Nabble - quantlib-dev

Re: Update version of experimental/mcbasket

2009-11-11T12:38:52Z

Hi

can you do me a favour and send me your ql/experimental/mcbasket directory as
a tar-ball? (the diff doesn't work out on my machine here.).

thanks

Klaus

On Monday 09 November 2009 14:34:24 Andrea wrote:

> On 11/10/09 19:46, Andrea wrote:
> > 1) it currently skips all paths that give a non positive exercise value.
> > this because it assumes the continuation value will always be positive,
> > and there is no point to accept a negative exercise. it might not be the
> > case always and it is hard to dynamically detect this lower bound (0.0).
> > so the payoff has a function to return the lower bound of the
> > continuation value or -INF if absent
>
> It is actually possible to dynamically detect what an out of the money
> option is. Since we go backward, we just remember what the lowest payoff
> is, and never exercise if the early termination value is less or equal to
> that value.
>
> In this updated version of the mcbasket experimental patch, I've
> implemented it. In my (simple) tests it worked properly.

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doc comment in Poisson distribution

2009-11-11T10:20:45Z

Hi,
silly one really but the short Doxygen doc for the class PoissonDistribution
states it is the Normal distribution function.

Best Regards
pp

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Re: gensrc support for valarray

2009-11-11T01:53:11Z

On Wed, Nov 11, 2009 at 10:44 AM, Mark joshi <mark.joshi@...> wrote:
> sorry about this.

no reason to be sorry. While having a broad overview is appreciated,
nobody is requested to be master of everything. Such glitches on the
trunk are to be expected.

IMO the only stringent requirement is to never break the test-suite

ciao -- Nando

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gensrc support for valarray

2009-11-11T01:44:08Z

Dear All,

sorry about this.

The reason I did it is that vector<bool> is specialized to be
optimized for efficient storage -- this results in very inefficient
access.

best

Mark

-------------------------------------------------------
Date: Wed, 11 Nov 2009 07:49:19 +0000
From: "Plamen Neykov" <plamen.neykov@...>
Subject: Re: [Quantlib-dev] gensrc support for valarray
To: "Ferdinando Ametrano" <nando@...>, "QuantLib developers"
<quantlib-dev@...>
Cc: Eric Ehlers <eric.ehlers@...>,
plamen_neykov@...
Message-ID:
<1855336806-1257925716-cardhu_decombobulator_blackberry.rim.net-1720114034-@...>

Content-Type: text/plain; charset="Windows-1252"

I'll put it in - will be done today or tomorrow - hope that's ok?
------Original Message------
From: Ferdinando Ametrano
To: QuantLib developers
Cc: Eric Ehlers
Cc: plamen_neykov@...
Subject: [Quantlib-dev] gensrc support for valarray
Sent: 10 Nov 2009 17:26

Hi all

the latest commit on the trunk from Mark broke QLXL as there is no
support in gensrc for valarray.
While I've been able to manually code an easy workaround this of
course isn't satisfactory, but I have little idea how to add valarray
support.
Any volunteer ?

ciao -- Nando

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Re: Prerelease tarballs : Change in HestonModelHelper

2009-11-11T00:48:38Z

On Tue, 2009-11-10 at 14:02 -0800, javit wrote:
> I'm currently using 9.7. HestonModelHelper is not working due to code change.
>
> Erase the last variable in your HestonModelHelper and it works fine.

I'm confused. Of course code written for 0.9.7 won't work with the
latest tarballs. May you elaborate?

Luigi

--

Hofstadter's Law:
It always takes longer than you expect, even when you take
Hofstadter's Law into account.

