quantlib-users — QuantLib users discussion list

[Quantlib-users] cashflow amount mismatching for compounding interest

[Roshan Y. <er....@gm...>]

Hi quantlib Team,

                       Respected sir, I am trying to implement quantlib for
compounding bond calculation, in which i am getting some mismatching
cashflow amounts. I have attached my code and a manual cashflow calculation
below. Request you to kindly look into it.
                        Waiting positively for your response.



Thanks and Regards,
Roshan Yadav,
er....@gm...

Re: [Quantlib-users] Pricing of FX American barriers

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

Hello,
    I don't have an example (you might try looking into the C++ test suite
for that) but BarrierOption with BinomialBarrierEngine should cover
American exercise as well.  You can use it for FX options as well if you
use GarmanKohlagenProcess instead of the Black-Scholes process.

Hope this helps,
    Luigi


On Thu, Jan 20, 2022 at 7:07 PM S A <azi...@gm...> wrote:

> Hi all
>
> Is it possible to price fx option barrier ( American type) with quantlib?
> If yes , has anyone has a code in python ?
>
> Thanks in advance.
>
> Best regards,
>
> Azip.
>
> Le 18 nov. 2021 à 18:05, Luigi Ballabio <lui...@gm...> a
> écrit :
>
> 
> Hi Philippe,
>    no such thing on the website, but there's a quantlib-jobs mailing list:
> see <https://sourceforge.net/projects/quantlib/lists/quantlib-jobs>.
> Not sure how many people are subscribed.  The QuantLib group on LinkedIn (<
> https://www.linkedin.com/groups/723317/>) might be another place.
>
> Luigi
>
>
> On Thu, Nov 18, 2021 at 2:45 PM philippe hatstadt via QuantLib-users <
> qua...@li...> wrote:
>
>> Hi.
>> Does QuantLib have an area where one can post job offerings somewhere on
>> its website?
>>
>> Regards
>>
>> Philippe Hatstadt
>> +1-203-252-0408
>> https://www.linkedin.com/in/philippe-hatstadt
>>
>>
>>
>> _______________________________________________
>> 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] quantlib ext::shared_ptr safety

[Jerry J. <jer...@gm...>]

Hi Jonathan

Your information is very helpful, thanks a lot!

Regards
Jerry

On Tue, Jan 25, 2022 at 8:34 PM Jonathan Sweemer <sw...@gm...> wrote:
>
> Hi Jerry,
>
> Did you know that QuantLib is already exposed to several scripting languages through SWIG? You can download the latest version here: https://github.com/lballabio/QuantLib-SWIG
>
> In terms of safety, the main thing to worry about when wrapping QuantLib in a scripting language is the garbage collector accessing objects from different threads. You can read more about it at [1] and also use one or more of the available CMake variables [2] to compile in a more or less thread safe manner.
>
> [1] https://www.quantlib.org/slides/qlws13/spanderen.pdf
> [2] https://github.com/lballabio/QuantLib/blob/master/CMakeLists.txt#L49
>
> On Tue, Jan 25, 2022 at 1:01 PM Jerry Jin <jer...@gm...> wrote:
>>
>> Hello,
>>
>> I'm not a c++ savvy, I mostly just use existing classes from quantlib
>> and call it's method to get results.
>>
>> I'm thinking to use script language to generate c++ source file to
>> construct quantlib objects and wrap them in ext::shared_ptr, call it's
>> method and return the result in xml or json format, this would create
>> native program, I'm a bit worried if it's safe.
>>
>> Is this feasible at all? Thank you!
>>
>> Regards
>> Jerry
>>
>>
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Quantlib-users] Diffusion PDE with Crank-Nicolson

[Yev <ye...@ya...>]

Hi,
I have a Python code that solves a 1-dimentional Heat Diffusion PDE.My PDE has Diffusion Coefficient D(x,t) = x+tMy grid has 400 points in range [0,0.4]I have a set of x values at time 0, and I iterate for 500 time steps.
I'd like to rewrite it using Quantlib, as I hope it will speed up my process.  I looked through documentation and source code, but couldn't figure out what classes should I use to implement it.
Can you point me to how such problem can be solved with Quantlib?
Thank you,
Yevgeniy





 

Re: [Quantlib-users] quantlib ext::shared_ptr safety

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

Hi Jerry,

Did you know that QuantLib is already exposed to several scripting
languages through SWIG? You can download the latest version here:
https://github.com/lballabio/QuantLib-SWIG

In terms of safety, the main thing to worry about when wrapping QuantLib in
a scripting language is the garbage collector accessing objects from
different threads. You can read more about it at [1] and also use one or
more of the available CMake variables [2] to compile in a more or less
thread safe manner.

[1] https://www.quantlib.org/slides/qlws13/spanderen.pdf
[2] https://github.com/lballabio/QuantLib/blob/master/CMakeLists.txt#L49

On Tue, Jan 25, 2022 at 1:01 PM Jerry Jin <jer...@gm...> wrote:

> Hello,
>
> I'm not a c++ savvy, I mostly just use existing classes from quantlib
> and call it's method to get results.
>
> I'm thinking to use script language to generate c++ source file to
> construct quantlib objects and wrap them in ext::shared_ptr, call it's
> method and return the result in xml or json format, this would create
> native program, I'm a bit worried if it's safe.
>
> Is this feasible at all? Thank you!
>
> Regards
> Jerry
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Re: [Quantlib-users] Python Swaps - excluding cashflows on settlement date

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

Thanks Luigi,

 

 

From: Luigi Ballabio <lui...@gm...> 
Sent: Monday, 24 January 2022 8:52 PM
To: Ben Watson <ben...@ma...>
Cc: QuantLib users <qua...@li...>
Subject: Re: [Quantlib-users] Python Swaps - excluding cashflows on settlement date

 

Hello Ben,

    the flag is exported, see <https://github.com/lballabio/QuantLib-SWIG/blob/master/SWIG/swap.i#L278>.

 

Writing `ql.DiscountingSwapEngine(yts, includeSettlementDateFlows)` should work.

 

`ql.Settings.instance().includeTodaysCashFlows = False` should also work if you want to set it once and for all.

 

Luigi

 

 

On Mon, Jan 24, 2022 at 10:42 AM Ben Watson <ben...@ma... <mailto:ben...@ma...> > wrote:

Hi,

 

I know that a few pricing engines can take includeSettlementDateFlows as a Boolean flag. I can seem to find an example of calling this with swap discount pricing engine. 
 
I want to exclude settlement date cashflows. Without this flag, I would need to hack the code somewhat to generate cashflows from settlementdate +1. 
 
Does ql.DiscountingSwapEngine(yts) have some undocumented flags, or ql.DiscountCurve some additional attributes that can be set to ignore settlement date flows?
 
Regards
 
Ben

 

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

[Quantlib-users] quantlib ext::shared_ptr safety

[Jerry J. <jer...@gm...>]

Hello,

I'm not a c++ savvy, I mostly just use existing classes from quantlib
and call it's method to get results.

