quantlib-users — QuantLib users discussion list

Re: [Quantlib-users] Trouble installing QuantLib-SWIG

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

It sounds like you're running out of memory.  How much did you make
available to Docker?  If that's the problem, you can try reducing the
amount of memory used by the compiler by disabling some or all
optimizations, i.e., by passing '-O1' or '-O0'.  You can do that by setting
the environment variable CXXFLAGS to the desired flag.

Luigi


On Fri, Oct 2, 2020 at 11:25 AM Jack G <jac...@gm...> wrote:

> Dear Luigi,
>
> Thanks for coming back. The configure problem turned out to be dos/unix
> related - I was git cloning the files onto windows and sharing the volume
> within my container, which made ubuntu unhappy. When I git clone directly
> into the ubuntu container, all problems with that step are resolved.
>
> However, I'm still having trouble at the build step. I encounter this
> issue at the "make -C Python" command, and also cd'ing into the Python
> folder and following your instructions to build via python (here:
> https://github.com/lballabio/QuantLib-SWIG/blob/master/Python/README.txt)
> when I run this command "python setup.py build". In each case, I see a
> lot of deprecation warnings ending with one for "FDDividendAmericanEngine"
> (I've attached the full output of my most recent attempt
> in swig_stack_output.txt), followed by a very long delay. At this point
> nothing happens for a very long time, in one case it eventually failed due
> to virtual memory running out but on other occasions it stayed at this step
> for many hours:
> [image: image.png]
>
> I've tried my own docker image, and I also tried the same using a
> Dockerfile borrowed from one of your repos (I built this dockerfile
> https://github.com/lballabio/dockerfiles/blob/master/quantlib-swig-devenv/Dockerfile.python3,
> then ran an image, installed git and cloned the QuantLib-SWIG repo's
> 'binder' branch, then followed the instructions).
>
> I feel like I'm missing something but can't see what it might be.
>
> Thanks for the help,
> Jack
>
> On Fri, Oct 2, 2020 at 4:44 PM Luigi Ballabio <lui...@gm...>
> wrote:
>
>> Hello Jack,
>>     may you post the full output from running configure?
>>
>> Luigi
>>
>>
>> On Thu, Oct 1, 2020 at 4:03 AM Jack G <jac...@gm...> wrote:
>>
>>> Dear QuantLib Users,
>>>
>>> I'm trying to install QuantLib-SWIG version 1.19 to add some additional
>>> interfaces into the C++ QuantLib functionality for use in Python, using the
>>> instructions here: https://www.quantlib.org/install/linux-python.shtml,
>>> and facing two problems.
>>>
>>> I'm developing inside a ubuntu docker container on a windows machine,
>>> and built QuantLib from source in the Dockerfile (it causes my image to be
>>> 17GB, not sure if this is expected?). I'm quite experienced with Python but
>>> not very experienced building C++.
>>>
>>> First I tried to compile from the git repo, I cloned down a version and
>>> ran ./autogen.sh, followed by ./configure, which gives the following error:
>>> [image: image.png]
>>>
>>> If I instead download the binary here
>>> https://bintray.com/quantlib/releases/download_file?file_path=QuantLib-SWIG-1.19.tar.gz
>>> and unzip, I can successfully run the ./configure step (note that as far as
>>> I can see, these two configure files are identical - compared via git).
>>> However I run into some trouble a little later. When I first run "make -C
>>> Python" or any step featuring "make", it tells me there is nothing to do.
>>> I'm able to fix this with "make clean" and then "make -C Python", then I
>>> have to "make clean" again but I get the following error again when I try
>>> to run "sudo make -C Python install", which (I think) builds/links the C++
>>> code but is saying it doesn't want to install the python:
>>> [image: image.png]
>>>
>>> Am I doing something obviously wrong? My preference would be to install
>>> from the repo as I plan to test some code changes, but I'm not having much
>>> luck with it. If I instead unpack the binaries (in which I can see the code
>>> as text in .i files in the SWIG directory), modify the code, and then
>>> build, will that see and compile my changes?
>>>
>>> Thanks
>>> Jack
>>> _______________________________________________
>>> QuantLib-users mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>>
>>

Re: [Quantlib-users] Trouble installing QuantLib-SWIG

[Jack G <jac...@gm...>]

Dear Luigi,

Thanks for coming back. The configure problem turned out to be dos/unix
related - I was git cloning the files onto windows and sharing the volume
within my container, which made ubuntu unhappy. When I git clone directly
into the ubuntu container, all problems with that step are resolved.

However, I'm still having trouble at the build step. I encounter this issue
at the "make -C Python" command, and also cd'ing into the Python folder and
following your instructions to build via python (here:
https://github.com/lballabio/QuantLib-SWIG/blob/master/Python/README.txt)
when I run this command "python setup.py build". In each case, I see a lot
of deprecation warnings ending with one for "FDDividendAmericanEngine"
(I've attached the full output of my most recent attempt
in swig_stack_output.txt), followed by a very long delay. At this point
nothing happens for a very long time, in one case it eventually failed due
to virtual memory running out but on other occasions it stayed at this step
for many hours:
[image: image.png]

I've tried my own docker image, and I also tried the same using a
Dockerfile borrowed from one of your repos (I built this dockerfile
https://github.com/lballabio/dockerfiles/blob/master/quantlib-swig-devenv/Dockerfile.python3,
then ran an image, installed git and cloned the QuantLib-SWIG repo's
'binder' branch, then followed the instructions).

I feel like I'm missing something but can't see what it might be.

