quantlib-users — QuantLib users discussion list

[Quantlib-users] Why doesn't FloatingRateBond has dayCounter() and frequency()?

[jian Xu <jia...@gm...>]

Hi,

I noticed that FixedRateBond has dayCounter() and frequency() methods,
but the FloatingRateBond does not.  What's the reason for that?  It
seems to me that dayCounter and frequency are equally valid concepts
for floating and fixed rate bonds.  Or am I missing something?
Thanks.

Jian

Re: [Quantlib-users] Why is 2020-12-28 a Target Calendar business day?

[Steven V. H. <sh...@op...>]

Hi Jian,

There is no business day rule applied to 25/12 and 26/12. So 28/12 is and should not be a holiday in Quantlib or in general.

Kind regards,
Steven

> Op 10 feb. 2021 om 16:09 heeft jian Xu <jia...@gm...> het volgende geschreven:
> 
> Hi,
> My understanding is that the Target Calendar should have both Dec-25,
> and Dec-26 as holiday.  And since 2020-12-26 a Saturday, then
> 2020-12-28 Monday should be a holiday.  Is this correct?
> 
> But when I tried quantlib, I got 2020-12-28 as a business day.  Am I
> missing something?  Thanks.
> 
>>>> target_cal = ql.TARGET()
>>>> target_cal.isBusinessDay(ql.Date(28, 12, 2020))
> True
> 
> Regards,
> Jian
> 
> 
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Quantlib-users] Why is 2020-12-28 a Target Calendar business day?

[jian Xu <jia...@gm...>]

Hi,
My understanding is that the Target Calendar should have both Dec-25,
and Dec-26 as holiday.  And since 2020-12-26 a Saturday, then
2020-12-28 Monday should be a holiday.  Is this correct?

But when I tried quantlib, I got 2020-12-28 as a business day.  Am I
missing something?  Thanks.

>>> target_cal = ql.TARGET()
>>> target_cal.isBusinessDay(ql.Date(28, 12, 2020))
True

Regards,
Jian

[Quantlib-users] Next release

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

Hello everybody,
    I wanted to give you a heads-up on the fact that in the next release
we'll start using C++11 features in the library.  As usual, the changes
shouldn't impact code you've written based on QuantLib, but just in case
I've written a post listing a few possible gotchas and relative workarounds:

https://www.implementingquantlib.com/2021/02/leaving-03-for-real.html

Regards,
    Luigi

[Quantlib-users] Pricing floating-rate cash flows for credit-sensitive bonds

[Michael M. <mic...@gm...>]

Hello,

I am new to QuantLib. I am building a system that prices CLO tranches,
which produce arbitrary forward cash flows. The tranches are typically
floating rate notes, although some are fixed-rate notes.

I need to price both types of notes. I viewed the QuantLib videos that
describe bond pricing (including the dm calc), which all make perfect
sense... but my cashflows are arbitrary (the tranche balances vary, and do
not always pay in full).

Is there an appropriate QuantLib class to represent a credit-sensitive
tranche, or would I simply represent the forward cash flows as a series of
SimpleCashFlow instances?

I am guessing the answer is here:
https://quantlib-python-docs.readthedocs.io/en/latest/cashflows.html but I
do not know quite where to start.

Thanks for any assistance,

-- Michael Megliola

Re: [Quantlib-users] Adding Spread to Forward / Fwd Premiums for vols

[Aleksis A. R. <ale...@go...>]

Hi, regarding 2/ - to my knowledge the swaptionvolmatrix only accepts either black, shifted black or normal vols as quotes. I believe you should be able to use something like bachelierBlackFormulaImpliedVol() to convert premiums to implied vols, which you can then feed into the swptionvolmatrix.

> On 3 Feb 2021, at 23:21, T O <tm...@ho...> wrote:
> 
> Hello,
> 
> I have two somewhat unrelated questions.
> 
> 1.) I was looking to implement Hagan's Delta risk hedging via waves.  In order to calculate the box shifts in the instantaneous forward rate can I use the ForwardSpreadedTermStructure to revalue the portfolio?  I don't actually see how you can set the spread between 2 dates, but was curious if there's a way.
> 
> 
> 2.) Is there a way to feed SwaptionVolMatrix and swaptionvolcube2 forward premiums directly to imply normal vols? or do I have to do this in steps.  convert to spot prem and get implied vol for each point on the surface/cube.
> 
> Thanks,
> TO
> 
> 
> 
> 
> Sent from Outlook <http://aka.ms/weboutlook>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li... <mailto:Qua...@li...>
> https://lists.sourceforge.net/lists/listinfo/quantlib-users <https://lists.sourceforge.net/lists/listinfo/quantlib-users>

[Quantlib-users] Adding Spread to Forward / Fwd Premiums for vols

[T O <tm...@ho...>]

Hello,

I have two somewhat unrelated questions.

1.) I was looking to implement Hagan's Delta risk hedging via waves.  In order to calculate the box shifts in the instantaneous forward rate can I use the ForwardSpreadedTermStructure to revalue the portfolio?  I don't actually see how you can set the spread between 2 dates, but was curious if there's a way.


2.) Is there a way to feed SwaptionVolMatrix and swaptionvolcube2 forward premiums directly to imply normal vols? or do I have to do this in steps.  convert to spot prem and get implied vol for each point on the surface/cube.

