 3800., 45.])
> list_opts.append([pricing_date, expirations[0], 3900., 40.])
>
> list_opts.append([pricing_date, expirations[1], 3800., 27.])
> list_opts.append([pricing_date, expirations[1], 3900., 25.])
>
> list_opts.append([pricing_date, expirations[2], 3800., 27.])
> list_opts.append([pricing_date, expirations[2], 3900., 25.])
>
> We get the following:
>
> Option details
> -------------------------------------------------
> Maturity: December 16th, 2022
> Strike: 3800
> Vol from surface: 0.27
>
> -------------------------------------------------Constant vol case
> -----------------
> Option price: 170.495477037466
> Option gamma: 0.0007462620578669159
> Option theta: -1.6258437988242298Break even Vol = 0.2703 should be 0.27
> -------------------------------------------------Vol Surface case
> ----------------
> Option price: 170.49560335893932
> Option gamma: 0.0007462597949764497
> Option theta: -4.538109308076177
> Break even Vol = 0.4517 should be 0.27
>
>
> Thank you very much
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Re: [Quantlib-users] SOFR index runtime Error

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

Hi Mark,

You can find the source of the error message here:
https://github.com/lballabio/QuantLib/blob/master/ql/processes/gsrprocess.cpp#L92-L93

Looks like your Sofr term structure somehow contains a forward from
0.915068 to 0.912329, which of course is not allowed, but it's a bit hard
to know why without seeing the rest of your code.


On Sat, Oct 15, 2022 at 11:58 AM Mark <gr...@gm...> wrote:

> Hi,
>
> If I used index=Euribor6M(termstructure) as the yield curve I can
> calculate European swaption through GSR model, but once I changed the index
> to index=Sofr(termstructure), I will get below error:
>
> atmSwaption.NPV()
> Return _QuantLib.Intrument_NPV(self)
> RuntimeError:  G(t,w) should be called with w (0.912329) not lesser than
> t(0.915068)
>
> Does anyone know what this error message means?
>
> Thanks,
> Mark
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

[Quantlib-users] SOFR index runtime Error

[Mark <gr...@gm...>]

Hi,

If I used index=Euribor6M(termstructure) as the yield curve I can calculate
European swaption through GSR model, but once I changed the index to
index=Sofr(termstructure), I will get below error:

atmSwaption.NPV()
Return _QuantLib.Intrument_NPV(self)
RuntimeError:  G(t,w) should be called with w (0.912329) not lesser than
t(0.915068)

Does anyone know what this error message means?

Thanks,
Mark

Re: [Quantlib-users] Release candidate for 1.28

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

Thanks!

On Fri, Oct 14, 2022 at 3:22 AM Dirk Eddelbuettel <ed...@de...> wrote:

>
> On 11 October 2022 at 19:01, Luigi Ballabio wrote:
> | Ok, the ones now at <
> | https://github.com/lballabio/QuantLib/releases/tag/1.28-rc> should be
> | viable.  Thanks!
>
> A day or two late but I just pushed it to Debian (into the 'experimental'
> non-release flavour) and we should see compilation results here in a few
> hours:
>
>
> https://buildd.debian.org/status/package.php?p=quantlib&suite=experimental
>
> Dirk
>
> --
> dirk.eddelbuettel.com | @eddelbuettel | ed...@de...
>

Re: [Quantlib-users] Release candidate for 1.28

[Dirk E. <ed...@de...>]

On 11 October 2022 at 19:01, Luigi Ballabio wrote:
| Ok, the ones now at <
| https://github.com/lballabio/QuantLib/releases/tag/1.28-rc> should be
| viable.  Thanks!

A day or two late but I just pushed it to Debian (into the 'experimental'
non-release flavour) and we should see compilation results here in a few
hours:

   https://buildd.debian.org/status/package.php?p=quantlib&suite=experimental

Dirk

-- 
dirk.eddelbuettel.com | @eddelbuettel | ed...@de...

Re: [Quantlib-users] Release candidate for 1.28

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

Ok, the ones now at <
https://github.com/lballabio/QuantLib/releases/tag/1.28-rc> should be
viable.  Thanks!

Luigi


On Tue, Oct 11, 2022 at 1:50 PM Luigi Ballabio <lui...@gm...>
wrote:

> Please belay that — I discovered a problem with some non-standard
> configurations right after I posted.  I'll update the RC shortly.
>
> Luigi
>
>
> On Tue, Oct 11, 2022 at 11:53 AM Luigi Ballabio <lui...@gm...>
> wrote:
>
>> Hello everybody,
>>     I just published a RC for version 1.28 at <
>> https://github.com/lballabio/QuantLib/releases/tag/1.28-rc>.  If you
>> have some time, please give it a spin and report any problems here on the
>> mailing list.  Thanks!
>>
>> Luigi
>>
>>

Re: [Quantlib-users] Release candidate for 1.28

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

Please belay that — I discovered a problem with some non-standard
configurations right after I posted.  I'll update the RC shortly.

Luigi


On Tue, Oct 11, 2022 at 11:53 AM Luigi Ballabio <lui...@gm...>
wrote:

> Hello everybody,
>     I just published a RC for version 1.28 at <
> https://github.com/lballabio/QuantLib/releases/tag/1.28-rc>.  If you have
> some time, please give it a spin and report any problems here on the
> mailing list.  Thanks!
>
> Luigi
>
>

[Quantlib-users] Release candidate for 1.28

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

Hello everybody,
    I just published a RC for version 1.28 at <
https://github.com/lballabio/QuantLib/releases/tag/1.28-rc>.  If you have
some time, please give it a spin and report any problems here on the
mailing list.  Thanks!

Luigi

[Quantlib-users] BlackVarianceSurface odd behavior

[Dan V. <dan...@gm...>]

Hi,
I'm running into an odd behavior of the surface when pricing a simple
vanilla option. I am using a surface that includes many strikes, it
has holes, and the short term vols are very high vs longer term. Still I
would expect QL to simply price with the vol queried from the surface.
I'm running into the following issues:

1. The theta of the option varies dramatically if I use the actual surface
or a constant vol built from the vol queried from the surface (note only
the theta changes, the price and other greeks are roughly the same)
2. When pricing with the surface, sometimes the pricer breaks and complains
of falling variances even though I'm not doing any kind of local vol
calculation. Isn't there a way to ask quantlib to simply price with the
actual vol from the surface without looking for arbitrages in the curve.
I'd rather leave the cleaning of the curve for a later date when using LV,
and also I'd rather the pricing be super fast and avoid these checks from
vanillas.

Thank you,
Dan

Re: [Quantlib-users] [Quantlib-dev] ORE 7

[Ioannis R. <qua...@de...>]

Hi Peter,

I will explain my issue.

My Deriscope software consists of custom code that makes use of methods 
implemented either in ORE or QuantLib.

Until ORE release 6 I was able to upgrade to the latest QuantLib release 
without any problems.

But now with the current ORE release 7 I am stuck with the forked 
QuantLib code in the ORE repository.

For example, if tomorrow Luigi makes a new QuantLib release, I will not 
be able to incorporate it into my code as it would be incompatible with 
what ORE expects.

So, right now everything seems to work, but I am mostly concerned about 
the future. Optimally, the next ORE release 8 will link to a main branch 
(official) QuantLib version rather than a forked one. I can only hope 
this will be technically possible.