Thanks for the help,
Jack

On Fri, Oct 2, 2020 at 4:44 PM Luigi Ballabio <lui...@gm...>
wrote:

> Hello Jack,
>     may you post the full output from running configure?
>
> Luigi
>
>
> On Thu, Oct 1, 2020 at 4:03 AM Jack G <jac...@gm...> wrote:
>
>> Dear QuantLib Users,
>>
>> I'm trying to install QuantLib-SWIG version 1.19 to add some additional
>> interfaces into the C++ QuantLib functionality for use in Python, using the
>> instructions here: https://www.quantlib.org/install/linux-python.shtml,
>> and facing two problems.
>>
>> I'm developing inside a ubuntu docker container on a windows machine, and
>> built QuantLib from source in the Dockerfile (it causes my image to be
>> 17GB, not sure if this is expected?). I'm quite experienced with Python but
>> not very experienced building C++.
>>
>> First I tried to compile from the git repo, I cloned down a version and
>> ran ./autogen.sh, followed by ./configure, which gives the following error:
>> [image: image.png]
>>
>> If I instead download the binary here
>> https://bintray.com/quantlib/releases/download_file?file_path=QuantLib-SWIG-1.19.tar.gz
>> and unzip, I can successfully run the ./configure step (note that as far as
>> I can see, these two configure files are identical - compared via git).
>> However I run into some trouble a little later. When I first run "make -C
>> Python" or any step featuring "make", it tells me there is nothing to do.
>> I'm able to fix this with "make clean" and then "make -C Python", then I
>> have to "make clean" again but I get the following error again when I try
>> to run "sudo make -C Python install", which (I think) builds/links the C++
>> code but is saying it doesn't want to install the python:
>> [image: image.png]
>>
>> Am I doing something obviously wrong? My preference would be to install
>> from the repo as I plan to test some code changes, but I'm not having much
>> luck with it. If I instead unpack the binaries (in which I can see the code
>> as text in .i files in the SWIG directory), modify the code, and then
>> build, will that see and compile my changes?
>>
>> Thanks
>> Jack
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>

Re: [Quantlib-users] Turkey Index-Linked Bonds

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

Hi Berat,

My suggestion would be to just create your own TRCPI class and follow the
example of the other country inflation classes. However, I believe the 3
month observation lag doesn't affect your index directly, but rather the
ZeroInflationTermStructure, which is then an input to your index. The index
itself does accept an availability lag, which is typically 1 month.

I had to do similar work on South African CPI bonds and I just used the
code from inflationcpibond.cpp in the test suite, which uses UKRPI bonds.
You'll notice the observationLag is defined as 2 months, so I'm unsure
whether you should keep it at 2 or change it to 3.

regards
Francois Botha


On Wed, 30 Sep 2020 at 15:03, berat postalcioglu <bpo...@gm...>
wrote:

> Hi all,
>
> I want to use CPI bond calculation with QuantLib for Turkey. The daily
> reference index calculation in Turkey is as follow:
>
> [image: cpi_turkey.PNG]
>
> Should I use UKRPI class for cpi bond calculation? It seems the UK is
> using 3 month indexation lag.
>
> Thanks in advance. Regards.
>
> --
> BERAT POSTALCIOĞLU
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Re: [Quantlib-users] Turkey Index-Linked Bonds

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

Hello Berat,
    the inflation calculations are probably in need of revamping.  However,
I think an index with 3-months lag and "interpolated" set to true would do
what you need.  I would use ZeroInflationIndex instead of UKRPI, though,
because using the UK index might be confusing.

Hope this helps,
    Luigi


On Wed, Sep 30, 2020 at 3:03 PM berat postalcioglu <bpo...@gm...>
wrote:

> Hi all,
>
> I want to use CPI bond calculation with QuantLib for Turkey. The daily
> reference index calculation in Turkey is as follow:
>
> [image: cpi_turkey.PNG]
>
> Should I use UKRPI class for cpi bond calculation? It seems the UK is
> using 3 month indexation lag.
>
> Thanks in advance. Regards.
>
> --
> BERAT POSTALCIOĞLU
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Re: [Quantlib-users] Trouble installing QuantLib-SWIG

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

Hello Jack,
    may you post the full output from running configure?

Luigi


On Thu, Oct 1, 2020 at 4:03 AM Jack G <jac...@gm...> wrote:

> Dear QuantLib Users,
>
> I'm trying to install QuantLib-SWIG version 1.19 to add some additional
> interfaces into the C++ QuantLib functionality for use in Python, using the
> instructions here: https://www.quantlib.org/install/linux-python.shtml,
> and facing two problems.
>
> I'm developing inside a ubuntu docker container on a windows machine, and
> built QuantLib from source in the Dockerfile (it causes my image to be
> 17GB, not sure if this is expected?). I'm quite experienced with Python but
> not very experienced building C++.
>
> First I tried to compile from the git repo, I cloned down a version and
> ran ./autogen.sh, followed by ./configure, which gives the following error:
> [image: image.png]
>
> If I instead download the binary here
> https://bintray.com/quantlib/releases/download_file?file_path=QuantLib-SWIG-1.19.tar.gz
> and unzip, I can successfully run the ./configure step (note that as far as
> I can see, these two configure files are identical - compared via git).
> However I run into some trouble a little later. When I first run "make -C
> Python" or any step featuring "make", it tells me there is nothing to do.
> I'm able to fix this with "make clean" and then "make -C Python", then I
> have to "make clean" again but I get the following error again when I try
> to run "sudo make -C Python install", which (I think) builds/links the C++
> code but is saying it doesn't want to install the python:
> [image: image.png]
>
> Am I doing something obviously wrong? My preference would be to install
> from the repo as I plan to test some code changes, but I'm not having much
> luck with it. If I instead unpack the binaries (in which I can see the code
> as text in .i files in the SWIG directory), modify the code, and then
> build, will that see and compile my changes?
>
> Thanks
> Jack
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

[Quantlib-users] Trouble installing QuantLib-SWIG

[Jack G <jac...@gm...>]

Dear QuantLib Users,

I'm trying to install QuantLib-SWIG version 1.19 to add some additional
interfaces into the C++ QuantLib functionality for use in Python, using the
instructions here: https://www.quantlib.org/install/linux-python.shtml, and
facing two problems.

I'm developing inside a ubuntu docker container on a windows machine, and
built QuantLib from source in the Dockerfile (it causes my image to be
17GB, not sure if this is expected?). I'm quite experienced with Python but
not very experienced building C++.

