quantlib-users — QuantLib users discussion list

[Quantlib-users] Linux Port

[Bernd J. W. <wu...@be...>]

Hi,
	attached please find the latest Linux port. Everything works including
python support and the history.h file nando commited earlier today. (see my
edits in history.h -- I think this is going to be a nightmare until g++ will 
have proper c++ standart library support ...).

	Would love to commit myself but have to wait for nando to figure out
how to give me write access to the cvs. 

	I don't think I broke anything for the other platforms, if yes, please
report. The only change of note I made is to move the soruces that used
to reside in Sources into a subdirector called QLBase. I think this is better
style and should have a trivlal fix in the dev environments on Windows and
the Mac.

	In order to build on Linux just cd into /Linux and follwo the instructions
in the Readme.


--- Bernd

[Quantlib-users] Fwd: Re: [Quantlib-dev] Linux Port

[Ferdinando A. <fer...@am...>]

This is from Bernd.
He didn't know I just merged quantlib-dev into quantlib-users.
Two mailing list are too much for a new project

ciao -- Nando




>X-From_: qua...@li...  Mon Dec 18 12:32:09 2000
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>From: Bernd Johannes Wuebben <wu...@be...>
>Reply-To: wu...@be...
>Organization: Deutsche Bank
>To: Ferdinando Ametrano <fer...@ri...>
>Subject: Re: [Quantlib-dev] Linux Port
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>Date: Mon, 18 Dec 2000 15:32:13 -0500
>
>On Monday 18 December 2000 14:52, you wrote:
> > I have a pragmatic approach, it's matter of evaluating what will help more:
> > GPL code or support from GPL-adverse financial software/consulting
>
>Whether your approach is pragmatic can not be decided at this point
>as we have not seen any support from GPL-adverse financial software/consulting
>firms. Furthermore, frankly I don't expect anything, probably ever. My KDE
>eperiences have been versy sobering.  Companies will ONLY take and _never_
>give as far a code is concerned.
>
>As to the GPL code question. I really don't care anymore. I am tired of
>anything that involved licensing questions. Very tired. The license
>we have currently is fine with me and if we can't use R or orctave stuff,
>then so be it.
>
>ps what's that history.h file? Did you even try to compile that using g++
>2.95-3? Don't know whether I can quickly fix that one ...
>
>Bernd
>
>
> > companies.
> >
> > ciao -- Nando
>
>_______________________________________________
>Quantlib-dev mailing list
>Qua...@li...
>http://lists.sourceforge.net/mailman/listinfo/quantlib-dev

[Quantlib-users] Re: [Quantlib-dev] Linux Port

[Ferdinando A. <fer...@ri...>]

> > We cannot use GPLed libraries to preserve the QuantLib licence, since GPL
> > would contaminate QuantLib. We can use LGPL libraries.
>
>Well, lets see whether we can survive without  great code such as the stats
>libs of R etc.
I have a pragmatic approach, it's matter of evaluating what will help more: 
GPL code or support from GPL-adverse financial software/consulting companies.

ciao -- Nando

[Quantlib-users] Re: [Quantlib-dev] Linux Port

[Ferdinando A. <fer...@am...>]

>         I sent nando an initial embryonicGNU/Linux port. Generates makefiles
>dynamically, almost everything compiles. More when I have another five
>minutes.
thank you Bernd

>Initial impressions:
>
>         I am unhappy about the heavy use of templates and the stl. Its 
> going to
>bite you on many platforms (guys there is a whole world out there apart from
>Macs and Windows machines...) and the bloat is going to be considerable.
Luigi will reply to this one. In the meantime can you elaborate on which 
platform you think we will have problems?
QuantLib compiles on Win32, Mac and (hopefully soon) on Linux.
Sun Solaris is the only other platform used in financial world I can think of.

>         Is the license compatible with the GPL?
Nice to hear such a question from a KDE developer ;-)
Yes it is. The XFree-86 style licence (also called BSD style licence) 
classifies QuantLib as both Free Software and Open Source, as you can see 
following the links in http://quantlib.sourceforge.net/license.html

>  Has someone verified with Richard?
I had email exchanges with Richard Stallman before announcing QuantLib. He 
advocated GPL or LGPL of course.
I chose XFree-86 style licence because I want software companies and/or 
researchers to be able to release proprietary model based on QuantLib under 
more restrictive copyright. I think this is a requirement if we want 
QuantLib to become a widespread adopted standard, since proprietary model 
are a competitive advantage in the trading rooms.
This is also a requirement from my company, even if I hope and think that 
we will GPL our products.
I will get back to Richard to let him known about the QuantLib project, and 
to get a confirmation that my wording of XFree-86 is good enough to be GPL 
compatible.