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Re: gensrc support for valarray

2009-11-11T00:48:08Z

On Wed, Nov 11, 2009 at 8:49 AM, Plamen Neykov
<plamen.neykov@...> wrote:
> I'll put it in - will be done today or tomorrow - hope that's ok?

great. thank you

ciao -- Nando

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Re: gensrc support for valarray

2009-11-10T23:49:19Z

I'll put it in - will be done today or tomorrow - hope that's ok?
------Original Message------
From: Ferdinando Ametrano
To: QuantLib developers
Cc: Eric Ehlers
Cc: plamen_neykov@...
Subject: [Quantlib-dev] gensrc support for valarray
Sent: 10 Nov 2009 17:26

Hi all

the latest commit on the trunk from Mark broke QLXL as there is no
support in gensrc for valarray.
While I've been able to manually code an easy workaround this of
course isn't satisfactory, but I have little idea how to add valarray
support.
Any volunteer ?

ciao -- Nando

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Re: question about vector of handl

2009-11-10T14:21:00Z

Hello,

On Fri, 2009-11-06 at 14:52 +0800, Yang, Rui wrote:

> Hihi,
>
>
>
> I have a problem to define a constructor which takes vector of handles
> as arguments, like
>
> conststd::vector<QuantLib::Handle<QuantLib::YieldTermStructure> >&
>
>
>
> I can see const QuantLib::Handle<QuantLib::YieldTermStructure>& in
> QuantLibObjects
>
> The xml is defined as:
>
> <Parameter name='YieldCurve' exampleValue='EURYC'
> default='""'>
>
> <type>QuantLib::YieldTermStructure</type>
>
> <superType>libToHandle</superType>
>
> <tensorRank>scalar</tensorRank>
>
> <description>forecasting yield term
> structure.</description>
>
> </Parameter>
>
>
>
> Accordingly, I define my xml as:
>
> <Parameter name='YieldCurve' exampleValue='EURYC'
> default='""'>
>
> <type>QuantLib::YieldTermStructure</type>
>
> <superType>libToHandle</superType>
>
> <tensorRank>vector</tensorRank>
>
> <description>forecasting yield term
> structure.</description>
>
> </Parameter>
>
>
>
> But when the create_ xxx.cpp is generated, I get one statement:
>
> std::vector<boost::shared_ptr<QuantLib::YieldTermStructure> >
> DiscountCurvesLibObj =
>
> ObjectHandler::ohVariantToObjectVector<QuantLib::YieldTermStructure,
> QuantLibAddin::YieldTermStructure>(
>
> DiscountCurves, "DiscountCurves");
>
>
>
> This get the error msg: 'ohVariantToObjectVector' : is not a member of
> 'ObjectHandler'
>
> My version is ql_0_9_7. In this version, I can’t find
> 'ohVariantToObjectVector' in 'ObjectHandler'. But in previous version,
> I can. It seems I didn’t define the xml file correctly. Can anybody
> tell me how to solve this problem? Thanks a lot for your help!

My best guess would be that you defined the XML file correctly, but that
the resulting autogenerated code requires a conversion function that has
not been implemented.

If you see that conversion function in a previous release it probably
means that I deleted it because it was broken and no longer required for
the core code.

Regards,
Eric

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Re: Prerelease tarballs : Change in HestonModelHelper

2009-11-10T14:02:21Z

I'm currently using 9.7. HestonModelHelper is not working due to code change.

Erase the last variable in your HestonModelHelper and it works fine.

Luigi Ballabio wrote:

Hi all,
if you have any cycles to spare during the weekend, please download and
try out the tarballs at <http://quantlib.org/prerelease/>. They're not
yet the final ones, but they're pretty close. Report here any problems
you may have. I'd particularly appreciate if you tried the library on
cygwin or mingw, as I don't have a test environment for those platforms.

Thanks,
Luigi

--

There are two ways of constructing a software design. One way is to
make it so simple that there are obviously no deficiencies. And the
other way is to make it so complicated that there are no obvious
deficiencies.
-- C. A. R. Hoare

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Cavit (Javit) Hafizoglu mailto:javit.hafizoglu@suntrust.com

Re: Prerelease tarballs

2009-11-10T13:02:16Z

It passed all the automated tests in my computer. Details are below.