First I tried to compile from the git repo, I cloned down a version and ran
./autogen.sh, followed by ./configure, which gives the following error:
[image: image.png]

If I instead download the binary here
https://bintray.com/quantlib/releases/download_file?file_path=QuantLib-SWIG-1.19.tar.gz
and unzip, I can successfully run the ./configure step (note that as far as
I can see, these two configure files are identical - compared via git).
However I run into some trouble a little later. When I first run "make -C
Python" or any step featuring "make", it tells me there is nothing to do.
I'm able to fix this with "make clean" and then "make -C Python", then I
have to "make clean" again but I get the following error again when I try
to run "sudo make -C Python install", which (I think) builds/links the C++
code but is saying it doesn't want to install the python:
[image: image.png]

Am I doing something obviously wrong? My preference would be to install
from the repo as I plan to test some code changes, but I'm not having much
luck with it. If I instead unpack the binaries (in which I can see the code
as text in .i files in the SWIG directory), modify the code, and then
build, will that see and compile my changes?

Thanks
Jack

[Quantlib-users] Turkey Index-Linked Bonds

[berat p. <bpo...@gm...>]

Hi all,

I want to use CPI bond calculation with QuantLib for Turkey. The daily
reference index calculation in Turkey is as follow:

[image: cpi_turkey.PNG]

Should I use UKRPI class for cpi bond calculation? It seems the UK is using
3 month indexation lag.

Thanks in advance. Regards.

-- 
BERAT POSTALCIOĞLU

Re: [Quantlib-users] Unable to explain this strange behaviour for FRN

[Sumit S. <su...@mo...>]

Many thanks for the help Ioannis, Ben and Florian. Much appreciated

Regards
Sumit

On Wed, 30 Sep 2020, 07:24 Ioannis Rigopoulos, <qua...@de...>
wrote:

> The statement INDEX.ADDFIXING(DATE(5, 8, 2020), 0.33/100) is a method of
> the calling index.
>
> As such, it cannot possibly know of the existence of any spread since the
> latter is a property of the particular instrument that may use that index.
>
> If the 0.33/100 were referring to the whole FRN coupon, what would be the
> situation where the same index is referenced several times by a given
> instrument, eg a floating-to-floating swap?
>
> Since the fixing is added only once on the referenced index and used by
> all index clients, the only possibility is that 0.33/100 does not contain
> instrument-specific parts, such as FRN spreads.
>
> Ioannis
> On 30/09/2020 00:51, ben...@ma... wrote:
>
> The FRN coupon is fixing + IM (0.8%) so what Florian is correct, and when
> I have looked at the QL FRN valuations they looked correct to me.
>
>
>
> Hard to say what Reuters is doing with out seeing the page, but may only
> be showing the previous fixing rate not the coupon rate.
>
>
>
> Regards
>
>
>
> Ben
>
>
>
>
>
> *From:* Sumit Sengupta <su...@mo...>
> <su...@mo...>
> *Sent:* Wednesday, 30 September 2020 8:46 AM
> *To:* Florian H. <fl...@po...> <fl...@po...>
> *Cc:* QuantLib users <qua...@li...>
> <qua...@li...>
> *Subject:* Re: [Quantlib-users] Unable to explain this strange behaviour
> for FRN
>
>
>
> Thanks Florian. That might be it!
>
>
>
>  Looking at Reuters ( where they don't apply the margin on previous
> fixing, I was under the impression that QL was doing the same.
>
>
>
> Regards
>
> Sumit
>
>
>
> On Tue, 29 Sep 2020, 21:41 Florian H., <fl...@po...> wrote:
>
> Hi Sumit,
>
> I am not very familiar with this topic, but I can see that you added a
> spread of 0.8%. I think the total rate of the FRN is therefore 0.33% +
> 0.8% = 1.13%. Thus, a quarterly coupon should be somewhere around 1.13/4
> = 0.2825 USD.
> Hope this helps.
>
> Best regards,
> Florian
>
> Am 29.09.2020 21:51 schrieb Sumit Sengupta:
> > Hi,
> >
> >     Would really appreciate it if someone can please comment on where
> > I am going wrong...
> > I am creating a simple FRN as below
> >
> > index = Euribor6M(forecast_curve)
> > # add the fixing
> > INDEX.ADDFIXING(DATE(5, 8, 2020), 0.33/100)
> >
> > self.ql_bond_frn = ql.FloatingRateBond(
> >             settlementDays=2,
> >             faceAmount=100,
> >             schedule=schedule,
> >             index=index,
> >             SPREADS=[0.8/100],
> >             paymentDayCounter=ActualActual(),
> >             paymentConvention=ModifiedFollowing,
> >             redemption=100,
> >         )
> >
> > aa=[(c.date(), c.amount()) for c in self.ql_bond_frn.cashflows() if
> > c.date() > self.value_date]
> >
> > I would expect the first cashflow to be simply 0.33*0.25 as this is a
> > quarterly floater. So it should be close to 0.0825
> >
> > However, when I see the list aa with the cash flow amount, I see the
> > first entry as 0.28
> >
> > Any thoughts?
> >
> > THANKS,
> > SUMIT
> >
> > --
> >
> > Mosaic Smart Data
> >
> > mobile +44 (0)7961839363
> > su...@mo...
> > 25 Finsbury Circus ▫ EC2M 7EE ▫ London ▫ United Kingdom
> >
> > www.mosaicsmartdata.com [1]
> >
> > Links:
> > ------
> > [1] http://www.mosaicsmartdata.com/
> >
> > _______________________________________________
> > QuantLib-users mailing list
> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
>
> _______________________________________________
> QuantLib-users mailing lis...@li...://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
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Re: [Quantlib-users] Unable to explain this strange behaviour for FRN

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

The statement INDEX.ADDFIXING(DATE(5, 8, 2020), 0.33/100) is a method of 
the calling index.

As such, it cannot possibly know of the existence of any spread since 
the latter is a property of the particular instrument that may use that 
index.

If the 0.33/100 were referring to the whole FRN coupon, what would be 
the situation where the same index is referenced several times by a 
given instrument, eg a floating-to-floating swap?

Since the fixing is added only once on the referenced index and used by 
all index clients, the only possibility is that 0.33/100 does not 
contain instrument-specific parts, such as FRN spreads.