Regards,

Ioannis

On 10/8/2022 5:07 PM, Peter Caspers wrote:
> Hi Ioannis
>
> there is definitely no such thing as a "divorce from QuantLib" or any 
> other change in our dev strategy with release 7. That would be rather 
> silly indeed. Quite on the contrary I mentioned in a recent post that 
> it would make a lot of sense to consolidate some QuantExt classes with 
> QuantLib to reduce redundancies in (for example) the short rate models 
> (in the discussion around the Hull White 1F / GSR / LGM models, which 
> are all essentially the same).
>
> What is the concrete issue you have? Can you elaborate a bit, maybe we 
> can help mitigating it until the libraries are more in line again. I 
> am actually aware of a breaking change in the inflation framework, 
> this was reported on github recently. This is something we should 
> surely try to straighten out relatively soon.
>
> Thanks
> Peter
>
>
> On Sat, 8 Oct 2022 at 10:42, Ioannis Rigopoulos 
> <qua...@de...> wrote:
>
>     Hi Roland, Peter,
>
>     I am personally very keen on the continuous success of both
>     QuantLib and ORE as I am using both in my Deriscope application,
>     which is currently deployed successfully to a few bank clients,
>     including trading desks.
>
>     I have opted to link to both QuantLib and ORE because of their
>     distinct competencies.
>
>     Through the interaction with my clients, I often feel the need to
>     edit certain code segments. In the past I tried to add my edits to
>     the QuantLib and ORE main branches, but I have now refrained from
>     this practice due to a) QuantLib team's "less-than-enthusiastic"
>     response on issues I was raising and b) ORE's recent "disappearance".
>
>     I felt very glad with ORE's comeback with release 7, its new
>     Acadia venture and its commitment to regular quarterly releases to
>     the point that I thought of transferring all my own code edits to
>     the ORE main branch.
>
>     But I see now that the ORE release 7 marks a kind of "divorce"
>     from QuantLib, which is not good news for developers like me.
>
>     To put it simply, I am now forced to choose one or the other:
>
>     If I choose ORE, I will be distancing myself from the original
>     QuantLib branch, which would be dangerous if tomorrow ORE stops
>     being developed and also prohibit me from using recent additions
>     to QuantLib that are not yet incorporated in the ORE releases.
>
>     If I choose QuantLib, I will not be able to use ORE, which
>     admittedly has very important stuff!
>
>     A bit of an unfortunate deadlock really, which was not there until
>     release 6.
>
>     Ioannis
>
>     On 10/8/2022 9:49 AM, Peter Caspers wrote:
>>     Hi Ioannis
>>
>>     we try to keep the diff between the original QL and our fork as
>>     small as possible. These particular differences refer to
>>
>>     https://github.com/lballabio/QuantLib/pull/1222
>>
>>     which was needed to resolve major performance problems on our
>>     side. The discussion went a bit stale admittedly. I'll try to
>>     reignite it and flesh out the suggestions in the thread a bit more.
>>
>>     Thank you
>>     Peter
>>
>>
>>
>>     On Fri, 7 Oct 2022 at 19:29, Ioannis Rigopoulos
>>     <qua...@de...> wrote:
>>
>>         Hi Roland,
>>
>>         I have managed to compile and build ORE using the forked
>>         QuantLib version as suggested, but now I am stumbling on
>>         deep-rooted run time errors.
>>
>>         It seems to me that the forked version of QuantLib deviates
>>         from the original in quite deep and subtle ways to the point
>>         that the rest of my code that used to work well with both ORE
>>         and QuantLib, now behaves in unexpected ways.
>>
>>         One example is the very important QuantLib class
>>         FloatingRateCoupon , of which the original declaration
>>
>>         class FloatingRateCoupon : public Coupon, public Observer
>>
>>         has been changed to
>>
>>         class FloatingRateCoupon : public Coupon, public LazyObject
>>
>>         Another example that affected my run time behavior of OIS
>>         curve building concerns the implementation of
>>         OISRateHelper::impliedQuote().
>>
>>         The original QuantLib implementation contains the statement
>>
>>         swap_->recalculate();
>>
>>         The forked version has replaced the above with
>>
>>         swap_->deepUpdate();
>>
>>         It thus seems that the ORE version 7 marks a significant
>>         break from its previous versions as it requires a profoundly
>>         different underlying QuantLib code.
>>
>>         I am sure that the ORE developers had good reasons for doing
>>         so, but the sad fact is that developers like me have to
>>         decide between using the original lballabio QuantLib branch
>>         or the one forked and maintained by ORE.
>>
>>         Until ORE version 6, such a dilemma did not exist!
>>
>>         Best regards,
>>
>>         Ioannis
>>
>>         On 10/4/2022 12:59 PM, Ioannis Rigopoulos wrote:
>>>
>>>         Thanks for the quick turnaround. I have already extracted
>>>         the code using git, but it is nice to have this download
>>>         option as well.
>>>
>>>         On 10/4/2022 12:46 PM, Roland Lichters wrote:
>>>>
>>>>         Hi Ioannis,
>>>>
>>>>         That’s a good point, we have added a release zip/tgz to the
>>>>         QuantLib repo in ORE:
>>>>
>>>>         https://github.com/OpenSourceRisk/QuantLib/releases/tag/ORE-QuantLib-v1.27.1
>>>>
>>>>         I hope that works!
>>>>
>>>>         Best regards,
>>>>
>>>>         Roland
>>>>
>>>>         *From: *Ioannis Rigopoulos <qua...@de...>
>>>>         <mailto:qua...@de...>
>>>>         *Date: *Tuesday, 4 October 2022 at 09:40
>>>>         *To: *Roland Lichters <rol...@ac...>
>>>>         <mailto:rol...@ac...>, QuantLib users
>>>>         <qua...@li...>
>>>>         <mailto:qua...@li...>, QuantLib
>>>>         Mailing Lists <qua...@li...>
>>>>         <mailto:qua...@li...>
>>>>         *Subject: *Re: [Quantlib-dev] ORE 7
>>>>
>>>>         CAUTION:External email warning. This email originated from
>>>>         outside acadia.inc. Beware of phishing attempts. Comply
>>>>         with all acadia.inc policy to confirm sender identity
>>>>         before responding, forwarding, and especially clicking
>>>>         links or opening attachments.
>>>>
>>>>         Thanks for the quick reply Roland.
>>>>
>>>>         I will certainly try your suggestion, although I am using
>>>>         GitHub Desktop and I am not very familiar with the git dos
>>>>         commands.
>>>>
>>>>         But since several people rely on the compressed forms (zip,
>>>>         tar) of the ORE and QuantLib releases, I am wondering if it
>>>>         would be possible to also provide the required QuantLib
>>>>         source code in compressed form, which is anyway done for
>>>>         all the official ORE and QuantLib releases.
>>>>
>>>>         For example, you will see at the page
>>>>         https://github.com/OpenSourceRisk/Engine/releases/tag/v1.8.7.0
>>>>         <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk%2FEngine%2Freleases%2Ftag%2Fv1.8.7.0&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=3gnaMN97LTtKtZrRDG4GkT8op1tAABa%2BHjSWjvUZnz8%3D&reserved=0>
>>>>         the compressed ORE code. It would be certainly helpful if
>>>>         the corresponding QuantLib code could be similarly found
>>>>         somewhere, either as stand alone or embedded in the ORE
>>>>         compressed file.
>>>>
>>>>         Ioannis
>>>>
>>>>         On 10/4/2022 9:03 AM, Roland Lichters wrote:
>>>>
>>>>             Hi Ioannis,
>>>>
>>>>             Ah, maybe that wasn’t clear in the mail, we use a fork
>>>>             of QuantLib 1.27.1 with a few changes.
>>>>
>>>>             So when you build ORE from sources on gihub, then
>>>>             please do a
>>>>
>>>>             git submodule update --init
>>>>
>>>>             That checks out our QuantLib 1.27.1 fork, and it should
>>>>             remove your build errors.
>>>>
>>>>             Best regards,
>>>>
>>>>             Roland
>>>>
>>>>             *From: *Ioannis Rigopoulos <qua...@de...>
>>>>             <mailto:qua...@de...>
>>>>             *Date: *Monday, 3 October 2022 at 17:47
>>>>             *To: *Roland Lichters <rol...@ac...>
>>>>             <mailto:rol...@ac...>, QuantLib users
>>>>             <qua...@li...>
>>>>             <mailto:qua...@li...>, QuantLib
>>>>             Mailing Lists <qua...@li...>
>>>>             <mailto:qua...@li...>
>>>>             *Subject: *Re: [Quantlib-dev] ORE 7
>>>>
>>>>             CAUTION:External email warning. This email originated
>>>>             from outside acadia.inc. Beware of phishing attempts.
>>>>             Comply with all acadia.inc policy to confirm sender
>>>>             identity before responding, forwarding, and especially
>>>>             clicking links or opening attachments.
>>>>
>>>>             Thank you Roland for this new release, but I have
>>>>             experienced several compilation errors when trying to
>>>>             build the QuantExt library.
>>>>
>>>>             I am using the official release of the 1.27.1 version
>>>>             of the QuantLib library as suggested in your email.
>>>>
>>>>             One simple example of the several failures concerns the
>>>>             second CPICoupon constructor implemented online in the
>>>>             header cpicoupon.hpp
>>>>
>>>>             Its top part looks as below:
>>>>
>>>>             */CPICoupon(Real baseCPI,
>>>>                           const Date& baseDate, // user provided,
>>>>             could be arbitrary
>>>>                           const Date& paymentDate, Real nominal,
>>>>             const Date& startDate, const Date& endDate,/*
>>>>
>>>>             */              (... more input arguments here ...)/*
>>>>
>>>>             */     : QuantLib::CPICoupon(baseCPI, baseDate,
>>>>             paymentDate, nominal, startDate, endDate, index,
>>>>             observationLag,/*
>>>>
>>>>             The compile-time error is caused by the implementation
>>>>             line:
>>>>
>>>>             */QuantLib::CPICoupon(baseCPI, baseDate, paymentDate,
>>>>             nominal, startDate, endDate, index,/*
>>>>
>>>>             The above line passes the argument */baseDate /*to the
>>>>             constructor of the */QuantLib::CPICoupon /*class.
>>>>
>>>>             But this fails because the CPICoupon class in QuantLib
>>>>             does not contain any constructor that expects a second
>>>>             argument of type Date.
>>>>
>>>>             Best regards,
>>>>
>>>>             Ioannis Rigopoulos
>>>>
>>>>             On 9/22/2022 5:29 PM, Roland Lichters via QuantLib-dev
>>>>             wrote:
>>>>
>>>>                 Dear all,
>>>>
>>>>                 we have just published the 7th release of ORE and
>>>>                 ORE-SWIG, updating the codebase at
>>>>                 https://github.com/OpenSourceRisk
>>>>                 <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=E5qyW6bz6HQr%2F7oX8jjB6CapFKyvOT%2BGsG5yjmE8jgo%3D&reserved=0>.
>>>>                 ORE 7 depends on QuantLib 1.27.1 and QuantLib-SWIG
>>>>                 1.27.
>>>>
>>>>                 The release contains many fixes and improvements
>>>>                 over the past year that were triggered by our main
>>>>                 sponsor’s (Acadia) use of ORE in their Initial
>>>>                 Margin Risk Generator services.  The full release
>>>>                 notes can be found in the user guide under the
>>>>                 DOCUMENTATION menu on https://opensourcerisk.org
>>>>                 <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fopensourcerisk.org%2F&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=0NJEv%2BU4J7%2BpBN8A0GiK47iTduCXRaGVnc5fQZcoHlU%3D&reserved=0>.
>>>>
>>>>                 With this release we have started publishing a wide
>>>>                 range of additional financial instruments. You will
>>>>                 see various Equity/FX Exotics in this release.
>>>>                 Commodity, Credit, Hybrids, Exotics with scripted
>>>>                 payoffs will follow in the next releases in
>>>>                 quarterly steps, see also the Acadia press release
>>>>                 and roadmap here
>>>>                 <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.acadia.inc%2Fnews%2Facadia-announces-seventh-release-of-open-source-risk-engine-with-quarterly-releases-to-follow&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=F0Uj0LGndGDHUqM573QS2VPbSGKfv%2FSCAz1nMYxJztM%3D&reserved=0>.
>>>>
>>>>
>>>>                 If you want to hear from Acadia about latest ORE
>>>>                 developments, then feel free to sign up here
>>>>                 <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fshare.hsforms.com%2F1eqcUZ-9_QdSH__M7_YPSig43ul4&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=s5ye1RwJNE3OVVAPYeXyAaDyPI8iW7De8TE1lnVxuMI%3D&reserved=0>
>>>>                 to receive updates by email.
>>>>
>>>>                 Please explore ORE – download the release
>>>>                 executable, or clone the repositories and build.
>>>>
>>>>                 As usual, all feedback is welcome!
>>>>
>>>>                 Best regards,
>>>>
>>>>                 Roland
>>>>
>>>>
>>>>                 /The information contained in this e-mail, and any
>>>>                 attachment, is confidential and is intended solely
>>>>                 for the use of the intended recipient. Access,
>>>>                 copying or re-use of the e-mail or any attachment,
>>>>                 or any information contained therein, by any other
>>>>                 person is not authorized. If you are not the
>>>>                 intended recipient please return the e-mail to the
>>>>                 sender and delete it from your computer. The
>>>>                 acadia.inc privacy policy is available on our
>>>>                 website. /
>>>>
>>>>
>>>>
>>>>                 _______________________________________________
>>>>
>>>>                 QuantLib-dev mailing list
>>>>
>>>>                 Qua...@li...
>>>>
>>>>                 https://lists.sourceforge.net/lists/listinfo/quantlib-dev  <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Flists.sourceforge.net%2Flists%2Flistinfo%2Fquantlib-dev&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=TqiZ79kCKWOAYyYp5j9dsrhEATGPZJ6iCvM7RnPu0mE%3D&reserved=0>
>>>>
>>>>             width=
>>>>             <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.avast.com%2Fsig-email%3Futm_medium%3Demail%26utm_source%3Dlink%26utm_campaign%3Dsig-email%26utm_content%3Demailclient&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=wl6pCFww4PCCz7iUnlp2xPrNg6Wqa4MYzWZ5WCR1RaQ%3D&reserved=0>
>>>>
>>>>             	
>>>>
>>>>             Virenfrei.www.avast.com
>>>>             <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.avast.com%2Fsig-email%3Futm_medium%3Demail%26utm_source%3Dlink%26utm_campaign%3Dsig-email%26utm_content%3Demailclient&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=wl6pCFww4PCCz7iUnlp2xPrNg6Wqa4MYzWZ5WCR1RaQ%3D&reserved=0>
>>>>
>>>>
>>>>             /The information contained in this e-mail, and any
>>>>             attachment, is confidential and is intended solely for
>>>>             the use of the intended recipient. Access, copying or
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>>>>             from your computer. The acadia.inc privacy policy is
>>>>             available on our website. /
>>>>
>>>>
>>>>         The information contained in this e-mail, and any
>>>>         attachment, is confidential and is intended solely for the
>>>>         use of the intended recipient. Access, copying or re-use of
>>>>         the e-mail or any attachment, or any information contained
>>>>         therein, by any other person is not authorized. If you are
>>>>         not the intended recipient please return the e-mail to the
>>>>         sender and delete it from your computer. The acadia.inc
>>>>         privacy policy is available on our website. 
>>>
>>>
>>>         _______________________________________________
>>>         QuantLib-dev mailing list
>>>         Qua...@li...
>>>         https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>         _______________________________________________
>>         QuantLib-dev mailing list
>>         Qua...@li...
>>         https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>

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Re: [Quantlib-users] [Quantlib-dev] ORE 7

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

Hi Ioannis

there is definitely no such thing as a "divorce from QuantLib" or any other
change in our dev strategy with release 7. That would be rather silly
indeed. Quite on the contrary I mentioned in a recent post that it would
make a lot of sense to consolidate some QuantExt classes with QuantLib to
reduce redundancies in (for example) the short rate models (in the
discussion around the Hull White 1F / GSR / LGM models, which are all
essentially the same).

What is the concrete issue you have? Can you elaborate a bit, maybe we can
help mitigating it until the libraries are more in line again. I am
actually aware of a breaking change in the inflation framework, this was
reported on github recently. This is something we should surely try to
straighten out relatively soon.

Thanks
Peter


On Sat, 8 Oct 2022 at 10:42, Ioannis Rigopoulos <qua...@de...>
wrote:

> Hi Roland, Peter,
>
> I am personally very keen on the continuous success of both QuantLib and
> ORE as I am using both in my Deriscope application, which is currently
> deployed successfully to a few bank clients, including trading desks.
>
> I have opted to link to both QuantLib and ORE because of their distinct
> competencies.
>
> Through the interaction with my clients, I often feel the need to edit
> certain code segments. In the past I tried to add my edits to the QuantLib
> and ORE main branches, but I have now refrained from this practice due to
> a) QuantLib team's "less-than-enthusiastic" response on issues I was
> raising and b) ORE's recent "disappearance".
>
> I felt very glad with ORE's comeback with release 7, its new Acadia
> venture and its commitment to regular quarterly releases to the point that
> I thought of transferring all my own code edits to the ORE main branch.
>
> But I see now that the ORE release 7 marks a kind of "divorce" from
> QuantLib, which is not good news for developers like me.
>
> To put it simply, I am now forced to choose one or the other:
>
> If I choose ORE, I will be distancing myself from the original QuantLib
> branch, which would be dangerous if tomorrow ORE stops being developed and
> also prohibit me from using recent additions to QuantLib that are not yet
> incorporated in the ORE releases.
>
> If I choose QuantLib, I will not be able to use ORE, which admittedly has
> very important stuff!
>
> A bit of an unfortunate deadlock really, which was not there until release
> 6.
>
> Ioannis
> On 10/8/2022 9:49 AM, Peter Caspers wrote:
>
> Hi Ioannis
>
> we try to keep the diff between the original QL and our fork as small as
> possible. These particular differences refer to
>
> https://github.com/lballabio/QuantLib/pull/1222
>
> which was needed to resolve major performance problems on our side. The
> discussion went a bit stale admittedly. I'll try to reignite it and flesh
> out the suggestions in the thread a bit more.
>
> Thank you
> Peter
>
>
>
> On Fri, 7 Oct 2022 at 19:29, Ioannis Rigopoulos <qua...@de...>
> wrote:
>
>> Hi Roland,
>>
>> I have managed to compile and build ORE using the forked QuantLib version
>> as suggested, but now I am stumbling on deep-rooted run time errors.
>>
>> It seems to me that the forked version of QuantLib deviates from the
>> original in quite deep and subtle ways to the point that the rest of my
>> code that used to work well with both ORE and QuantLib, now behaves in
>> unexpected ways.
>>
>> One example is the very important QuantLib class FloatingRateCoupon , of
>> which the original declaration
>>
>> class FloatingRateCoupon : public Coupon, public Observer
>>
>> has been changed to
>>
>> class FloatingRateCoupon : public Coupon, public LazyObject
>>
>> Another example that affected my run time behavior of OIS curve building
>> concerns the implementation of OISRateHelper::impliedQuote().
>>
>> The original QuantLib implementation contains the statement
>>
>> swap_->recalculate();
>>
>> The forked version has replaced the above with
>>
>> swap_->deepUpdate();
>>
>> It thus seems that the ORE version 7 marks a significant break from its
>> previous versions as it requires a profoundly different underlying QuantLib
>> code.
>>
>> I am sure that the ORE developers had good reasons for doing so, but the
>> sad fact is that developers like me have to decide between using the
>> original lballabio QuantLib branch or the one forked and maintained by ORE.
>>
>> Until ORE version 6, such a dilemma did not exist!
>>
>> Best regards,
>>
>> Ioannis
>> On 10/4/2022 12:59 PM, Ioannis Rigopoulos wrote:
>>
>> Thanks for the quick turnaround. I have already extracted the code using
>> git, but it is nice to have this download option as well.
>> On 10/4/2022 12:46 PM, Roland Lichters wrote:
>>
>> Hi Ioannis,
>>
>>
>>
>> That’s a good point, we have added a release zip/tgz to the QuantLib repo
>> in ORE:
>>
>>
>> https://github.com/OpenSourceRisk/QuantLib/releases/tag/ORE-QuantLib-v1.27.1
>>
>> I hope that works!
>>
>>
>>
>> Best regards,
>>
>> Roland
>>
>>
>>
>> *From: *Ioannis Rigopoulos <qua...@de...>
>> <qua...@de...>
>> *Date: *Tuesday, 4 October 2022 at 09:40
>> *To: *Roland Lichters <rol...@ac...>
>> <rol...@ac...>, QuantLib users
>> <qua...@li...>
>> <qua...@li...>, QuantLib Mailing Lists
>> <qua...@li...> <qua...@li...>
>> *Subject: *Re: [Quantlib-dev] ORE 7
>>
>> CAUTION: External email warning. This email originated from outside
>> acadia.inc. Beware of phishing attempts. Comply with all acadia.inc policy
>> to confirm sender identity before responding, forwarding, and especially
>> clicking links or opening attachments.
>>
>>
>>
>> Thanks for the quick reply Roland.
>>
>> I will certainly try your suggestion, although I am using GitHub Desktop
>> and I am not very familiar with the git dos commands.
>>
>> But since several people rely on the compressed forms (zip, tar) of the
>> ORE and QuantLib releases, I am wondering if it would be possible to also
>> provide the required QuantLib source code in compressed form, which is
>> anyway done for all the official ORE and QuantLib releases.
>>
>> For example, you will see at the page
>> https://github.com/OpenSourceRisk/Engine/releases/tag/v1.8.7.0
>> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk%2FEngine%2Freleases%2Ftag%2Fv1.8.7.0&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=3gnaMN97LTtKtZrRDG4GkT8op1tAABa%2BHjSWjvUZnz8%3D&reserved=0>
>> the compressed ORE code. It would be certainly helpful if the corresponding
>> QuantLib code could be similarly found somewhere, either as stand alone or
>> embedded in the ORE compressed file.
>>
>> Ioannis
>>
>> On 10/4/2022 9:03 AM, Roland Lichters wrote:
>>
>> Hi Ioannis,
>>
>>
>>
>> Ah, maybe that wasn’t clear in the mail, we use a fork of QuantLib 1.27.1
>> with a few changes.
>>
>> So when you build ORE from sources on gihub, then please do a
>>
>> git submodule update --init
>>
>> That checks out our QuantLib 1.27.1 fork, and it should remove your build
>> errors.
>>
>>
>>
>> Best regards,
>>
>> Roland
>>
>>
>>
>> *From: *Ioannis Rigopoulos <qua...@de...>
>> <qua...@de...>
>> *Date: *Monday, 3 October 2022 at 17:47
>> *To: *Roland Lichters <rol...@ac...>
>> <rol...@ac...>, QuantLib users
>> <qua...@li...>
>> <qua...@li...>, QuantLib Mailing Lists
>> <qua...@li...> <qua...@li...>
>> *Subject: *Re: [Quantlib-dev] ORE 7
>>
>> CAUTION: External email warning. This email originated from outside
>> acadia.inc. Beware of phishing attempts. Comply with all acadia.inc policy
>> to confirm sender identity before responding, forwarding, and especially
>> clicking links or opening attachments.
>>
>>
>>
>> Thank you Roland for this new release, but I have experienced several
>> compilation errors when trying to build the QuantExt library.
>>
>> I am using the official release of the 1.27.1 version of the QuantLib
>> library as suggested in your email.
>>
>> One simple example of the several failures concerns the second CPICoupon
>> constructor implemented online in the header cpicoupon.hpp
>>
>> Its top part looks as below:
>>
>>
>>
>> *CPICoupon(Real baseCPI,               const Date& baseDate, // user
>> provided, could be arbitrary               const Date& paymentDate, Real
>> nominal, const Date& startDate, const Date& endDate,*
>>
>> *              (... more input arguments here ...)*
>>
>>
>> *     : QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal,
>> startDate, endDate, index,                               observationLag,*
>>
>> The compile-time error is caused by the implementation line:
>>
>> *QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal, startDate,
>> endDate, index,*
>>
>> The above line passes the argument *baseDate *to the constructor of the *QuantLib::CPICoupon
>> *class.
>>
>> But this fails because the CPICoupon class in QuantLib does not contain
>> any constructor that expects a second argument of type Date.
>>
>> Best regards,
>>
>> Ioannis Rigopoulos
>>
>>
>>
>> On 9/22/2022 5:29 PM, Roland Lichters via QuantLib-dev wrote:
>>
>> Dear all,
>>
>>
>>
>> we have just published the 7th release of ORE and ORE-SWIG, updating the
>> codebase at https://github.com/OpenSourceRisk
>> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=E5qyW6bz6HQr%2F7oX8jjB6CapFKyvOT%2BGsG5yjmE8jgo%3D&reserved=0>.
>> ORE 7 depends on QuantLib 1.27.1 and QuantLib-SWIG 1.27.
>>
>>
>>
>> The release contains many fixes and improvements over the past year that
>> were triggered by our main sponsor’s (Acadia) use of ORE in their Initial
>> Margin Risk Generator services.  The full release notes can be found in the
>> user guide under the DOCUMENTATION menu on https://opensourcerisk.org
>> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fopensourcerisk.org%2F&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=0NJEv%2BU4J7%2BpBN8A0GiK47iTduCXRaGVnc5fQZcoHlU%3D&reserved=0>
>> .
>>
>>
>>
>> With this release we have started publishing a wide range of additional
>> financial instruments. You will see various Equity/FX Exotics in this
>> release. Commodity, Credit, Hybrids, Exotics with scripted payoffs will
>> follow in the next releases in quarterly steps, see also the Acadia press
>> release and roadmap here
>> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.acadia.inc%2Fnews%2Facadia-announces-seventh-release-of-open-source-risk-engine-with-quarterly-releases-to-follow&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=F0Uj0LGndGDHUqM573QS2VPbSGKfv%2FSCAz1nMYxJztM%3D&reserved=0>.
>>
>>
>>
>>
>> If you want to hear from Acadia about latest ORE developments, then feel
>> free to sign up here
>> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fshare.hsforms.com%2F1eqcUZ-9_QdSH__M7_YPSig43ul4&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=s5ye1RwJNE3OVVAPYeXyAaDyPI8iW7De8TE1lnVxuMI%3D&reserved=0>
>> to receive updates by email.
>>
>> Please explore ORE – download the release executable, or clone the
>> repositories and build.
>>
>>
>>
>> As usual, all feedback is welcome!
>>
>>
>>
>> Best regards,
>>
>> Roland
>>
>>
>> *The information contained in this e-mail, and any attachment, is
>> confidential and is intended solely for the use of the intended recipient.
>> Access, copying or re-use of the e-mail or any attachment, or any
>> information contained therein, by any other person is not authorized. If
>> you are not the intended recipient please return the e-mail to the sender
>> and delete it from your computer. The acadia.inc privacy policy is
>> available on our website. *
>>
>>
>>
>> _______________________________________________
>>
>> QuantLib-dev mailing list
>>
>> Qua...@li...
>>
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Flists.sourceforge.net%2Flists%2Flistinfo%2Fquantlib-dev&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=TqiZ79kCKWOAYyYp5j9dsrhEATGPZJ6iCvM7RnPu0mE%3D&reserved=0>
>>
>>
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>> confidential and is intended solely for the use of the intended recipient.
>> Access, copying or re-use of the e-mail or any attachment, or any
>> information contained therein, by any other person is not authorized. If
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>> and delete it from your computer. The acadia.inc privacy policy is
>> available on our website. *
>>
>>
>> The information contained in this e-mail, and any attachment, is
>> confidential and is intended solely for the use of the intended recipient.
>> Access, copying or re-use of the e-mail or any attachment, or any
>> information contained therein, by any other person is not authorized. If
>> you are not the intended recipient please return the e-mail to the sender
>> and delete it from your computer. The acadia.inc privacy policy is
>> available on our website.
>>
>>
>>
>> _______________________________________________
>> QuantLib-dev mailing lis...@li...://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
>> _______________________________________________
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>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
>