1>------ Build started: Project: QuantLib, Configuration: Release (static runtime) Win32 ------
1>Compiling...
1>brownianbridge.cpp
1>timegrid.cpp
1>termstructure.cpp
1>stochasticprocess.cpp
1>settings.cpp
1>prices.cpp
1>position.cpp
1>money.cpp
1>interestrate.cpp
1>index.cpp
1>exercise.cpp
1>exchangerate.cpp
1>event.cpp
1>errors.cpp
1>discretizedasset.cpp
1>currency.cpp
1>cashflow.cpp
1>yoyoptionlethelpers.cpp
1>yoycapfloortermpricesurface.cpp
1>compoundoption.cpp
1>Generating Code...
1>Compiling...
1>analyticcompoundoptionengine.cpp
1>perturbativebarrieroptionengine.cpp
1>amortizingfloatingratebond.cpp
1>amortizingfixedratebond.cpp
1>amortizingcmsratebond.cpp
1>unitofmeasureconversionmanager.cpp
1>unitofmeasureconversion.cpp
1>unitofmeasure.cpp
1>quantity.cpp
1>paymentterm.cpp
1>energyvanillaswap.cpp
1>energyswap.cpp
1>energyfuture.cpp
1>energycommodity.cpp
1>energybasisswap.cpp
1>dateinterval.cpp
1>commodityunitcost.cpp
1>commoditytype.cpp
1>commoditysettings.cpp
1>commoditypricinghelpers.cpp
1>Generating Code...
1>Compiling...
1>commodityindex.cpp
1>commoditycurve.cpp
1>commoditycashflow.cpp
1>commodity.cpp
1>extendedbinomialtree.cpp
1>varianceoption.cpp
1>integralhestonvarianceoptionengine.cpp
1>sensitivityanalysis.cpp
1>extendedblackscholesprocess.cpp
1>pathmultiassetoption.cpp
1>mcpathbasketengine.cpp
1>uniformgridmesher.cpp
1>triplebandlinearop.cpp
1>secondordermixedderivativeop.cpp
1>secondderivativeop.cpp
1>ninepointlinearop.cpp
1>modifiedcraigsneydscheme.cpp
1>impliciteulerscheme.cpp
1>hundsdorferscheme.cpp
1>firstderivativeop.cpp
1>Generating Code...
1>Compiling...
1>fdmstepconditioncomposite.cpp
1>fdmsnapshotcondition.cpp
1>fdmsimple2dbssolver.cpp
1>fdmquantohelper.cpp
1>fdmmeshercomposite.cpp
1>fdmlinearoplayout.cpp
1>fdminnervaluecalculator.cpp
1>fdmhullwhitemesher.cpp
1>fdmhestonvariancemesher.cpp
1>fdmhestonsolver.cpp
1>fdmhestonop.cpp
1>fdmhestonhullwhitesolver.cpp
1>fdmhestonhullwhiteop.cpp
1>fdmdividendhandler.cpp
1>fdmdirichletboundary.cpp
1>fdmblackscholessolver.cpp
1>fdmblackscholesop.cpp
1>fdmblackscholesmultistrikemesher.cpp
1>fdmblackscholesmesher.cpp
1>fdmbackwardsolver.cpp
1>Generating Code...
1>Compiling...
1>fdmarithmeticaveragecondition.cpp
1>fdmamericanstepcondition.cpp
1>fdhestonvanillaengine.cpp
1>fdhestonrebateengine.cpp
1>fdhestonhullwhitevanillaengine.cpp
1>fdhestonbarrierengine.cpp
1>fdblackscholesvanillaengine.cpp
1>fdblackscholesrebateengine.cpp
1>fdblackscholesbarrierengine.cpp
1>fdblackscholesasianengine.cpp
1>expliciteulerscheme.cpp
1>douglasscheme.cpp
1>dividendbarrieroption.cpp