Ioannis

On 30/09/2020 00:51, ben...@ma... wrote:
>
> The FRN coupon is fixing + IM (0.8%) so what Florian is correct, and 
> when I have looked at the QL FRN valuations they looked correct to me.
>
> Hard to say what Reuters is doing with out seeing the page, but may 
> only be showing the previous fixing rate not the coupon rate.
>
> Regards
>
> Ben
>
> *From:*Sumit Sengupta <su...@mo...>
> *Sent:* Wednesday, 30 September 2020 8:46 AM
> *To:* Florian H. <fl...@po...>
> *Cc:* QuantLib users <qua...@li...>
> *Subject:* Re: [Quantlib-users] Unable to explain this strange 
> behaviour for FRN
>
> Thanks Florian. That might be it!
>
>  Looking at Reuters ( where they don't apply the margin on previous 
> fixing, I was under the impression that QL was doing the same.
>
> Regards
>
> Sumit
>
> On Tue, 29 Sep 2020, 21:41 Florian H., <fl...@po... 
> <mailto:fl...@po...>> wrote:
>
>     Hi Sumit,
>
>     I am not very familiar with this topic, but I can see that you
>     added a
>     spread of 0.8%. I think the total rate of the FRN is therefore
>     0.33% +
>     0.8% = 1.13%. Thus, a quarterly coupon should be somewhere around
>     1.13/4
>     = 0.2825 USD.
>     Hope this helps.
>
>     Best regards,
>     Florian
>
>     Am 29.09.2020 21:51 schrieb Sumit Sengupta:
>     > Hi,
>     >
>     >     Would really appreciate it if someone can please comment on
>     where
>     > I am going wrong...
>     > I am creating a simple FRN as below
>     >
>     > index = Euribor6M(forecast_curve)
>     > # add the fixing
>     > INDEX.ADDFIXING(DATE(5, 8, 2020), 0.33/100)
>     >
>     > self.ql_bond_frn = ql.FloatingRateBond(
>     >             settlementDays=2,
>     >             faceAmount=100,
>     >             schedule=schedule,
>     >             index=index,
>     >             SPREADS=[0.8/100],
>     >             paymentDayCounter=ActualActual(),
>     >             paymentConvention=ModifiedFollowing,
>     >             redemption=100,
>     >         )
>     >
>     > aa=[(c.date(), c.amount()) for c in self.ql_bond_frn.cashflows() if
>     > c.date() > self.value_date]
>     >
>     > I would expect the first cashflow to be simply 0.33*0.25 as this
>     is a
>     > quarterly floater. So it should be close to 0.0825
>     >
>     > However, when I see the list aa with the cash flow amount, I see the
>     > first entry as 0.28
>     >
>     > Any thoughts?
>     >
>     > THANKS,
>     > SUMIT
>     >
>     > --
>     >
>     > Mosaic Smart Data
>     >
>     > mobile +44 (0)7961839363
>     > su...@mo... <mailto:su...@mo...>
>     > 25 Finsbury Circus ▫ EC2M 7EE ▫ London ▫ United Kingdom
>     >
>     > www.mosaicsmartdata.com <http://www.mosaicsmartdata.com> [1]
>     >
>     > Links:
>     > ------
>     > [1] http://www.mosaicsmartdata.com/
>     >
>     > _______________________________________________
>     > QuantLib-users mailing list
>     > Qua...@li...
>     <mailto:Qua...@li...>
>     > https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users


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Re: [Quantlib-users] Unable to explain this strange behaviour for FRN

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

The FRN coupon is fixing + IM (0.8%) so what Florian is correct, and when I have looked at the QL FRN valuations they looked correct to me.

 

Hard to say what Reuters is doing with out seeing the page, but may only be showing the previous fixing rate not the coupon rate.

 

Regards

 

Ben

 

 

From: Sumit Sengupta <su...@mo...> 
Sent: Wednesday, 30 September 2020 8:46 AM
To: Florian H. <fl...@po...>
Cc: QuantLib users <qua...@li...>
Subject: Re: [Quantlib-users] Unable to explain this strange behaviour for FRN

 

Thanks Florian. That might be it!

 

 Looking at Reuters ( where they don't apply the margin on previous fixing, I was under the impression that QL was doing the same. 

 

Regards

Sumit

 

On Tue, 29 Sep 2020, 21:41 Florian H., <fl...@po... <mailto:fl...@po...> > wrote:

Hi Sumit,

I am not very familiar with this topic, but I can see that you added a 
spread of 0.8%. I think the total rate of the FRN is therefore 0.33% + 
0.8% = 1.13%. Thus, a quarterly coupon should be somewhere around 1.13/4 
= 0.2825 USD.
Hope this helps.

Best regards,
Florian

Am 29.09.2020 21:51 schrieb Sumit Sengupta:
> Hi,
> 
>     Would really appreciate it if someone can please comment on where
> I am going wrong...
> I am creating a simple FRN as below
> 
> index = Euribor6M(forecast_curve)
> # add the fixing
> INDEX.ADDFIXING(DATE(5, 8, 2020), 0.33/100)
> 
> self.ql_bond_frn = ql.FloatingRateBond(
>             settlementDays=2,
>             faceAmount=100,
>             schedule=schedule,
>             index=index,
>             SPREADS=[0.8/100],
>             paymentDayCounter=ActualActual(),
>             paymentConvention=ModifiedFollowing,
>             redemption=100,
>         )
> 
> aa=[(c.date(), c.amount()) for c in self.ql_bond_frn.cashflows() if
> c.date() > self.value_date]
> 
> I would expect the first cashflow to be simply 0.33*0.25 as this is a
> quarterly floater. So it should be close to 0.0825
> 
> However, when I see the list aa with the cash flow amount, I see the
> first entry as 0.28
> 
> Any thoughts?
> 
> THANKS,
> SUMIT
> 
> --
> 
> Mosaic Smart Data
> 
> mobile +44 (0)7961839363
> su...@mo... <mailto:su...@mo...> 
> 25 Finsbury Circus ▫ EC2M 7EE ▫ London ▫ United Kingdom
> 
> www.mosaicsmartdata.com <http://www.mosaicsmartdata.com>  [1]
> 
> Links:
> ------
> [1] http://www.mosaicsmartdata.com/
> 
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li... <mailto:Qua...@li...> 
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

Re: [Quantlib-users] Unable to explain this strange behaviour for FRN

[Sumit S. <su...@mo...>]

Thanks Florian. That might be it!