Thanks,
TO





Sent from Outlook<http://aka.ms/weboutlook>

[Quantlib-users] QuantLibXL / ObjectHandler 1.21 Released

[Eric E. <eri...@re...>]

QuantLibXL / ObjectHandler 1.21 Released

QuantLibXL, QuantLibAddin, ObjectHandler, and gensrc version
1.21 have been released and are available for download:
https://bintray.com/quantlib/releases/QuantLibXL/1.21#files

QuantLibAddin
http://www.quantlibaddin.org

QuantLibAddin exports the QuantLib interface to a variety
of end user platforms.

QuantLibXL
http://www.quantlibxl.org

QuantLibXL is the implementation of QuantLibAddin for
Microsoft Excel.  The QuantLibXL project includes a binary
release comprising a compiled Addin and example
workbooks.

ObjectHandler
http://www.objecthandler.org

ObjectHandler implements a repository where objects can be
stored, shared, updated, interrogated, and destroyed.  This
facilitates object orientation in procedural environments
such as spreadsheets.

Re: [Quantlib-users] QuantLibXL Prerelease 1.21

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

Hi Eric,

I tested and it looks good to me.

thanks
Francois Botha


On Mon, 18 Jan 2021 at 18:15, Eric Ehlers <eri...@re...> wrote:

> Hi All,
>
> A preliminary build of QuantLibXL version 1.21 is available at this link:
>
> https://bintray.com/quantlib/prerelease/QuantLibXL/1.21_prerelease#files
>
> I would be grateful to anyone who could test it and let me know if it's OK.
>
> I believe that I have merged all of the pull requests that I have
> received, and responded to other queries.  If I forgot anything please
> let me know.
>
> Kind Regards,
> Eric
>
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

[Quantlib-users] QuantLib 1.21 released

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

Hello everybody,
    QuantLib 1.21 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>.

[Quantlib-users] Least Squares Problem targetAndValue implementation

[Amine I. <ami...@gm...>]

Hi all, 

I am trying to use a classic Least Squares minimisation in QL. I came across the Least Sq cost function, and the value() method of this cost function makes a call to targetAndValue() method which is implemented in the FitAcfProblem class. I guess this has to do with the AutoCorrelationFunction implementation of Garch in the library.

I would be grateful if someone could explain to me the logic behind the design, as all I want to use is a simple Least Squares regressor to calibrate certain parameters in a model. Do I maybe have to write a customised CostFunction?

Thanks for your help,
Amine

N.B: I am using an old version of QuantLib (1.9.2)

Re: [Quantlib-users] Source bumping calculation time

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

HI Aleksis, what I meant was to keep the basket (i.e. strike,
maturity) constant, but still recalibrate the model under each
scenario.
Thanks, Peter

On Tue, 19 Jan 2021 at 09:29, Aleksis Ali Raza
<ale...@go...> wrote:
>
> Hi Peter. If I don't recompute and recalibrate the basket after each bump in the swaption vol cube, then I see no sensitivity impact at all when recomputing the bumped NPVs (so the bump risk returns a zero grid).
>
> I have resorted to using 16 points/3.0 std devs in the integration scheme - this has had made the computation bearable without too much loss of accuracy.
>
> Thanks, Aleksis
>
> > On 18 Jan 2021, at 16:57, Peter Caspers <pca...@gm...> wrote:
> >
> > Hi Aleksis,
> >
> > computing the calibration basket via 'MaturityStrikeByDeltaGamma' is
> > quite time consuming, so I'd try to compute the basket only once
> > (under the base scenario) and reuse it for each sensitivity bump
> > scenario.
> >
> > Thanks
> > Peter
> >
> > On Sun, 17 Jan 2021 at 13:52, Aleksis Ali Raza via QuantLib-users
> > <qua...@li...> wrote:
> >>
> >> Hi, a question on optimizing calculation time: the code I’ve written for bermudan swaption valuation in python (see below) takes forever when I run risks using source bumping (bucketed ATM and skew swaption vega are the really killers). I assume it’s the recalibration step I have added for the NPV attribute that’s the issue but I can’t figure a way around that. Any optimization tips would be appreciated (eg. different parameters for a less time-consuming integration scheme??).
> >>
> >> Thanks, Aleksis
> >>
> >>
> >> class bermudanswaption():
> >> 648
> >> 649     def __init__(self, calendar,settlement, used_model, swap, ratecurves, index, swvolcube_clean, swapbase,
> >> 650                  mean_reversion,position,NC_periods):
> >> 651
> >> 652         discount_curve = ratecurves.loc['discountcurve', 'ratecurves']
> >> 653         self.swvolcube = swvolcube_clean
> >> 654         self.swapbase = swapbase
> >> 655         self.used_model = used_model
> >> 656         self.discount_curve = discount_curve
> >> 657         self.position=position
> >> 658
> >> 659         fixed_schedule=swap.fixedSchedule()
> >> 660         exerciseDates = [calendar.advance(i, -ql.Period('2D')) for i in fixed_schedule][1+NC_periods:-1]
> >> 661         exercise = ql.BermudanExercise(exerciseDates)
> >> 662         stepDates = exerciseDates
> >> 663         self.exerciseDates=exerciseDates
> >> 664         sigmas = [ql.QuoteHandle(ql.SimpleQuote(0.01))]*(1+len(exerciseDates))
> >> 665         self.used_model = used_model
> >> 666
> >> 667         if settlement == 'physical':
> >> 668             type = 0
> >> 669             method = 1
> >> 670         else:
> >> 671             type = 1
> >> 672             method = 2
> >> 673
> >> 674         self.nsswaption = ql.NonstandardSwaption(swap, exercise, type, method)
> >> 675         gsr = ql.Gsr(ratecurves.loc[index, 'ratecurves'],
> >> 676                      stepDates, sigmas, [ql.QuoteHandle(ql.SimpleQuote(mean_reversion))])
> >> 677         engine = ql.Gaussian1dNonstandardSwaptionEngine(gsr, 64, 7.0, True, False,
> >> 678                                                         ql.QuoteHandle(ql.SimpleQuote(0)),
> >> 679                                                         discount_curve, 2)
> >> 680         self.engine = ql.Gaussian1dSwaptionEngine(gsr, 64, 7.0, True, False, discount_curve)
> >> 681         self.nsswaption.setPricingEngine(engine)
> >> 682         self.model = gsr
> >> 683     def NPV(self):
> >> 684         engine = ql.Gaussian1dSwaptionEngine(self.model, 64, 7.0, True, False, self.discount_curve)
> >> 685         basket = self.nsswaption.calibrationBasket(self.swapbase, self.swvolcube, 'MaturityStrikeByDeltaGamma')
> >> 686         for basket_i in basket:
> >> 687             ql.as_black_helper(basket_i).setPricingEngine(engine)
> >> 688         method = ql.LevenbergMarquardt()
> >> 689         ec = ql.EndCriteria(1000, 10, 1e-8, 1e-8, 1e-8)
> >> 690         self.model.calibrateVolatilitiesIterative(basket, method, ec)
> >> 691         npv = self.nsswaption.NPV()*self.position
> >>
> >> _______________________________________________
> >> QuantLib-users mailing list
> >> Qua...@li...
> >> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Re: [Quantlib-users] Source bumping calculation time

