Nabble - QuantLib

unreferenced formal parameter in Line-search based optimization method

2009-11-25T10:37:58Z

Hi all

the implementations in derived classes (ConjugateGradient, BFGS, SteepestDescent) of

LineSearchBasedMethod::getUpdatedDirection(Problem &P,
   Real fold,
   Real gold2,
   const Array& gradient) = 0;

never use the second parameter Real fold.

Is the parameter to be removed or it might be used by some future line-search based optimization method?

Nicolas, Frédéric? Anyone else?

ciao -- Nando

RSS feed: http://www.google.com/reader/shared/ferdinando.ametrano

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From forum: quantlib-dev

unreferenced formal parameters in MM code

2009-11-25T03:43:02Z

Hi Mark

could you please look into these 3 warnings:

warning C4100: 'LIBORRates' : unreferenced formal
parameter c:\Projects\QuantLib\trunk\QuantLib\ql\models\marketmodels\pathwisediscounter.cpp 52
warning C4100: 'currentState' : unreferenced formal
parameter c:\Projects\QuantLib\trunk\QuantLib\ql\models\marketmodels\products\pathwise\pathwiseproductcashrebate.cpp 90
warning C4100: 'deformationSize' : unreferenced formal
parameter c:\Projects\QuantLib\trunk\QuantLib\ql\models\marketmodels\models\capletcoterminalperiodic.cpp 58

before 1.0 I'm doing some lint activity and would like to solve these
issues. Those parameters might be needed (in which case there is a bug
to fix) or are unneeded (in which case I would prefer to alter the
signature before 1.0)

thank you

ciao -- Nando

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From forum: quantlib-dev

Constructing USD Swaption Vol Cube

2009-11-24T21:48:52Z

Hello everyone,

I am trying to use qlswaptionvolcube1 to construct a cube within excel. This is how I set up the object in excel:

ATMVolStructure - =qlswaptionVTSmatrix
SwapIndexBase - =qlswapindex (referenced from swap curve ibor index, tenor 10Y)
ShortSwapIndexBase - =qlswapindex (referenced from same swap curve ibor index, tenor 2Y)
VegaWeightedSmileFit = TRUE
Guess - (I have no idea what type of parameters go here - any clarification would be greatly appreciated)
IsFixed - FALSE
IsATMCalibrated - TRUE
EndCriteria - =qlendcriteria
OptMethod - =qlLevenbergMarquardt

However, in the process of selecting some of the items through the excel formula pop up window, something seems to cause excel to suddenly crash. I've tried setting up the object at least 25 times, and each time results in a crash. I am currently using excel 2007 (which may be the source of the problem) and QL-XL version 0.9.6. Has anyone else had this issue before, and if so, do you know of any ways to circumvent the issue?

Furthermore, is there a better way of constructing the swaption vol surface/skews outside of the cube? The market data that I have available spans 1M,3M,6M,1Y,2Y, and 5Y expiries in conjunction with 2Y,5Y,10Y, and 30Y tenors. 1Y and further expiries have skew data out to +/- 200 bp, while for any shorter expires I have to use SABR calibrated to the available market data to extrapolate volatilites beyond +/- 75 bp. I am looking for the cleanest way to approximate specific points on the vol surface (i.e. 2.5M x 6.75Y ATM+100 bp payer), and as far as I know, the calibrated cube is the simplest way to interpolate these points.

I apologize in advance if this has been discussed in a post somewhere on a message board, but my searches did not come up with any results.

Thanks,

Mike

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From forum: quantlib-users

x64

2009-11-24T19:02:51Z

OK i did a batch build under x64 after updating this morning.

Everything seems to build ok.

I did not do full builds with the static libraries because i never got
round to getting the x64 static boost libraries.

There were two main warnings: one coming from the sequence statistics
class that i fixed with a static_cast.

The other is

..\..\ql/experimental/math/fastfouriertransform.hpp(60) : warning
C4334: '<<' : result of 32-bit shift implicitly converted to 64 bits
(was 64-bit shift intended?)

I didn't feel like messing with this one.

There are various warnings in the test-suite that do not look serious
but would take some time to look into properly. They are generally
casts from size to real which give loss of data warnings.

best

mark

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From forum: quantlib-dev

Re: Fwd: QuantLibAddin, Addin/Cpp

2009-11-24T17:50:55Z

Hi Roland,

> Do you consider including Calc2 into the QuantLibAddin-0.9.9 release?

Yes, definitely - the old addin is simply broken so even if yours works
only on your Mac it's still the best we have ;)

I will let you know when we're near to packaging the prerelease tarballs
and at that point let's try to get the addin into a consistent state. I
will try to get it running on linux and windows and I'll rename
Calc->Calc_old
Calc2->Calc

Regards,
Eric

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From forum: quantlib-dev

is out of the office.

2009-11-24T13:05:50Z

I will be out of the office starting 11/20/2009 and will not return
until 12/08/2009.

I will respond to your message when I return.

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From forum: quantlib-users

Floating rate bond. How to find fixing?

2009-11-24T12:09:57Z

Dear QuantLib users

I am sorry for this financial newbie question but I hope you can help me out! Inspired by the Bonds example and the bonds file in the test suite, I am trying to price a plain floating rate bond. I have a euro swap zero coup curve that I use as argument along with the specs for the bond. From the bonds test suite file I call this “plain” since I use the same curve for forecasting and discounting.

First of all I am uncertain about the validity of this approach, especially the step below where I use the euro swap zero coupon curve to construct a euribor index. It seems to me that one can only get around constructing a floating rate bond with some Ibor Index…

Second, I get with the present code an error saying: What() is:Missing Euribor1Y Actual/360 fixing for October 16th, 2009. I guess some how this is related to the present coupon, but being a bond newbie I am not sure. Now, should I expect this error and how do I come around. I have found the ->addFixing, but how can I know what date QL will be missing? And what rate should I use? The 1 Year Euro Swap Zero Coup at that date?

I have pasted the code below; since I am compiling this for Matlab, some of the code below is not purely intended for QL. In comments I have written the value of the different variables after the have been constructed. The function is intended for pricing a scenario of spreads and zero coupons I get from Matlab, that is the reason for the loop in the end.

I would of course also be grateful for any comments on my QL coding, since I am very new to this incredible library and its “coding principles”.