Re: [Quantlib-users] Bermudan swaption engine for GSR model?

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

Hi Mark

1) no - the model and the engine do not interoperate
2) there is no GSR engine for American swaptions, for Bermudan
swaptions you can use Gaussian1dSwaptionEngine,
Gaussian1dNonstandardSwaptionEngine

Kind Regards
Peter

On Fri, 7 Oct 2022 at 16:50, Mark <gr...@gm...> wrote:
>
> Hi,
>
> I used GSR model with Gaussian1dSwaptionEngine for bermudan swaption, I can get some result, but if I used GSR together with TreeSwaptionEngine, I will get below error. So I have two questions:
> 1)  are we able to use GSR together with TreeSwaptionEngine?
> 2) Is there some particular swaption engine for Bermudan swaption and American swaption compatible with GSR model?
>
> Thanks,
> Mark
>
>
> TypeError: Wrong number or type of arguments for overloaded function 'new_TreeSwaptionEngine'.
>   Possible C/C++ prototypes are:
>     TreeSwaptionEngine::TreeSwaptionEngine(ext::shared_ptr< ShortRateModel > const &,Size,Handle< YieldTermStructure > const &)
>     TreeSwaptionEngine::TreeSwaptionEngine(ext::shared_ptr< ShortRateModel > const &,Size)
>     TreeSwaptionEngine::TreeSwaptionEngine(ext::shared_ptr< ShortRateModel > const &,TimeGrid const &,Handle< YieldTermStructure > const &)
>     TreeSwaptionEngine::TreeSwaptionEngine(ext::shared_ptr< ShortRateModel > const &,TimeGrid const &)
>     TreeSwaptionEngine::TreeSwaptionEngine(Handle< ShortRateModel > const &,Size,Handle< YieldTermStructure > const &)
>     TreeSwaptionEngine::TreeSwaptionEngine(Handle< ShortRateModel > const &,Size)
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

Re: [Quantlib-users] [Quantlib-dev] ORE 7

[Ioannis R. <qua...@de...>]

Hi Roland, Peter,

I am personally very keen on the continuous success of both QuantLib and 
ORE as I am using both in my Deriscope application, which is currently 
deployed successfully to a few bank clients, including trading desks.

I have opted to link to both QuantLib and ORE because of their distinct 
competencies.

Through the interaction with my clients, I often feel the need to edit 
certain code segments. In the past I tried to add my edits to the 
QuantLib and ORE main branches, but I have now refrained from this 
practice due to a) QuantLib team's "less-than-enthusiastic" response on 
issues I was raising and b) ORE's recent "disappearance".

I felt very glad with ORE's comeback with release 7, its new Acadia 
venture and its commitment to regular quarterly releases to the point 
that I thought of transferring all my own code edits to the ORE main branch.

But I see now that the ORE release 7 marks a kind of "divorce" from 
QuantLib, which is not good news for developers like me.

To put it simply, I am now forced to choose one or the other:

If I choose ORE, I will be distancing myself from the original QuantLib 
branch, which would be dangerous if tomorrow ORE stops being developed 
and also prohibit me from using recent additions to QuantLib that are 
not yet incorporated in the ORE releases.

If I choose QuantLib, I will not be able to use ORE, which admittedly 
has very important stuff!

A bit of an unfortunate deadlock really, which was not there until 
release 6.

Ioannis

On 10/8/2022 9:49 AM, Peter Caspers wrote:
> Hi Ioannis
>
> we try to keep the diff between the original QL and our fork as small 
> as possible. These particular differences refer to
>
> https://github.com/lballabio/QuantLib/pull/1222
>
> which was needed to resolve major performance problems on our side. 
> The discussion went a bit stale admittedly. I'll try to reignite it 
> and flesh out the suggestions in the thread a bit more.
>
> Thank you
> Peter
>
>
>
> On Fri, 7 Oct 2022 at 19:29, Ioannis Rigopoulos 
> <qua...@de...> wrote:
>
>     Hi Roland,
>
>     I have managed to compile and build ORE using the forked QuantLib
>     version as suggested, but now I am stumbling on deep-rooted run
>     time errors.
>
>     It seems to me that the forked version of QuantLib deviates from
>     the original in quite deep and subtle ways to the point that the
>     rest of my code that used to work well with both ORE and QuantLib,
>     now behaves in unexpected ways.
>
>     One example is the very important QuantLib class
>     FloatingRateCoupon , of which the original declaration
>
>     class FloatingRateCoupon : public Coupon, public Observer
>
>     has been changed to
>
>     class FloatingRateCoupon : public Coupon, public LazyObject
>
>     Another example that affected my run time behavior of OIS curve
>     building concerns the implementation of OISRateHelper::impliedQuote().
>
>     The original QuantLib implementation contains the statement
>
>     swap_->recalculate();
>
>     The forked version has replaced the above with
>
>     swap_->deepUpdate();
>
>     It thus seems that the ORE version 7 marks a significant break
>     from its previous versions as it requires a profoundly different
>     underlying QuantLib code.
>
>     I am sure that the ORE developers had good reasons for doing so,
>     but the sad fact is that developers like me have to decide between
>     using the original lballabio QuantLib branch or the one forked and
>     maintained by ORE.
>
>     Until ORE version 6, such a dilemma did not exist!
>
>     Best regards,
>
>     Ioannis
>
>     On 10/4/2022 12:59 PM, Ioannis Rigopoulos wrote:
>>
>>     Thanks for the quick turnaround. I have already extracted the
>>     code using git, but it is nice to have this download option as well.
>>
>>     On 10/4/2022 12:46 PM, Roland Lichters wrote:
>>>
>>>     Hi Ioannis,
>>>
>>>     That’s a good point, we have added a release zip/tgz to the
>>>     QuantLib repo in ORE:
>>>
>>>     https://github.com/OpenSourceRisk/QuantLib/releases/tag/ORE-QuantLib-v1.27.1
>>>
>>>     I hope that works!
>>>
>>>     Best regards,
>>>
>>>     Roland
>>>
>>>     *From: *Ioannis Rigopoulos <qua...@de...>
>>>     <mailto:qua...@de...>
>>>     *Date: *Tuesday, 4 October 2022 at 09:40
>>>     *To: *Roland Lichters <rol...@ac...>
>>>     <mailto:rol...@ac...>, QuantLib users
>>>     <qua...@li...>
>>>     <mailto:qua...@li...>, QuantLib Mailing
>>>     Lists <qua...@li...>
>>>     <mailto:qua...@li...>
>>>     *Subject: *Re: [Quantlib-dev] ORE 7
>>>
>>>     CAUTION:External email warning. This email originated from
>>>     outside acadia.inc. Beware of phishing attempts. Comply with all
>>>     acadia.inc policy to confirm sender identity before responding,
>>>     forwarding, and especially clicking links or opening attachments.
>>>
>>>     Thanks for the quick reply Roland.
>>>
>>>     I will certainly try your suggestion, although I am using GitHub
>>>     Desktop and I am not very familiar with the git dos commands.
>>>
>>>     But since several people rely on the compressed forms (zip, tar)
>>>     of the ORE and QuantLib releases, I am wondering if it would be
>>>     possible to also provide the required QuantLib source code in
>>>     compressed form, which is anyway done for all the official ORE
>>>     and QuantLib releases.
>>>
>>>     For example, you will see at the page
>>>     https://github.com/OpenSourceRisk/Engine/releases/tag/v1.8.7.0
>>>     <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk%2FEngine%2Freleases%2Ftag%2Fv1.8.7.0&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=3gnaMN97LTtKtZrRDG4GkT8op1tAABa%2BHjSWjvUZnz8%3D&reserved=0>
>>>     the compressed ORE code. It would be certainly helpful if the
>>>     corresponding QuantLib code could be similarly found somewhere,
>>>     either as stand alone or embedded in the ORE compressed file.
>>>
>>>     Ioannis
>>>
>>>     On 10/4/2022 9:03 AM, Roland Lichters wrote:
>>>
>>>         Hi Ioannis,
>>>
>>>         Ah, maybe that wasn’t clear in the mail, we use a fork of
>>>         QuantLib 1.27.1 with a few changes.
>>>
>>>         So when you build ORE from sources on gihub, then please do a
>>>
>>>         git submodule update --init
>>>
>>>         That checks out our QuantLib 1.27.1 fork, and it should
>>>         remove your build errors.
>>>
>>>         Best regards,
>>>
>>>         Roland
>>>
>>>         *From: *Ioannis Rigopoulos <qua...@de...>
>>>         <mailto:qua...@de...>
>>>         *Date: *Monday, 3 October 2022 at 17:47
>>>         *To: *Roland Lichters <rol...@ac...>
>>>         <mailto:rol...@ac...>, QuantLib users
>>>         <qua...@li...>
>>>         <mailto:qua...@li...>, QuantLib
>>>         Mailing Lists <qua...@li...>
>>>         <mailto:qua...@li...>
>>>         *Subject: *Re: [Quantlib-dev] ORE 7
>>>
>>>         CAUTION:External email warning. This email originated from
>>>         outside acadia.inc. Beware of phishing attempts. Comply with
>>>         all acadia.inc policy to confirm sender identity before
>>>         responding, forwarding, and especially clicking links or
>>>         opening attachments.
>>>
>>>         Thank you Roland for this new release, but I have
>>>         experienced several compilation errors when trying to build
>>>         the QuantExt library.
>>>
>>>         I am using the official release of the 1.27.1 version of the
>>>         QuantLib library as suggested in your email.
>>>
>>>         One simple example of the several failures concerns the
>>>         second CPICoupon constructor implemented online in the
>>>         header cpicoupon.hpp
>>>
>>>         Its top part looks as below:
>>>
>>>         */CPICoupon(Real baseCPI,
>>>                       const Date& baseDate, // user provided, could
>>>         be arbitrary
>>>                       const Date& paymentDate, Real nominal, const
>>>         Date& startDate, const Date& endDate,/*
>>>
>>>         */              (... more input arguments here ...)/*
>>>
>>>         */     : QuantLib::CPICoupon(baseCPI, baseDate, paymentDate,
>>>         nominal, startDate, endDate, index,
>>>         observationLag,/*
>>>
>>>         The compile-time error is caused by the implementation line:
>>>
>>>         */QuantLib::CPICoupon(baseCPI, baseDate, paymentDate,
>>>         nominal, startDate, endDate, index,/*
>>>
>>>         The above line passes the argument */baseDate /*to the
>>>         constructor of the */QuantLib::CPICoupon /*class.
>>>
>>>         But this fails because the CPICoupon class in QuantLib does
>>>         not contain any constructor that expects a second argument
>>>         of type Date.
>>>
>>>         Best regards,
>>>
>>>         Ioannis Rigopoulos
>>>
>>>         On 9/22/2022 5:29 PM, Roland Lichters via QuantLib-dev wrote:
>>>
>>>             Dear all,
>>>
>>>             we have just published the 7th release of ORE and
>>>             ORE-SWIG, updating the codebase at
>>>             https://github.com/OpenSourceRisk
>>>             <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=E5qyW6bz6HQr%2F7oX8jjB6CapFKyvOT%2BGsG5yjmE8jgo%3D&reserved=0>.
>>>             ORE 7 depends on QuantLib 1.27.1 and QuantLib-SWIG 1.27.
>>>
>>>             The release contains many fixes and improvements over
>>>             the past year that were triggered by our main sponsor’s
>>>             (Acadia) use of ORE in their Initial Margin Risk
>>>             Generator services.  The full release notes can be found
>>>             in the user guide under the DOCUMENTATION menu on
>>>             https://opensourcerisk.org
>>>             <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fopensourcerisk.org%2F&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=0NJEv%2BU4J7%2BpBN8A0GiK47iTduCXRaGVnc5fQZcoHlU%3D&reserved=0>.
>>>
>>>             With this release we have started publishing a wide
>>>             range of additional financial instruments. You will see
>>>             various Equity/FX Exotics in this release. Commodity,
>>>             Credit, Hybrids, Exotics with scripted payoffs will
>>>             follow in the next releases in quarterly steps, see also
>>>             the Acadia press release and roadmap here
>>>             <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.acadia.inc%2Fnews%2Facadia-announces-seventh-release-of-open-source-risk-engine-with-quarterly-releases-to-follow&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=F0Uj0LGndGDHUqM573QS2VPbSGKfv%2FSCAz1nMYxJztM%3D&reserved=0>.
>>>
>>>
>>>             If you want to hear from Acadia about latest ORE
>>>             developments, then feel free to sign up here
>>>             <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fshare.hsforms.com%2F1eqcUZ-9_QdSH__M7_YPSig43ul4&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=s5ye1RwJNE3OVVAPYeXyAaDyPI8iW7De8TE1lnVxuMI%3D&reserved=0>
>>>             to receive updates by email.
>>>
>>>             Please explore ORE – download the release executable, or
>>>             clone the repositories and build.
>>>
>>>             As usual, all feedback is welcome!
>>>
>>>             Best regards,
>>>
>>>             Roland
>>>
>>>
>>>             /The information contained in this e-mail, and any
>>>             attachment, is confidential and is intended solely for
>>>             the use of the intended recipient. Access, copying or
>>>             re-use of the e-mail or any attachment, or any
>>>             information contained therein, by any other person is
>>>             not authorized. If you are not the intended recipient
>>>             please return the e-mail to the sender and delete it
>>>             from your computer. The acadia.inc privacy policy is
>>>             available on our website. /
>>>
>>>
>>>
>>>             _______________________________________________
>>>
>>>             QuantLib-dev mailing list
>>>
>>>             Qua...@li...
>>>
>>>             https://lists.sourceforge.net/lists/listinfo/quantlib-dev  <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Flists.sourceforge.net%2Flists%2Flistinfo%2Fquantlib-dev&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=TqiZ79kCKWOAYyYp5j9dsrhEATGPZJ6iCvM7RnPu0mE%3D&reserved=0>
>>>
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>>
>>
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Re: [Quantlib-users] [Quantlib-dev] ORE 7