1>craigsneydscheme.cpp
1>concentrating1dmesher.cpp
1>bicgstab.cpp
1>syntheticcdoengines.cpp
1>syntheticcdo.cpp
1>riskybond.cpp
1>riskyassetswapoption.cpp
1>Generating Code...
1>Compiling...
1>riskyassetswap.cpp
1>recoveryratequote.cpp
1>recoveryratemodel.cpp
1>randomdefaultmodel.cpp
1>pool.cpp
1>onefactorstudentcopula.cpp
1>onefactorgaussiancopula.cpp
1>onefactorcopula.cpp
1>nthtodefault.cpp
1>lossdistribution.cpp
1>issuer.cpp
1>distribution.cpp
1>defaulttype.cpp
1>defaultprobabilitykey.cpp
1>defaultevent.cpp
1>cdsoption.cpp
1>cdo.cpp
1>blackcdsoptionengine.cpp
1>basket.cpp
1>subperiodcoupons.cpp
1>Generating Code...
1>Compiling...
1>quantocouponpricer.cpp
1>treecallablebondengine.cpp
1>discretizedcallablefixedratebond.cpp
1>callablebondvolstructure.cpp
1>callablebondconstantvol.cpp
1>callablebond.cpp
1>blackcallablebondengine.cpp
1>volcube.cpp
1>sabrvolsurface.cpp
1>interestratevolsurface.cpp
1>extendedblackvariancesurface.cpp
1>extendedblackvariancecurve.cpp
1>equityfxvolsurface.cpp
1>blackvolsurface.cpp
1>blackatmvolcurve.cpp
1>abcdatmvolcurve.cpp
1>lmvolmodel.cpp
1>lmlinexpvolmodel.cpp
1>lmlinexpcorrmodel.cpp
1>lmfixedvolmodel.cpp
1>Generating Code...
1>Compiling...
1>lmextlinexpvolmodel.cpp
1>lmexpcorrmodel.cpp
1>lmcorrmodel.cpp
1>liborforwardmodel.cpp
1>lfmswaptionengine.cpp
1>lfmprocess.cpp
1>lfmhullwhiteparam.cpp
1>lfmcovarproxy.cpp
1>lfmcovarparam.cpp
1>thirty360.cpp
1>simpledaycounter.cpp
1>actualactual.cpp
1>weekendsonly.cpp
1>unitedstates.cpp
1>unitedkingdom.cpp
1>ukraine.cpp
1>turkey.cpp
1>target.cpp
1>taiwan.cpp
1>switzerland.cpp
1>Generating Code...
1>Compiling...
1>sweden.cpp
1>southkorea.cpp
1>southafrica.cpp
1>slovakia.cpp
1>singapore.cpp
1>saudiarabia.cpp
1>poland.cpp
1>norway.cpp
1>newzealand.cpp
1>mexico.cpp
1>jointcalendar.cpp
1>japan.cpp
1>italy.cpp
1>indonesia.cpp
1>india.cpp
1>iceland.cpp
1>hungary.cpp
1>hongkong.cpp
1>germany.cpp
1>finland.cpp
1>Generating Code...
1>Compiling...
1>denmark.cpp
1>czechrepublic.cpp
1>china.cpp
1>canada.cpp
1>brazil.cpp
1>bespokecalendar.cpp
1>australia.cpp
1>argentina.cpp
1>weekday.cpp
1>timeunit.cpp
1>period.cpp
1>imm.cpp
1>ecb.cpp
1>dategenerationrule.cpp
1>lastfixingquote.cpp
1>impliedstddevquote.cpp
1>futuresconvadjustmentquote.cpp
1>forwardvaluequote.cpp
1>forwardswapquote.cpp
1>eurodollarfuturesquote.cpp
1>Generating Code...
1>Compiling...
1>inflationcapfloorengines.cpp
1>midpointcdsengine.cpp
1>integralcdsengine.cpp
1>treeswapengine.cpp
1>discretizedswap.cpp
1>discountingswapengine.cpp
1>discountingbondengine.cpp
1>bondfunctions.cpp
1>analyticcontinuousfloatinglookback.cpp