I'm thinking to use script language to generate c++ source file to
construct quantlib objects and wrap them in ext::shared_ptr, call it's
method and return the result in xml or json format, this would create
native program, I'm a bit worried if it's safe.

Is this feasible at all? Thank you!

Regards
Jerry

Re: [Quantlib-users] Python Swaps - excluding cashflows on settlement date

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

Hello Ben,
    the flag is exported, see <
https://github.com/lballabio/QuantLib-SWIG/blob/master/SWIG/swap.i#L278>.

Writing `ql.DiscountingSwapEngine(yts, includeSettlementDateFlows)` should
work.

`ql.Settings.instance().includeTodaysCashFlows = False` should also work if
you want to set it once and for all.

Luigi


On Mon, Jan 24, 2022 at 10:42 AM Ben Watson <ben...@ma...>
wrote:

> Hi,
>
>
>
> I know that a few pricing engines can take includeSettlementDateFlows as a Boolean flag. I can seem to find an example of calling this with swap discount pricing engine.
>
>
>
> I want to exclude settlement date cashflows. Without this flag, I would need to hack the code somewhat to generate cashflows from settlementdate +1.
>
>
>
> Does ql.DiscountingSwapEngine(yts) have some undocumented flags, or ql.DiscountCurve some additional attributes that can be set to ignore settlement date flows?
>
>
>
> Regards
>
>
>
> Ben
>
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

[Quantlib-users] Python Swaps - excluding cashflows on settlement date

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

Hi,

 

I know that a few pricing engines can take includeSettlementDateFlows as a Boolean flag. I can seem to find an example of calling this with swap discount pricing engine. 
 
I want to exclude settlement date cashflows. Without this flag, I would need to hack the code somewhat to generate cashflows from settlementdate +1. 
 
Does ql.DiscountingSwapEngine(yts) have some undocumented flags, or ql.DiscountCurve some additional attributes that can be set to ignore settlement date flows?
 
Regards
 
Ben

 

Re: [Quantlib-users] Quantlib in CLion

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

I took a quick look at your CMakeLists.txt file and fixed it up here:
https://gist.github.com/sweemer/dff4b0294eff698a3d670811549d3c35

For my gist to work you'll need to download the latest version 1.25 of
QuantLib. The gist may not work perfectly but it should be a good starting
point.

You will want to spend some time to review the CMake documentation[1] for
how to set the include and link properties for your project as there are
many more details that cannot be covered here.

As far as CLion is concerned, I'm not sure how to get it working, but based
on the blog link that you shared, the first step seems to be to tell CMake
to configure your build with the correct compiler[2].

[1] https://cmake.org/cmake/help/latest/module/FindBoost.html#examples
[2] https://cmake.org/cmake/help/latest/variable/CMAKE_LANG_COMPILER.html


On Thu, Jan 20, 2022 at 1:33 PM <chi...@ya...> wrote:

> Hi Jonathan
>
>
>
> Thank you for your kind advice. I already have inserted the macros below.
> Based on Luigi’s reply, it seems the Boost headers alone are sufficient (if
> I am not building the test-libraries) and that’s works fine for me in CLion
> as well. So now my focus is to build Quantlib using mingw in CLion.
>
>
>
> Can you please recommend how I can modify the existing CMake file to build
> Quantlib using CMake ?
>
>
>
> i)              Do I modify the existing CMakeLists.txt file that comes
> with Quantlib with  recommendations from Dimitri’s blog ? Or write a new
> CMake file ?
>
>
>
> https://blog.jetbrains.com/clion/2015/12/quantlib-clion/
>
>
>
>
>
>
>
> Option 2: (since everything works fine in Visual Studio, I thought of
> trying my luck)
>
>
>
> I switched the compiler itself in CLion from my default mingw to Visual
> Studio 2017. I then modified the CMakeLists.txt file(which is attached in
> this email) but it doesn’t work
>
> as in the main.cpp the #include <ql/quantlib.hpp> can’t find it
>
>
>
> fatal error C1083: Cannot open include file: 'ql/quantlib.hpp': No such
> file or directory
>
> NMAKE : fatal error U1077:
> 'C:\PROGRA~2\MIB055~1\2017\COMMUN~1\VC\Tools\MSVC\1416~1.270\bin\Hostx86\x86\cl.exe'
> : return code '0x2'
>
> Stop.
>
> NMAKE : fatal error U1077: '"C:\Program Files (x86)\Microsoft Visual
> Studio\2017\Community\VC\Tools\MSVC\14.16.27023\bin\HostX86\x86\nmake.exe"'
> : return code '0x2'
>
> Stop
>
>
>
> Thank you for your kind help
>
>
>
>
>
>
>
> *From:* Jonathan Sweemer <sw...@gm...>
> *Sent:* Wednesday, January 19, 2022 8:34 PM
> *To:* Chirag Desai <chi...@ya...>
> *Cc:* qua...@li...
> *Subject:* Re: [Quantlib-users] Quantlib in CLion
>
>
>
> Hi Chirag,
>
>
>
> The first step is to successfully build Boost using a toolchain compatible
> with CLion. I have never done this before but the StackOverflow link you
> pasted seems to provide reasonable instructions.
>
>
>
> Once you have built Boost, then you can use the BOOST_INCLUDEDIR,
> BOOST_LIBRARY_DIR, and/or BOOST_ROOT variables to tell CMake where to
> find the Boost installation when configuring QuantLib. See [1] for more
> details on these variables.
>
>
>
> Regarding whether a header-only Boost installation is sufficient,
> unfortunately no, QuantLib still depends on some pre-compiled Boost
> libraries, but this may change in the future. See [2] for the latest list
> of Boost library dependencies.
>
>
>
> [1] https://cmake.org/cmake/help/latest/module/FindBoost.html
>
> [2] https://github.com/lballabio/QuantLib/blob/master/CMakeLists.txt#L118
>
>
>
>
>
>
>
> On Wed, Jan 19, 2022 at 8:16 PM Chirag Desai via QuantLib-users <
> qua...@li...> wrote:
>
> Hi Quantlib Users
>
>
>
> Hope all is well. I am trying to get more involved in the Quantlib project
> with my interest in quantitative finance.
>
>
>
> I have been able to get it to work in Windows VS2017 but I am trying to
> make it work in CLion using CMake with no success.
>
>
>
> 1)  I can't even get Boost to compile in CLion using CMake. I am only able
> to use the header only Boost files in CLion
>
>
>
> https://stackoverflow.com/questions/36519453/setup-boost-in-clion
>
>
>
> 2) I tried following this blog by Dimitry but I guess I first need to make
> Boost work (or are the header only Boost files sufficient ?). The
> instructions are not very clear.
>
>
>
> https://blog.jetbrains.com/clion/2015/12/quantlib-clion/
>
>
>
> May I kindly check if this is something somebody can guide me on please ?
>
>
>
> Thank you for your guidance
>
> Chirag
>
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>

Re: [Quantlib-users] Quantlib in CLion

[<chi...@ya...>]

Hi Jonathan

 

Thank you for your kind advice. I already have inserted the macros below. Based on Luigi’s reply, it seems the Boost headers alone are sufficient (if I am not building the test-libraries) and that’s works fine for me in CLion as well. So now my focus is to build Quantlib using mingw in CLion.