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

Hi Ioannis

we try to keep the diff between the original QL and our fork as small as
possible. These particular differences refer to

https://github.com/lballabio/QuantLib/pull/1222

which was needed to resolve major performance problems on our side. The
discussion went a bit stale admittedly. I'll try to reignite it and flesh
out the suggestions in the thread a bit more.

Thank you
Peter



On Fri, 7 Oct 2022 at 19:29, Ioannis Rigopoulos <qua...@de...>
wrote:

> Hi Roland,
>
> I have managed to compile and build ORE using the forked QuantLib version
> as suggested, but now I am stumbling on deep-rooted run time errors.
>
> It seems to me that the forked version of QuantLib deviates from the
> original in quite deep and subtle ways to the point that the rest of my
> code that used to work well with both ORE and QuantLib, now behaves in
> unexpected ways.
>
> One example is the very important QuantLib class FloatingRateCoupon , of
> which the original declaration
>
> class FloatingRateCoupon : public Coupon, public Observer
>
> has been changed to
>
> class FloatingRateCoupon : public Coupon, public LazyObject
>
> Another example that affected my run time behavior of OIS curve building
> concerns the implementation of OISRateHelper::impliedQuote().
>
> The original QuantLib implementation contains the statement
>
> swap_->recalculate();
>
> The forked version has replaced the above with
>
> swap_->deepUpdate();
>
> It thus seems that the ORE version 7 marks a significant break from its
> previous versions as it requires a profoundly different underlying QuantLib
> code.
>
> I am sure that the ORE developers had good reasons for doing so, but the
> sad fact is that developers like me have to decide between using the
> original lballabio QuantLib branch or the one forked and maintained by ORE.
>
> Until ORE version 6, such a dilemma did not exist!
>
> Best regards,
>
> Ioannis
> On 10/4/2022 12:59 PM, Ioannis Rigopoulos wrote:
>
> Thanks for the quick turnaround. I have already extracted the code using
> git, but it is nice to have this download option as well.
> On 10/4/2022 12:46 PM, Roland Lichters wrote:
>
> Hi Ioannis,
>
>
>
> That’s a good point, we have added a release zip/tgz to the QuantLib repo
> in ORE:
>
>
> https://github.com/OpenSourceRisk/QuantLib/releases/tag/ORE-QuantLib-v1.27.1
>
> I hope that works!
>
>
>
> Best regards,
>
> Roland
>
>
>
> *From: *Ioannis Rigopoulos <qua...@de...>
> <qua...@de...>
> *Date: *Tuesday, 4 October 2022 at 09:40
> *To: *Roland Lichters <rol...@ac...>
> <rol...@ac...>, QuantLib users
> <qua...@li...>
> <qua...@li...>, QuantLib Mailing Lists
> <qua...@li...> <qua...@li...>
> *Subject: *Re: [Quantlib-dev] ORE 7
>
> CAUTION: External email warning. This email originated from outside
> acadia.inc. Beware of phishing attempts. Comply with all acadia.inc policy
> to confirm sender identity before responding, forwarding, and especially
> clicking links or opening attachments.
>
>
>
> Thanks for the quick reply Roland.
>
> I will certainly try your suggestion, although I am using GitHub Desktop
> and I am not very familiar with the git dos commands.
>
> But since several people rely on the compressed forms (zip, tar) of the
> ORE and QuantLib releases, I am wondering if it would be possible to also
> provide the required QuantLib source code in compressed form, which is
> anyway done for all the official ORE and QuantLib releases.
>
> For example, you will see at the page
> https://github.com/OpenSourceRisk/Engine/releases/tag/v1.8.7.0
> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk%2FEngine%2Freleases%2Ftag%2Fv1.8.7.0&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=3gnaMN97LTtKtZrRDG4GkT8op1tAABa%2BHjSWjvUZnz8%3D&reserved=0>
> the compressed ORE code. It would be certainly helpful if the corresponding
> QuantLib code could be similarly found somewhere, either as stand alone or
> embedded in the ORE compressed file.
>
> Ioannis
>
> On 10/4/2022 9:03 AM, Roland Lichters wrote:
>
> Hi Ioannis,
>
>
>
> Ah, maybe that wasn’t clear in the mail, we use a fork of QuantLib 1.27.1
> with a few changes.
>
> So when you build ORE from sources on gihub, then please do a
>
> git submodule update --init
>
> That checks out our QuantLib 1.27.1 fork, and it should remove your build
> errors.
>
>
>
> Best regards,
>
> Roland
>
>
>
> *From: *Ioannis Rigopoulos <qua...@de...>
> <qua...@de...>
> *Date: *Monday, 3 October 2022 at 17:47
> *To: *Roland Lichters <rol...@ac...>
> <rol...@ac...>, QuantLib users
> <qua...@li...>
> <qua...@li...>, QuantLib Mailing Lists
> <qua...@li...> <qua...@li...>
> *Subject: *Re: [Quantlib-dev] ORE 7
>
> CAUTION: External email warning. This email originated from outside
> acadia.inc. Beware of phishing attempts. Comply with all acadia.inc policy
> to confirm sender identity before responding, forwarding, and especially
> clicking links or opening attachments.
>
>
>
> Thank you Roland for this new release, but I have experienced several
> compilation errors when trying to build the QuantExt library.
>
> I am using the official release of the 1.27.1 version of the QuantLib
> library as suggested in your email.
>
> One simple example of the several failures concerns the second CPICoupon
> constructor implemented online in the header cpicoupon.hpp
>
> Its top part looks as below:
>
>
>
> *CPICoupon(Real baseCPI,               const Date& baseDate, // user
> provided, could be arbitrary               const Date& paymentDate, Real
> nominal, const Date& startDate, const Date& endDate,*
>
> *              (... more input arguments here ...)*
>
>
> *     : QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal,
> startDate, endDate, index,                               observationLag,*
>
> The compile-time error is caused by the implementation line:
>
> *QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal, startDate,
> endDate, index,*
>
> The above line passes the argument *baseDate *to the constructor of the *QuantLib::CPICoupon
> *class.
>
> But this fails because the CPICoupon class in QuantLib does not contain
> any constructor that expects a second argument of type Date.
>
> Best regards,
>
> Ioannis Rigopoulos
>
>
>
> On 9/22/2022 5:29 PM, Roland Lichters via QuantLib-dev wrote:
>
> Dear all,
>
>
>
> we have just published the 7th release of ORE and ORE-SWIG, updating the
> codebase at https://github.com/OpenSourceRisk
> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=E5qyW6bz6HQr%2F7oX8jjB6CapFKyvOT%2BGsG5yjmE8jgo%3D&reserved=0>.
> ORE 7 depends on QuantLib 1.27.1 and QuantLib-SWIG 1.27.
>
>
>
> The release contains many fixes and improvements over the past year that
> were triggered by our main sponsor’s (Acadia) use of ORE in their Initial
> Margin Risk Generator services.  The full release notes can be found in the
> user guide under the DOCUMENTATION menu on https://opensourcerisk.org
> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fopensourcerisk.org%2F&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=0NJEv%2BU4J7%2BpBN8A0GiK47iTduCXRaGVnc5fQZcoHlU%3D&reserved=0>
> .
>
>
>
> With this release we have started publishing a wide range of additional
> financial instruments. You will see various Equity/FX Exotics in this
> release. Commodity, Credit, Hybrids, Exotics with scripted payoffs will
> follow in the next releases in quarterly steps, see also the Acadia press
> release and roadmap here
> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.acadia.inc%2Fnews%2Facadia-announces-seventh-release-of-open-source-risk-engine-with-quarterly-releases-to-follow&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=F0Uj0LGndGDHUqM573QS2VPbSGKfv%2FSCAz1nMYxJztM%3D&reserved=0>.
>
>
>
>
> If you want to hear from Acadia about latest ORE developments, then feel
> free to sign up here
> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fshare.hsforms.com%2F1eqcUZ-9_QdSH__M7_YPSig43ul4&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=s5ye1RwJNE3OVVAPYeXyAaDyPI8iW7De8TE1lnVxuMI%3D&reserved=0>
> to receive updates by email.
>
> Please explore ORE – download the release executable, or clone the
> repositories and build.
>
>
>
> As usual, all feedback is welcome!
>
>
>
> Best regards,
>
> Roland
>
>
> *The information contained in this e-mail, and any attachment, is
> confidential and is intended solely for the use of the intended recipient.
> Access, copying or re-use of the e-mail or any attachment, or any
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> you are not the intended recipient please return the e-mail to the sender
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>
>
>
> _______________________________________________
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>
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> available on our website. *
>
>
> The information contained in this e-mail, and any attachment, is
> confidential and is intended solely for the use of the intended recipient.
> Access, copying or re-use of the e-mail or any attachment, or any
> information contained therein, by any other person is not authorized. If
> you are not the intended recipient please return the e-mail to the sender
> and delete it from your computer. The acadia.inc privacy policy is
> available on our website.
>
>
>
> _______________________________________________
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>
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>

Re: [Quantlib-users] [Quantlib-dev] ORE 7

[Ioannis R. <qua...@de...>]

Hi Roland,

I have managed to compile and build ORE using the forked QuantLib 
version as suggested, but now I am stumbling on deep-rooted run time errors.

It seems to me that the forked version of QuantLib deviates from the 
original in quite deep and subtle ways to the point that the rest of my 
code that used to work well with both ORE and QuantLib, now behaves in 
unexpected ways.

One example is the very important QuantLib class FloatingRateCoupon , of 
which the original declaration

class FloatingRateCoupon : public Coupon, public Observer

has been changed to

class FloatingRateCoupon : public Coupon, public LazyObject

Another example that affected my run time behavior of OIS curve building 
concerns the implementation of OISRateHelper::impliedQuote().

The original QuantLib implementation contains the statement

swap_->recalculate();

The forked version has replaced the above with

swap_->deepUpdate();

It thus seems that the ORE version 7 marks a significant break from its 
previous versions as it requires a profoundly different underlying 
QuantLib code.