 Looking at Reuters ( where they don't apply the margin on previous fixing,
I was under the impression that QL was doing the same.

Regards
Sumit

On Tue, 29 Sep 2020, 21:41 Florian H., <fl...@po...> wrote:

> Hi Sumit,
>
> I am not very familiar with this topic, but I can see that you added a
> spread of 0.8%. I think the total rate of the FRN is therefore 0.33% +
> 0.8% = 1.13%. Thus, a quarterly coupon should be somewhere around 1.13/4
> = 0.2825 USD.
> Hope this helps.
>
> Best regards,
> Florian
>
> Am 29.09.2020 21:51 schrieb Sumit Sengupta:
> > Hi,
> >
> >     Would really appreciate it if someone can please comment on where
> > I am going wrong...
> > I am creating a simple FRN as below
> >
> > index = Euribor6M(forecast_curve)
> > # add the fixing
> > INDEX.ADDFIXING(DATE(5, 8, 2020), 0.33/100)
> >
> > self.ql_bond_frn = ql.FloatingRateBond(
> >             settlementDays=2,
> >             faceAmount=100,
> >             schedule=schedule,
> >             index=index,
> >             SPREADS=[0.8/100],
> >             paymentDayCounter=ActualActual(),
> >             paymentConvention=ModifiedFollowing,
> >             redemption=100,
> >         )
> >
> > aa=[(c.date(), c.amount()) for c in self.ql_bond_frn.cashflows() if
> > c.date() > self.value_date]
> >
> > I would expect the first cashflow to be simply 0.33*0.25 as this is a
> > quarterly floater. So it should be close to 0.0825
> >
> > However, when I see the list aa with the cash flow amount, I see the
> > first entry as 0.28
> >
> > Any thoughts?
> >
> > THANKS,
> > SUMIT
> >
> > --
> >
> > Mosaic Smart Data
> >
> > mobile +44 (0)7961839363
> > su...@mo...
> > 25 Finsbury Circus ▫ EC2M 7EE ▫ London ▫ United Kingdom
> >
> > www.mosaicsmartdata.com [1]
> >
> > Links:
> > ------
> > [1] http://www.mosaicsmartdata.com/
> >
> > _______________________________________________
> > QuantLib-users mailing list
> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

Re: [Quantlib-users] Unable to explain this strange behaviour for FRN

[Florian H. <fl...@po...>]

Hi Sumit,

I am not very familiar with this topic, but I can see that you added a 
spread of 0.8%. I think the total rate of the FRN is therefore 0.33% + 
0.8% = 1.13%. Thus, a quarterly coupon should be somewhere around 1.13/4 
= 0.2825 USD.
Hope this helps.

Best regards,
Florian

Am 29.09.2020 21:51 schrieb Sumit Sengupta:
> Hi,
> 
>     Would really appreciate it if someone can please comment on where
> I am going wrong...
> I am creating a simple FRN as below
> 
> index = Euribor6M(forecast_curve)
> # add the fixing
> INDEX.ADDFIXING(DATE(5, 8, 2020), 0.33/100)
> 
> self.ql_bond_frn = ql.FloatingRateBond(
>             settlementDays=2,
>             faceAmount=100,
>             schedule=schedule,
>             index=index,
>             SPREADS=[0.8/100],
>             paymentDayCounter=ActualActual(),
>             paymentConvention=ModifiedFollowing,
>             redemption=100,
>         )
> 
> aa=[(c.date(), c.amount()) for c in self.ql_bond_frn.cashflows() if
> c.date() > self.value_date]
> 
> I would expect the first cashflow to be simply 0.33*0.25 as this is a
> quarterly floater. So it should be close to 0.0825
> 
> However, when I see the list aa with the cash flow amount, I see the
> first entry as 0.28
> 
> Any thoughts?
> 
> THANKS,
> SUMIT
> 
> --
> 
> Mosaic Smart Data
> 
> mobile +44 (0)7961839363
> su...@mo...
> 25 Finsbury Circus ▫ EC2M 7EE ▫ London ▫ United Kingdom
> 
> www.mosaicsmartdata.com [1]
> 
> Links:
> ------
> [1] http://www.mosaicsmartdata.com/
> 
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

Re: [Quantlib-users] Unable to explain this strange behaviour for FRN

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

Can you post the rest of the setup, that is, the construction of the
schedule and the evaluation date?

Luigi


On Tue, Sep 29, 2020 at 9:54 PM Sumit Sengupta <su...@mo...>
wrote:

> Hi,
>
>     Would really appreciate it if someone can please comment on where I am
> going wrong...
> I am creating a simple FRN as below
>
> index = Euribor6M(forecast_curve)
> # add the fixing
> *index.addFixing(Date(5, 8, 2020), 0.33/100)*
>
> self.ql_bond_frn = ql.FloatingRateBond(
>             settlementDays=2,
>             faceAmount=100,
>             schedule=schedule,
>             index=index,
>             *spreads=[0.8/100],*
>             paymentDayCounter=ActualActual(),
>             paymentConvention=ModifiedFollowing,
>             redemption=100,
>         )
>
> aa=[(c.date(), c.amount()) for c in self.ql_bond_frn.cashflows() if
> c.date() > self.value_date]
>
> I would expect the first cashflow to be simply 0.33*0.25 as this is a
> quarterly floater. So it should be close to *0.0825*
>
> However, when I see the list aa with the cash flow amount, I see the first
> entry as *0.28*
>
> Any thoughts?
>
> *Thanks,*
> *Sumit*
>
> --
> Mosaic Smart Data
>
> mobile +44 (0)7961839363
> su...@mo...
> 25 Finsbury Circus ▫ EC2M 7EE ▫ London ▫ United Kingdom
> www.mosaicsmartdata.com
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

[Quantlib-users] Unable to explain this strange behaviour for FRN

[Sumit S. <su...@mo...>]

Hi,

    Would really appreciate it if someone can please comment on where I am
going wrong...
I am creating a simple FRN as below

index = Euribor6M(forecast_curve)
# add the fixing
*index.addFixing(Date(5, 8, 2020), 0.33/100)*

self.ql_bond_frn = ql.FloatingRateBond(
            settlementDays=2,
            faceAmount=100,
            schedule=schedule,
            index=index,
            *spreads=[0.8/100],*
            paymentDayCounter=ActualActual(),
            paymentConvention=ModifiedFollowing,
            redemption=100,
        )

aa=[(c.date(), c.amount()) for c in self.ql_bond_frn.cashflows() if
c.date() > self.value_date]

I would expect the first cashflow to be simply 0.33*0.25 as this is a
quarterly floater. So it should be close to *0.0825*

However, when I see the list aa with the cash flow amount, I see the first
entry as *0.28*

Any thoughts?