 

Can you please recommend how I can modify the existing CMake file to build Quantlib using CMake ?

 

i)              Do I modify the existing CMakeLists.txt file that comes with Quantlib with  recommendations from Dimitri’s blog ? Or write a new CMake file ?

 

 <https://blog.jetbrains.com/clion/2015/12/quantlib-clion/> https://blog.jetbrains.com/clion/2015/12/quantlib-clion/

 



 

 

Option 2: (since everything works fine in Visual Studio, I thought of trying my luck)

 

I switched the compiler itself in CLion from my default mingw to Visual Studio 2017. I then modified the CMakeLists.txt file(which is attached in this email) but it doesn’t work 

as in the main.cpp the #include <ql/quantlib.hpp> can’t find it 

 

fatal error C1083: Cannot open include file: 'ql/quantlib.hpp': No such file or directory

NMAKE : fatal error U1077: 'C:\PROGRA~2\MIB055~1\2017\COMMUN~1\VC\Tools\MSVC\1416~1.270\bin\Hostx86\x86\cl.exe' : return code '0x2'

Stop.

NMAKE : fatal error U1077: '"C:\Program Files (x86)\Microsoft Visual Studio\2017\Community\VC\Tools\MSVC\14.16.27023\bin\HostX86\x86\nmake.exe"' : return code '0x2'

Stop

 

Thank you for your kind help

 

 

 

From: Jonathan Sweemer <sw...@gm...> 
Sent: Wednesday, January 19, 2022 8:34 PM
To: Chirag Desai <chi...@ya...>
Cc: qua...@li...
Subject: Re: [Quantlib-users] Quantlib in CLion

 

Hi Chirag,

 

The first step is to successfully build Boost using a toolchain compatible with CLion. I have never done this before but the StackOverflow link you pasted seems to provide reasonable instructions.

 

Once you have built Boost, then you can use the BOOST_INCLUDEDIR, BOOST_LIBRARY_DIR, and/or BOOST_ROOT variables to tell CMake where to find the Boost installation when configuring QuantLib. See [1] for more details on these variables.

 

Regarding whether a header-only Boost installation is sufficient, unfortunately no, QuantLib still depends on some pre-compiled Boost libraries, but this may change in the future. See [2] for the latest list of Boost library dependencies.

 

[1] https://cmake.org/cmake/help/latest/module/FindBoost.html

[2] https://github.com/lballabio/QuantLib/blob/master/CMakeLists.txt#L118

 

 

 

On Wed, Jan 19, 2022 at 8:16 PM Chirag Desai via QuantLib-users <qua...@li... <mailto:qua...@li...> > wrote:

Hi Quantlib Users

 

Hope all is well. I am trying to get more involved in the Quantlib project with my interest in quantitative finance. 

 

I have been able to get it to work in Windows VS2017 but I am trying to make it work in CLion using CMake with no success.

 

1)  I can't even get Boost to compile in CLion using CMake. I am only able to use the header only Boost files in CLion

 

https://stackoverflow.com/questions/36519453/setup-boost-in-clion

 

2) I tried following this blog by Dimitry but I guess I first need to make Boost work (or are the header only Boost files sufficient ?). The instructions are not very clear.

 

 <https://blog.jetbrains.com/clion/2015/12/quantlib-clion/> https://blog.jetbrains.com/clion/2015/12/quantlib-clion/

 

May I kindly check if this is something somebody can guide me on please ?

 

Thank you for your guidance

Chirag

 

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

Re: [Quantlib-users] Regarding compilations issue

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

I'm guessing you chose to configure the library with thread-safe observer
and using std::shared_ptr instead of boost::shared_ptr?  In that case,
you'll need to use -std=c++17.  If you use boost::shared_ptr, c++11 is
enough.

Luigi


On Wed, Jan 19, 2022 at 2:12 PM Vamshi Krishna <kri...@gm...> wrote:

> Thanks for your reply and suggestion,
>
> i have tried with following way and getting different error
>
> *g++ -std=c++11  BermudanSwaption.cpp
> -I/home/vamshik/vamshi/boost/local/include
> -L/home/vamshik/vamshi/boost/local/lib
> -I/home/vamshik/vamshi/quantlib/local/include/
>  -L/home/vamshik/vamshi/qunatlib/local/lib/libQuantLib.a
> -L/home/vamshik/vamshi/qunatlib/local/lib -o testBS*
>
> In file included from
> /home/vamshik/vamshi/quantlib/local/include/ql/patterns/lazyobject.hpp:27:0,
>                  from
> /home/vamshik/vamshi/quantlib/local/include/ql/instrument.hpp:28,
>                  from
> /home/vamshik/vamshi/quantlib/local/include/ql/option.hpp:27,
>                  from
> /home/vamshik/vamshi/quantlib/local/include/ql/instruments/swaption.hpp:32,
>                  from BermudanSwaption.cpp:26:
>
>
> */home/vamshik/vamshi/quantlib/local/include/ql/patterns/observable.hpp:
> In member function ‘void QuantLib::Observer::Proxy::update()
> const’:/home/vamshik/vamshi/quantlib/local/include/ql/patterns/observable.hpp:313:38:
> error: ‘class QuantLib::Observer’ has no member named ‘weak_from_this’
>                    = observer_->weak_from_this();*
>
> *Give some suggestion to resolve this*
>
>
> *Regards*
> *Vamshi*
>
> On Wed, Jan 19, 2022 at 3:38 PM Jonathan Sweemer <sw...@gm...>
> wrote:
>
>> Hi Vamshi,
>>
>> Looks like you need to link with the following flags as well (assuming
>> you compiled QuantLib as a static library):
>>
>> -l boost_unit_test_framework -l QuantLib
>>
>> You will need to specify the directory where libQuantLib.a is found as
>> well.
>>
>> I recommend using CMake to manage your project to simplify the task of
>> setting the compiler and linker flags if you can.
>>
>>
>> 2022년 1월 19일 (수) 16:39, Vamshi Krishna <kri...@gm...>님이 작성:
>>
>>> Hiii users
>>> I have run below command to compile hestonmodel.cpp but i am getting
>>> errors of undefined reference . I am using Centos 7.
>>>
>>> Could anybody help me to understand how to resolve this issue?
>>>
>>>
>>> *g++ -I/home/vamshik/vamshi/quantlib/local/ql/include/  hestonmodel.cpp
>>> -o testhm -I/home/vamshik/vamshi/boost/local/include/
>>> -L/home/vamshik/vamshi/boost/local/lib -pthread -lboost_thread*
>>>
>>>
>>>
>>> *ERRORS*/lib/../lib64/crt1.o: In function `_start':
>>> (.text+0x20): undefined reference to `main'
>>> /tmp/ccVOvYFx.o: In function `(anonymous
>>> namespace)::getDAXCalibrationMarketData()':
>>> hestonmodel.cpp:(.text+0xc7): undefined reference to
>>> `QuantLib::TARGET::TARGET()'
>>> hestonmodel.cpp:(.text+0x340): undefined reference to
>>> `QuantLib::flatRate(QuantLib::Date const&, double, QuantLib::DayCounter
>>> const&)'
>>> /tmp/ccVOvYFx.o: In function `HestonModelTest::testBlackCalibration()':
>>> hestonmodel.cpp:(.text+0x9a6): undefined reference to
>>> `boost::unit_test::unit_test_log_t::operator<<(boost::unit_test::log::begin
>>> const&)'
>>> hestonmodel.cpp:(.text+0x9c0): undefined reference to
>>> `boost::unit_test::unit_test_log_t::operator()(boost::unit_test::log_level)'
>>> hestonmodel.cpp:(.text+0x9f8): undefined reference to
>>> `boost::unit_test::ut_detail::entry_value_collector::operator<<(boost::unit_test::lazy_ostream
>>> const&) const'
>>> hestonmodel.cpp:(.text+0xa16): undefined reference to
>>> `boost::unit_test::ut_detail::entry_value_collector::~entry_value_collector()'
>>> hestonmodel.cpp:(.text+0xa25): undefined reference to
>>> `QuantLib::SavedSettings::SavedSettings()'
>>> hestonmodel.cpp:(.text+0xa2a): undefined reference to
>>> `QuantLib::Date::todaysDate()'
>>> hestonmodel.cpp:(.text+0xaf5): undefined reference to
>>> `QuantLib::flatRate(double, QuantLib::DayCounter const&)'
>>> hestonmodel.cpp:(.text+0xb51): undefined reference to
>>> `QuantLib::flatRate(double, QuantLib::DayCounter const&)'
>>> hestonmodel.cpp:(.text+0xe5f): undefined reference to
>>> `QuantLib::Date::Date()'
>>> hestonmodel.cpp:(.text+0xe6e): undefined reference to
>>> `QuantLib::Date::Date()'
>>> hestonmodel.cpp:(.text+0xeb5): undefined reference to
>>> `QuantLib::Calendar::advance(QuantLib::Date const&, QuantLib::Period
>>> const&, QuantLib::BusinessDayConvention, bool) const'
>>> hestonmodel.cpp:(.text+0xf80): undefined reference to
>>> `QuantLib::YieldTermStructure::discount(double, bool) const'
>>> hestonmodel.cpp:(.text+0xfca): undefined reference to
>>> `QuantLib::YieldTermStructure::discount(double, bool) const'
>>> hestonmodel.cpp:(.text+0x132c): undefined reference to
>>> `QuantLib::LevenbergMarquardt::LevenbergMarquardt(double, double, double,
>>> bool)'
>>> _______________________________________________
>>> 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] Regarding compilations issue

[Vamshi K. <kri...@gm...>]

Thanks for your reply and suggestion,

i have tried with following way and getting different error

*g++ -std=c++11  BermudanSwaption.cpp
-I/home/vamshik/vamshi/boost/local/include
-L/home/vamshik/vamshi/boost/local/lib
-I/home/vamshik/vamshi/quantlib/local/include/
 -L/home/vamshik/vamshi/qunatlib/local/lib/libQuantLib.a
-L/home/vamshik/vamshi/qunatlib/local/lib -o testBS*

In file included from
/home/vamshik/vamshi/quantlib/local/include/ql/patterns/lazyobject.hpp:27:0,
                 from
/home/vamshik/vamshi/quantlib/local/include/ql/instrument.hpp:28,
                 from
/home/vamshik/vamshi/quantlib/local/include/ql/option.hpp:27,
                 from
/home/vamshik/vamshi/quantlib/local/include/ql/instruments/swaption.hpp:32,
                 from BermudanSwaption.cpp:26:


*/home/vamshik/vamshi/quantlib/local/include/ql/patterns/observable.hpp: In
member function ‘void QuantLib::Observer::Proxy::update()
const’:/home/vamshik/vamshi/quantlib/local/include/ql/patterns/observable.hpp:313:38:
error: ‘class QuantLib::Observer’ has no member named ‘weak_from_this’
                   = observer_->weak_from_this();*

*Give some suggestion to resolve this*


*Regards*
*Vamshi*

On Wed, Jan 19, 2022 at 3:38 PM Jonathan Sweemer <sw...@gm...> wrote:

> Hi Vamshi,
>
> Looks like you need to link with the following flags as well (assuming you
> compiled QuantLib as a static library):
>
> -l boost_unit_test_framework -l QuantLib
>
> You will need to specify the directory where libQuantLib.a is found as
> well.
>
> I recommend using CMake to manage your project to simplify the task of
> setting the compiler and linker flags if you can.
>
>
> 2022년 1월 19일 (수) 16:39, Vamshi Krishna <kri...@gm...>님이 작성:
>
>> Hiii users
>> I have run below command to compile hestonmodel.cpp but i am getting
>> errors of undefined reference . I am using Centos 7.
>>
>> Could anybody help me to understand how to resolve this issue?
>>
>>
>> *g++ -I/home/vamshik/vamshi/quantlib/local/ql/include/  hestonmodel.cpp
>> -o testhm -I/home/vamshik/vamshi/boost/local/include/
>> -L/home/vamshik/vamshi/boost/local/lib -pthread -lboost_thread*
>>
>>
>>
>> *ERRORS*/lib/../lib64/crt1.o: In function `_start':
>> (.text+0x20): undefined reference to `main'
>> /tmp/ccVOvYFx.o: In function `(anonymous
>> namespace)::getDAXCalibrationMarketData()':
>> hestonmodel.cpp:(.text+0xc7): undefined reference to
>> `QuantLib::TARGET::TARGET()'
>> hestonmodel.cpp:(.text+0x340): undefined reference to
>> `QuantLib::flatRate(QuantLib::Date const&, double, QuantLib::DayCounter
>> const&)'
>> /tmp/ccVOvYFx.o: In function `HestonModelTest::testBlackCalibration()':
>> hestonmodel.cpp:(.text+0x9a6): undefined reference to
>> `boost::unit_test::unit_test_log_t::operator<<(boost::unit_test::log::begin
>> const&)'
>> hestonmodel.cpp:(.text+0x9c0): undefined reference to
>> `boost::unit_test::unit_test_log_t::operator()(boost::unit_test::log_level)'
>> hestonmodel.cpp:(.text+0x9f8): undefined reference to
>> `boost::unit_test::ut_detail::entry_value_collector::operator<<(boost::unit_test::lazy_ostream
>> const&) const'
>> hestonmodel.cpp:(.text+0xa16): undefined reference to
>> `boost::unit_test::ut_detail::entry_value_collector::~entry_value_collector()'
>> hestonmodel.cpp:(.text+0xa25): undefined reference to
>> `QuantLib::SavedSettings::SavedSettings()'
>> hestonmodel.cpp:(.text+0xa2a): undefined reference to
>> `QuantLib::Date::todaysDate()'
>> hestonmodel.cpp:(.text+0xaf5): undefined reference to
>> `QuantLib::flatRate(double, QuantLib::DayCounter const&)'
>> hestonmodel.cpp:(.text+0xb51): undefined reference to
>> `QuantLib::flatRate(double, QuantLib::DayCounter const&)'
>> hestonmodel.cpp:(.text+0xe5f): undefined reference to
>> `QuantLib::Date::Date()'
>> hestonmodel.cpp:(.text+0xe6e): undefined reference to
>> `QuantLib::Date::Date()'
>> hestonmodel.cpp:(.text+0xeb5): undefined reference to
>> `QuantLib::Calendar::advance(QuantLib::Date const&, QuantLib::Period
>> const&, QuantLib::BusinessDayConvention, bool) const'
>> hestonmodel.cpp:(.text+0xf80): undefined reference to
>> `QuantLib::YieldTermStructure::discount(double, bool) const'
>> hestonmodel.cpp:(.text+0xfca): undefined reference to
>> `QuantLib::YieldTermStructure::discount(double, bool) const'
>> hestonmodel.cpp:(.text+0x132c): undefined reference to
>> `QuantLib::LevenbergMarquardt::LevenbergMarquardt(double, double, double,
>> bool)'
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>