I am sure that the ORE developers had good reasons for doing so, but the 
sad fact is that developers like me have to decide between using the 
original lballabio QuantLib branch or the one forked and maintained by ORE.

Until ORE version 6, such a dilemma did not exist!

Best regards,

Ioannis

On 10/4/2022 12:59 PM, Ioannis Rigopoulos wrote:
>
> Thanks for the quick turnaround. I have already extracted the code 
> using git, but it is nice to have this download option as well.
>
> On 10/4/2022 12:46 PM, Roland Lichters wrote:
>>
>> Hi Ioannis,
>>
>> That’s a good point, we have added a release zip/tgz to the QuantLib 
>> repo in ORE:
>>
>> https://github.com/OpenSourceRisk/QuantLib/releases/tag/ORE-QuantLib-v1.27.1
>>
>> I hope that works!
>>
>> Best regards,
>>
>> Roland
>>
>> *From: *Ioannis Rigopoulos <qua...@de...>
>> *Date: *Tuesday, 4 October 2022 at 09:40
>> *To: *Roland Lichters <rol...@ac...>, QuantLib users 
>> <qua...@li...>, QuantLib Mailing Lists 
>> <qua...@li...>
>> *Subject: *Re: [Quantlib-dev] ORE 7
>>
>> CAUTION:External email warning. This email originated from outside 
>> acadia.inc. Beware of phishing attempts. Comply with all acadia.inc 
>> policy to confirm sender identity before responding, forwarding, and 
>> especially clicking links or opening attachments.
>>
>> Thanks for the quick reply Roland.
>>
>> I will certainly try your suggestion, although I am using GitHub 
>> Desktop and I am not very familiar with the git dos commands.
>>
>> But since several people rely on the compressed forms (zip, tar) of 
>> the ORE and QuantLib releases, I am wondering if it would be possible 
>> to also provide the required QuantLib source code in compressed form, 
>> which is anyway done for all the official ORE and QuantLib releases.
>>
>> For example, you will see at the page 
>> https://github.com/OpenSourceRisk/Engine/releases/tag/v1.8.7.0 
>> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk%2FEngine%2Freleases%2Ftag%2Fv1.8.7.0&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=3gnaMN97LTtKtZrRDG4GkT8op1tAABa%2BHjSWjvUZnz8%3D&reserved=0> 
>> the compressed ORE code. It would be certainly helpful if the 
>> corresponding QuantLib code could be similarly found somewhere, 
>> either as stand alone or embedded in the ORE compressed file.
>>
>> Ioannis
>>
>> On 10/4/2022 9:03 AM, Roland Lichters wrote:
>>
>>     Hi Ioannis,
>>
>>     Ah, maybe that wasn’t clear in the mail, we use a fork of
>>     QuantLib 1.27.1 with a few changes.
>>
>>     So when you build ORE from sources on gihub, then please do a
>>
>>     git submodule update --init
>>
>>     That checks out our QuantLib 1.27.1 fork, and it should remove
>>     your build errors.
>>
>>     Best regards,
>>
>>     Roland
>>
>>     *From: *Ioannis Rigopoulos <qua...@de...>
>>     <mailto:qua...@de...>
>>     *Date: *Monday, 3 October 2022 at 17:47
>>     *To: *Roland Lichters <rol...@ac...>
>>     <mailto:rol...@ac...>, QuantLib users
>>     <qua...@li...>
>>     <mailto:qua...@li...>, QuantLib Mailing
>>     Lists <qua...@li...>
>>     <mailto:qua...@li...>
>>     *Subject: *Re: [Quantlib-dev] ORE 7
>>
>>     CAUTION:External email warning. This email originated from
>>     outside acadia.inc. Beware of phishing attempts. Comply with all
>>     acadia.inc policy to confirm sender identity before responding,
>>     forwarding, and especially clicking links or opening attachments.
>>
>>     Thank you Roland for this new release, but I have experienced
>>     several compilation errors when trying to build the QuantExt library.
>>
>>     I am using the official release of the 1.27.1 version of the
>>     QuantLib library as suggested in your email.
>>
>>     One simple example of the several failures concerns the second
>>     CPICoupon constructor implemented online in the header cpicoupon.hpp
>>
>>     Its top part looks as below:
>>
>>     */CPICoupon(Real baseCPI,
>>                   const Date& baseDate, // user provided, could be
>>     arbitrary
>>                   const Date& paymentDate, Real nominal, const Date&
>>     startDate, const Date& endDate,/*
>>
>>     */              (... more input arguments here ...)/*
>>
>>     */     : QuantLib::CPICoupon(baseCPI, baseDate, paymentDate,
>>     nominal, startDate, endDate, index,
>>                                   observationLag,/*
>>
>>     The compile-time error is caused by the implementation line:
>>
>>     */QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal,
>>     startDate, endDate, index,/*
>>
>>     The above line passes the argument */baseDate /*to the
>>     constructor of the */QuantLib::CPICoupon /*class.
>>
>>     But this fails because the CPICoupon class in QuantLib does not
>>     contain any constructor that expects a second argument of type Date.
>>
>>     Best regards,
>>
>>     Ioannis Rigopoulos
>>
>>     On 9/22/2022 5:29 PM, Roland Lichters via QuantLib-dev wrote:
>>
>>         Dear all,
>>
>>         we have just published the 7th release of ORE and ORE-SWIG,
>>         updating the codebase at https://github.com/OpenSourceRisk
>>         <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=E5qyW6bz6HQr%2F7oX8jjB6CapFKyvOT%2BGsG5yjmE8jgo%3D&reserved=0>.
>>         ORE 7 depends on QuantLib 1.27.1 and QuantLib-SWIG 1.27.
>>
>>         The release contains many fixes and improvements over the
>>         past year that were triggered by our main sponsor’s (Acadia)
>>         use of ORE in their Initial Margin Risk Generator services. 
>>         The full release notes can be found in the user guide under
>>         the DOCUMENTATION menu on https://opensourcerisk.org
>>         <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fopensourcerisk.org%2F&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=0NJEv%2BU4J7%2BpBN8A0GiK47iTduCXRaGVnc5fQZcoHlU%3D&reserved=0>.
>>
>>         With this release we have started publishing a wide range of
>>         additional financial instruments. You will see various
>>         Equity/FX Exotics in this release. Commodity, Credit,
>>         Hybrids, Exotics with scripted payoffs will follow in the
>>         next releases in quarterly steps, see also the Acadia press
>>         release and roadmap here
>>         <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.acadia.inc%2Fnews%2Facadia-announces-seventh-release-of-open-source-risk-engine-with-quarterly-releases-to-follow&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=F0Uj0LGndGDHUqM573QS2VPbSGKfv%2FSCAz1nMYxJztM%3D&reserved=0>.
>>
>>
>>         If you want to hear from Acadia about latest ORE
>>         developments, then feel free to sign up here
>>         <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fshare.hsforms.com%2F1eqcUZ-9_QdSH__M7_YPSig43ul4&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=s5ye1RwJNE3OVVAPYeXyAaDyPI8iW7De8TE1lnVxuMI%3D&reserved=0>
>>         to receive updates by email.
>>
>>         Please explore ORE – download the release executable, or
>>         clone the repositories and build.
>>
>>         As usual, all feedback is welcome!
>>
>>         Best regards,
>>
>>         Roland
>>
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[Quantlib-users] Bermudan swaption engine for GSR model?

[Mark <gr...@gm...>]

Hi,

I used GSR model with Gaussian1dSwaptionEngine for bermudan swaption, I can
get some result, but if I used GSR together with TreeSwaptionEngine, I will
get below error. So I have two questions:
1)  are we able to use GSR together with TreeSwaptionEngine?
2) Is there some particular swaption engine for Bermudan swaption and
American swaption compatible with GSR model?

Thanks,
Mark


TypeError: Wrong number or type of arguments for overloaded function
'new_TreeSwaptionEngine'.
  Possible C/C++ prototypes are:
    TreeSwaptionEngine::TreeSwaptionEngine(ext::shared_ptr<
ShortRateModel > const &,Size,Handle< YieldTermStructure > const &)
    TreeSwaptionEngine::TreeSwaptionEngine(ext::shared_ptr<
ShortRateModel > const &,Size)
    TreeSwaptionEngine::TreeSwaptionEngine(ext::shared_ptr<
ShortRateModel > const &,TimeGrid const &,Handle< YieldTermStructure >
const &)
    TreeSwaptionEngine::TreeSwaptionEngine(ext::shared_ptr<
ShortRateModel > const &,TimeGrid const &)
    TreeSwaptionEngine::TreeSwaptionEngine(Handle< ShortRateModel >
const &,Size,Handle< YieldTermStructure > const &)
    TreeSwaptionEngine::TreeSwaptionEngine(Handle< ShortRateModel >
const &,Size)

[Quantlib-users] Getting different theta when using BlackVarianceSurface and constant Vol

[Dan V. <dan...@gm...>]

Hi,

I am running into an issue where quantlib outputs different thetas whether
i price with a blackvariancesurface or with the constant vol extracted from
the surface.

I have a vol surface from the market on the SPX index. Not all
strikes/maturities are populated. In addition, there could potentially be
arbitrages in short maturities since we have lots of daily options and I am
not correcting yet for arbitrages.

Yet when building a BlackVarianceSurface with this data and price a vanilla
option, I expect that option to be priced with a constant vol interpolated
from the grid.

When I pass the surface object to the pricer I am getting a very different
theta (and therefore breakeven vol) from simply passing the constant vol
taken from the surface.

Could you help me understand exactly how QLIB handles the surface and how
is theta computed ?

Thank you very very much.

Here's some sample code that compares a constant vol with a surface vol
pricing. Notice how the theta changes between the 2 cases leading to a very
different break even vol.


import pandas as pd, QuantLib as ql, math, numpy as npfrom datetime
import datetime


def from_YYYYMMDD_to_ql_date(ymd):
    ymd = int(ymd)
    year = math.floor(ymd / 10000)
    month = int(ymd / 100) % 100
    day = ymd % 100

    ql_date = ql.Date(day, month, year)
    return ql_date


def run_test():

    ####################################################################
    ####            Global Variables
    ####################################################################
    pricing_date = datetime.strptime('20220916', '%Y%m%d')
    ql_pricing_date = ql.Date(16, 9, 2022)
    calendar = ql.UnitedStates(ql.UnitedStates.Settlement)
    day_counter = ql.ActualActual()
    spot = 3876.00
    spot_handle = ql.QuoteHandle(ql.SimpleQuote(spot))
    flat_ts = ql.YieldTermStructureHandle(ql.FlatForward(ql_pricing_date,
0, day_counter))
    dividend_yield =
ql.YieldTermStructureHandle(ql.FlatForward(ql_pricing_date, 0,
day_counter))
    K = 3800
    ql_date_expiry = ql.Date(16, 12, 2022)
    exercise = ql.EuropeanExercise(ql_date_expiry)
    payoff = ql.PlainVanillaPayoff(ql.Option.Put, strike=K)


    ####################################################################
    ####            Build Vol surface
    ####################################################################
    list_opts = []
    expirations = [datetime.strptime('20220921', '%Y%m%d'),
datetime.strptime('20221118', '%Y%m%d'), datetime.strptime('20221216',
'%Y%m%d'), ]
    list_opts.append([pricing_date, expirations[0], 3800., 45.])
    list_opts.append([pricing_date, expirations[0], 3900., 40.])

    list_opts.append([pricing_date, expirations[1], 3800., 27.])
    list_opts.append([pricing_date, expirations[1], 3900., 25.])

    list_opts.append([pricing_date, expirations[2], 3800., 37.])
    list_opts.append([pricing_date, expirations[2], 3900., 31.])

    df = pd.DataFrame(list_opts, columns=['date', 'maturity', 'strike', 'vol'])

    df['ymd'] = df['maturity'].dt.strftime('%Y%m%d')
    df['q_exp_dates'] = df['ymd'].apply(from_YYYYMMDD_to_ql_date)

    strikes = sorted(df.strike.unique())
    expirations = sorted(df['q_exp_dates'].unique())

    df['strike_idx'] = df['strike'].apply(lambda x: strikes.index(x))
    df['expiry_idx'] = df['q_exp_dates'].apply(lambda x: expirations.index(x))

    volMat_np = np.full((len(strikes), len(expirations)), np.nan)

    for strk, exp, vol in zip(df['strike_idx'], df['expiry_idx'], df['vol']):
        volMat_np[strk][exp] = vol / 100

    df_vals = pd.DataFrame(volMat_np, index=strikes, columns=expirations)
    print(df_vals)

    ql_Matrix = ql.Matrix(len(strikes), len(expirations), np.nan)
    for i in range(len(strikes)):
        for j in range(len(expirations)):
            ql_Matrix[i][j] = volMat_np[i, j]


    ####################################################################
    ####            We build 1 vol surface and a constant vol =
BlackVol(surface)
    ####################################################################

    vol_process = ql.BlackVarianceSurface(ql_pricing_date, calendar,
expirations, strikes,
                                          ql_Matrix, day_counter)

    option_vol = vol_process.blackVol(ql_date_expiry,K)
    constant_vol = ql.BlackConstantVol(ql_pricing_date, calendar,
option_vol, day_counter)

    ####################################################################
    ####            Build Process
    ####################################################################

    process_surface = ql.BlackScholesMertonProcess(spot_handle,
dividendTS=dividend_yield, riskFreeTS=flat_ts,

volTS=ql.BlackVolTermStructureHandle(vol_process))

    process_constant = ql.BlackScholesMertonProcess(spot_handle,
dividendTS=dividend_yield, riskFreeTS=flat_ts,

volTS=ql.BlackVolTermStructureHandle(constant_vol))


    ####################################################################
    ####            Build Option to price
    ####################################################################
    option_surface = ql.DividendVanillaOption(payoff, exercise, [], [])
    engine_surface = ql.FdBlackScholesVanillaEngine(process_surface, 200, 200)
    option_surface.setPricingEngine(engine_surface)

    option_constant = ql.DividendVanillaOption(payoff, exercise, [], [])
    engine_constant = ql.FdBlackScholesVanillaEngine(process_constant, 200, 200)
    option_constant.setPricingEngine(engine_constant)

    prc_cst = option_constant.NPV()
    gamma_cst = option_constant.gamma()
    theta_cst = option_constant.theta() / 252. # biz day theta
    vol_be_sqrt252_cst = round(math.sqrt(-2. * theta_cst / (gamma_cst
* spot ** 2)) * math.sqrt(252),4)      # calculate theta-gamma break
even vol to estimate what vol is being used by quantlib
    print(f'Option details')
    print(f'-------------------------------------------------')
    print(f'Maturity: {ql_date_expiry}')
    print(f'Strike: {K}')
    print(f'Vol from surface: {option_vol}')
    print(f'')
    print(f'-------------------------------------------------')
    print(f'Constant vol case')
    print(f'-----------------')
    print(f'Option price: {prc_cst}')
    print(f'Option gamma: {gamma_cst}')
    print(f'Option theta: {theta_cst}')
    print(f'Break even Vol = {vol_be_sqrt252_cst} should be {option_vol}')

    prc_surface = option_surface.NPV()
    gamma_surface = option_surface.gamma()
    theta_surface = option_surface.theta() / 252. # biz day theta
    vol_be_sqrt252_surface = round(math.sqrt(-2. * theta_surface /
(gamma_surface * spot ** 2)) * math.sqrt(252),4)      # calculate
theta-gamma break even vol to estimate what vol is being used by
quantlib
    print(f'-------------------------------------------------')
    print(f'Vol Surface case')
    print(f'----------------')
    print(f'Option price: {prc_surface}')
    print(f'Option gamma: {gamma_surface}')
    print(f'Option theta: {theta_surface}')
    print(f'Break even Vol = {vol_be_sqrt252_surface} should be {option_vol}')


if __name__ == '__main__':
    run_test()