*Thanks,*
*Sumit*

-- 
Mosaic Smart Data

mobile +44 (0)7961839363
su...@mo...
25 Finsbury Circus ▫ EC2M 7EE ▫ London ▫ United Kingdom
www.mosaicsmartdata.com

Re: [Quantlib-users] Seeking help on Swaption model inputs

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

Hi Christofer,

there are some explanations given in the note under the link below.

Hope that helps, if you have further questions, just post them here.

Thanks
Peter

On Fri, 25 Sep 2020 at 21:10, Peter Caspers <pca...@gm...> wrote:
>
> Hi Christofer,
>
> there are some explanations
>
> https://ssrn.com/abstract=2183721
>
> On Fri, 25 Sep 2020 at 20:54, Christofer Bogaso
> <bog...@gm...> wrote:
> >
> > Hi,
> >
> > I have raised this question elsewhere, however failed to generate any
> > feedback, so hoping experts here may provide some good insights.
> >
> > I was looking at the input parameters of the class -
> > Gaussian1dSwaptionEngine, as in
> > https://rkapl123.github.io/QLAnnotatedSource/d2/db3/class_quant_lib_1_1_gaussian1d_swaption_engine.html
> >
> > In this definition, there are few parameters -
> >
> > integrationPoints
> > stddevs
> > extrapolatePayoff
> > flatPayoffExtrapolation
> > probabilities
> >
> > Can you please help me to understand the meaning of these parameters?
> > Any link to the technical specification of this implementation will be
> > highly helpful.
> >
> > Thanks for your help and time.
> >
> >
> > _______________________________________________
> > QuantLib-users mailing list
> > Qua...@li...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-users

Re: [Quantlib-users] Seeking help on Swaption model inputs

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

Hi Christofer,

there are some explanations

https://ssrn.com/abstract=2183721

On Fri, 25 Sep 2020 at 20:54, Christofer Bogaso
<bog...@gm...> wrote:
>
> Hi,
>
> I have raised this question elsewhere, however failed to generate any
> feedback, so hoping experts here may provide some good insights.
>
> I was looking at the input parameters of the class -
> Gaussian1dSwaptionEngine, as in
> https://rkapl123.github.io/QLAnnotatedSource/d2/db3/class_quant_lib_1_1_gaussian1d_swaption_engine.html
>
> In this definition, there are few parameters -
>
> integrationPoints
> stddevs
> extrapolatePayoff
> flatPayoffExtrapolation
> probabilities
>
> Can you please help me to understand the meaning of these parameters?
> Any link to the technical specification of this implementation will be
> highly helpful.
>
> Thanks for your help and time.
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Quantlib-users] Seeking help on Swaption model inputs

[Christofer B. <bog...@gm...>]

Hi,

I have raised this question elsewhere, however failed to generate any
feedback, so hoping experts here may provide some good insights.

I was looking at the input parameters of the class -
Gaussian1dSwaptionEngine, as in
https://rkapl123.github.io/QLAnnotatedSource/d2/db3/class_quant_lib_1_1_gaussian1d_swaption_engine.html

In this definition, there are few parameters -

integrationPoints
stddevs
extrapolatePayoff
flatPayoffExtrapolation
probabilities

Can you please help me to understand the meaning of these parameters?
Any link to the technical specification of this implementation will be
highly helpful.

Thanks for your help and time.

Re: [Quantlib-users] Var/Vol swaps pricing using Python bindings

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

There is one in C++.

On 25/09/2020 10:15, Amine Ifri wrote:
> Hi,
>
> Haven’t seen VarSwap instrument interface so I am not sure they are 
> currently handled by the library. I use an old version of the lib 
> though...
>
> Thanks.
>
> Amine Ifri
>
>> On 25 Sep 2020, at 04:23, Pierre Dugland <mer...@gm...> 
>> wrote:
>>
>> 
>> Hello All,
>>
>> Re-upping as I didn't get any replies the first time :)
>> Still looking for a way to price variance swaps using Python 
>> Quantlib. Is it possible and if it is, where could I find an example ?
>>
>> Thank you for your help.
>>
>> Best,
>>
>> Pierre
>>
>>
>>
>> On Mon, Aug 3, 2020 at 9:32 AM Pierre Dugland 
>> <mer...@gm... <mailto:mer...@gm...>> wrote:
>>
>>     Hello All,
>>
>>     I could not find an example to price volatility and variance
>>     swaps. Is it at all possible using the Python bindings ?
>>     Ideally I am also looking for the capped versions of both those
>>     products.
>>
>>     Thank you for your help.
>>
>>     Best,
>>
>>     Pierre
>>
>> _______________________________________________
>> 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


-- 
This email has been checked for viruses by Avast antivirus software.
https://www.avast.com/antivirus

Re: [Quantlib-users] Var/Vol swaps pricing using Python bindings

[Christofer B. <bog...@gm...>]

I am also closely following up this post, it would be great if we can
have this functionality on Variance swaps with cap/floor
functionalities as well as swaption on such swaps contract.