Re: [Quantlib-users] Quantlib in CLion

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

More precisely: the library in its default configuration only depends on
Boost headers, while the test suite needs the binaries.

Luigi


On Wed, Jan 19, 2022, 13:37 Jonathan Sweemer <sw...@gm...> wrote:

> Hi Chirag,
>
> The first step is to successfully build Boost using a toolchain compatible
> with CLion. I have never done this before but the StackOverflow link you
> pasted seems to provide reasonable instructions.
>
> Once you have built Boost, then you can use the BOOST_INCLUDEDIR,
> BOOST_LIBRARY_DIR, and/or BOOST_ROOT variables to tell CMake where to find
> the Boost installation when configuring QuantLib. See [1] for more details
> on these variables.
>
> Regarding whether a header-only Boost installation is sufficient,
> unfortunately no, QuantLib still depends on some pre-compiled Boost
> libraries, but this may change in the future. See [2] for the latest list
> of Boost library dependencies.
>
> [1] https://cmake.org/cmake/help/latest/module/FindBoost.html
> [2] https://github.com/lballabio/QuantLib/blob/master/CMakeLists.txt#L118
>
>
>
> On Wed, Jan 19, 2022 at 8:16 PM Chirag Desai via QuantLib-users <
> qua...@li...> wrote:
>
>> Hi Quantlib Users
>>
>> Hope all is well. I am trying to get more involved in the Quantlib
>> project with my interest in quantitative finance.
>>
>> I have been able to get it to work in Windows VS2017 but I am trying to
>> make it work in CLion using CMake with no success.
>>
>> 1)  I can't even get Boost to compile in CLion using CMake. I am only
>> able to use the header only Boost files in CLion
>>
>> https://stackoverflow.com/questions/36519453/setup-boost-in-clion
>>
>> 2) I tried following this blog by Dimitry but I guess I first need to
>> make Boost work (or are the header only Boost files sufficient ?). The
>> instructions are not very clear.
>>
>> https://blog.jetbrains.com/clion/2015/12/quantlib-clion/
>>
>> May I kindly check if this is something somebody can guide me on please ?
>>
>> Thank you for your guidance
>> Chirag
>>
>> _______________________________________________
>> 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] Quantlib in CLion

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

Hi Chirag,

The first step is to successfully build Boost using a toolchain compatible
with CLion. I have never done this before but the StackOverflow link you
pasted seems to provide reasonable instructions.

Once you have built Boost, then you can use the BOOST_INCLUDEDIR,
BOOST_LIBRARY_DIR, and/or BOOST_ROOT variables to tell CMake where to find
the Boost installation when configuring QuantLib. See [1] for more details
on these variables.

Regarding whether a header-only Boost installation is sufficient,
unfortunately no, QuantLib still depends on some pre-compiled Boost
libraries, but this may change in the future. See [2] for the latest list
of Boost library dependencies.

[1] https://cmake.org/cmake/help/latest/module/FindBoost.html
[2] https://github.com/lballabio/QuantLib/blob/master/CMakeLists.txt#L118



On Wed, Jan 19, 2022 at 8:16 PM Chirag Desai via QuantLib-users <
qua...@li...> wrote:

> Hi Quantlib Users
>
> Hope all is well. I am trying to get more involved in the Quantlib project
> with my interest in quantitative finance.
>
> I have been able to get it to work in Windows VS2017 but I am trying to
> make it work in CLion using CMake with no success.
>
> 1)  I can't even get Boost to compile in CLion using CMake. I am only able
> to use the header only Boost files in CLion
>
> https://stackoverflow.com/questions/36519453/setup-boost-in-clion
>
> 2) I tried following this blog by Dimitry but I guess I first need to make
> Boost work (or are the header only Boost files sufficient ?). The
> instructions are not very clear.
>
> https://blog.jetbrains.com/clion/2015/12/quantlib-clion/
>
> May I kindly check if this is something somebody can guide me on please ?
>
> Thank you for your guidance
> Chirag
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

[Quantlib-users] Quantlib in CLion

[Chirag D. <chi...@ya...>]

Hi Quantlib Users
Hope all is well. I am trying to get more involved in the Quantlib project with my interest in quantitative finance. 
I have been able to get it to work in Windows VS2017 but I am trying to make it work in CLion using CMake with no success.
1)  I can't even get Boost to compile in CLion using CMake. I am only able to use the header only Boost files in CLion
https://stackoverflow.com/questions/36519453/setup-boost-in-clion

2) I tried following this blog by Dimitry but I guess I first need to make Boost work (or are the header only Boost files sufficient ?). The instructions are not very clear.
https://blog.jetbrains.com/clion/2015/12/quantlib-clion/
May I kindly check if this is something somebody can guide me on please ?
Thank you for your guidanceChirag

Re: [Quantlib-users] Regarding compilations issue

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

Correct — also, you'll probably be missing the test initialization done in
quantlibtestsuite.cpp.