We get the following results:

            September 21st, 2022  November 18th, 2022  December 16th, 2022
    3800.0                  0.45                 0.27                 0.37
    3900.0                  0.40                 0.25                 0.31
    Option details
    -------------------------------------------------
    Maturity: December 16th, 2022
    Strike: 3800
    Vol from surface: 0.37

    -------------------------------------------------
    Constant vol case
    -----------------
    Option price: 246.10555275972283
    Option gamma: 0.0005462073912642451
    Option theta: -2.2348817578128877
    Break even Vol = 0.3705 should be 0.37
    -------------------------------------------------
    Vol Surface case
    ----------------
    Option price: 246.10595637993455
    Option gamma: 0.0005462035022605052
    Option theta: -3.3101198905503284
    Break even Vol = 0.4509 should be 0.37

If you change the vol surface to something which is not arbitrable but
still has high very short term vol, the problem persists and even
accentuates. In all cases the difference appears on the theta. The price of
the option does not change.

list_opts.append([pricing_date, expirations[0], 3800., 45.])
list_opts.append([pricing_date, expirations[0], 3900., 40.])

list_opts.append([pricing_date, expirations[1], 3800., 27.])
list_opts.append([pricing_date, expirations[1], 3900., 25.])

list_opts.append([pricing_date, expirations[2], 3800., 27.])
list_opts.append([pricing_date, expirations[2], 3900., 25.])

We get the following:

Option details
-------------------------------------------------
Maturity: December 16th, 2022
Strike: 3800
Vol from surface: 0.27

-------------------------------------------------Constant vol case
-----------------
Option price: 170.495477037466
Option gamma: 0.0007462620578669159
Option theta: -1.6258437988242298Break even Vol = 0.2703 should be 0.27
-------------------------------------------------Vol Surface case
----------------
Option price: 170.49560335893932
Option gamma: 0.0007462597949764497
Option theta: -4.538109308076177
Break even Vol = 0.4517 should be 0.27


Thank you very much

Re: [Quantlib-users] QuantLib - nagitive time given.

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

Hello,
    looking at your snippet, I would say you're setting the evaluation date
to 11/18/2021 but the spot curve starts at 9/30/2022.  There are probably
coupons that pay between those two dates and need to be discounted, but
they're before the start of the curve so the code complains of a negative
time.

Luigi


On Mon, Oct 3, 2022 at 3:12 PM Lasha Daushvili <las...@gm...>
wrote:

> Hi I Have a problem with QuantLib C# Wrapper,
> There is code snippet,
>
> Please help me :)
>
> DateTime date = DateTime.Parse("9/30/2022");
>
>             var dSettlementDate = new Date(date.ToString("dd/MM/yyyy"),
> "dd/mm/yyyy");
>             Settings.instance().setEvaluationDate(dSettlementDate);
>             var spot_dates = new DateVector();
>             var spot_rates = new DoubleVector();
>
>             //spot_dates.Add(new
> Date(DateTime.Parse("9/30/2022").Date.ToString("dd/MM/yyyy"),
> "dd/mm/yyyy"));
>             //spot_rates.Add((double)10.6372 / 100.0);
>
>             spot_dates.Add(new
> Date(DateTime.Parse("10/01/2022").Date.ToString("dd/MM/yyyy"),
> "dd/mm/yyyy"));
>             spot_rates.Add((double)10.6372 / 100.0);
>
>             spot_dates.Add(new
> Date(DateTime.Parse("10/2/2022").Date.ToString("dd/MM/yyyy"),
> "dd/mm/yyyy"));
>             spot_rates.Add((double)10.6372 / 100.0);
>
>             spot_dates.Add(new
> Date(DateTime.Parse("10/8/2022").Date.ToString("dd/MM/yyyy"),
> "dd/mm/yyyy"));
>             spot_rates.Add((double)10.6372 / 100.0);
>
>             spot_dates.Add(new
> Date(DateTime.Parse("10/15/2022").Date.ToString("dd/MM/yyyy"),
> "dd/mm/yyyy"));
>             spot_rates.Add((double)10.6079 / 100.0);
>
>             spot_dates.Add(new
> Date(DateTime.Parse("10/31/2022").Date.ToString("dd/MM/yyyy"),
> "dd/mm/yyyy"));
>             spot_rates.Add((double)10.5428 / 100.0);
>
>             spot_dates.Add(new
> Date(DateTime.Parse("12/1/2022").Date.ToString("dd/MM/yyyy"),
> "dd/mm/yyyy"));
>             spot_rates.Add((double)10.4244 / 100.0);
>
>             spot_dates.Add(new
> Date(DateTime.Parse("12/31/2022").Date.ToString("dd/MM/yyyy"),
> "dd/mm/yyyy"));
>             spot_rates.Add((double)10.3189 / 100.0);
>
>             spot_dates.Add(new
> Date(DateTime.Parse("3/31/2023").Date.ToString("dd/MM/yyyy"),
> "dd/mm/yyyy"));
>             spot_rates.Add((double)10.0451 / 100.0);
>
>             spot_dates.Add(new
> Date(DateTime.Parse("10/1/2023").Date.ToString("dd/MM/yyyy"),
> "dd/mm/yyyy"));
>             spot_rates.Add((double)9.6805 / 100.0);
>
>             spot_dates.Add(new
> Date(DateTime.Parse("10/1/2024").Date.ToString("dd/MM/yyyy"),
> "dd/mm/yyyy"));
>             spot_rates.Add((double)9.3918 / 100.0);
>
>             spot_dates.Add(new
> Date(DateTime.Parse("10/1/2027").Date.ToString("dd/MM/yyyy"),
> "dd/mm/yyyy"));
>             spot_rates.Add((double)9.6234 / 100.0);
>
>             spot_dates.Add(new
> Date(DateTime.Parse("10/1/2032").Date.ToString("dd/MM/yyyy"),
> "dd/mm/yyyy"));
>             spot_rates.Add((double)10.0937 / 100.0);
>
>             var curveDayCounter = new Actual365Fixed();
>             var curveCalendar = new NullCalendar();
>             var curveInterpolation = new Linear();
>             var curveCompounding = Compounding.Compounded;
>             var curveFrquency = Frequency.Semiannual;
>             var spot_curve = new ZeroCurve(spot_dates, spot_rates,
> curveDayCounter, curveCalendar, curveInterpolation, curveCompounding,
> curveFrquency);
>             var spot_curve_handle = new
> YieldTermStructureHandle(spot_curve);
>
>             var engine = new DiscountingBondEngine(spot_curve_handle);
>
>             DateTime startDate = DateTime.Parse("11/18/2021");
>             DateTime endDate = DateTime.Parse("9/27/2023");
>             DateTime paymentDate = DateTime.Parse("9/30/2022");
>
>             Settings.instance().setEvaluationDate(new
> Date(startDate.ToString("dd/MM/yyyy"), "dd/mm/yyyy"));
>             Calendar calendarQ = new WeekendsOnly();
>
>             Frequency frquency = Frequency.Semiannual;
>
>             DayCounter dayCounter = new
> ActualActual(ActualActual.Convention.ISMA);
>
>             Schedule schedule = new Schedule(new
> Date(startDate.ToString("dd/MM/yyyy"), "dd/mm/yyyy"),
>                                     new
> Date(endDate.ToString("dd/MM/yyyy"), "dd/mm/yyyy"),
>                                     new Period(frquency),
>                                     calendarQ,
>                                     BusinessDayConvention.Unadjusted,
>                                     BusinessDayConvention.Unadjusted,
>                                     DateGeneration.Rule.Backward,
>                                     false);
>
>             var bond = new FixedRateBond(0, //settlementDays,
>                                            100.0,
>                                            schedule,
>                                            new DoubleVector(1) { 0.07375 },
>                                            dayCounter,
>
>  BusinessDayConvention.Unadjusted,
>                                            100.0
>
>                                            );
>
>             bond.setPricingEngine(engine);
>
>             Settings.instance().setEvaluationDate(new
> Date(paymentDate.ToString("dd/MM/yyyy"), "dd/mm/yyyy"));
>             var CleanPrice = bond.NPV();
>
>             Console.WriteLine(CleanPrice);
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Re: [Quantlib-users] [Quantlib-dev] ORE 7

[Ioannis R. <qua...@de...>]

Thanks for the quick turnaround. I have already extracted the code using 
git, but it is nice to have this download option as well.

On 10/4/2022 12:46 PM, Roland Lichters wrote:
>
> Hi Ioannis,
>
> That’s a good point, we have added a release zip/tgz to the QuantLib 
> repo in ORE:
>
> https://github.com/OpenSourceRisk/QuantLib/releases/tag/ORE-QuantLib-v1.27.1
>
> I hope that works!
>
> Best regards,
>
> Roland
>
> *From: *Ioannis Rigopoulos <qua...@de...>
> *Date: *Tuesday, 4 October 2022 at 09:40
> *To: *Roland Lichters <rol...@ac...>, QuantLib users 
> <qua...@li...>, QuantLib Mailing Lists 
> <qua...@li...>
> *Subject: *Re: [Quantlib-dev] ORE 7
>
> CAUTION:External email warning. This email originated from outside 
> acadia.inc. Beware of phishing attempts. Comply with all acadia.inc 
> policy to confirm sender identity before responding, forwarding, and 
> especially clicking links or opening attachments.
>
> Thanks for the quick reply Roland.
>
> I will certainly try your suggestion, although I am using GitHub 
> Desktop and I am not very familiar with the git dos commands.
>
> But since several people rely on the compressed forms (zip, tar) of 
> the ORE and QuantLib releases, I am wondering if it would be possible 
> to also provide the required QuantLib source code in compressed form, 
> which is anyway done for all the official ORE and QuantLib releases.
>
> For example, you will see at the page 
> https://github.com/OpenSourceRisk/Engine/releases/tag/v1.8.7.0 
> <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk%2FEngine%2Freleases%2Ftag%2Fv1.8.7.0&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=3gnaMN97LTtKtZrRDG4GkT8op1tAABa%2BHjSWjvUZnz8%3D&reserved=0> 
> the compressed ORE code. It would be certainly helpful if the 
> corresponding QuantLib code could be similarly found somewhere, either 
> as stand alone or embedded in the ORE compressed file.
>
> Ioannis
>
> On 10/4/2022 9:03 AM, Roland Lichters wrote:
>
>     Hi Ioannis,
>
>     Ah, maybe that wasn’t clear in the mail, we use a fork of QuantLib
>     1.27.1 with a few changes.
>
>     So when you build ORE from sources on gihub, then please do a
>
>     git submodule update --init
>
>     That checks out our QuantLib 1.27.1 fork, and it should remove
>     your build errors.
>
>     Best regards,
>
>     Roland
>
>     *From: *Ioannis Rigopoulos <qua...@de...>
>     <mailto:qua...@de...>
>     *Date: *Monday, 3 October 2022 at 17:47
>     *To: *Roland Lichters <rol...@ac...>
>     <mailto:rol...@ac...>, QuantLib users
>     <qua...@li...>
>     <mailto:qua...@li...>, QuantLib Mailing
>     Lists <qua...@li...>
>     <mailto:qua...@li...>
>     *Subject: *Re: [Quantlib-dev] ORE 7
>
>     CAUTION:External email warning. This email originated from outside
>     acadia.inc. Beware of phishing attempts. Comply with all
>     acadia.inc policy to confirm sender identity before responding,
>     forwarding, and especially clicking links or opening attachments.
>
>     Thank you Roland for this new release, but I have experienced
>     several compilation errors when trying to build the QuantExt library.
>
>     I am using the official release of the 1.27.1 version of the
>     QuantLib library as suggested in your email.
>
>     One simple example of the several failures concerns the second
>     CPICoupon constructor implemented online in the header cpicoupon.hpp
>
>     Its top part looks as below:
>
>     */CPICoupon(Real baseCPI,
>                   const Date& baseDate, // user provided, could be
>     arbitrary
>                   const Date& paymentDate, Real nominal, const Date&
>     startDate, const Date& endDate,/*
>
>     */              (... more input arguments here ...)/*
>
>     */     : QuantLib::CPICoupon(baseCPI, baseDate, paymentDate,
>     nominal, startDate, endDate, index,
>                                   observationLag,/*
>
>     The compile-time error is caused by the implementation line:
>
>     */QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal,
>     startDate, endDate, index,/*
>
>     The above line passes the argument */baseDate /*to the constructor
>     of the */QuantLib::CPICoupon /*class.
>
>     But this fails because the CPICoupon class in QuantLib does not
>     contain any constructor that expects a second argument of type Date.
>
>     Best regards,
>
>     Ioannis Rigopoulos
>
>     On 9/22/2022 5:29 PM, Roland Lichters via QuantLib-dev wrote:
>
>         Dear all,
>
>         we have just published the 7th release of ORE and ORE-SWIG,
>         updating the codebase at https://github.com/OpenSourceRisk
>         <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=E5qyW6bz6HQr%2F7oX8jjB6CapFKyvOT%2BGsG5yjmE8jgo%3D&reserved=0>.
>         ORE 7 depends on QuantLib 1.27.1 and QuantLib-SWIG 1.27.
>
>         The release contains many fixes and improvements over the past
>         year that were triggered by our main sponsor’s (Acadia) use of
>         ORE in their Initial Margin Risk Generator services.  The full
>         release notes can be found in the user guide under the
>         DOCUMENTATION menu on https://opensourcerisk.org
>         <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fopensourcerisk.org%2F&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=0NJEv%2BU4J7%2BpBN8A0GiK47iTduCXRaGVnc5fQZcoHlU%3D&reserved=0>.
>
>         With this release we have started publishing a wide range of
>         additional financial instruments. You will see various
>         Equity/FX Exotics in this release. Commodity, Credit, Hybrids,
>         Exotics with scripted payoffs will follow in the next releases
>         in quarterly steps, see also the Acadia press release and
>         roadmap here
>         <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.acadia.inc%2Fnews%2Facadia-announces-seventh-release-of-open-source-risk-engine-with-quarterly-releases-to-follow&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=F0Uj0LGndGDHUqM573QS2VPbSGKfv%2FSCAz1nMYxJztM%3D&reserved=0>.
>
>
>         If you want to hear from Acadia about latest ORE developments,
>         then feel free to sign up here
>         <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fshare.hsforms.com%2F1eqcUZ-9_QdSH__M7_YPSig43ul4&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=s5ye1RwJNE3OVVAPYeXyAaDyPI8iW7De8TE1lnVxuMI%3D&reserved=0>
>         to receive updates by email.
>
>         Please explore ORE – download the release executable, or clone
>         the repositories and build.
>
>         As usual, all feedback is welcome!
>
>         Best regards,
>
>         Roland
>
>
>         /The information contained in this e-mail, and any attachment,
>         is confidential and is intended solely for the use of the
>         intended recipient. Access, copying or re-use of the e-mail or
>         any attachment, or any information contained therein, by any
>         other person is not authorized. If you are not the intended
>         recipient please return the e-mail to the sender and delete it
>         from your computer. The acadia.inc privacy policy is available
>         on our website. /
>
>
>
>         _______________________________________________
>
>         QuantLib-dev mailing list
>
>         Qua...@li...
>
>         https://lists.sourceforge.net/lists/listinfo/quantlib-dev  <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Flists.sourceforge.net%2Flists%2Flistinfo%2Fquantlib-dev&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=TqiZ79kCKWOAYyYp5j9dsrhEATGPZJ6iCvM7RnPu0mE%3D&reserved=0>
>
>     width=
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>
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> The information contained in this e-mail, and any attachment, is 
> confidential and is intended solely for the use of the intended 
> recipient. Access, copying or re-use of the e-mail or any attachment, 
> or any information contained therein, by any other person is not 
> authorized. If you are not the intended recipient please return the 
> e-mail to the sender and delete it from your computer. The acadia.inc 
> privacy policy is available on our website. 