Of course my approach has some drawback.
We cannot use GPLed libraries to preserve the QuantLib licence, since GPL 
would contaminate QuantLib. We can use LGPL libraries.

>             We need to talk seriously about the architecture sometime soon.
I posted a to do list as a starter 
(http://lists.sourceforge.net/archives//quantlib-users/2000-December/000004.html)
This is not talking about architecture yet, but it is a starting point.
I also owe an answer to Gilbert Peffer message 
(http://lists.sourceforge.net/archives//quantlib-users/2000-December/000005.html)

Feel free to start a design thread on this mailing list if you have some 
proposal

ciao -- Nando

[Quantlib-users] for Peter Schmitteckert

[Ferdinando A. <fer...@am...>]

Peter

I can't reach you at pe...@sc...
Please get in touch

ciao -- Nando

Re: [Quantlib-users] (no subject)

[Ferdinando A. <fer...@ri...>]

>         I have dowloaded Swig1.3.3NT and Python 2.0 for windows.
If you're trying to use the release 0.1.1 you don't need to use Swig, since 
the wrapper files are already included and ready to be compiled.
This should also be true if you're trying to compile the latest CVS 
snapshot: anyway in this case it may happen that wrapper files are out of 
synch.

Of course if you want to actively develop QuantLib using Python (or 
scripting languages) it is useful to have Swig.
In this case please note that we're using 1.3a5. Since the NT port is not 
available yet you have to use CygWin.
Follow these steps:

a) Download Cygwin from http://cygwin.com/ and install it. Take note of 
your CygWin root (C:\cygwin from now on)
b) Download SWIG1.3a5 from 
http://download.sourceforge.net/swig/swig1.3a5.tar.gz
c) Copy the file swig1.3a5.tar.gz in a directory under the control of 
Cygwin (e.g. your home dir C:\cygwin\home\username)
d) Open a Cygwin shell
         > cd "the directory where swig1.3a5.tar.gz is"
         > gunzip swig1.3a5.tar.gz
         > tar xvf swig1.3a5.tar
         > cd SWIG1.3a5
         > ./configure
        edit "./Makefile" and replace "SWIG_LIB = $(prefix)/lib/swig1.3"
               with "SWIG_LIB = $(prefix)/lib/swig1.3a5"
        edit "./Source/Include/swigconfig.h" and replace
                 #define SWIG_LIB   "/usr/local/lib/swig1.3"
           with  #define SWIG_LIB   "/usr/local/lib/swig1.3a5"
         > make
         > make install
         > mv /usr/local/bin/swig.exe /usr/local/bin/swig1.3a5.exe
e) Include "C:\cygwin\usr\local\bin" and the path where you have the 
cygwin1.dll file ("C:\cygwin\bin") in your system variable $PATH

now you're ready to compile QuantLib.

Borland compiler: use the makefile provided (you will have to change a 
couple of defines accordingly to your Python installation).
MSVC compiler: use QuantLib\Win\PyWrap.bat to generate the wrappers. You 
will have to add the directory of Python.h to your MSVC settings

>  I tried an
>example given in "Examples Directory", I could compile example.i for swig to
>generate example_wrap.c
>compiled example.c
>but when compiling example_wrap.c along with example.c it generates lots of
>errors.
>Apparently these are because the Header file "Python.h" doesn't contains
>some items like
>"PyObject". I would like to know info on this.
This is a problem related with your Swig installation. See my suggestion 
for Borland and MSVC

We have changed a few things to have an easier Windows installation. They 
will be available this week with release 0.1.2
I will also add a FAQ entry for CygWin/Swig

ciao -- Nando

[Quantlib-users] (no subject)

[Sakti Swarup-OP <sak...@if...>]

	I have dowloaded Swig1.3.3NT and Python 2.0 for windows. I tried an
example given in "Examples Directory", I could compile example.i for swig to
generate example_wrap.c
compiled example.c 
but when compiling example_wrap.c along with example.c it generates lots of
errors.
Apparently these are because the Header file "Python.h" doesn't contains
some items like
"PyObject". I would like to know info on this.