On Wed, Jan 19, 2022 at 11:11 AM Jonathan Sweemer <sw...@gm...> wrote:

> Hi Vamshi,
>
> Looks like you need to link with the following flags as well (assuming you
> compiled QuantLib as a static library):
>
> -l boost_unit_test_framework -l QuantLib
>
> You will need to specify the directory where libQuantLib.a is found as
> well.
>
> I recommend using CMake to manage your project to simplify the task of
> setting the compiler and linker flags if you can.
>
>
> 2022년 1월 19일 (수) 16:39, Vamshi Krishna <kri...@gm...>님이 작성:
>
>> Hiii users
>> I have run below command to compile hestonmodel.cpp but i am getting
>> errors of undefined reference . I am using Centos 7.
>>
>> Could anybody help me to understand how to resolve this issue?
>>
>>
>> *g++ -I/home/vamshik/vamshi/quantlib/local/ql/include/  hestonmodel.cpp
>> -o testhm -I/home/vamshik/vamshi/boost/local/include/
>> -L/home/vamshik/vamshi/boost/local/lib -pthread -lboost_thread*
>>
>>
>>
>> *ERRORS*/lib/../lib64/crt1.o: In function `_start':
>> (.text+0x20): undefined reference to `main'
>> /tmp/ccVOvYFx.o: In function `(anonymous
>> namespace)::getDAXCalibrationMarketData()':
>> hestonmodel.cpp:(.text+0xc7): undefined reference to
>> `QuantLib::TARGET::TARGET()'
>> hestonmodel.cpp:(.text+0x340): undefined reference to
>> `QuantLib::flatRate(QuantLib::Date const&, double, QuantLib::DayCounter
>> const&)'
>> /tmp/ccVOvYFx.o: In function `HestonModelTest::testBlackCalibration()':
>> hestonmodel.cpp:(.text+0x9a6): undefined reference to
>> `boost::unit_test::unit_test_log_t::operator<<(boost::unit_test::log::begin
>> const&)'
>> hestonmodel.cpp:(.text+0x9c0): undefined reference to
>> `boost::unit_test::unit_test_log_t::operator()(boost::unit_test::log_level)'
>> hestonmodel.cpp:(.text+0x9f8): undefined reference to
>> `boost::unit_test::ut_detail::entry_value_collector::operator<<(boost::unit_test::lazy_ostream
>> const&) const'
>> hestonmodel.cpp:(.text+0xa16): undefined reference to
>> `boost::unit_test::ut_detail::entry_value_collector::~entry_value_collector()'
>> hestonmodel.cpp:(.text+0xa25): undefined reference to
>> `QuantLib::SavedSettings::SavedSettings()'
>> hestonmodel.cpp:(.text+0xa2a): undefined reference to
>> `QuantLib::Date::todaysDate()'
>> hestonmodel.cpp:(.text+0xaf5): undefined reference to
>> `QuantLib::flatRate(double, QuantLib::DayCounter const&)'
>> hestonmodel.cpp:(.text+0xb51): undefined reference to
>> `QuantLib::flatRate(double, QuantLib::DayCounter const&)'
>> hestonmodel.cpp:(.text+0xe5f): undefined reference to
>> `QuantLib::Date::Date()'
>> hestonmodel.cpp:(.text+0xe6e): undefined reference to
>> `QuantLib::Date::Date()'
>> hestonmodel.cpp:(.text+0xeb5): undefined reference to
>> `QuantLib::Calendar::advance(QuantLib::Date const&, QuantLib::Period
>> const&, QuantLib::BusinessDayConvention, bool) const'
>> hestonmodel.cpp:(.text+0xf80): undefined reference to
>> `QuantLib::YieldTermStructure::discount(double, bool) const'
>> hestonmodel.cpp:(.text+0xfca): undefined reference to
>> `QuantLib::YieldTermStructure::discount(double, bool) const'
>> hestonmodel.cpp:(.text+0x132c): undefined reference to
>> `QuantLib::LevenbergMarquardt::LevenbergMarquardt(double, double, double,
>> bool)'
>> _______________________________________________
>> 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] Regarding compilations issue

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

Hi Vamshi,

Looks like you need to link with the following flags as well (assuming you
compiled QuantLib as a static library):

-l boost_unit_test_framework -l QuantLib

You will need to specify the directory where libQuantLib.a is found as
well.

I recommend using CMake to manage your project to simplify the task of
setting the compiler and linker flags if you can.


2022년 1월 19일 (수) 16:39, Vamshi Krishna <kri...@gm...>님이 작성:

> Hiii users
> I have run below command to compile hestonmodel.cpp but i am getting
> errors of undefined reference . I am using Centos 7.
>
> Could anybody help me to understand how to resolve this issue?
>
>
> *g++ -I/home/vamshik/vamshi/quantlib/local/ql/include/  hestonmodel.cpp -o
> testhm -I/home/vamshik/vamshi/boost/local/include/
> -L/home/vamshik/vamshi/boost/local/lib -pthread -lboost_thread*
>
>
>
> *ERRORS*/lib/../lib64/crt1.o: In function `_start':
> (.text+0x20): undefined reference to `main'
> /tmp/ccVOvYFx.o: In function `(anonymous
> namespace)::getDAXCalibrationMarketData()':
> hestonmodel.cpp:(.text+0xc7): undefined reference to
> `QuantLib::TARGET::TARGET()'
> hestonmodel.cpp:(.text+0x340): undefined reference to
> `QuantLib::flatRate(QuantLib::Date const&, double, QuantLib::DayCounter
> const&)'
> /tmp/ccVOvYFx.o: In function `HestonModelTest::testBlackCalibration()':
> hestonmodel.cpp:(.text+0x9a6): undefined reference to
> `boost::unit_test::unit_test_log_t::operator<<(boost::unit_test::log::begin
> const&)'
> hestonmodel.cpp:(.text+0x9c0): undefined reference to
> `boost::unit_test::unit_test_log_t::operator()(boost::unit_test::log_level)'
> hestonmodel.cpp:(.text+0x9f8): undefined reference to
> `boost::unit_test::ut_detail::entry_value_collector::operator<<(boost::unit_test::lazy_ostream
> const&) const'
> hestonmodel.cpp:(.text+0xa16): undefined reference to
> `boost::unit_test::ut_detail::entry_value_collector::~entry_value_collector()'
> hestonmodel.cpp:(.text+0xa25): undefined reference to
> `QuantLib::SavedSettings::SavedSettings()'
> hestonmodel.cpp:(.text+0xa2a): undefined reference to
> `QuantLib::Date::todaysDate()'
> hestonmodel.cpp:(.text+0xaf5): undefined reference to
> `QuantLib::flatRate(double, QuantLib::DayCounter const&)'
> hestonmodel.cpp:(.text+0xb51): undefined reference to
> `QuantLib::flatRate(double, QuantLib::DayCounter const&)'
> hestonmodel.cpp:(.text+0xe5f): undefined reference to
> `QuantLib::Date::Date()'
> hestonmodel.cpp:(.text+0xe6e): undefined reference to
> `QuantLib::Date::Date()'
> hestonmodel.cpp:(.text+0xeb5): undefined reference to
> `QuantLib::Calendar::advance(QuantLib::Date const&, QuantLib::Period
> const&, QuantLib::BusinessDayConvention, bool) const'
> hestonmodel.cpp:(.text+0xf80): undefined reference to
> `QuantLib::YieldTermStructure::discount(double, bool) const'
> hestonmodel.cpp:(.text+0xfca): undefined reference to
> `QuantLib::YieldTermStructure::discount(double, bool) const'
> hestonmodel.cpp:(.text+0x132c): undefined reference to
> `QuantLib::LevenbergMarquardt::LevenbergMarquardt(double, double, double,
> bool)'
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

[Quantlib-users] Regarding compilations issue

[Vamshi K. <kri...@gm...>]

Hiii users
I have run below command to compile hestonmodel.cpp but i am getting errors
of undefined reference . I am using Centos 7.