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Re: [Quantlib-users] [Quantlib-dev] ORE 7

[Roland L. <rol...@ac...>]

Hi Ioannis,

That’s a good point, we have added a release zip/tgz to the QuantLib repo in ORE:
https://github.com/OpenSourceRisk/QuantLib/releases/tag/ORE-QuantLib-v1.27.1
I hope that works!

Best regards,
Roland

From: Ioannis Rigopoulos <qua...@de...>
Date: Tuesday, 4 October 2022 at 09:40
To: Roland Lichters <rol...@ac...>, QuantLib users <qua...@li...>, QuantLib Mailing Lists <qua...@li...>
Subject: Re: [Quantlib-dev] ORE 7
CAUTION: External email warning. This email originated from outside acadia.inc. Beware of phishing attempts. Comply with all acadia.inc policy to confirm sender identity before responding, forwarding, and especially clicking links or opening attachments.


Thanks for the quick reply Roland.

I will certainly try your suggestion, although I am using GitHub Desktop and I am not very familiar with the git dos commands.

But since several people rely on the compressed forms (zip, tar) of the ORE and QuantLib releases, I am wondering if it would be possible to also provide the required QuantLib source code in compressed form, which is anyway done for all the official ORE and QuantLib releases.

For example, you will see at the page https://github.com/OpenSourceRisk/Engine/releases/tag/v1.8.7.0<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk%2FEngine%2Freleases%2Ftag%2Fv1.8.7.0&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=3gnaMN97LTtKtZrRDG4GkT8op1tAABa%2BHjSWjvUZnz8%3D&reserved=0> the compressed ORE code. It would be certainly helpful if the corresponding QuantLib code could be similarly found somewhere, either as stand alone or embedded in the ORE compressed file.

Ioannis
On 10/4/2022 9:03 AM, Roland Lichters wrote:
Hi Ioannis,

Ah, maybe that wasn’t clear in the mail, we use a fork of QuantLib 1.27.1 with a few changes.
So when you build ORE from sources on gihub, then please do a
git submodule update --init
That checks out our QuantLib 1.27.1 fork, and it should remove your build errors.

Best regards,
Roland

From: Ioannis Rigopoulos <qua...@de...><mailto:qua...@de...>
Date: Monday, 3 October 2022 at 17:47
To: Roland Lichters <rol...@ac...><mailto:rol...@ac...>, QuantLib users <qua...@li...><mailto:qua...@li...>, QuantLib Mailing Lists <qua...@li...><mailto:qua...@li...>
Subject: Re: [Quantlib-dev] ORE 7
CAUTION: External email warning. This email originated from outside acadia.inc. Beware of phishing attempts. Comply with all acadia.inc policy to confirm sender identity before responding, forwarding, and especially clicking links or opening attachments.


Thank you Roland for this new release, but I have experienced several compilation errors when trying to build the QuantExt library.

I am using the official release of the 1.27.1 version of the QuantLib library as suggested in your email.

One simple example of the several failures concerns the second CPICoupon constructor implemented online in the header cpicoupon.hpp

Its top part looks as below:

CPICoupon(Real baseCPI,
              const Date& baseDate, // user provided, could be arbitrary
              const Date& paymentDate, Real nominal, const Date& startDate, const Date& endDate,

              (... more input arguments here ...)

     : QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal, startDate, endDate, index,
                              observationLag,

The compile-time error is caused by the implementation line:

QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal, startDate, endDate, index,

The above line passes the argument baseDate to the constructor of the QuantLib::CPICoupon class.

But this fails because the CPICoupon class in QuantLib does not contain any constructor that expects a second argument of type Date.

Best regards,

Ioannis Rigopoulos


On 9/22/2022 5:29 PM, Roland Lichters via QuantLib-dev wrote:
Dear all,

we have just published the 7th release of ORE and ORE-SWIG, updating the codebase at https://github.com/OpenSourceRisk<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660004960075%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=E5qyW6bz6HQr%2F7oX8jjB6CapFKyvOT%2BGsG5yjmE8jgo%3D&reserved=0>. ORE 7 depends on QuantLib 1.27.1 and QuantLib-SWIG 1.27.

The release contains many fixes and improvements over the past year that were triggered by our main sponsor’s (Acadia) use of ORE in their Initial Margin Risk Generator services.  The full release notes can be found in the user guide under the DOCUMENTATION menu on https://opensourcerisk.org<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fopensourcerisk.org%2F&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=0NJEv%2BU4J7%2BpBN8A0GiK47iTduCXRaGVnc5fQZcoHlU%3D&reserved=0>.

With this release we have started publishing a wide range of additional financial instruments. You will see various Equity/FX Exotics in this release. Commodity, Credit, Hybrids, Exotics with scripted payoffs will follow in the next releases in quarterly steps, see also the Acadia press release and roadmap here<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.acadia.inc%2Fnews%2Facadia-announces-seventh-release-of-open-source-risk-engine-with-quarterly-releases-to-follow&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=F0Uj0LGndGDHUqM573QS2VPbSGKfv%2FSCAz1nMYxJztM%3D&reserved=0>.

If you want to hear from Acadia about latest ORE developments, then feel free to sign up here<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fshare.hsforms.com%2F1eqcUZ-9_QdSH__M7_YPSig43ul4&data=05%7C01%7Croland.lichters%40acadia.inc%7C293729e77b074113491608daa5dba252%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004660005116456%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=s5ye1RwJNE3OVVAPYeXyAaDyPI8iW7De8TE1lnVxuMI%3D&reserved=0> to receive updates by email.
Please explore ORE – download the release executable, or clone the repositories and build.

As usual, all feedback is welcome!

Best regards,
Roland

The information contained in this e-mail, and any attachment, is confidential and is intended solely for the use of the intended recipient. Access, copying or re-use of the e-mail or any attachment, or any information contained therein, by any other person is not authorized. If you are not the intended recipient please return the e-mail to the sender and delete it from your computer. The acadia.inc privacy policy is available on our website.




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The information contained in this e-mail, and any attachment, is confidential and is intended solely for the use of the intended recipient. Access, copying or re-use of the e-mail or any attachment, or any information contained therein, by any other person is not authorized. If you are not the intended recipient please return the e-mail to the sender and delete it from your computer. The acadia.inc privacy policy is available on our website.

Re: [Quantlib-users] [Quantlib-dev] ORE 7

[Roland L. <rol...@ac...>]

Hi Ioannis,

Ah, maybe that wasn’t clear in the mail, we use a fork of QuantLib 1.27.1 with a few changes.
So when you build ORE from sources on gihub, then please do a
git submodule update --init
That checks out our QuantLib 1.27.1 fork, and it should remove your build errors.

Best regards,
Roland

From: Ioannis Rigopoulos <qua...@de...>
Date: Monday, 3 October 2022 at 17:47
To: Roland Lichters <rol...@ac...>, QuantLib users <qua...@li...>, QuantLib Mailing Lists <qua...@li...>
Subject: Re: [Quantlib-dev] ORE 7
CAUTION: External email warning. This email originated from outside acadia.inc. Beware of phishing attempts. Comply with all acadia.inc policy to confirm sender identity before responding, forwarding, and especially clicking links or opening attachments.


Thank you Roland for this new release, but I have experienced several compilation errors when trying to build the QuantExt library.

I am using the official release of the 1.27.1 version of the QuantLib library as suggested in your email.

One simple example of the several failures concerns the second CPICoupon constructor implemented online in the header cpicoupon.hpp

Its top part looks as below:

CPICoupon(Real baseCPI,
              const Date& baseDate, // user provided, could be arbitrary
              const Date& paymentDate, Real nominal, const Date& startDate, const Date& endDate,

              (... more input arguments here ...)

     : QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal, startDate, endDate, index,
                              observationLag,

The compile-time error is caused by the implementation line:

QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal, startDate, endDate, index,

The above line passes the argument baseDate to the constructor of the QuantLib::CPICoupon class.

But this fails because the CPICoupon class in QuantLib does not contain any constructor that expects a second argument of type Date.

Best regards,

Ioannis Rigopoulos


On 9/22/2022 5:29 PM, Roland Lichters via QuantLib-dev wrote:
Dear all,

we have just published the 7th release of ORE and ORE-SWIG, updating the codebase at https://github.com/OpenSourceRisk<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk&data=05%7C01%7Croland.lichters%40acadia.inc%7C48c1d386056e45ec62a508daa5569e42%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004088729420906%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=LPP0kOqdG9yckEO2fmzg76v%2BMFVj%2BTF8HubQJq4rPIg%3D&reserved=0>. ORE 7 depends on QuantLib 1.27.1 and QuantLib-SWIG 1.27.

The release contains many fixes and improvements over the past year that were triggered by our main sponsor’s (Acadia) use of ORE in their Initial Margin Risk Generator services.  The full release notes can be found in the user guide under the DOCUMENTATION menu on https://opensourcerisk.org<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fopensourcerisk.org%2F&data=05%7C01%7Croland.lichters%40acadia.inc%7C48c1d386056e45ec62a508daa5569e42%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004088729420906%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=8W9iOtukCvdP783S3HsM14B90Bsst9N8hLewa17k2H0%3D&reserved=0>.

With this release we have started publishing a wide range of additional financial instruments. You will see various Equity/FX Exotics in this release. Commodity, Credit, Hybrids, Exotics with scripted payoffs will follow in the next releases in quarterly steps, see also the Acadia press release and roadmap here<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.acadia.inc%2Fnews%2Facadia-announces-seventh-release-of-open-source-risk-engine-with-quarterly-releases-to-follow&data=05%7C01%7Croland.lichters%40acadia.inc%7C48c1d386056e45ec62a508daa5569e42%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004088729420906%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=SHjyEn%2BwTT2sqbzhCjVeKNt0AiSysCNNja4fIUUEbbE%3D&reserved=0>.

If you want to hear from Acadia about latest ORE developments, then feel free to sign up here<https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fshare.hsforms.com%2F1eqcUZ-9_QdSH__M7_YPSig43ul4&data=05%7C01%7Croland.lichters%40acadia.inc%7C48c1d386056e45ec62a508daa5569e42%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004088729420906%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=qdkQ4IT3GNjLlDcdP4M%2FfAEwQd1kHryVWuam21s6csM%3D&reserved=0> to receive updates by email.
Please explore ORE – download the release executable, or clone the repositories and build.

As usual, all feedback is welcome!

Best regards,
Roland

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Re: [Quantlib-users] [Quantlib-dev] ORE 7

[Ioannis R. <qua...@de...>]

Thanks for the quick reply Roland.

I will certainly try your suggestion, although I am using GitHub Desktop 
and I am not very familiar with the git dos commands.

But since several people rely on the compressed forms (zip, tar) of the 
ORE and QuantLib releases, I am wondering if it would be possible to 
also provide the required QuantLib source code in compressed form, which 
is anyway done for all the official ORE and QuantLib releases.

For example, you will see at the page 
https://github.com/OpenSourceRisk/Engine/releases/tag/v1.8.7.0 the 
compressed ORE code. It would be certainly helpful if the corresponding 
QuantLib code could be similarly found somewhere, either as stand alone 
or embedded in the ORE compressed file.