Thank you all very much in advance.

Best regards, Peter

#include <mex.h>

#include <ql/quantlib.hpp>

#include <iostream>

#include <iomanip>

#include <asu_matlab_functions.h>

#include <sstream>

using namespace QuantLib;

void mexFunction( int nlhs, mxArray *plhs[], int nrhs, const mxArray *prhs[])

{

Calendar calendar = TARGET();

Date today((long int)mxGetScalar(prhs[0])-693960);

today = calendar.adjust(today); // 40142

Settings::instance().evaluationDate() = today;

Natural settlementDays = (Natural)mxGetScalar(prhs[1]); // 3

Date settlementDate = calendar.advance(today,settlementDays,Days); // 40147

Natural fixingDays = 3;

Date issueDate((long int)mxGetScalar(prhs[2])-693960);

issueDate = calendar.adjust(issueDate); // 39742

Date maturityDate((long int)mxGetScalar(prhs[3])-693960);

maturityDate = calendar.adjust(maturityDate); // 41933

int freq = (int) mxGetScalar(prhs[4]);

Period iPer;

Period iPerLibor;

switch (freq)

{

case 1 :

iPer = Period(Annual);

iPerLibor = Period(1,Years);

break;

case 2 :

iPer = Period(Semiannual);

iPerLibor = Period(6,Months);

break;

case 3 :

iPer = Period(EveryFourthMonth);

iPerLibor = Period(4,Months);

break;

case 4 :

iPer = Period(Quarterly);

iPerLibor = Period(3,Months);

break;

case 6 :

iPer = Period(Bimonthly);

iPerLibor = Period(2,Months);

break;

case 12 :

iPer = Period(Monthly);

iPerLibor = Period(1,Months);

break;

default :

mexErrMsgIdAndTxt("ASUToolbox:floatingbond","Frequency should be either 1 (annual), 2 (semi-annual), 3 (every fourth month), 4 (quarterly), 6 (bimonthly) or 12 (monthly).");

}

// iPer 1 Years

// iPerLibor 1 Years

mwSize numberOfCurvePoints = mxGetNumberOfElements(prhs[5]);

mwSize curve_rows = mxGetM(prhs[6]);

mwSize curve_cols = mxGetN(prhs[6]);

if (numberOfCurvePoints!=curve_cols)

mexErrMsgIdAndTxt("ASUToolbox:floatingbond","Number of curvepoints and values must be the same.");

mwSize numberOfSpreads = mxGetNumberOfElements(prhs[7]);

double *iSpreads = mxGetPr(prhs[6]);

if (numberOfSpreads!=curve_rows)

mexErrMsgIdAndTxt("ASUToolbox:floatingbond","Number of curvevalues and spreads must be the same.");

double *CurvePoints = mxGetPr(prhs[5]);

std::vector<Period> iPeriods;

for (mwSize i=0; i<numberOfCurvePoints; i++)

{

if (CurvePoints[i]<1) iPeriods.push_back(((int) (CurvePoints[i]*12))*Months);

else iPeriods.push_back(((int) CurvePoints[i])*Years);

}

// iPeriods 3 Months, 6 Months, 1 Years, 2 Years, 3 Years, 5 Years, 7 Years, 10 Years, 20 Years, 30 // Years

double tolerance = 1.0e-15;

DayCounter zcBondsDayCounter = Actual365Fixed();

std::vector<boost::shared_ptr<SimpleQuote> > iTheQuotes;

std::vector<boost::shared_ptr<RateHelper> > iTheCurve;

for (mwSize j=0; j<numberOfCurvePoints; j++)

{

boost::shared_ptr<SimpleQuote> iRate(new SimpleQuote((Rate) 0.0));

iTheQuotes.push_back(iRate);

boost::shared_ptr<RateHelper> iPoint(

new DepositRateHelper(

Handle<Quote>(iRate),

iPeriods[j],

fixingDays,

calendar,

ModifiedFollowing,

true,

zcBondsDayCounter));

iTheCurve.push_back(iPoint);

}

DayCounter termStructureDayCounter = ActualActual(ActualActual::ISDA);

boost::shared_ptr<YieldTermStructure> swapTermStructure(

new PiecewiseYieldCurve<Discount,LogLinear>(

settlementDate, iTheCurve,

termStructureDayCounter,

tolerance));

RelinkableHandle<YieldTermStructure> discountingTermStructure;

RelinkableHandle<YieldTermStructure> forecastingTermStructure;

discountingTermStructure.linkTo(swapTermStructure);

forecastingTermStructure.linkTo(swapTermStructure);

boost::shared_ptr<IborIndex> index(new Euribor(iPerLibor, forecastingTermStructure));

//index->addFixing(Date(16, October, 2009),0.02);

Schedule floatingBondSchedule(issueDate,

maturityDate,

iPer,

Germany(Germany::Settlement),

Unadjusted, Unadjusted, DateGeneration::Backward, false);

FloatingRateBond floatingRateBond(

settlementDays,

Real(100.0),

floatingBondSchedule,

index,

Actual360(),

ModifiedFollowing,

fixingDays,

// Gearings

std::vector<Real>(1, 1.0),

// Spreads

std::vector<Rate>(1, 0.0),

// Caps

std::vector<Rate>(),

// Floors

std::vector<Rate>(),

// Fixing in arrears

false,

Real(100.0),

Date());

boost::shared_ptr<PricingEngine> bondEngine(

new DiscountingBondEngine(discountingTermStructure));

floatingRateBond.setPricingEngine(bondEngine);

boost::shared_ptr<IborCouponPricer> pricer(

new BlackIborCouponPricer(Handle<OptionletVolatilityStructure>()));

setCouponPricer(floatingRateBond.cashflows(),pricer);

plhs[0] = mxCreateDoubleMatrix(curve_rows,1,mxREAL);

double *dirtyMatrix = mxGetPr(plhs[0]);

for (mwSize i=0; i<curve_rows; i++)

{

for (mwSize j=0; j<numberOfCurvePoints; j++)

{

iTheQuotes[j]->setValue((Rate)CurveValues[i+j*curve_rows]);

}

// The curve now has the following values:

// 0.00726362845472265

// 0.0100644668047577

// 0.0120480471730201

// 0.0171903849135268

// 0.0215856363845785

// 0.0278534962670635

// 0.0320699648771060

// 0.0361526048810217

// 0.0419715341115639

// 0.0394774761552008

dirtyMatrix[i] = floatingRateBond.dirtyPrice();

}

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From forum: quantlib-users

is out of the office.