Yours Sincerely,
Sakti

[Quantlib-users] Random number generators

[Marco M. <Mar...@ri...>]

Howdy, Pards,
	in the on-going effort to have--as soon as possible--a Montecarlo engine, 
I have just submitted a simple random number generator (RNG), namely 
QuantLib::Math::RandomGenerator, which is going to be followed by others. 
Actually, everyone is welcome to give his, more-or-less sophisticated, RNG
with the same interface as the one given.
Furthermore, two template classes, QuantLib::Math::BoxMuller and 
QuantLib::Math::CLGaussian,
are added to transform a uniform deviate into a Gaussian.
As the policy goes, a python interface and a simple test program (written, 
of course, in python), have been provided.

	best of my regards,
			MarMar

[Quantlib-users] RE: Announcing QuantLib: a open-source library for quantitative finance

[Gilbert P. <gi...@ci...>]

Hi Fernando,
I have read all the information on your web site and it looks really very
interesting. I also accessed the sourceForge site for QuantLib and looked at
all the available info. Furthermore I signed up with the dev and the user
mailing list. I have quite a few suggestions and also some questions, but I
need to look a bit more in detail at the source code and include files to
understand the logic you employed. Some very preliminary suggestions are

	- Include IMSL and NAG analytics interfaces. This will give the user the
possibility to access the most robust mathematical routines written under
the sun.

	- Estmiation and calibration methods such as maximum likelihood or
filtering

	- XMLing the structures is a great idea

	- A schedule class is very important, but I saw that you are already
working on that

	- I would suggest to add an ExchangeInstrument class, containing all the
exchange traded instruments for all instruments (futures, options, ...)
traded on an exchange

	- Add a <Quote> class that can be observed by objects such as yield curves
(for automatic live updates)

	- A class <StructuredNote> would be great, but I have a feeling that this
is highly non-trivial

	- Some other classes to think about and add are <Trade>, <Portfolio>,
<Flow>, <Index>, <Lattice> (sorry if I should have put something here that
has already been implemented)

	- A function parser would be excellent to have. That way, you can let users
input for instance more complicated cash flow patterns (for instance in
leveraged floaters, but in many other situations more)

	- An interface to MatLab is certainly a good idea, but can you distribute
applications written in QuantLib and using MatLab for graphical output to
users that don't have MatLab installed? If yes great, if no, we should look
for graphic freeware.

These are my some, as of yet unorganised thoughts to the topic. I will have
a look at the code over the weekend.

Best regards,

Gilbert

[Quantlib-users] QuantLib goals

[Ferdinando A. <fer...@am...>]

Hi everybody,

welcome to all the new subscribers.

I would like to receive feedback about the goals selected for QuantLib 1.0
I want to strip the goals down to an acceptable minimum in order to have as 
soon as possible a release that can be used by end-user.

Let's start with few selected issues.

1 Platforms to be supported (OS + compiler)
We already support Windows32 + Borland 5.5 and MacOS + CodeWarrior.
Bernd is working on GNU/Linux + gcc (anyone willing to help?)
Windows 32 + Visual Studio is supported, but the resulting lib doesn't work 
correctly: the american_with_dividends.py test fails. Any help on this area 
is welcome since Visual Studio is almost a de facto standard in Win32

2 Executable implementations
This is very important since to have many executable implementation will 
enlarge the user base.
2.1 porting to the Microsoft application world (VB and Excel): to do (as 
COM or Excel add-in)
2.2 Matlab extension: to do
2.3 Python module: done

3  Generic Tools
3.1 date/time module: half done. Luigi is working to a date schedule class. 
This should go hand in hand with a payment schedule class
3.2 one-dimensional solver: done
3.3 one-dimensional optimizer: to do. This may use the interface of the 
one-dimensional solver
3.4 multi-dimensional solver and optimizer: to do
3.5 PDE module: done
3.6 statistical module: done
3.7 Montecarlo module: Marco is working on that

4 Financial Tools
It is very important to receive as soon as possible feedback on the 
Instrument interface (Include/instrument.h), since that is the base class.
We designed a tentative Stock financial instrument 
(Include\Instruments\stock.h).
We will propose shortly deposit, FRA, futures, swaps financial instrument 
interface

Any takers?
Comments?

ciao -- Nando

[Quantlib-users] Introducing the Montecarlo engine

[Marco M. <Ma...@Ma...>]

Dear quantlib-user,
	I'm glad to announce that soon QuantLib will have its own Montecarlo engine.
I'm trying to develop something general, some kind of template class in 
which the
user has only to implement the pricing functions.
I've been working on a preliminary version for a while and now it's almost 
ready.
Soon, most likely next week, I will be able to release the first 
one-dimensional version.
Before the end of the year I'd like to have something working in more 
dimensions.
Let me know if you want to help or if you already have some software.
		MarMar.
	