Ioannis

On 10/4/2022 9:03 AM, Roland Lichters wrote:
>
> Hi Ioannis,
>
> Ah, maybe that wasn’t clear in the mail, we use a fork of QuantLib 
> 1.27.1 with a few changes.
>
> So when you build ORE from sources on gihub, then please do a
>
> git submodule update --init
>
> That checks out our QuantLib 1.27.1 fork, and it should remove your 
> build errors.
>
> Best regards,
>
> Roland
>
> *From: *Ioannis Rigopoulos <qua...@de...>
> *Date: *Monday, 3 October 2022 at 17:47
> *To: *Roland Lichters <rol...@ac...>, QuantLib users 
> <qua...@li...>, QuantLib Mailing Lists 
> <qua...@li...>
> *Subject: *Re: [Quantlib-dev] ORE 7
>
> CAUTION:External email warning. This email originated from outside 
> acadia.inc. Beware of phishing attempts. Comply with all acadia.inc 
> policy to confirm sender identity before responding, forwarding, and 
> especially clicking links or opening attachments.
>
> Thank you Roland for this new release, but I have experienced several 
> compilation errors when trying to build the QuantExt library.
>
> I am using the official release of the 1.27.1 version of the QuantLib 
> library as suggested in your email.
>
> One simple example of the several failures concerns the second 
> CPICoupon constructor implemented online in the header cpicoupon.hpp
>
> Its top part looks as below:
>
> */CPICoupon(Real baseCPI,
>               const Date& baseDate, // user provided, could be arbitrary
>               const Date& paymentDate, Real nominal, const Date& 
> startDate, const Date& endDate,/*
>
> */              (... more input arguments here ...)/*
>
> */     : QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal, 
> startDate, endDate, index,
>                               observationLag,/*
>
> The compile-time error is caused by the implementation line:
>
> */QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal, 
> startDate, endDate, index,/*
>
> The above line passes the argument */baseDate /*to the constructor of 
> the */QuantLib::CPICoupon /*class.
>
> But this fails because the CPICoupon class in QuantLib does not 
> contain any constructor that expects a second argument of type Date.
>
> Best regards,
>
> Ioannis Rigopoulos
>
> On 9/22/2022 5:29 PM, Roland Lichters via QuantLib-dev wrote:
>
>     Dear all,
>
>     we have just published the 7th release of ORE and ORE-SWIG,
>     updating the codebase at https://github.com/OpenSourceRisk
>     <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fgithub.com%2FOpenSourceRisk&data=05%7C01%7Croland.lichters%40acadia.inc%7C48c1d386056e45ec62a508daa5569e42%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004088729420906%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=LPP0kOqdG9yckEO2fmzg76v%2BMFVj%2BTF8HubQJq4rPIg%3D&reserved=0>.
>     ORE 7 depends on QuantLib 1.27.1 and QuantLib-SWIG 1.27.
>
>     The release contains many fixes and improvements over the past
>     year that were triggered by our main sponsor’s (Acadia) use of ORE
>     in their Initial Margin Risk Generator services.  The full release
>     notes can be found in the user guide under the DOCUMENTATION menu
>     on https://opensourcerisk.org
>     <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fopensourcerisk.org%2F&data=05%7C01%7Croland.lichters%40acadia.inc%7C48c1d386056e45ec62a508daa5569e42%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004088729420906%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=8W9iOtukCvdP783S3HsM14B90Bsst9N8hLewa17k2H0%3D&reserved=0>.
>
>     With this release we have started publishing a wide range of
>     additional financial instruments. You will see various Equity/FX
>     Exotics in this release. Commodity, Credit, Hybrids, Exotics with
>     scripted payoffs will follow in the next releases in quarterly
>     steps, see also the Acadia press release and roadmap here
>     <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.acadia.inc%2Fnews%2Facadia-announces-seventh-release-of-open-source-risk-engine-with-quarterly-releases-to-follow&data=05%7C01%7Croland.lichters%40acadia.inc%7C48c1d386056e45ec62a508daa5569e42%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004088729420906%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=SHjyEn%2BwTT2sqbzhCjVeKNt0AiSysCNNja4fIUUEbbE%3D&reserved=0>.
>
>
>     If you want to hear from Acadia about latest ORE developments,
>     then feel free to sign up here
>     <https://nam10.safelinks.protection.outlook.com/?url=https%3A%2F%2Fshare.hsforms.com%2F1eqcUZ-9_QdSH__M7_YPSig43ul4&data=05%7C01%7Croland.lichters%40acadia.inc%7C48c1d386056e45ec62a508daa5569e42%7Cf432debe2aae495fb2dfe8458cace1da%7C0%7C0%7C638004088729420906%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=qdkQ4IT3GNjLlDcdP4M%2FfAEwQd1kHryVWuam21s6csM%3D&reserved=0>
>     to receive updates by email.
>
>     Please explore ORE – download the release executable, or clone the
>     repositories and build.
>
>     As usual, all feedback is welcome!
>
>     Best regards,
>
>     Roland
>
>
>     /The information contained in this e-mail, and any attachment, is
>     confidential and is intended solely for the use of the intended
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>
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Re: [Quantlib-users] Query on Partial Time Barriers

[Ashish B. <ash...@gm...>]

Thanks for the help. I found information regarding the B1 and B2 in Haug
but no information regarding the *cover event date* parameter. Not sure
what that date is used for and what should be populated in there.

It seems PTB Put is not supported so will not be much useful for me. Let me
try few scenarios when it is exposed to SWIG under release 1.28.

Regards
Ashish

On Mon, Oct 3, 2022, 1:04 AM Luigi Ballabio <lui...@gm...>
wrote:

> Hello,
>     there seems to be no documentation in the library.  However, I think
> the definition of the instrument and the implemented formula were described
> in the Haug book, so you might be able to look it up in there.
>
> Hope this helps,
>     Luigi
>
>
> On Wed, Aug 31, 2022 at 3:34 PM Ashish Bansal <ash...@gm...>
> wrote:
>
>> Hi all,
>>
>> Thanks to *Ignacio Anguita* for exposing the Partial Time Barrier to
>> SWIG.
>>
>> I have a query on the partial time barrier code. The partial time barrier
>> takes the following parameters:
>>   PartialTimeBarrierOption
>> <https://rkapl123.github.io/QLAnnotatedSource/da/dff/class_quant_lib_1_1_partial_time_barrier_option.html#ab8da08fcc53903a7acc616bad018c41f>
>>  (PartialBarrier::Type
>> <https://rkapl123.github.io/QLAnnotatedSource/de/d3f/struct_quant_lib_1_1_barrier.html#a1d1cfd8ffb84e947f82999c682b666a7>
>>  barrierType, PartialBarrier::Range
>> <https://rkapl123.github.io/QLAnnotatedSource/dd/d8c/struct_quant_lib_1_1_partial_barrier.html#a1b00d070baaf3fae8b605e1b7c578c11>
>>  barrierRange, Real
>> <https://rkapl123.github.io/QLAnnotatedSource/d6/d59/group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78>
>>  barrier, Real
>> <https://rkapl123.github.io/QLAnnotatedSource/d6/d59/group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78>
>>  rebate, Date
>> <https://rkapl123.github.io/QLAnnotatedSource/db/d60/class_quant_lib_1_1_date.html> coverEventDate,
>> const ext::shared_ptr< StrikedTypePayoff
>> <https://rkapl123.github.io/QLAnnotatedSource/d1/d0d/class_quant_lib_1_1_striked_type_payoff.html> >
>> &payoff
>> <https://rkapl123.github.io/QLAnnotatedSource/d2/df1/class_quant_lib_1_1_option.html#a90fda1cc5aac8151c1c05c22a130ba44>,
>> const ext::shared_ptr< Exercise
>> <https://rkapl123.github.io/QLAnnotatedSource/dd/db4/class_quant_lib_1_1_exercise.html> >
>> &exercise
>> <https://rkapl123.github.io/QLAnnotatedSource/d2/df1/class_quant_lib_1_1_option.html#a4522b2c0857c9f8a24a7f9bf9600a3e0>
>> )
>>
>> https://rkapl123.github.io/QLAnnotatedSource/da/dff/class_quant_lib_1_1_partial_time_barrier_option.html
>>
>> Here most of the parameters are the same as barrier options except
>> Barrier Range and coverEventDate.
>>
>> Could you guide me on the following:
>> 1. What is *coverEventDate*?
>> 2. *barrierRange* seems to be the barrier range when the barrier is
>> active. In it Start and end date are self explanatory and looks like
>> barrier period start and end. What does EndB1 and EndB2 mean? These are
>> important for knock-out barriers as per the code. Pasting the code below.
>> 3. Lastly, could we run this code for barrier trades with a barrierRange
>> of 1 day i.e. same date in Start and End/EndB1. I need to price the barrier
>> option where the barrier is only active on the expiry date; kind of a
>> European option where the strike for exercise check is different from
>> strike for settlement.
>>
>> Barrier range code:
>> ====================================================================
>> Range
>> <https://rkapl123.github.io/QLAnnotatedSource/dd/d8c/struct_quant_lib_1_1_partial_barrier.html#a1b00d070baaf3fae8b605e1b7c578c11>
>>  { Start
>> <https://rkapl123.github.io/QLAnnotatedSource/dd/d8c/struct_quant_lib_1_1_partial_barrier.html#a1b00d070baaf3fae8b605e1b7c578c11abd5f9c956752ce4dc707b4624b3a36f7>
>> , End
>> <https://rkapl123.github.io/QLAnnotatedSource/dd/d8c/struct_quant_lib_1_1_partial_barrier.html#a1b00d070baaf3fae8b605e1b7c578c11a667876a6f108081ad524d7d29d23d506>
>> , EndB1
>> <https://rkapl123.github.io/QLAnnotatedSource/dd/d8c/struct_quant_lib_1_1_partial_barrier.html#a1b00d070baaf3fae8b605e1b7c578c11a30c5d1087c14b857484dfb4cad6e28d2>
>> , EndB2
>> <https://rkapl123.github.io/QLAnnotatedSource/dd/d8c/struct_quant_lib_1_1_partial_barrier.html#a1b00d070baaf3fae8b605e1b7c578c11abbc2243a0c6f322be3cf6fe2c57fbc93>
>>  }
>>
>> https://rkapl123.github.io/QLAnnotatedSource/dd/d8c/struct_quant_lib_1_1_partial_barrier.html#a1b00d070baaf3fae8b605e1b7c578c11abd5f9c956752ce4dc707b4624b3a36f7
>>
>> ----------------------------------------------------------------------------------------------------------------------------------
>>   // checking barrier type and suitable barrier range
>> 61  switch (barrierType) {
>> 62  case PartialBarrier::DownIn
>> <https://rkapl123.github.io/QLAnnotatedSource/de/d3f/struct_quant_lib_1_1_barrier.html#a1d1cfd8ffb84e947f82999c682b666a7a6ab88de83b4e4e5bb228513984281c5f>
>> :
>> 63  case PartialBarrier::UpIn
>> <https://rkapl123.github.io/QLAnnotatedSource/de/d3f/struct_quant_lib_1_1_barrier.html#a1d1cfd8ffb84e947f82999c682b666a7a8f909ed7a2ba7d90bc6cc0c0d06d6f43>
>> :
>> 64  QL_REQUIRE(barrierRange == PartialBarrier::Start
>> <https://rkapl123.github.io/QLAnnotatedSource/dd/d8c/struct_quant_lib_1_1_partial_barrier.html#a1b00d070baaf3fae8b605e1b7c578c11abd5f9c956752ce4dc707b4624b3a36f7>
>> ||
>> 65  barrierRange == PartialBarrier::End
>> <https://rkapl123.github.io/QLAnnotatedSource/dd/d8c/struct_quant_lib_1_1_partial_barrier.html#a1b00d070baaf3fae8b605e1b7c578c11a667876a6f108081ad524d7d29d23d506>
>> ,
>> 66  "in-barrier requires Start or End range");
>> 67  break;
>> 68  case PartialBarrier::DownOut
>> <https://rkapl123.github.io/QLAnnotatedSource/de/d3f/struct_quant_lib_1_1_barrier.html#a1d1cfd8ffb84e947f82999c682b666a7a9defe9c8312773f17477f4a17f4c8292>
>> :
>> 69  case PartialBarrier::UpOut
>> <https://rkapl123.github.io/QLAnnotatedSource/de/d3f/struct_quant_lib_1_1_barrier.html#a1d1cfd8ffb84e947f82999c682b666a7aebd63d98ea3bbdd87adceafd229d6edc>
>> :
>> 70  QL_REQUIRE(barrierRange == PartialBarrier::Start
>> <https://rkapl123.github.io/QLAnnotatedSource/dd/d8c/struct_quant_lib_1_1_partial_barrier.html#a1b00d070baaf3fae8b605e1b7c578c11abd5f9c956752ce4dc707b4624b3a36f7>
>> ||
>> 71  barrierRange == PartialBarrier::EndB1
>> <https://rkapl123.github.io/QLAnnotatedSource/dd/d8c/struct_quant_lib_1_1_partial_barrier.html#a1b00d070baaf3fae8b605e1b7c578c11a30c5d1087c14b857484dfb4cad6e28d2>
>> ||
>> 72  barrierRange == PartialBarrier::EndB2
>> <https://rkapl123.github.io/QLAnnotatedSource/dd/d8c/struct_quant_lib_1_1_partial_barrier.html#a1b00d070baaf3fae8b605e1b7c578c11abbc2243a0c6f322be3cf6fe2c57fbc93>
>> ,
>> 73  "out-barrier requires Start, EndB1 or EndB2 range");
>> 74  break;
>> 75  default:
>> 76  QL_FAIL("unknown barrier type");
>>
>> https://rkapl123.github.io/QLAnnotatedSource/de/d9b/partialtimebarrieroption_8cpp_source.html
>> ==========================================================================
>>
>> Thanks in advance.
>>
>> Regards,
>> Ashish
>>
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>

Re: [Quantlib-users] [Quantlib-dev] ORE 7

[Ioannis R. <qua...@de...>]

Thank you Roland for this new release, but I have experienced several 
compilation errors when trying to build the QuantExt library.

I am using the official release of the 1.27.1 version of the QuantLib 
library as suggested in your email.

One simple example of the several failures concerns the second CPICoupon 
constructor implemented online in the header cpicoupon.hpp

Its top part looks as below:

/*CPICoupon(Real baseCPI,*//*
*//*              const Date& baseDate, // user provided, could be 
arbitrary*//*
*//*              const Date& paymentDate, Real nominal, const Date& 
startDate, const Date& endDate,*/

/*              (... more input arguments here ...)*//*
*/

/*     : QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal, 
startDate, endDate, index,*//*
*//*                              observationLag,*/

The compile-time error is caused by the implementation line:

/*QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal, 
startDate, endDate, index,*/

The above line passes the argument /*baseDate */to the constructor of 
the /*QuantLib::CPICoupon */class.

But this fails because the CPICoupon class in QuantLib does not contain 
any constructor that expects a second argument of type Date.

Best regards,

Ioannis Rigopoulos


On 9/22/2022 5:29 PM, Roland Lichters via QuantLib-dev wrote:
>
> Dear all,
>
> we have just published the 7th release of ORE and ORE-SWIG, updating 
> the codebase at https://github.com/OpenSourceRisk. ORE 7 depends on 
> QuantLib 1.27.1 and QuantLib-SWIG 1.27.
>
> The release contains many fixes and improvements over the past year 
> that were triggered by our main sponsor’s (Acadia) use of ORE in their 
> Initial Margin Risk Generator services.  The full release notes can be 
> found in the user guide under the DOCUMENTATION menu on 
> https://opensourcerisk.org.
>
> With this release we have started publishing a wide range of 
> additional financial instruments. You will see various Equity/FX 
> Exotics in this release. Commodity, Credit, Hybrids, Exotics with 
> scripted payoffs will follow in the next releases in quarterly steps, 
> see also the Acadia press release and roadmap here 
> <https://www.acadia.inc/news/acadia-announces-seventh-release-of-open-source-risk-engine-with-quarterly-releases-to-follow>. 
>
>
> If you want to hear from Acadia about latest ORE developments, then 
> feel free to sign up here 
> <https://share.hsforms.com/1eqcUZ-9_QdSH__M7_YPSig43ul4> to receive 
> updates by email.
>
> Please explore ORE – download the release executable, or clone the 
> repositories and build.
>
> As usual, all feedback is welcome!
>
> Best regards,
>
> Roland
>
>
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>
> _______________________________________________
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> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

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