2009-11-24T02:00:49Z

From forum: quantlib-users

mc for quanto interest rate derivatives

2009-11-24T01:25:27Z

Hi all,

is there in Quantlib something already done for pricing quanto option on interest rate, preferably through a montecarlo engine?

So far I didn’t find anything, but my knowledge of quantlib is still limited. If not, do you have any suggestion on where to start or which classes can be easily adapted? Thanks a lot.

Regards,

Ivan

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From forum: quantlib-users

Re: Fwd: QuantLibAddin, Addin/Cpp

2009-11-24T00:49:43Z

> if I want to expose more functionality to Calc (that is already
> exposed to XL), does this mean I have to add <SupportedPlatform
> name='Calc'/> to the desired functions in
> QuantLibAddin/gensrc/metadata/functions/*.xml?

Yes, that would be the very first step. But it would take a whole lot
more work to get the Calc addin to the stage where it supports
YieldTermStructures.xls and InterestRateDerivatives.xls.

Setting <SupportedPlatform name='Calc'/> will tell gensrc to attempt to
autogenerate the source code for the relevant function in the Calc
addin. But for many functions, the autogenerated code will not compile,
or will compile and then fail at runtime. The main things that are
missing are conversion functions, plus various other features of
ObjectHandler which are further advanced for Excel than for Calc.

Hi Eric,

yes, I noticed the limits :-). I have modified calc.py and functions/*.xml

to produce the basic files/functions in Addins/Calc2, and I am now trying

to include more functions. It worked for some termstructures and

instruments etc., but indeed I'll have to look into conversions now.

Indeed, quite some work ahead.

Do you consider including Calc2 into the QuantLibAddin-0.9.9 release?

Regards,

Roland

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From forum: quantlib-dev

Re: Fwd: QuantLibAddin, Addin/Cpp

2009-11-23T14:50:38Z

Hi Roland,

I only just noticed that we were cc-ing quantlib-dev here :)

> if I want to expose more functionality to Calc (that is already
> exposed to XL), does this mean I have to add <SupportedPlatform
> name='Calc'/> to the desired functions in
> QuantLibAddin/gensrc/metadata/functions/*.xml?

Yes, that would be the very first step. But it would take a whole lot
more work to get the Calc addin to the stage where it supports
YieldTermStructures.xls and InterestRateDerivatives.xls.

Setting <SupportedPlatform name='Calc'/> will tell gensrc to attempt to
autogenerate the source code for the relevant function in the Calc
addin. But for many functions, the autogenerated code will not compile,
or will compile and then fail at runtime. The main things that are
missing are conversion functions, plus various other features of
ObjectHandler which are further advanced for Excel than for Calc.

Regards,
Eric

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From forum: quantlib-dev

Re: x64 build fix for VS2008 solution project (QuantLib 0.9.9 w/ Boost 1.41)

2009-11-23T12:02:04Z

Hi Nando,
I'm happy to be of some help. I've attached details, but in short:

1. One of the two problems are now fixed in the trunk. The remaining build
error has to do with the 'Debug x64' config which should have optimization
disabled (i.e., Configuration Properties | C/C++ | Optimization |
Optimization: Disabled (/Od) ). To make all the debug configs the same, I
would recommend setting the 'Inline Function Expansion to Default'.

2. Adding a folder in the solution is done by right clicking on the solution
and selecting Add | New Solution Folder. I use this approach to organize
projects in a way similar to their physical layout on the drive. Once the
folder is create double click on it to rename 'Example' and then Cntr +
click on each example project (to select) and drag them to the Example
folder.

~~~~~~~~~~~~~~~~~~~~~~~~~~~~
While I have your ear, I have a few questions:
Q1. What is the best process for submitting this type of stuff (i.e., bug
fix suggestions)?
Q2. Is the way I've done it acceptable (i.e., bug report with suggested
fix)?
Q3. I'm interested in being a QL developer, any suggestions on what steps to
take in accomplishing this?

BTW, I am in the process of creating 'Quant Portfolio Library (QP-Lib)'
(https://sourceforge.net/projects/qp-lib/) with the idea of complimenting
QuantLib so becoming a developer on QL would help me minimize my work by not
trying to duplicate any of the great code that already exists.
~~~~~~~~~~~~~~~~~~~~~~~~~~~~

Regards,
cm

~~~~~~~~~~~~~~~~~~~~~~~~~~~~
attached 09-11-23 QuantLibSvnTrunk_BuildChangeSummary.zip
1. notes and build output before and after new fix 09-11-23
QuantLibSvnTrunk_BuildChangeSummary.rtf
2. QuantLib_vc9.vcproj file with fix for 'Debug x64' optimization disabled
3. QuanlLib_vc9.sln file with Examples folder added and projects organized
under it
~~~~~~~~~~~~~~~~~~~~~~~~~~~~

----- Original Message -----
From: "Ferdinando Ametrano" <nando@...>
To: "Craig Miller" <craigwmiller@...>
Cc: <quantlib-dev@...>
Sent: Monday, November 23, 2009 7:58 AM
Subject: Re: [Quantlib-dev] x64 build fix for VS2008 solution project
(QuantLib 0.9.9 w/ Boost 1.41)

> Hi Craig
>
> On Sat, Nov 21, 2009 at 3:01 AM, Craig Miller <craigwmiller@...>
> wrote:
>> I would like to share an update to QuantLib svn.
>> [...]
>> Summary
>> 1. Fix x64 build errors
>> 2. create Examples folder in solution Explorer which now holds all the
>> example projects
>> 3. notes and build output
>
> I fixed "Disable Language Extensions" back to NO, disabled
> optimization for Debug configurations, and removed most compilation
> warnings. Could you check on the _trunk_ if everything is OK ?
> examples included please.
>
> Would you mind also reporting any compilation warning ?
>
> Does this close the issue you posted on the bug tracker ?
>
> BTW how do you create an Examples folder in the solution? I must be
> dummy, but I couldn't find a way...
>
> thank you for your help
>
> ciao -- Nando