[Quantlib-users] RE: Announcing QuantLib: a open-source library for quantitative finance

[Ferdinando A. <fer...@am...>]

>I will make sure the stuff compiles on GNU/Linux.
this would be great!

>We need a curve builder :-)
The yield curve base class is TermStructure (/Include/termstructure.h)
This is an almost pure interface class, stating the methods every 
TermStructure has to implement (zeroYield, discount, forward, etc.)
A curve builder has to produce an instance of a class derived from 
TermStructure.

Three abstract adapter classes are derived from TermStructure: 
ZeroYieldStructure, DiscountStructure, and ForwardRateStructure.
These classes might help, since by using them the curve builder only has to 
produce a zero yield curve OR a discount curve OR a forward curve.
This means that toy term structures are already available right now.
A curve builder with bootstrap on deposits is already there for a piecewise 
constant forward curve (Include\TermStructures\piecewiseconstantforwards.h 
and Sources\TermStructures\piecewiseconstantforwards.cpp).
We have also provided a simple example of flat constant forward 
(QuantLib/Include/TermStructures/piecewiseconstantforwards.h in the current 
cvs) for didactic purposes (to replicate Hull numerical examples, etc.)

Everyone can implement his favorite bootstrapping method and contribute it 
to QuantLib. I welcome any contribution.

Luigi and I are working on adding bootstrapping on swap rates. The design 
is quite clear already (piecewise constant forward, maybe later piecewise 
linear forward), but we need to implement swaps first - which will take a 
little time, especially since the whole date/payment schedule must be designed.
A strong point of the builder we're working on (and a strong point of 
QuantLib as a whole) will be the fact that it uses the actual QuantLib 
financial instruments (deposit, futures, FRA, swap) in the bootstrapping 
procedure.
This should guarantee that the curve building will always reprice inputs 
exactly, whatever the evolution of QuantLib financial instruments will be.

Our work shouldn't stop anybody from providing different curve builders, 
since the date/payment schedule is a crucial point that will take a while. 
You know, the devil is in (boring) details.

>  Then the fun can start!
Yeah, and you can't imagine how excited I am!

Bernd, I would ask you to post your messages/comments on the quantlib-dev 
and/or quantlib-users mailing lists.
This will help to have a discussion going on, so that everybody may 
contribute. That's why I cc my reply to the lists

thank you

ciao -- Nando

[Quantlib-users] Announcing QuantLib: a open-source library for quantitative finance

[Ferdinando A. <fer...@am...>]

The QuantLib project (http://quantlib.sourceforge.net/) is aimed to provide 
a comprehensive software framework for quantitative finance. The goal is to 
provide a standard free/open-source library to quantitative analysts and 
developers for modelling, trading, and risk management in real-life. The 
core library is written in C++ and currently exported as a Python module. 
Modules are planned for other scripting languages, Excel, MatLab, etc.

QuantLib plans to offer tools that are useful for both practical 
implementation, with features such as market conventions, solvers, PDEs, 
etc., and advanced modelling, e.g., exotic options and interest rate models.

QuantLib is for academics and practitioners. The project is in alpha 
status, not ready for end-users yet but the time is right for major 
contributions to the design and the code base.

Please consider joining one of the available mailing lists:
quantlib-announce 
http://lists.sourceforge.net/mailman/listinfo/quantlib-announce
quantlib-dev http://lists.sourceforge.net/mailman/listinfo/quantlib-dev
quantlib-users http://lists.sourceforge.net/mailman/listinfo/quantlib-users
quantlib-cvs http://lists.sourceforge.net/mailman/listinfo/quantlib-cvs

More details at the web site http://quantlib.sourceforge.net/

Ferdinando Ametrano (fer...@am...)
Luigi Ballabio (lui...@ri...)
Marco Marchioro (mar...@ri...)

[Quantlib-users] test

[Ferdinando A. <fer...@li...>]

test