[Aleksis A. R. <ale...@go...>]

Hi Peter. If I don't recompute and recalibrate the basket after each bump in the swaption vol cube, then I see no sensitivity impact at all when recomputing the bumped NPVs (so the bump risk returns a zero grid).

I have resorted to using 16 points/3.0 std devs in the integration scheme - this has had made the computation bearable without too much loss of accuracy. 

Thanks, Aleksis

> On 18 Jan 2021, at 16:57, Peter Caspers <pca...@gm...> wrote:
> 
> Hi Aleksis,
> 
> computing the calibration basket via 'MaturityStrikeByDeltaGamma' is
> quite time consuming, so I'd try to compute the basket only once
> (under the base scenario) and reuse it for each sensitivity bump
> scenario.
> 
> Thanks
> Peter
> 
> On Sun, 17 Jan 2021 at 13:52, Aleksis Ali Raza via QuantLib-users
> <qua...@li...> wrote:
>> 
>> Hi, a question on optimizing calculation time: the code I’ve written for bermudan swaption valuation in python (see below) takes forever when I run risks using source bumping (bucketed ATM and skew swaption vega are the really killers). I assume it’s the recalibration step I have added for the NPV attribute that’s the issue but I can’t figure a way around that. Any optimization tips would be appreciated (eg. different parameters for a less time-consuming integration scheme??).
>> 
>> Thanks, Aleksis
>> 
>> 
>> class bermudanswaption():
>> 648
>> 649     def __init__(self, calendar,settlement, used_model, swap, ratecurves, index, swvolcube_clean, swapbase,
>> 650                  mean_reversion,position,NC_periods):
>> 651
>> 652         discount_curve = ratecurves.loc['discountcurve', 'ratecurves']
>> 653         self.swvolcube = swvolcube_clean
>> 654         self.swapbase = swapbase
>> 655         self.used_model = used_model
>> 656         self.discount_curve = discount_curve
>> 657         self.position=position
>> 658
>> 659         fixed_schedule=swap.fixedSchedule()
>> 660         exerciseDates = [calendar.advance(i, -ql.Period('2D')) for i in fixed_schedule][1+NC_periods:-1]
>> 661         exercise = ql.BermudanExercise(exerciseDates)
>> 662         stepDates = exerciseDates
>> 663         self.exerciseDates=exerciseDates
>> 664         sigmas = [ql.QuoteHandle(ql.SimpleQuote(0.01))]*(1+len(exerciseDates))
>> 665         self.used_model = used_model
>> 666
>> 667         if settlement == 'physical':
>> 668             type = 0
>> 669             method = 1
>> 670         else:
>> 671             type = 1
>> 672             method = 2
>> 673
>> 674         self.nsswaption = ql.NonstandardSwaption(swap, exercise, type, method)
>> 675         gsr = ql.Gsr(ratecurves.loc[index, 'ratecurves'],
>> 676                      stepDates, sigmas, [ql.QuoteHandle(ql.SimpleQuote(mean_reversion))])
>> 677         engine = ql.Gaussian1dNonstandardSwaptionEngine(gsr, 64, 7.0, True, False,
>> 678                                                         ql.QuoteHandle(ql.SimpleQuote(0)),
>> 679                                                         discount_curve, 2)
>> 680         self.engine = ql.Gaussian1dSwaptionEngine(gsr, 64, 7.0, True, False, discount_curve)
>> 681         self.nsswaption.setPricingEngine(engine)
>> 682         self.model = gsr
>> 683     def NPV(self):
>> 684         engine = ql.Gaussian1dSwaptionEngine(self.model, 64, 7.0, True, False, self.discount_curve)
>> 685         basket = self.nsswaption.calibrationBasket(self.swapbase, self.swvolcube, 'MaturityStrikeByDeltaGamma')
>> 686         for basket_i in basket:
>> 687             ql.as_black_helper(basket_i).setPricingEngine(engine)
>> 688         method = ql.LevenbergMarquardt()
>> 689         ec = ql.EndCriteria(1000, 10, 1e-8, 1e-8, 1e-8)
>> 690         self.model.calibrateVolatilitiesIterative(basket, method, ec)
>> 691         npv = self.nsswaption.NPV()*self.position
>> 
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users