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09-11-23 QuantLibSvnTrunk_BuildChangeSummary.zip (414K) Download Attachment

From forum: quantlib-dev

Re: [QuantLib-svn] SF.net SVN: quantlib:[16775] trunk/QuantLib/ql/experimental/amortizingbonds /amortizingfixedratebond.cpp

2009-11-23T09:44:23Z

Hi Simon

does it make sense that sinkingRedemptions was not used (see my commit below) ?

ciao -- Nando

On Mon, Nov 23, 2009 at 5:18 PM, <nando@...> wrote:

> Revision: 16775
> http://quantlib.svn.sourceforge.net/quantlib/?rev=16775&view=rev
> Author: nando
> Date: 2009-11-23 16:18:36 +0000 (Mon, 23 Nov 2009)
>
> Log Message:
> -----------
> in anonymous namespace
> - removed unreferenced formal parameter startDate
> - renamed function to start with lower capital letter
> - commented out unused function sinkingRedemptions
>
> Modified Paths:
> --------------
> trunk/QuantLib/ql/experimental/amortizingbonds/amortizingfixedratebond.cpp
>
> Modified: trunk/QuantLib/ql/experimental/amortizingbonds/amortizingfixedratebond.cpp
> ===================================================================
> --- trunk/QuantLib/ql/experimental/amortizingbonds/amortizingfixedratebond.cpp 2009-11-23 14:10:27 UTC (rev 16774)
> +++ trunk/QuantLib/ql/experimental/amortizingbonds/amortizingfixedratebond.cpp 2009-11-23 16:18:36 UTC (rev 16775)
> @@ -104,7 +104,7 @@
> return false;
> }
>
> - Schedule SinkingSchedule(const Date& startDate,
> + Schedule sinkingSchedule(const Date& startDate,
> const Period& maturityTenor,
> const Frequency& sinkingFrequency,
> const Calendar& paymentCalendar) {
> @@ -116,8 +116,7 @@
> return retVal;
> }
>
> - std::vector<Real> SinkingNotionals(const Date& startDate,
> - const Period& maturityTenor,
> + std::vector<Real> sinkingNotionals(const Period& maturityTenor,
> const Frequency& sinkingFrequency,
> Rate couponRate,
> Real initialNotional) {
> @@ -141,24 +140,23 @@
> return notionals;
> }
>
> - std::vector<Real> SinkingRedemptions(const Date& startDate,
> - const Period& maturityTenor,
> - const Frequency& sinkingFrequency,
> - Rate couponRate,
> - Real initialNotional) {
> + //std::vector<Real> sinkingRedemptions(const Period& maturityTenor,
> + // const Frequency& sinkingFrequency,
> + // Rate couponRate,
> + // Real initialNotional) {
>
> - std::vector<Real> notionals =
> - SinkingNotionals(startDate, maturityTenor, sinkingFrequency,
> - couponRate, initialNotional);
> - Size nPeriods = notionals.size()-1;
> - std::vector<Real> redemptions(nPeriods);
> + // std::vector<Real> notionals =
> + // sinkingNotionals(maturityTenor, sinkingFrequency,
> + // couponRate, initialNotional);
> + // Size nPeriods = notionals.size()-1;
> + // std::vector<Real> redemptions(nPeriods);
>
> - for(Size i = 0; i < nPeriods; ++i) {
> - redemptions[i] =
> - (notionals[i] - notionals[i+1]) / initialNotional * 100;
> - }
> - return redemptions;
> - }
> + // for(Size i = 0; i < nPeriods; ++i) {
> + // redemptions[i] =
> + // (notionals[i] - notionals[i+1]) / initialNotional * 100;
> + // }
> + // return redemptions;
> + //}
>
> }
>
> @@ -181,9 +179,9 @@
> maturityDate_ = startDate + bondTenor;
>
> cashflows_ =
> - FixedRateLeg(SinkingSchedule(startDate, bondTenor,
> + FixedRateLeg(sinkingSchedule(startDate, bondTenor,
> sinkingFrequency, calendar))
> - .withNotionals(SinkingNotionals(startDate, bondTenor,
> + .withNotionals(sinkingNotionals(bondTenor,
> sinkingFrequency, coupon,
> initialFaceAmount))
> .withCouponRates(coupon, accrualDayCounter)
>
>
> This was sent by the SourceForge.net collaborative development platform, the world's largest Open Source development site.
>
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From forum: quantlib-dev

Re: x64 build fix for VS2008 solution project (QuantLib 0.9.9 w/ Boost 1.41)

2009-11-23T06:58:11Z

Hi Craig

On Sat, Nov 21, 2009 at 3:01 AM, Craig Miller <craigwmiller@...> wrote:
> I would like to share an update to QuantLib svn.
> [...]
> Summary
> 1. Fix x64 build errors
> 2. create Examples folder in solution Explorer which now holds all the
> example projects
> 3. notes and build output

I fixed "Disable Language Extensions" back to NO, disabled
optimization for Debug configurations, and removed most compilation
warnings. Could you check on the _trunk_ if everything is OK ?
examples included please.

Would you mind also reporting any compilation warning ?

Does this close the issue you posted on the bug tracker ?

BTW how do you create an Examples folder in the solution? I must be
dummy, but I couldn't find a way...

thank you for your help

ciao -- Nando

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From forum: quantlib-dev

Re: [QuantLib-svn] SF.net SVN: quantlib:[16773] trunk/QuantLib

2009-11-23T06:42:29Z

On Mon, Nov 23, 2009 at 2:46 PM, Luigi Ballabio
<luigi.ballabio@...> wrote:
> On Mon, 2009-11-23 at 12:17 +0000, nando@... wrote:
>> Revision: 16773
>> http://quantlib.svn.sourceforge.net/quantlib/?rev=16773&view=rev
>> Author: nando
>
> A couple of quick questions:
> 1) does this close the two issues posted by Craig on the bug tracker?