Many thanks,

On Fri, Sep 25, 2020 at 1:47 PM Amine Ifri <ami...@gm...> wrote:
>
> Hi,
>
> Haven’t seen VarSwap instrument interface so I am not sure they are currently handled by the library. I use an old version of the lib though...
>
> Thanks.
>
> Amine Ifri
>
> On 25 Sep 2020, at 04:23, Pierre Dugland <mer...@gm...> wrote:
>
> 
> Hello All,
>
> Re-upping as I didn't get any replies the first time :)
> Still looking for a way to price variance swaps using Python Quantlib. Is it possible and if it is, where could I find an example ?
>
> Thank you for your help.
>
> Best,
>
> Pierre
>
>
>
> On Mon, Aug 3, 2020 at 9:32 AM Pierre Dugland <mer...@gm...> wrote:
>>
>> Hello All,
>>
>> I could not find an example to price volatility and variance swaps. Is it at all possible using the Python bindings ?
>> Ideally I am also looking for the capped versions of both those products.
>>
>> Thank you for your help.
>>
>> Best,
>>
>> Pierre
>
> _______________________________________________
> 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] Var/Vol swaps pricing using Python bindings

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

Hi,

Haven’t seen VarSwap instrument interface so I am not sure they are currently handled by the library. I use an old version of the lib though...

Thanks.

Amine Ifri

> On 25 Sep 2020, at 04:23, Pierre Dugland <mer...@gm...> wrote:
> 
> 
> Hello All,
> 
> Re-upping as I didn't get any replies the first time :)
> Still looking for a way to price variance swaps using Python Quantlib. Is it possible and if it is, where could I find an example ?
> 
> Thank you for your help.
> 
> Best,
> 
> Pierre
> 
> 
> 
>> On Mon, Aug 3, 2020 at 9:32 AM Pierre Dugland <mer...@gm...> wrote:
>> Hello All,
>> 
>> I could not find an example to price volatility and variance swaps. Is it at all possible using the Python bindings ?
>> Ideally I am also looking for the capped versions of both those products.
>> 
>> Thank you for your help.
>> 
>> Best,
>> 
>> Pierre
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

Re: [Quantlib-users] Var/Vol swaps pricing using Python bindings

[Pierre D. <mer...@gm...>]

Hello All,

Re-upping as I didn't get any replies the first time :)
Still looking for a way to price variance swaps using Python Quantlib. Is
it possible and if it is, where could I find an example ?

Thank you for your help.

Best,

Pierre



On Mon, Aug 3, 2020 at 9:32 AM Pierre Dugland <mer...@gm...>
wrote:

> Hello All,
>
> I could not find an example to price volatility and variance swaps. Is it
> at all possible using the Python bindings ?
> Ideally I am also looking for the capped versions of both those products.
>
> Thank you for your help.
>
> Best,
>
> Pierre
>

Re: [Quantlib-users] Corporate bond analytics approach

[<mat...@gm...>]

While I am probably not the best person to give advice on this matter, here is something to potentially add to the discussion:

 

Choice between approach 1 or 2:

Maybe this can be depending on the bond/issuer rating. For IG, discounting with spreaded curves may be okay while for HY you want to use a term structure implied from CDS.

This question reminds me of https://arxiv.org/abs/0912.4623 - a dated paper, but could be still useful?

 

Implementation:
Maybe you can (re-) use ORE’s QuantLib extension which brings this one: https://github.com/OpenSourceRisk/Engine/blob/master/QuantExt/qle/pricingengines/discountingriskybondengine.cpp

 

Pros/Cons:

Depending on your portfolio of bonds, it may be challenging to find a suitable CDS (or CDS sector) curve. 

https://www.nomura.com/resources/europe/pdfs/cva-cross-section.pdf comes to mind and a number of papers that cite this one.

Also I wonder how you determine the CDS/bond basis (the arXiv paper picks up on this).

 

 

Best regards,

 

Matthias

 

From: Philippe Hatstadt <phi...@ex...> 
Sent: Thursday, 24 September 2020 18:56
To: QuantLib users <qua...@li...>
Subject: [Quantlib-users] Corporate bond analytics approach

 

I am looking to develop a quantitative infrastructure for corporate bonds. As I see it, there are two ways to proceed as below.

I am asking this group whether my summary of these two options is accurate or whether there are better approaches?

 

Approach 1: Simple Interpolated Spread Curve

Under this approach, bond cash flows would be discounted at UST + spread, from a curve built by shifting a QL UST curve by a bond specific corporate z-spread. In turn, such corporate z-spread would be interpolated from a z-spread curve, itself calibrated by a set of benchmark corporate bonds. 

 

Approach 2: CDS / Hazard Rate Curve

This approach would first use existing QL CDS helpers and hazard rate curves to calibrate such curve to observable CDS quotes. In turn, a corporate bond could be repriced by adding a "basis" spread on top of the CDS curve.

However, while QL appears to have a full set of methods and classes for CDS and hazard rate curves, it doesn't seem to have any analytics or methods to price corporate bonds on top of a CDS curve as described above

 

Respective Methods Pros and Cons:

All else equal, I would favor Approach 2 because it allows both bonds and credit derivatives to be priced and risk managed, as CDS curves are conveniently available on standardized IMM dates. However, that requires the layer of corporate bond analytics and classes on top of a hazard curve that I do not believe exists in QL.

 

I am probably missing something, so most curious about what QL users think about this particular problem? 

 

 




Philippe Hatstadt

 

 

 

Brokerage services offered through Exos Securities LLC, member of  <http://www.sipc.org/> SIPC /  <http://www.finra.org/> FINRA. For important disclosures,  <https://www.exosfinancial.com/disclosures> click here. 

[Quantlib-users] Corporate bond analytics approach

[Philippe H. <phi...@ex...>]

I am looking to develop a quantitative infrastructure for corporate bonds.
As I see it, there are two ways to proceed as below.
I am asking this group whether my summary of these two options is accurate
or whether there are better approaches?

Approach 1: Simple Interpolated Spread Curve
Under this approach, bond cash flows would be discounted at UST + spread,
from a curve built by shifting a QL UST curve by a bond specific corporate
z-spread. In turn, such corporate z-spread would be interpolated from a
z-spread curve, itself calibrated by a set of benchmark corporate bonds.