Re: [Quantlib-users] Source bumping calculation time

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

Hi Aleksis,

computing the calibration basket via 'MaturityStrikeByDeltaGamma' is
quite time consuming, so I'd try to compute the basket only once
(under the base scenario) and reuse it for each sensitivity bump
scenario.

Thanks
Peter

On Sun, 17 Jan 2021 at 13:52, Aleksis Ali Raza via QuantLib-users
<qua...@li...> wrote:
>
> Hi, a question on optimizing calculation time: the code I’ve written for bermudan swaption valuation in python (see below) takes forever when I run risks using source bumping (bucketed ATM and skew swaption vega are the really killers). I assume it’s the recalibration step I have added for the NPV attribute that’s the issue but I can’t figure a way around that. Any optimization tips would be appreciated (eg. different parameters for a less time-consuming integration scheme??).
>
> Thanks, Aleksis
>
>
> class bermudanswaption():
> 648
> 649     def __init__(self, calendar,settlement, used_model, swap, ratecurves, index, swvolcube_clean, swapbase,
> 650                  mean_reversion,position,NC_periods):
> 651
> 652         discount_curve = ratecurves.loc['discountcurve', 'ratecurves']
> 653         self.swvolcube = swvolcube_clean
> 654         self.swapbase = swapbase
> 655         self.used_model = used_model
> 656         self.discount_curve = discount_curve
> 657         self.position=position
> 658
> 659         fixed_schedule=swap.fixedSchedule()
> 660         exerciseDates = [calendar.advance(i, -ql.Period('2D')) for i in fixed_schedule][1+NC_periods:-1]
> 661         exercise = ql.BermudanExercise(exerciseDates)
> 662         stepDates = exerciseDates
> 663         self.exerciseDates=exerciseDates
> 664         sigmas = [ql.QuoteHandle(ql.SimpleQuote(0.01))]*(1+len(exerciseDates))
> 665         self.used_model = used_model
> 666
> 667         if settlement == 'physical':
> 668             type = 0
> 669             method = 1
> 670         else:
> 671             type = 1
> 672             method = 2
> 673
> 674         self.nsswaption = ql.NonstandardSwaption(swap, exercise, type, method)
> 675         gsr = ql.Gsr(ratecurves.loc[index, 'ratecurves'],
> 676                      stepDates, sigmas, [ql.QuoteHandle(ql.SimpleQuote(mean_reversion))])
> 677         engine = ql.Gaussian1dNonstandardSwaptionEngine(gsr, 64, 7.0, True, False,
> 678                                                         ql.QuoteHandle(ql.SimpleQuote(0)),
> 679                                                         discount_curve, 2)
> 680         self.engine = ql.Gaussian1dSwaptionEngine(gsr, 64, 7.0, True, False, discount_curve)
> 681         self.nsswaption.setPricingEngine(engine)
> 682         self.model = gsr
> 683     def NPV(self):
> 684         engine = ql.Gaussian1dSwaptionEngine(self.model, 64, 7.0, True, False, self.discount_curve)
> 685         basket = self.nsswaption.calibrationBasket(self.swapbase, self.swvolcube, 'MaturityStrikeByDeltaGamma')
> 686         for basket_i in basket:
> 687             ql.as_black_helper(basket_i).setPricingEngine(engine)
> 688         method = ql.LevenbergMarquardt()
> 689         ec = ql.EndCriteria(1000, 10, 1e-8, 1e-8, 1e-8)
> 690         self.model.calibrateVolatilitiesIterative(basket, method, ec)
> 691         npv = self.nsswaption.NPV()*self.position
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Quantlib-users] QuantLibXL Prerelease 1.21

[Eric E. <eri...@re...>]

Hi All,

A preliminary build of QuantLibXL version 1.21 is available at this link:

https://bintray.com/quantlib/prerelease/QuantLibXL/1.21_prerelease#files

I would be grateful to anyone who could test it and let me know if it's OK.

I believe that I have merged all of the pull requests that I have 
received, and responded to other queries.  If I forgot anything please 
let me know.

Kind Regards,
Eric

[Quantlib-users] QuantLib-SWIG-R: Does anybody have working example of MakeVanillaSwap, VanillaSwap?