Could anybody help me to understand how to resolve this issue?


*g++ -I/home/vamshik/vamshi/quantlib/local/ql/include/  hestonmodel.cpp -o
testhm -I/home/vamshik/vamshi/boost/local/include/
-L/home/vamshik/vamshi/boost/local/lib -pthread -lboost_thread*



*ERRORS*/lib/../lib64/crt1.o: In function `_start':
(.text+0x20): undefined reference to `main'
/tmp/ccVOvYFx.o: In function `(anonymous
namespace)::getDAXCalibrationMarketData()':
hestonmodel.cpp:(.text+0xc7): undefined reference to
`QuantLib::TARGET::TARGET()'
hestonmodel.cpp:(.text+0x340): undefined reference to
`QuantLib::flatRate(QuantLib::Date const&, double, QuantLib::DayCounter
const&)'
/tmp/ccVOvYFx.o: In function `HestonModelTest::testBlackCalibration()':
hestonmodel.cpp:(.text+0x9a6): undefined reference to
`boost::unit_test::unit_test_log_t::operator<<(boost::unit_test::log::begin
const&)'
hestonmodel.cpp:(.text+0x9c0): undefined reference to
`boost::unit_test::unit_test_log_t::operator()(boost::unit_test::log_level)'
hestonmodel.cpp:(.text+0x9f8): undefined reference to
`boost::unit_test::ut_detail::entry_value_collector::operator<<(boost::unit_test::lazy_ostream
const&) const'
hestonmodel.cpp:(.text+0xa16): undefined reference to
`boost::unit_test::ut_detail::entry_value_collector::~entry_value_collector()'
hestonmodel.cpp:(.text+0xa25): undefined reference to
`QuantLib::SavedSettings::SavedSettings()'
hestonmodel.cpp:(.text+0xa2a): undefined reference to
`QuantLib::Date::todaysDate()'
hestonmodel.cpp:(.text+0xaf5): undefined reference to
`QuantLib::flatRate(double, QuantLib::DayCounter const&)'
hestonmodel.cpp:(.text+0xb51): undefined reference to
`QuantLib::flatRate(double, QuantLib::DayCounter const&)'
hestonmodel.cpp:(.text+0xe5f): undefined reference to
`QuantLib::Date::Date()'
hestonmodel.cpp:(.text+0xe6e): undefined reference to
`QuantLib::Date::Date()'
hestonmodel.cpp:(.text+0xeb5): undefined reference to
`QuantLib::Calendar::advance(QuantLib::Date const&, QuantLib::Period
const&, QuantLib::BusinessDayConvention, bool) const'
hestonmodel.cpp:(.text+0xf80): undefined reference to
`QuantLib::YieldTermStructure::discount(double, bool) const'
hestonmodel.cpp:(.text+0xfca): undefined reference to
`QuantLib::YieldTermStructure::discount(double, bool) const'
hestonmodel.cpp:(.text+0x132c): undefined reference to
`QuantLib::LevenbergMarquardt::LevenbergMarquardt(double, double, double,
bool)'

[Quantlib-users] QuantLib 1.25 released

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

QuantLib 1.25 has been released and is available for download at <
https://www.quantlib.org/download.shtml>.

The list of changes for this release is at <
https://www.quantlib.org/reference/history.html>.

Please report any problems you have with this release to the QuantLib
mailing list (<qua...@li...>), or open a GitHub
issue at <https://github.com/lballabio/quantlib/issues>.

Re: [Quantlib-users] Release candidate for version 1.25

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

Thanks!

On Tue, Jan 11, 2022 at 7:36 PM Dirk Eddelbuettel <ed...@de...> wrote:

>
> On 11 January 2022 at 16:49, Luigi Ballabio wrote:
> | Hello everybody,
> |     a release candidate for version 1.25 is available at <
> | https://github.com/lballabio/QuantLib/releases/tag/1.25rc>.  If you have
> | some time, please kick its tires.  I'll be grateful for any feedback.
>
> Packaged (and now uploaded) for Debian into the experimental branch, we
> should see build reports trickle in at this page, many started already:
>
> https://buildd.debian.org/status/package.php?p=quantlib&suite=experimental
>
> Make sure you set suite to experimental, else there won't be a 1.24.99 for
> the 1.25-rc.
>
> Dirk
>
> --
> https://dirk.eddelbuettel.com | @eddelbuettel | ed...@de...
>

Re: [Quantlib-users] Release candidate for version 1.25

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

On 11 January 2022 at 16:49, Luigi Ballabio wrote:
| Hello everybody,
|     a release candidate for version 1.25 is available at <
| https://github.com/lballabio/QuantLib/releases/tag/1.25rc>.  If you have
| some time, please kick its tires.  I'll be grateful for any feedback.

Packaged (and now uploaded) for Debian into the experimental branch, we
should see build reports trickle in at this page, many started already:

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

Make sure you set suite to experimental, else there won't be a 1.24.99 for
the 1.25-rc.

Dirk

-- 
https://dirk.eddelbuettel.com | @eddelbuettel | ed...@de...

[Quantlib-users] Release candidate for version 1.25

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

Hello everybody,
    a release candidate for version 1.25 is available at <
https://github.com/lballabio/QuantLib/releases/tag/1.25rc>.  If you have
some time, please kick its tires.  I'll be grateful for any feedback.

Luigi

Re: [Quantlib-users] Model for pricing Asian options

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

Thanks a lot for this information. We use QL python. I see OSR also has
Swig. Let me try it out.