1>analyticcontinuousfixedlookback.cpp
1>discretizedconvertible.cpp
1>mcperformanceengine.cpp
1>analyticperformanceengine.cpp
1>analyticcliquetengine.cpp
1>treeswaptionengine.cpp
1>jamshidianswaptionengine.cpp
1>discretizedswaption.cpp
1>blackswaptionengine.cpp
1>treecapfloorengine.cpp
1>mchullwhiteengine.cpp
1>Generating Code...
1>Compiling...
1>discretizedcapfloor.cpp
1>blackcapfloorengine.cpp
1>analyticcapfloorengine.cpp
1>mchestonhullwhiteengine.cpp
1>mcamericanengine.cpp
1>juquadraticengine.cpp
1>fdvanillaengine.cpp
1>batesengine.cpp
1>analytichestonhullwhiteengine.cpp
1>analytichestonengine.cpp
1>analyticgjrgarchengine.cpp
1>analyticbsmhullwhiteengine.cpp
1>stulzengine.cpp
1>mcpagodaengine.cpp
1>mchimalayaengine.cpp
1>mceverestengine.cpp
1>mceuropeanbasketengine.cpp
1>mcamericanbasketengine.cpp
1>mc_discr_geom_av_price.cpp
1>mc_discr_arith_av_strike.cpp
1>Generating Code...
1>Compiling...
1>mc_discr_arith_av_price.cpp
1>analytic_discr_geom_av_strike.cpp
1>analytic_discr_geom_av_price.cpp
1>analytic_cont_geom_av_price.cpp
1>greeks.cpp
1>blackscholescalculator.cpp
1>blackcalculator.cpp
1>americanpayoffathit.cpp
1>americanpayoffatexpiry.cpp
1>stochasticprocessarray.cpp
1>squarerootprocess.cpp
1>ornsteinuhlenbeckprocess.cpp
1>merton76process.cpp
1>jointstochasticprocess.cpp
1>hybridhestonhullwhiteprocess.cpp
1>hullwhiteprocess.cpp
1>hestonprocess.cpp
1>gjrgarchprocess.cpp
1>geometricbrownianprocess.cpp
1>g2process.cpp
1>Generating Code...
1>Compiling...
1>forwardmeasureprocess.cpp
1>eulerdiscretization.cpp
1>endeulerdiscretization.cpp
1>blackscholesprocess.cpp
1>batesprocess.cpp
1>exchangeratemanager.cpp
1>tracing.cpp
1>dataparsers.cpp
1>dataformatters.cpp
1>survivalprobabilitystructure.cpp
1>hazardratestructure.cpp
1>flathazardrate.cpp
1>defaultprobabilityhelpers.cpp
1>defaultdensitystructure.cpp
1>seasonality.cpp
1>inflationhelpers.cpp
1>zeroyieldstructure.cpp
1>ratehelpers.cpp
1>oisratehelper.cpp
1>nonlinearfittingmethods.cpp
1>Generating Code...
1>Compiling...
1>forwardstructure.cpp
1>flatforward.cpp
1>fittedbonddiscountcurve.cpp
1>bondhelpers.cpp
1>yoyinflationoptionletvolatilitystructure.cpp
1>swaptionvolstructure.cpp
1>swaptionvolmatrix.cpp
1>swaptionvoldiscrete.cpp
1>swaptionvolcube2.cpp
1>swaptionvolcube1.cpp
1>swaptionvolcube.cpp
1>swaptionconstantvol.cpp
1>spreadedswaptionvol.cpp
1>cmsmarketcalibration.cpp
1>cmsmarket.cpp
1>strippedoptionletadapter.cpp
1>strippedoptionlet.cpp
1>spreadedoptionletvol.cpp
1>optionletvolatilitystructure.cpp
1>optionletstripper2.cpp
1>Generating Code...
1>Compiling...
1>optionletstripper1.cpp