[Ravi D. <rav...@gm...>]

Hi,
I'm new to Quantlib & QuantLib-SWIG-R...spent some time figuring out how to
create a VanillaSwap in R, and get its NPV.
I followed the demo examples for ZCBond, CouponBond in demos, and have
configured working term structures in R, but so far got no luck creating an
example for vanilla swap.

Can someone help please?

Thanks.

[Quantlib-users] Source bumping calculation time

[Aleksis A. R. <ale...@go...>]

Hi, a question on optimizing calculation time: the code I’ve written for bermudan swaption valuation in python (see below) takes forever when I run risks using source bumping (bucketed ATM and skew swaption vega are the really killers). I assume it’s the recalibration step I have added for the NPV attribute that’s the issue but I can’t figure a way around that. Any optimization tips would be appreciated (eg. different parameters for a less time-consuming integration scheme??).

Thanks, Aleksis


class bermudanswaption():                                                                                                                                                                                                                         
648 
649     def __init__(self, calendar,settlement, used_model, swap, ratecurves, index, swvolcube_clean, swapbase,
650                  mean_reversion,position,NC_periods):
651 
652         discount_curve = ratecurves.loc['discountcurve', 'ratecurves']
653         self.swvolcube = swvolcube_clean
654         self.swapbase = swapbase
655         self.used_model = used_model
656         self.discount_curve = discount_curve
657         self.position=position
658 
659         fixed_schedule=swap.fixedSchedule()
660         exerciseDates = [calendar.advance(i, -ql.Period('2D')) for i in fixed_schedule][1+NC_periods:-1]
661         exercise = ql.BermudanExercise(exerciseDates)
662         stepDates = exerciseDates
663         self.exerciseDates=exerciseDates
664         sigmas = [ql.QuoteHandle(ql.SimpleQuote(0.01))]*(1+len(exerciseDates))
665         self.used_model = used_model
666 
667         if settlement == 'physical':
668             type = 0
669             method = 1
670         else:
671             type = 1
672             method = 2
673 
674         self.nsswaption = ql.NonstandardSwaption(swap, exercise, type, method)
675         gsr = ql.Gsr(ratecurves.loc[index, 'ratecurves'],
676                      stepDates, sigmas, [ql.QuoteHandle(ql.SimpleQuote(mean_reversion))])
677         engine = ql.Gaussian1dNonstandardSwaptionEngine(gsr, 64, 7.0, True, False,
678                                                         ql.QuoteHandle(ql.SimpleQuote(0)),
679                                                         discount_curve, 2)
680         self.engine = ql.Gaussian1dSwaptionEngine(gsr, 64, 7.0, True, False, discount_curve)
681         self.nsswaption.setPricingEngine(engine)
682         self.model = gsr
683     def NPV(self):
684         engine = ql.Gaussian1dSwaptionEngine(self.model, 64, 7.0, True, False, self.discount_curve)
685         basket = self.nsswaption.calibrationBasket(self.swapbase, self.swvolcube, 'MaturityStrikeByDeltaGamma')
686         for basket_i in basket:
687             ql.as_black_helper(basket_i).setPricingEngine(engine)
688         method = ql.LevenbergMarquardt()
689         ec = ql.EndCriteria(1000, 10, 1e-8, 1e-8, 1e-8)
690         self.model.calibrateVolatilitiesIterative(basket, method, ec)
691         npv = self.nsswaption.NPV()*self.position

[Quantlib-users] Compile QuantLib with Clang in windows

[SX L <han...@ho...>]

Did anybody build QuantLib and test-suite successfully in Windows with clang? I want to see the performance difference between msvc and clang. I tried to change the platform toolset in vcxproj to clang, and link to boost libraries compiled with clang. However, I still get some undefined symbol errors. I must have had missed something.

Re: [Quantlib-users] Release candidates for version 1.21

[David D. <nh...@gm...>]

Hi Luigi,

All QuantLib 1.21-rc tests ran fine on Ubuntu 20.10:

Running 861 test cases...
Tests completed in 8 m 31 s
*** No errors detected

All QuantLib-SWIG 1.21-rc tests also ran fine (Ubuntu 20.10 and Python
3.7)  :

Ran 114 tests in 17.041s
OK

Regards,
David




On Tue, 5 Jan 2021 at 17:05, Luigi Ballabio <lui...@gm...>
wrote:

> Hello everybody,
>     I've uploaded release candidates for version 1.21 at <
> https://bintray.com/quantlib/prerelease/QuantLib/1.21rc>.  If you have
> some spare time, please give them a try and report back any problems.
> Thanks!
>
> Luigi
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Re: [Quantlib-users] Release candidates for version 1.21

[Marcin R. <mry...@gm...>]

Hi Luigi,

All tests ran successfully on Windows 10:

Running 861 test cases...

Tests completed in 12 m 41 s

*** No errors detected


For QuantLib-SWIG, also on Windows 10 and Python 3.8 all tests are
successful:

----------------------------------------------------------------------
Ran 114 tests in 21.964s

OK


I repeated the same exercise on Ubuntu 20.04 focal (both QuantLib and
QuantLib-SWIG in Python 3.7), with the same outcome.