Approach 2: CDS / Hazard Rate Curve
This approach would first use existing QL CDS helpers and hazard rate
curves to calibrate such curve to observable CDS quotes. In turn, a
corporate bond could be repriced by adding a "basis" spread on top of the
CDS curve.
However, while QL appears to have a full set of methods and classes for CDS
and hazard rate curves, it doesn't seem to have any analytics or methods to
price corporate bonds on top of a CDS curve as described above

Respective Methods Pros and Cons:
All else equal, I would favor Approach 2 because it allows both bonds and
credit derivatives to be priced and risk managed, as CDS curves are
conveniently available on standardized IMM dates. However, that requires
the layer of corporate bond analytics and classes on top of a hazard curve
that I do not believe exists in QL.

I am probably missing something, so most curious about what QL users think
about this particular problem?



Philippe Hatstadt

-- 








Brokerage services offered through Exos Securities LLC, member of 
SIPC <http://www.sipc.org/> / FINRA <http://www.finra.org/>.  For important 
disclosures, click here <https://www.exosfinancial.com/disclosures>. 

Re: [Quantlib-users] XML or JSON interface

[Josep R. <jos...@gm...>]

Hello Jean-Philippe,

I think it would be easier if you use Docker. In any case I will try to
update the README with the installation instructions to make it easier,
once I have updated them feel free to contact me directly if you are not
able to make it work and I will be happy to help.

Thanks!
Josep

On Wed, Sep 23, 2020 at 4:53 PM Jean-Philippe Guichard (
jph...@gm...) <jph...@gm...> wrote:

> Thanks Josep. This is very helpful as it is very close to what I would
> like.
> Sorry I am very new with C++ and Cmake. I tried to google a bit but so far
> it's beyond my understanding.
>
> I have an issue building quantraserver with "C1083: cannot open include
> file: 'ql/quantlib.hpp': No such file or directory'.
> Where do I put the information about Quantlib directory ?
>
> Best,
> JP
>
> On Mon, Sep 21, 2020 at 1:59 AM Josep Rubió <jos...@gm...> wrote:
>
>> https://quantra.io/ is an initial implementation of a REST wrapper for
>> QuantLib. You can either use it online or download the sources. It can
>> price bonds, swaps, options and create curves. I have not worked on it for
>> a while and the API docs are missing the options part, but if you would
>> need to add something let me know and I could spend some time on it.
>>
>> Josep
>>
>> On Sun, Sep 20, 2020, 17:13 Philippe Hatstadt <
>> phi...@ex...> wrote:
>>
>>> You may want to  look into ORE (Quaternion) which is an open source QL
>>> extension.
>>> They use XML for certain aspects of the trilogy of mkt data+transaction
>>> data+static data.
>>>
>>> Philippe Hatstadt
>>>
>>>
>>> On Sun, Sep 20, 2020 at 5:25 PM Jean-Philippe Guichard (
>>> jph...@gm...) <jph...@gm...> wrote:
>>>
>>>> Hello,
>>>>
>>>> I am quite new to quantlib and I was wondering if there was a xml
>>>> interface of quantlib to describe the market data, payoffs, models for each
>>>> underlier, pricing methodology, pricing command ?
>>>>
>>>> With this xml description (or json), Quantlib would be able to read the
>>>> xml and finds all the information needed to:
>>>> - book the payoff
>>>> - associate the pricing engine to each payoff
>>>> - associate the stochastic process to the underlier
>>>> - set the fixing
>>>> - calibrate the curve
>>>> - calibrate the model
>>>> and I would only need to modify in a text editor the xml file [changing
>>>> the underlying level, the volatility, the payoff] to see the results
>>>> instead of having to go through the quite complex cpp implementation of
>>>> quantlib.
>>>>
>>>> Best,
>>>> Jean-Philippe
>>>> _______________________________________________
>>>> QuantLib-users mailing list
>>>> Qua...@li...
>>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>>>
>>>
>>>
>>>
>>> Brokerage services offered through Exos Securities LLC, member of SIPC
>>> <http://www.sipc.org/> / FINRA <http://www.finra.org/>. For important
>>> disclosures, click here <https://www.exosfinancial.com/disclosures>.
>>> _______________________________________________
>>> QuantLib-users mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>>
>>

Re: [Quantlib-users] XML or JSON interface

[Jean-Philippe G. (<jph...@gm...> <jph...@gm...>]

Thanks Josep. This is very helpful as it is very close to what I would like.
Sorry I am very new with C++ and Cmake. I tried to google a bit but so far
it's beyond my understanding.

I have an issue building quantraserver with "C1083: cannot open include
file: 'ql/quantlib.hpp': No such file or directory'.
Where do I put the information about Quantlib directory ?

Best,
JP

On Mon, Sep 21, 2020 at 1:59 AM Josep Rubió <jos...@gm...> wrote:

> https://quantra.io/ is an initial implementation of a REST wrapper for
> QuantLib. You can either use it online or download the sources. It can
> price bonds, swaps, options and create curves. I have not worked on it for
> a while and the API docs are missing the options part, but if you would
> need to add something let me know and I could spend some time on it.
>
> Josep
>
> On Sun, Sep 20, 2020, 17:13 Philippe Hatstadt <
> phi...@ex...> wrote:
>
>> You may want to  look into ORE (Quaternion) which is an open source QL
>> extension.
>> They use XML for certain aspects of the trilogy of mkt data+transaction
>> data+static data.
>>
>> Philippe Hatstadt
>>
>>
>> On Sun, Sep 20, 2020 at 5:25 PM Jean-Philippe Guichard (
>> jph...@gm...) <jph...@gm...> wrote:
>>
>>> Hello,
>>>
>>> I am quite new to quantlib and I was wondering if there was a xml
>>> interface of quantlib to describe the market data, payoffs, models for each
>>> underlier, pricing methodology, pricing command ?
>>>
>>> With this xml description (or json), Quantlib would be able to read the
>>> xml and finds all the information needed to:
>>> - book the payoff
>>> - associate the pricing engine to each payoff
>>> - associate the stochastic process to the underlier
>>> - set the fixing
>>> - calibrate the curve
>>> - calibrate the model
>>> and I would only need to modify in a text editor the xml file [changing
>>> the underlying level, the volatility, the payoff] to see the results
>>> instead of having to go through the quite complex cpp implementation of
>>> quantlib.
>>>
>>> Best,
>>> Jean-Philippe
>>> _______________________________________________
>>> QuantLib-users mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>>
>>
>>
>>
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