1>optionletstripper.cpp
1>constantoptionletvol.cpp
1>localvoltermstructure.cpp
1>localvolsurface.cpp
1>blackvoltermstructure.cpp
1>blackvariancesurface.cpp
1>blackvariancecurve.cpp
1>constantcapfloortermvol.cpp
1>capfloortermvolsurface.cpp
1>capfloortermvolcurve.cpp
1>capfloortermvolatilitystructure.cpp
1>spreadedsmilesection.cpp
1>smilesection.cpp
1>sabrsmilesection.cpp
1>sabrinterpolatedsmilesection.cpp
1>sabr.cpp
1>flatsmilesection.cpp
1>abcdcalibration.cpp
1>abcd.cpp
1>Generating Code...
1>Compiling...
1>yieldtermstructure.cpp
1>voltermstructure.cpp
1>inflationtermstructure.cpp
1>defaulttermstructure.cpp
1>hestonmodelhelper.cpp
1>hestonmodel.cpp
1>gjrgarchmodel.cpp
1>batesmodel.cpp
1>garch.cpp
1>constantestimator.cpp
1>g2.cpp
1>vasicek.cpp
1>hullwhite.cpp
1>extendedcoxingersollross.cpp
1>coxingersollross.cpp
1>blackkarasinski.cpp
1>swaptionhelper.cpp
1>caphelper.cpp
1>twofactormodel.cpp
1>onefactormodel.cpp
1>Generating Code...
1>Compiling...
1>vegabumpcluster.cpp
1>swaptionpseudojacobian.cpp
1>ratepseudorootjacobian.cpp
1>bumpinstrumentjacobian.cpp
1>triggeredswapexercise.cpp
1>swapbasissystem.cpp
1>timehomogeneousforwardcorrelation.cpp
1>expcorrelations.cpp
1>cotswapfromfwdcorrelation.cpp
1>pathwiseproductswaption.cpp
1>pathwiseproductcaplet.cpp
1>onestepoptionlets.cpp
1>onestepforwards.cpp
1>onestepcoterminalswaps.cpp
1>onestepcoinitialswaps.cpp
1>multistepswaption.cpp
1>multistepswap.cpp
1>multistepratchet.cpp
1>multistepperiodcapletswaptions.cpp
1>multistepoptionlets.cpp
1>Generating Code...
1>Compiling...
1>multistepnothing.cpp
1>multistepforwards.cpp
1>multistepcoterminalswaptions.cpp
1>multistepcoterminalswaps.cpp
1>multistepcoinitialswaps.cpp
1>exerciseadapter.cpp
1>cashrebate.cpp
1>callspecifiedmultiproduct.cpp
1>singleproductcomposite.cpp
1>multiproductonestep.cpp
1>multiproductmultistep.cpp
1>multiproductcomposite.cpp
1>compositeproduct.cpp
1>volatilityinterpolationspecifierabcd.cpp
1>volatilityinterpolationspecifier.cpp
1>pseudorootfacade.cpp
1>piecewiseconstantvariance.cpp
1>piecewiseconstantabcdvariance.cpp
1>fwdtocotswapadapter.cpp
1>fwdperiodadapter.cpp
1>Generating Code...
1>Compiling...
1>flatvol.cpp
1>ctsmmcapletcalibration.cpp
1>cotswaptofwdadapter.cpp
1>capletcoterminalswaptioncalibration.cpp
1>capletcoterminalperiodic.cpp
1>capletcoterminalmaxhomogeneity.cpp
1>capletcoterminalalphacalibration.cpp
1>alphaformconcrete.cpp
1>alphafinder.cpp
1>abcdvol.cpp
1>squarerootandersen.cpp
1>svddfwdratepc.cpp
1>normalfwdratepc.cpp
1>marketmodelvolprocess.cpp
1>lognormalfwdratepc.cpp
1>lognormalfwdrateipc.cpp