Regards,
Marcin

wt., 5 sty 2021 o 18:05 Luigi Ballabio <lui...@gm...>
napisał(a):

> Hello everybody,
>     I've uploaded release candidates for version 1.21 at <
> https://bintray.com/quantlib/prerelease/QuantLib/1.21rc>.  If you have
> some spare time, please give them a try and report back any problems.
> Thanks!
>
> Luigi
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

[Quantlib-users] Release candidates for version 1.21

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

Hello everybody,
    I've uploaded release candidates for version 1.21 at <
https://bintray.com/quantlib/prerelease/QuantLib/1.21rc>.  If you have some
spare time, please give them a try and report back any problems.  Thanks!

Luigi

Re: [Quantlib-users] Usage of Handle<Quote>

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

Hello,
    there are not a lot of implementations of Quote in the library - mostly
SimpleQuote, plus a couple of others like DerivedQuote.  But the handle is
in there anyway, in case someone had another implementation (for instance,
connected to some data-provider API) and wanted to switch it.

Luigi


On Sat, Dec 19, 2020 at 10:25 AM SX L <han...@ho...> wrote:

> I am looking at GeneralizedBSProcess. I can understand the usage of
> Handle<YieldTermStructure>. Say, you wanna switch from LIBOR based discount
> curve to SOFR based one. You could do "USDDiscount.linkTo(USDSOFRCurve)".
> However, what's the usage of Handle<Quote>? For cases of SimpleQuote, can
> we just use SimpleQuote::setValue()? Thanks.
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

[Quantlib-users] 回复: 回复: QuantLibXL / ObjectHandler 1.20 Released

[li c. <weg...@ho...>]

Hi Eric,

I found it the problem lies at I didn’t put the QuantLib source codes under the quantlibaddin folder. After I do so everything compiles. Thanks you eric, it is just my fault.

Regards,
Cheng

发件人: Francois Botha <ig...@gm...>
发送时间: 2020年12月27日 3:19
收件人: li cheng <weg...@ho...>
抄送: Eric Ehlers <eri...@re...>; QuantLib users <qua...@li...>; qua...@li...
主题: Re: [Quantlib-users] 回复: QuantLibXL / ObjectHandler 1.20 Released

I can successfully build it on VS2019. What problems do you experience when you try it?

Francois Botha
On Sat, 26 Dec 2020, 21:16 li cheng, <weg...@ho...<mailto:weg...@ho...>> wrote:
Hi Eric,

In which Visual Studio version does quantlibxl build? I have tried to build it from source with VS2019, VS2017 and VS2015. Not a single is successful.

Regards,
Cheng

-----邮件原件-----
发件人: Eric Ehlers <eri...@re...<mailto:eri...@re...>>
发送时间: 2020年11月11日 4:26
收件人: qua...@li...<mailto:qua...@li...>; qua...@li...<mailto:qua...@li...>
主题: [Quantlib-users] QuantLibXL / ObjectHandler 1.20 Released

QuantLibXL / ObjectHandler 1.20 Released

QuantLibXL, QuantLibAddin, ObjectHandler, and gensrc version
1.20 have been released and are available for download:
https://nam12.safelinks.protection.outlook.com/?url=https%3A%2F%2Fbintray.com%2Fquantlib%2Freleases%2FQuantLibXL%2F1.20%23files&amp;data=04%7C01%7C%7C5f5bd684e4f941059dad08d885b72eab%7C84df9e7fe9f640afb435aaaaaaaaaaaa%7C1%7C0%7C637406369092577151%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C1000&amp;sdata=gZ8Daoo2twQ7ftvUe50Sc48LUEmqV3KaLbk0z4SJ%2BII%3D&amp;reserved=0<https://apac01.safelinks.protection.outlook.com/?url=https%3A%2F%2Fbintray.com%2Fquantlib%2Freleases%2FQuantLibXL%2F1.20%23files&data=04%7C01%7C%7C69e95432db064a38082308d8a9d32605%7C84df9e7fe9f640afb435aaaaaaaaaaaa%7C1%7C0%7C637446071626809509%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C1000&sdata=hPjsVye4CSB3T67o1jSS68e5S2bFVzPTQapP4kuD2xc%3D&reserved=0>

QuantLibAddin
https://nam12.safelinks.protection.outlook.com/?url=http%3A%2F%2Fwww.quantlibaddin.org%2F&amp;data=04%7C01%7C%7C5f5bd684e4f941059dad08d885b72eab%7C84df9e7fe9f640afb435aaaaaaaaaaaa%7C1%7C0%7C637406369092577151%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C1000&amp;sdata=wCuDi69rv6Q4jRcoiDECQyzFvOZ8o%2FWSBZb3Mj%2F5r7M%3D&amp;reserved=0<https://apac01.safelinks.protection.outlook.com/?url=http%3A%2F%2Fwww.quantlibaddin.org%2F&data=04%7C01%7C%7C69e95432db064a38082308d8a9d32605%7C84df9e7fe9f640afb435aaaaaaaaaaaa%7C1%7C0%7C637446071626809509%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C1000&sdata=MQnjy26xOHMv44VNwuNI4e2zAu2kBphlmRLq4MD7m6g%3D&reserved=0>

QuantLibAddin exports the QuantLib interface to a variety of end user platforms.