I'm going to ask Craig, as I don't have access to VC9 x64

> 2) can I backport it to the 1.0 branch?
not yet, there might be a couple more fixes

ciao -- Nando

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From forum: quantlib-dev

Re: [QuantLib-svn] SF.net SVN: quantlib:[16773] trunk/QuantLib

2009-11-23T05:46:33Z

On Mon, 2009-11-23 at 12:17 +0000, nando@... wrote:

> Revision: 16773
> http://quantlib.svn.sourceforge.net/quantlib/?rev=16773&view=rev
> Author: nando
> Date: 2009-11-23 12:17:58 +0000 (Mon, 23 Nov 2009)
>
> Log Message:
> -----------
> - removed WIN32, added x64 preprocessor defines in all x64 configurations
> - switched back "Disable Language Extension" to NO in QuantLib x64 configurations
> - removed FileConfigutaion element in all Example projects
> thanks to Craig Miller

A couple of quick questions:
1) does this close the two issues posted by Craig on the bug tracker?
2) can I backport it to the 1.0 branch?

Luigi

--

Of course, if people could just act consistently, they could keep
their desks clean, avoid cavities, lose weight, give up smoking,
play a musical instrument, and possibly even produce software on
a regular and timely basis.
-- Alistair Cockburn

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From forum: quantlib-dev

[ quantlib-Bugs-2902238 ] test-suite fails debug static x64 build - Fix provided

2009-11-22T17:29:59Z

Bugs item #2902238, was opened at 2009-11-22 18:29
Message generated for change (Tracker Item Submitted) made by c-miller
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2902238&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Craig Miller (c-miller)
Assigned to: Nobody/Anonymous (nobody)
Summary: test-suite fails debug static x64 build - Fix provided

Initial Comment:
Code: QuantLib 0.9.9 svn tips
Configuration: Debug (static runtime) x64
testsuite - 55 error(s), 5 warning(s)
Typical Error: error C2514: 'QuantLib::Null<Type>' : class has no constructors
Problem: missing x64 preprocessor definition
Fix: add x64 preprocessor definition
(i.e., open configuration properties and add x64 definition)

Regards,
c-miller

Note: unresolved runtime test-suite error
QuantLib::detail::quantlib_test_case(&CreditDefaultSwapTest::testImpliedHazardRate)": std::exception: negative time (-0.00273973) given
c:\devwebcode\quant\quantlib\quantlibsvntrunk\quantlib\test-suite\utilities.hpp(78): last checkpoint

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From forum: quantlib-dev

[ quantlib-Bugs-2902185 ] date schedule is incorrect with EndOfMonth=true

2009-11-22T14:07:00Z

Bugs item #2902185, was opened at 2009-11-22 17:06
Message generated for change (Tracker Item Submitted) made by blitvin
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2902185&group_id=12740

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including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: boris l (blitvin)
Assigned to: Nobody/Anonymous (nobody)
Summary: date schedule is incorrect with EndOfMonth=true

Initial Comment:
When date schedule is generated with Convention=Unadjusted and EndOfMonth=TRUE it incorrectly handles end of months. Please see attached spreadsheet as example. It also inocrrectly handles EOM with other conventions (MP,MF). I can be reached at boris.litvin@.... Thanks a lot - Boris.

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From forum: quantlib-dev

Fwd: QuantLibAddin, Addin/Cpp

2009-11-22T09:11:00Z

The holy grail would be to get the Calc addin into a state where it
could seamlessly load the flagship example QLXL workbooks...

QuantLibXL/Workbooks/StandaloneExamples/YieldTermStructures.xls
QuantLibXL/Workbooks/StandaloneExamples/InterestRateDerivatives.xls

...but that would take a lot of work.

Ok, I'm tempted. But doesn't it make more sense to look at gensrc for Calc now rather than putting the code together manually?

Hi Eric,

I made small changes to gensrc/gensrc/addins/calc.py (attached) just to make it run and produce output files again. Next would be adjusting the output to the "new" format..

But apart from this step- if I want to expose more functionality to Calc (that is already exposed to XL), does this mean I have to add <SupportedPlatform name='Calc'/> to the desired functions in QuantLibAddin/gensrc/metadata/functions/*.xml? This seems to be it at first glance.

Regards,

Roland

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calc.py (14K) Download Attachment

From forum: quantlib-dev

[ quantlib-Bugs-2901554 ] Fw: x64 build fix for VS2008 solution project (QuantLib 0.9.

2009-11-20T18:12:00Z

Bugs item #2901554, was opened at 2009-11-20 19:12
Message generated for change (Tracker Item Submitted) made by c-miller
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2901554&group_id=12740

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including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Craig Miller (c-miller)
Assigned to: Nobody/Anonymous (nobody)
Summary: Fw: x64 build fix for VS2008 solution project (QuantLib 0.9.

Initial Comment:
----- Original Message -----
From: Craig Miller
To: quantlib-dev@...
Sent: Friday, November 20, 2009 7:01 PM
Subject: x64 build fix for VS2008 solution project (QuantLib 0.9.9 w/ Boost 1.41)

I would like to share an update to QuantLib svn. The attached 09-11-02 QLSvnTrunk_BuildChangeSummary.zip includes:

1. QuantLib_vc9.vcproj
2. QuantLib_vc9.sln
3. 09-11-20 QuantLibSvnTrunk_BuildChangeSummary.rtf

Summary
1. Fix x64 build errors
2. create Examples folder in solution Explorer which now holds all the example projects
3. notes and build output

Note
I typically use a batch build of all configurations so my Boost path is set appropriately for x86 vs. x64 libraries to link (see attached notes for details).

Craig Miller
craigwmiller@...

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From forum: quantlib-dev

x64 build fix for VS2008 solution project (QuantLib 0.9.9 w/ Boost 1.41)

2009-11-20T18:01:27Z

I would like to share an update to QuantLib svn. The attached 09-11-02 QLSvnTrunk_BuildChangeSummary.zip includes:

1. QuantLib_vc9.vcproj

2. QuantLib_vc9.sln

3. 09-11-20 QuantLibSvnTrunk_BuildChangeSummary.rtf

Summary

1. Fix x64 build errors

2. create Examples folder in solution Explorer which now holds all the example projects

3. notes and build output

Note

I typically use a batch build of all configurations so my Boost path is set appropriately for x86 vs. x64 libraries to link (see attached notes for details).

Craig Miller

craigwmiller@...