Thanks
Ashish

On Wed, Jan 5, 2022, 10:30 PM Peter Caspers <pca...@gm...> wrote:

> Yes you can set up a commodity volatility surface that accepts call /
> put prices as an input and implies volatilities from them. You can
> then use that volatility surface to price an APO. Notice that it's not
> the engine that converts a call / put price to a volatility, this is
> done separately in the vol term structure instance that is passed to
> the engine.
> Best, Peter
>
>
> On Tue, 4 Jan 2022 at 19:26, Ashish Bansal <ash...@gm...>
> wrote:
> >
> > Thanks Luigi and Peter.
> >
> > Peter,
> > We are using QL through python. I hope the above engine is supported
> through the OREdata-SWIG. Let me try it out.
> >
> > Does this engine provide the Implied Vol for APO trades when passing the
> exchange price? The Asian engine in QL doesn't.
> >
> > Thanks
> > Ashish
> >
> > On Mon, 3 Jan 2022 at 20:30, Peter Caspers <pca...@gm...>
> wrote:
> >>
> >> Hey Ashish,
> >>
> >> in addition to what Luigi said, this might be of interest to you:
> >>
> >>
> https://github.com/OpenSourceRisk/Engine/blob/master/QuantExt/qle/pricingengines/commodityapoengine.hpp
> >>
> >> Thanks
> >> Peter
> >>
> >> On Mon, 3 Jan 2022 at 15:17, Luigi Ballabio <lui...@gm...>
> wrote:
> >> >
> >> > Not that I know of.
> >> >
> >> > On Wed, Dec 29, 2021 at 2:08 PM Ashish Bansal <
> ash...@gm...> wrote:
> >> >>
> >> >> Do you know if Asian option engines have moment matching inbuilt?
> >> >>
> >> >> On Tue, 28 Dec 2021 at 21:03, Luigi Ballabio <
> lui...@gm...> wrote:
> >> >>>
> >> >>> Hello Ashish, no, it's not.
> >> >>>
> >> >>> Luigi
> >> >>>
> >> >>>
> >> >>> On Thu, Dec 2, 2021 at 11:35 AM Ashish Bansal <
> ash...@gm...> wrote:
> >> >>>>
> >> >>>> Hi,
> >> >>>>
> >> >>>> Is the turnbull-wakeman model supported in QL for pricing the
> asian options? I wish to price the commodity asian options.
> >> >>>>
> >> >>>> Regards,
> >> >>>> Ashish
> >> >>>> _______________________________________________
> >> >>>> QuantLib-users mailing list
> >> >>>> Qua...@li...
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Re: [Quantlib-users] Regarding OpenMP and Open MPI library support

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

Oops — it looks Vamshi was not included.

On Fri, Jan 7, 2022 at 10:06 AM Luigi Ballabio <lui...@gm...>
wrote:

> Yes, by looking at the git logs most of the pragmas were commented out in
> commit ed061df111; the one in lattice.hpp was restored in ec35ebde89.
> This was in 2014, so probably with ancient versions of both the compilers
> and openmp.
> Vamshi, if you want to have a look, it would be useful to have an opinion
> from someone that actually knows openmp.
>
> Luigi
>
>
> On Thu, Jan 6, 2022 at 9:25 PM Peter Caspers <pca...@gm...>
> wrote:
>
>> Hi,
>>
>> in the past we saw that a "blind" usage of open mp does more harm than
>> good, see
>>
>> https://sourceforge.net/p/quantlib/mailman/message/32461242/
>>
>> so we removed most of the pragmas. It seems that the omp pragma
>> survived in lattice.hpp contrary to what is said in the mail thread, I
>> don't remember if there is a good reason for that. Maybe something to
>> review at some point. There are two more places, zabrsmilesection.hpp
>> and gaussian1dswaptionengine.cpp where I think enabling openmp gives
>> _some_ speedup although it's far from what you would hope for if I
>> remember correctly.
>>
>> grep --include="*.?pp"  -nH --null -r -e "pragma omp" *
>> ql/experimental/volatility/zabrsmilesection.hpp209:#pragma omp parallel
>> for
>> ql/methods/lattices/lattice.hpp169:        #pragma omp parallel for
>> ql/methods/finitedifferences/operators/triplebandlinearop.cpp127:
>>           //#pragma omp parallel for
>> ql/methods/finitedifferences/operators/triplebandlinearop.cpp137:
>>           //#pragma omp parallel for
>> ql/methods/finitedifferences/operators/triplebandlinearop.cpp153:
>>       //#pragma omp parallel for
>> ql/methods/finitedifferences/operators/triplebandlinearop.cpp172:
>>       //#pragma omp parallel for
>> ql/methods/finitedifferences/operators/triplebandlinearop.cpp187:
>>   //#pragma omp parallel for
>> ql/methods/finitedifferences/operators/triplebandlinearop.cpp203:
>>   //#pragma omp parallel for
>> ql/methods/finitedifferences/operators/triplebandlinearop.cpp220:
>>   #pragma omp parallel for
>> ql/methods/finitedifferences/operators/triplebandlinearop.cpp238:
>>   //#pragma omp parallel for
>> ql/methods/finitedifferences/operators/triplebandlinearop.cpp260:
>>   //#pragma omp parallel for
>> ql/methods/finitedifferences/operators/ninepointlinearop.cpp147:
>>  //#pragma omp parallel for
>> ql/methods/finitedifferences/operators/ninepointlinearop.cpp191:
>>  //#pragma omp parallel for
>> ql/methods/finitedifferences/parallelevolver.hpp51:
>> //#pragma omp parallel for
>> ql/methods/finitedifferences/parallelevolver.hpp102:
>> //#pragma omp parallel for
>> ql/methods/finitedifferences/stepcondition.hpp48:            //#pragma
>> omp parallel for
>> ql/pricingengines/swaption/gaussian1dswaptionengine.cpp118:#pragma omp
>> parallel for default(shared) firstprivate(p) if(expiry0>settlement)
>>
>> Thanks
>> Peter
>>
>> On Thu, 6 Jan 2022 at 13:18, Jonathan Sweemer <sw...@gm...> wrote:
>> >
>> > Hi Vamshi,
>> >
>> > OpenMP is only wired into a few places in QuantLib so if your program
>> doesn't use those specific code paths then you probably won't see much
>> difference in terms of speed.
>> >
>> > Moreover, QuantLib is not thread safe in general, and wasn't
>> specifically designed for thread-level parallelism. See Luigi's answer on
>> Stack Overflow for more details: https://stackoverflow.com/a/47098133
>> >
>> > The good news is that you can use multiprocessing instead of
>> multithreading with your HPC cluster to parallelize your jobs across cores
>> and nodes.
>> >
>> >
>> > On Thu, Jan 6, 2022 at 12:28 PM Vamshi Krishna <kri...@gm...>
>> wrote:
>> >>
>> >> Hiii Users
>> >>
>> >> I am new in this group and new to quantlib. I come for HPC back ground.
>> >>
>> >> I have tried some examples program with openMP but no major
>> performance gained.
>> >>
>> >> When I tried FinanceBench program which which have openMP functions
>> and shown good performance on multi cores.
>> >>
>> >> I do not, I am do correctly or not.
>> >>
>> >> If any user could help me "how to use quantlib on multi cores and
>> multiple node hpc cluster,  I will be thankful.
>> >>
>> >> Regards
>> >> Vamshi Krishna
>> >> _______________________________________________
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>> >
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>>
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