QuantLibXL
https://nam12.safelinks.protection.outlook.com/?url=http%3A%2F%2Fwww.quantlibxl.org%2F&amp;data=04%7C01%7C%7C5f5bd684e4f941059dad08d885b72eab%7C84df9e7fe9f640afb435aaaaaaaaaaaa%7C1%7C0%7C637406369092577151%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C1000&amp;sdata=yIhcVWfnNu4KOF1FfPtGgkH3P1QiQpgiM3hYCC%2Bqzwo%3D&amp;reserved=0<https://apac01.safelinks.protection.outlook.com/?url=http%3A%2F%2Fwww.quantlibxl.org%2F&data=04%7C01%7C%7C69e95432db064a38082308d8a9d32605%7C84df9e7fe9f640afb435aaaaaaaaaaaa%7C1%7C0%7C637446071626819475%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C1000&sdata=spcFaCtm%2Bt05QbNTvKkBZrM0FwmSKMk%2B%2FIQeiHBOSuU%3D&reserved=0>

QuantLibXL is the implementation of QuantLibAddin for Microsoft Excel.  The QuantLibXL project includes a binary release comprising a compiled Addin and example workbooks.

ObjectHandler
https://nam12.safelinks.protection.outlook.com/?url=http%3A%2F%2Fwww.objecthandler.org%2F&amp;data=04%7C01%7C%7C5f5bd684e4f941059dad08d885b72eab%7C84df9e7fe9f640afb435aaaaaaaaaaaa%7C1%7C0%7C637406369092577151%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C1000&amp;sdata=QZjCQto9jTRCP6DwlkwjTyGYMvgK8e7x7hQJNVyRoZo%3D&amp;reserved=0<https://apac01.safelinks.protection.outlook.com/?url=http%3A%2F%2Fwww.objecthandler.org%2F&data=04%7C01%7C%7C69e95432db064a38082308d8a9d32605%7C84df9e7fe9f640afb435aaaaaaaaaaaa%7C1%7C0%7C637446071626819475%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C1000&sdata=4LDBoAN%2BzpFhPyK7w27rRdzokb1kUK8Z8ZdRy21bm98%3D&reserved=0>

ObjectHandler implements a repository where objects can be stored, shared, updated, interrogated, and destroyed.  This facilitates object orientation in procedural environments such as spreadsheets.



_______________________________________________
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_______________________________________________
QuantLib-users mailing list
Qua...@li...<mailto:Qua...@li...>
https://lists.sourceforge.net/lists/listinfo/quantlib-users<https://apac01.safelinks.protection.outlook.com/?url=https%3A%2F%2Flists.sourceforge.net%2Flists%2Flistinfo%2Fquantlib-users&data=04%7C01%7C%7C69e95432db064a38082308d8a9d32605%7C84df9e7fe9f640afb435aaaaaaaaaaaa%7C1%7C0%7C637446071626829423%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C1000&sdata=iSLOvibr0LAA9Q4ODG2z5ufYDTo%2BU%2B1C0Cypc1Qw1%2BI%3D&reserved=0>

Re: [Quantlib-users] 回复: QuantLibXL / ObjectHandler 1.20 Released

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

I can successfully build it on VS2019. What problems do you experience when
you try it?

Francois Botha

On Sat, 26 Dec 2020, 21:16 li cheng, <weg...@ho...> wrote:

> Hi Eric,
>
> In which Visual Studio version does quantlibxl build? I have tried to
> build it from source with VS2019, VS2017 and VS2015. Not a single is
> successful.
>
> Regards,
> Cheng
>
> -----邮件原件-----
> 发件人: Eric Ehlers <eri...@re...>
> 发送时间: 2020年11月11日 4:26
> 收件人: qua...@li...;
> qua...@li...
> 主题: [Quantlib-users] QuantLibXL / ObjectHandler 1.20 Released
>
> QuantLibXL / ObjectHandler 1.20 Released
>
> QuantLibXL, QuantLibAddin, ObjectHandler, and gensrc version
> 1.20 have been released and are available for download:
>
> https://nam12.safelinks.protection.outlook.com/?url=https%3A%2F%2Fbintray.com%2Fquantlib%2Freleases%2FQuantLibXL%2F1.20%23files&amp;data=04%7C01%7C%7C5f5bd684e4f941059dad08d885b72eab%7C84df9e7fe9f640afb435aaaaaaaaaaaa%7C1%7C0%7C637406369092577151%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C1000&amp;sdata=gZ8Daoo2twQ7ftvUe50Sc48LUEmqV3KaLbk0z4SJ%2BII%3D&amp;reserved=0
>
> QuantLibAddin
>
> https://nam12.safelinks.protection.outlook.com/?url=http%3A%2F%2Fwww.quantlibaddin.org%2F&amp;data=04%7C01%7C%7C5f5bd684e4f941059dad08d885b72eab%7C84df9e7fe9f640afb435aaaaaaaaaaaa%7C1%7C0%7C637406369092577151%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C1000&amp;sdata=wCuDi69rv6Q4jRcoiDECQyzFvOZ8o%2FWSBZb3Mj%2F5r7M%3D&amp;reserved=0
>
> QuantLibAddin exports the QuantLib interface to a variety of end user
> platforms.
>
> QuantLibXL
>
> https://nam12.safelinks.protection.outlook.com/?url=http%3A%2F%2Fwww.quantlibxl.org%2F&amp;data=04%7C01%7C%7C5f5bd684e4f941059dad08d885b72eab%7C84df9e7fe9f640afb435aaaaaaaaaaaa%7C1%7C0%7C637406369092577151%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C1000&amp;sdata=yIhcVWfnNu4KOF1FfPtGgkH3P1QiQpgiM3hYCC%2Bqzwo%3D&amp;reserved=0
>
> QuantLibXL is the implementation of QuantLibAddin for Microsoft Excel.
> The QuantLibXL project includes a binary release comprising a compiled
> Addin and example workbooks.
>
> ObjectHandler
>
> https://nam12.safelinks.protection.outlook.com/?url=http%3A%2F%2Fwww.objecthandler.org%2F&amp;data=04%7C01%7C%7C5f5bd684e4f941059dad08d885b72eab%7C84df9e7fe9f640afb435aaaaaaaaaaaa%7C1%7C0%7C637406369092577151%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C1000&amp;sdata=QZjCQto9jTRCP6DwlkwjTyGYMvgK8e7x7hQJNVyRoZo%3D&amp;reserved=0
>
> ObjectHandler implements a repository where objects can be stored, shared,
> updated, interrogated, and destroyed.  This facilitates object orientation
> in procedural environments such as spreadsheets.
>
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
>
> https://nam12.safelinks.protection.outlook.com/?url=https%3A%2F%2Flists.sourceforge.net%2Flists%2Flistinfo%2Fquantlib-users&amp;data=04%7C01%7C%7C5f5bd684e4f941059dad08d885b72eab%7C84df9e7fe9f640afb435aaaaaaaaaaaa%7C1%7C0%7C637406369092587145%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C1000&amp;sdata=LR7NJ9eID3vfYKdgAxojd%2Bl4bpZ%2BYjPdUJg09y24JdE%3D&amp;reserved=0
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

[Quantlib-users] 回复: QuantLibXL / ObjectHandler 1.20 Released

[li c. <weg...@ho...>]

Hi Eric,

In which Visual Studio version does quantlibxl build? I have tried to build it from source with VS2019, VS2017 and VS2015. Not a single is successful.

Regards,
Cheng

-----邮件原件-----
发件人: Eric Ehlers <eri...@re...> 
发送时间: 2020年11月11日 4:26
收件人: qua...@li...; qua...@li...
主题: [Quantlib-users] QuantLibXL / ObjectHandler 1.20 Released

QuantLibXL / ObjectHandler 1.20 Released

QuantLibXL, QuantLibAddin, ObjectHandler, and gensrc version
1.20 have been released and are available for download:
https://nam12.safelinks.protection.outlook.com/?url=https%3A%2F%2Fbintray.com%2Fquantlib%2Freleases%2FQuantLibXL%2F1.20%23files&amp;data=04%7C01%7C%7C5f5bd684e4f941059dad08d885b72eab%7C84df9e7fe9f640afb435aaaaaaaaaaaa%7C1%7C0%7C637406369092577151%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C1000&amp;sdata=gZ8Daoo2twQ7ftvUe50Sc48LUEmqV3KaLbk0z4SJ%2BII%3D&amp;reserved=0

QuantLibAddin
https://nam12.safelinks.protection.outlook.com/?url=http%3A%2F%2Fwww.quantlibaddin.org%2F&amp;data=04%7C01%7C%7C5f5bd684e4f941059dad08d885b72eab%7C84df9e7fe9f640afb435aaaaaaaaaaaa%7C1%7C0%7C637406369092577151%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C1000&amp;sdata=wCuDi69rv6Q4jRcoiDECQyzFvOZ8o%2FWSBZb3Mj%2F5r7M%3D&amp;reserved=0

QuantLibAddin exports the QuantLib interface to a variety of end user platforms.

QuantLibXL
https://nam12.safelinks.protection.outlook.com/?url=http%3A%2F%2Fwww.quantlibxl.org%2F&amp;data=04%7C01%7C%7C5f5bd684e4f941059dad08d885b72eab%7C84df9e7fe9f640afb435aaaaaaaaaaaa%7C1%7C0%7C637406369092577151%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C1000&amp;sdata=yIhcVWfnNu4KOF1FfPtGgkH3P1QiQpgiM3hYCC%2Bqzwo%3D&amp;reserved=0

QuantLibXL is the implementation of QuantLibAddin for Microsoft Excel.  The QuantLibXL project includes a binary release comprising a compiled Addin and example workbooks.

ObjectHandler
https://nam12.safelinks.protection.outlook.com/?url=http%3A%2F%2Fwww.objecthandler.org%2F&amp;data=04%7C01%7C%7C5f5bd684e4f941059dad08d885b72eab%7C84df9e7fe9f640afb435aaaaaaaaaaaa%7C1%7C0%7C637406369092577151%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C1000&amp;sdata=QZjCQto9jTRCP6DwlkwjTyGYMvgK8e7x7hQJNVyRoZo%3D&amp;reserved=0

ObjectHandler implements a repository where objects can be stored, shared, updated, interrogated, and destroyed.  This facilitates object orientation in procedural environments such as spreadsheets.



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