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09-11-02 QLSvnTrunk_BuildChangeSummary.zip (763K) Download Attachment

From forum: quantlib-dev

Re: Correct Use of SwaptionVolCube Classes

2009-11-20T10:38:49Z

On Fri, Nov 20, 2009 at 3:45 PM, Peter Caspers <peter.caspers@...> wrote:
> Hi, what is the correct use of shortSwapIndexBase and swapIndexBase in the
> swaption volatility cube classes?
> For swap lenghts leq the tenor of the short index this index is used to
> calculate atm, for all longer tenors the other index is used (no matter
> what tenor is specified for this)?
> Is that all one has to keep in mind or is there more to these two indices?

yes, that's all. It allows to take into account that 1Y swap are vs 3M
Euribor, while longer swaps are vs 6M Euribor

ciao -- Nando

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From forum: quantlib-users

Re: SABR Model Example

2009-11-20T10:35:26Z

On Fri, Nov 20, 2009 at 2:32 PM, Alexander Lotter
<alexander.lotter@...> wrote:
> I've found some sabr-classes in QuantLib, but not much in documentation and
> haven't found any example.
>
> Is it possible to calibrate sabr-parameter and create vola curves using this
> classes (termstructures -> volatility -> sabr and experimental ->
> sabrvolsurface)?
>
> It would be great if there is some example how to use the model in QuantLib.

the SABR function and interpolation class needs probably little
documentation if you're familiar with SABR

the _experimental_ classes belongs to a new design I tackled more then
one year ago, and was not able to finalize it, even if I would love to
work on it. They are concerned about getting rid of the idea of vol
cube, recognizing that what actually makes sense is stacked
independent surfaces, with each surface having few sparse independent
smiles on the top of an at-the-money back-bone vol curve.

These swaption classes are 80% finished, thanks to being quoted with
floating smile. The cap classes are harder because of sticky smile.
They should be finalized and then one should create backward
compatible adapters in order to use them in the rest of QuantLib

ciao -- Nando

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From forum: quantlib-users

boostify QL

2009-11-20T10:07:41Z

On Fri, Nov 20, 2009 at 8:15 AM, Nicolai Lassesen <nlassesen@...> wrote:
> I would be happy to help boostify QL. How would you go about doing it? Use the
> Boost date class and give up Quantlib date?

1) replace as much QuantLib:Date implementation as possible using
Boost, preserving backward compatibility and Excel date number
compatibility
2) extend discrete (integer) Date to continuous (decimal) Date, again
preserving backward compatibility and Excel date number compatibility
3) finally if the QuantLib wrapper layer is thin enough support me in
lobbying for getting rid of QuantLib::Date in a backward incompatible
QuantLib 2.0 :-)

Similar approaches could be used for math (especially distributions),
random numbers, and any other area where Boost and QuantLib overlap.

The black-belt developer might even try to replace QuantLib
Observer/Observable with Boost signals/slots, and maybe replace the
other patterns with Loki

Rest assured we'll pay due credit even if you just remove code
resulting in few source files with your name in it :-)

ciao -- Nando

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From forum: quantlib-dev

Issues about QuantLibAddin/XL release

2009-11-20T09:43:40Z

Hi Eric and Plamen

few issues about QuantLibAddin/XL release (I'm CCing ql-dev)

1) R000909-branch\QuantLibXL\Workbooks\Math\Interpolation.xls is
broken because some time ago I've changed interpolation signature from
vector<Real> to vector<Quote>.
This is a quite relevant improvement because it allows to have
dynamically changing interpolants without having to recreate it
(hopefully one day Luigi might agree to move the implementation from
QLA to QL)
Unfortunately there is not coercion from string of comma separated
numbers to vector<Quote>, equivalent to the one available for
vector<Real>.
Could this coercion be coded before 0.9.9 release ?

2) the only major problem I have with the current QLXL is the compile
time definition of enumerated type/class aliases (e.g. act/360,
actual/360, etc). This makes difficult the quick reception of other
systems (Bloomberg, Reuters, Murex. etc) names. Initially I hoped for
an xml run-time definition of aliases, but lately I've been thinking
about special simple objects called Alias which would be created as
qlAlias(foo, bar), bar being an object of some given class MyClass.
Then when foo is used as input it is just replaced by bar before being
processed by coercion, etc
Is this feasible?

3) the other minor issue I have with the current QLXL is that when
returning the name of anonymous object (as in RatehelperSelection) an
empty string is returned, instead of obj_012ab

4) you might have noticed that I've added
R000909-branch\QuantLibXL\framework\QuantLibXL.launch.xml to quickly
parametrize xlls to be loaded and actions to be performed at startup.
This would be very effective for our release process if the VBA code
would handle relative path too. I've been unable to do this VBA
change.
If it is feasible and quick it would be much better than maintaining
hardcoded defaults in the vba code

5) are you willing to invest some time in Launcher and VBA framework
before 1.0 ?
I have some ideas about a better and simpler portable
Luncher/startup-process, but I'm not comfortable yet working on my own
when it comes to xml and c#.
It would also involve removing all framework code from QuantLibXL.xla
to a new framework.xla, leaving in QuantLibXL.xla only the start-up
process and generic menus

ciao -- Nando

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From forum: quantlib-dev

certificate for digital signature of QuantLiXL.xla

2009-11-20T08:34:23Z

Hi all

I have to dismiss the workstation where I have the test certificate
I've used in the last years to sign QuantLibXL.xla
Since it was a test certificate I won't be able to move it to my new
workstation, which is quite unfortunate since different (test)
certificates would be used for the 0.9.9 and 1.0 releases.

I know one can buy a certificate from a certification authority, but I
would prefer to save money. Any suggestion ?
Is there a certification authority willing to provide a free
certificate to an open-source no-profit organization as QuantLib ?
If not I will just generate a new test certificate on my new
workstation and live happy ever after... for the next few years at
least

thank you in advance

ciao -- Nando

RSS feed: http://www.google.com/reader/shared/ferdinando.ametrano

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From forum: quantlib-dev

Correct Use of SwaptionVolCube Classes

2009-11-20T06:45:04Z

Hi, what is the correct use of shortSwapIndexBase and swapIndexBase in the
swaption volatility cube classes?
For swap lenghts leq the tenor of the short index this index is used to
calculate atm, for all longer tenors the other index is used (no matter
what tenor is specified for this)?
Is that all one has to keep in mind or is there more to these two indices?
Thank you a lot, best regards, Peter
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From forum: quantlib-users

Re: Heston model - Monte Carlo simulation

2009-11-20T05:50:02Z

On Tue, 2009-11-17 at 03:24 -0800, gbogaert wrote:
> Thank you for your advice. Could you give more detailed on the used of the
> MultiPath Generator? Is it not used for multiple assets?

Not only that. If you pass it the Heston model, it will generate
MultiPaths with two components. The first will be the path generated for
the underlying and the second the one for the volatility.

> In my case I have one asset. Based on the test-suite, I tried the
> PathGenerator class. From what I understood, a path is generated each time
> that generator.next() is called, isn't it? I called it several times
> (50,000x) and took the last value of the sample with sample.value.back() for
> each generation. I am then surprised that after relaunching my program
> several times I always get the same values and average.

That's because you're always feeding the generator the same seed:

> BigNatural seed = 42;
> [...]
> rsg_type rsg = PseudoRandom::make_sequence_generator(timeSteps, seed);

If you want your program to use different feeds each time, set the seed
to 0. But that will mean you might be unable to reproduce errors if
they arised.

Luigi

--

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-- Gilbert K. Chesterton

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From forum: quantlib-users

SABR Model Example

2009-11-20T05:32:10Z

Dear all,

I've found some sabr-classes in QuantLib, but not much in documentation and haven't found any example.

Is it possible to calibrate sabr-parameter and create vola curves using this classes (termstructures -> volatility -> sabr and experimental -> sabrvolsurface)?

It would be great if there is some example how to use the model in QuantLib.

Cheers

Alexander

From forum: quantlib-users

Re: Question to the Leap function in the Date class

2009-11-19T23:15:29Z

> I agree. I didn't notice the (auto-)linking.
> Actually I jumped to this modification in the hope to trigger further
> boostification, but this is another issue and would require a stronger
> determination

I would be happy to help boostify QL. How would you go about doing it? Use the
Boost date class and give up Quantlib date?

Br,
Nicolai

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From forum: quantlib-dev

Re: need help for QuantLib VC9 x64 support

2009-11-19T09:01:27Z

On Thu, 2009-11-19 at 17:25 +0100, Ferdinando Ametrano wrote:
> I've cleaned up QuantLib VC9 solution and projects for x64 support.
>
> [...]
>
> unfortunately I don't have access to x64 so I need confirmation that I
> got everything right.

Let me know when it's ok, so I can backport it to the 1.0 branch.

Thanks,
Luigi

--

feature, n:
A surprising property of a program. Occasionally documented.
To call a property a feature sometimes means the author did not
consider that case, and the program makes an unexpected, though
not necessarily wrong response. See BUG. "That's not a bug,
it's a feature!" A bug can be changed to a feature by
documenting it.

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From forum: quantlib-dev

need help for QuantLib VC9 x64 support

2009-11-19T08:25:12Z

Hi all

I've cleaned up QuantLib VC9 solution and projects for x64 support.

Now all eight configurations should be available:

Release | win32
Release | x64
Debug | win32
Debug | x64
Release (static runtime) | win32
Release (static runtime) | x64
Debug (static runtime) | win32
Debug (static runtime) | x64

and each configuration should build and link without errors the following fifteen projects:

QuantLib
testsuite
Swap
EquityOption
ConvertibleBonds
FRA
Repo
Replication
BermudanSwaption
DiscreteHedging
FittedBondCurve
CallableBonds
CDS
Bonds
MarketModels

unfortunately I don't have access to x64 so I need confirmation that I got everything right.

ciao -- Nando

PS I've also enabled /MP for multi processor multi core compilation

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From forum: quantlib-dev

Re: YieldCurve from discount factors (2)

2009-11-19T06:39:47Z

Sorry, I did not see that QL uses the frequency passed in input for the
calculation of the parrate, i.e. the formula is correct and is

ParRate = (DF_start - DF_end) * frequency / \SUM(DF_i),

This is equivalent to my formula if (t_i - t_{i-1}) = 1/frequency (as it
should for a "normal" swap :-) )

Basically, you are evaluating a rate for a 1 year period that accrues the
same as the 8-day period:

R * t * DF = 0.50251256281407079% * 1 * 0.995 = 22.6131% * 0.022222222 *
0.995

Regards,

Giorgio Pazmandi

> -----Original Message-----
> From: Giorgio Pazmandi [mailto:g.pazmandi@...]
> Sent: giovedì, 19. novembre 2009 10:58
> To: 'Cliffy'; quantlib-users@...
> Subject: Re: [Quantlib-users] YieldCurve from discount factors
>
> Hi Cliffy, the par rate is calculated in QL with the formula
> ParRate = (DF_start - DF_end) / \SUM(DF_i) = (1 - 0.995) / (0.995) =
> 0.0050251256281407079
>
> Maybe I'm wrong, but I would have expected:
> ParRate = (DF_start - DF_end) / \SUM(DF_i * (T_i - T_{i-1})) = (1 -
> 0.995) /
> (0.995 * 0.02222222) = 22.6131%
>
>
> If you simply wanted to evaluate a zero rate (instead of the par rate)
> the
> call would be, for example:
> r2 = refTermStructure->zeroRate(QuantLib::Date(1, October, 2004),
> termStructureDayCounterX, Simple, Annual, true);
> wich also gives 22.6131%
>
>
> Hope that helps
>
> Best regards,
>
> Giorgio
>
>
> > -----Original Message-----
> > From: Cliffy [mailto:cfhgtwn@...]
> > Sent: mercoledì, 18. novembre 2009 21:02
> > To: quantlib-users@...
> > Subject: Re: [Quantlib-users] YieldCurve from discount factors
> >
> >
> > Hi, I am new to quantlib, read this post and out of curiosity want to
> > try it
> > out.
> > I thought the usage of "InterpolatedDiscountCurve" is to provide a
> set
> > of
> > "discount factors" and
> > be able to calculate par rates on the curve.
> >
> > I use a simple unrealistic discount curve (to 30 days) -
> >
> > Date Disc factor
> >
> > Sep 23 1
> > Oct 1 0.995
> > Nov 3 0.992
> >
> > try to calculate par rate as of Oct 1, I got
> >
> > 0.0050251256281407079
> >
> > it seemd to be too small, shouldn't be around 20%??
> >
> > here are the codes,
> >
> > vector<Date> dates;
> > vector<DiscountFactor> rates;
> > vector<Date> datesIn;
> >
> > DayCounter termStructureDayCounterX = Actual360();;
> > Calendar calendarX = TARGET();
> >
> > Date settlementDateX(22, September, 2004);
> > Date d1 = calendarX.advance(settlementDateX, 1,Days);
> > dates.push_back(d1);
> > d1 = calendarX.advance(settlementDateX, 7,Days);
> > dates.push_back(d1);
> > d1 = calendarX.advance(settlementDateX, 30,Days);
> > dates.push_back(d1);
> > Rate r1 = 1;
> > rates.push_back(r1);
> > r1 = 0.995;
> > rates.push_back(r1);
> > r1 = 0.992;
> > rates.push_back(r1);
> >
> > Handle<YieldTermStructure>
> > refTermStructure(boost::shared_ptr<YieldTermStructure>(
> > new InterpolatedDiscountCurve<LogLinear>(dates, rates,
> > termStructureDayCounterX)));
> >
> > d1 = calendarX.advance(settlementDateX, 1,Days);
> > datesIn.push_back(d1);
> > d1 = calendarX.advance(settlementDateX, 7,Days);
> > datesIn.push_back(d1);
> >
> > Rate r2;
> > r2 = refTermStructure->parRate(datesIn,Annual,true);
> >
> > cout << r2; // r2 = 0.0050251256281407079
> >
> > What did I do wrong here??
> >
> > Regards,
> >
> > Cliff
> >
> > --
> > View this message in context: http://old.nabble.com/YieldCurve-from-
> > discount-factors-tp26375800p26414696.html
> > Sent from the quantlib-users mailing list archive at Nabble.com.
> >
> >
> > ---------------------------------------------------------------------
> --
> > -------
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> > 30-Day
> > trial. Simplify your report design, integration and deployment - and
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> > what you do best, core application coding. Discover what's new with
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> > QuantLib-users@...
> > https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
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> -------
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From forum: quantlib-users

Re: QuantLibAddin, Addin/Cpp

2009-11-19T04:44:07Z

How would you feel about putting together a new example workbook that we
could use for a new screenshot on http://www.quantlibaddin.org - ideally
something that shows off the business functionality as much as possible,
and shows the latest version numbers for Calc + QL, using the colors
from the website - ?

Hi Eric,

thanks for the encouraging words ;-).

In fact it did not take much yesterday night to get the Option.ods up again. I organised the code such that it is similar to your original files in QuantLibAddin/Addins/Calc and I reused most of it with tiny modifications. I will commit it to the 0.9.9 branch tonight or tomorrow, QuantLibAddin/Addins/Calc2 and QuantLibAddin/Clients/Calc2, as you suggested.

I am really wondering now which change prevented compilation/deployment in the first place. I cannot tell because I started from scratch with the simple wiki examples and added your code step by step.

The holy grail would be to get the Calc addin into a state where it
could seamlessly load the flagship example QLXL workbooks...

QuantLibXL/Workbooks/StandaloneExamples/YieldTermStructures.xls
QuantLibXL/Workbooks/StandaloneExamples/InterestRateDerivatives.xls

...but that would take a lot of work.

Ok, I'm tempted. But doesn't it make more sense to look at gensrc for Calc now rather than putting the code together manually?

Best regards,

Roland

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From forum: quantlib-dev

Re: Why inflation zero floor prices to zero

2009-11-19T03:27:35Z

I think that you are reading the mx the wrong way round: there are 6 strikes and 7 maturities, so I think you are looking at different strikes for the 5Y maturity. However, your points are still valid.

In the file the values are in bps. If you look in interpolatedyoyoptionletstripper.hpp in the function:

template <class Interpolator1D>
InterpolatedYoYOptionletStripper<Interpolator1D>::
ObjectiveFunction::ObjectiveFunction

you will see .withNominal(10000) which does the scaling back to what you are expecting. OK this is rather obscure, but it is in /experimental . The scaling should probably be before input rather than deep in the code.

The data in the test is from long ago and far away ... inflation expectations have moved a lot in the past two years. ~2007, i.e. pre-crisis, EU expected inflation was 2%~3% (see the data yoyEUrates higher up).

Usual disclaimers apply.

From: Pomarico Francesco Ivan <francesco.pomarico@...>
To: Chris Kenyon <chris.kenyon@...>; quantlib-users@...
Sent: Thu, November 19, 2009 10:24:31 AM
Subject: RE: Why inflation zero floor prices to zero

Thanks again Chris,

I got another question on inflation.

I am looking at the file inflationvolatility.cpp in the testsuite and I don’t get what sort of cap and floor prices are used. Maybe there is some convention I am not aware of.

Looking on BBG quotes are in basis points from the order of tenths of bps to some hundredths of bps.

For example looking at price of zero floors on BBG quotes are from 68 bps up to 446 bps, so I expect to see prices in a range from 0.0068 up to 0.0446, but in the Quantlib inflationvolatility.cpp I see 0.851, 2.236, 3.935, 7.885, 17.92 and 47.625.

OK, prices are from different days, but magnitude has no sense for me. What did I miss?

Regards,

Ivan

From: Chris Kenyon [mailto:chris.kenyon@...]
Sent: Wednesday, November 18, 2009 5:29 PM
To: quantlib-users@... ; Pomarico Francesco Ivan
Subject: Re: Why inflation zero floor prices to zero

Hi Ivan,

your observations are exactly correct:
1) in a Black world a zero floor has no value because you can't get there. A YoYInflationBlackCapFloorEngine implements this so, yes, you always get zero NPV.
2) If you use a displaced diffusion then, yes, you can see value in a zero floor. This is implemented in the UnitDisplacedBlackYoYInflationCouponPricer for coupons and there is an analogous engine for instruments.
3) Alternatively you can use a Normal process and use the BachelierYoYInflationCouponPricer for coupons (or the instrument one) and you will again see value in a zero floor.

Either way MAKE VERY SURE that you have the correct yoy inflation volatility for the pricing engine! Don't use a Black vol in a UnitDisplaced pricer/engine or you will have incorrect results. If you are starting from cap/floor prices on BBG (or wherever) you have to strip with the same type of pricer that you then price with. Of course, there is a smile in the market data on BBG :-) so ...

Usual disclaimers apply.

Best,
Chris

From forum: quantlib-users