1>lognormalfwdrateeulerconstrained.cpp
1>lognormalfwdrateeuler.cpp
1>lognormalfwdrateballand.cpp
1>lognormalcotswapratepc.cpp
1>Generating Code...
1>Compiling...
1>lognormalcmswapratepc.cpp
1>smmdriftcalculator.cpp
1>lmmnormaldriftcalculator.cpp
1>lmmdriftcalculator.cpp
1>cmsmmdriftcalculator.cpp
1>lmmcurvestate.cpp
1>coterminalswapcurvestate.cpp
1>cmswapcurvestate.cpp
1>sobolbrowniangenerator.cpp
1>mtbrowniangenerator.cpp
1>utilities.cpp
1>swapforwardmappings.cpp
1>proxygreekengine.cpp
1>pathwisediscounter.cpp
1>pathwiseaccountingengine.cpp
1>marketmodeldifferences.cpp
1>marketmodel.cpp
1>historicalratesanalysis.cpp
1>forwardforwardmappings.cpp
1>evolutiondescription.cpp
1>Generating Code...
1>Compiling...
1>discounter.cpp
1>curvestate.cpp
1>accountingengine.cpp
1>model.cpp
1>calibrationhelper.cpp
1>mincopula.cpp
1>maxcopula.cpp
1>marshallolkincopula.cpp
1>independentcopula.cpp
1>gumbelcopula.cpp
1>gaussiancopula.cpp
1>frankcopula.cpp
1>farliegumbelmorgensterncopula.cpp
1>claytoncopula.cpp
1>steepestdescent.cpp
1>spherecylinder.cpp
1>simplex.cpp
1>projectedcostfunction.cpp
1>lmdif.cpp
1>linesearchbasedmethod.cpp
1>Generating Code...
1>Compiling...
1>linesearch.cpp
1>levenbergmarquardt.cpp
1>leastsquare.cpp
1>endcriteria.cpp
1>constraint.cpp
1>conjugategradient.cpp
1>bfgs.cpp
1>armijo.cpp
1>sobolrsg.cpp
1>seedgenerator.cpp
1>Generating Code...
1>Compiling...
1>primitivepolynomials.c
1>Generating Code...
1>Compiling...
1>mt19937uniformrng.cpp
1>lecuyeruniformrng.cpp
1>latticerules.cpp
1>latticersg.cpp
1>knuthuniformrng.cpp
1>haltonrsg.cpp
1>faurersg.cpp
1>tqreigendecomposition.cpp
1>tapcorrelations.cpp
1>symmetricschurdecomposition.cpp
1>svd.cpp
1>qrdecomposition.cpp
1>pseudosqrt.cpp
1>factorreduction.cpp
1>choleskydecomposition.cpp
1>basisincompleteordered.cpp
1>segmentintegral.cpp
1>kronrodintegral.cpp
1>integral.cpp
1>gausslobattointegral.cpp
1>Generating Code...
1>Compiling...
1>gaussianquadratures.cpp
1>gaussianorthogonalpolynomial.cpp
1>studenttdistribution.cpp
1>normaldistribution.cpp
1>gammadistribution.cpp
1>chisquaredistribution.cpp
1>bivariatenormaldistribution.cpp
1>incrementalstatistics.cpp
1>histogram.cpp
1>generalstatistics.cpp
1>discrepancystatistics.cpp
1>surface.cpp
1>sampledcurve.cpp
1>rounding.cpp
1>quadratic.cpp
1>matrix.cpp
1>bspline.cpp
1>bernsteinpolynomial.cpp
1>zerocouponbond.cpp
1>floatingratebond.cpp
1>Generating Code...
1>Compiling...
1>fixedratebond.cpp
1>convertiblebond.cpp
1>cmsratebond.cpp
1>zerocouponinflationswap.cpp
1>yearonyearinflationswap.cpp
1>varianceswap.cpp
1>vanillaswap.cpp
1>vanillaoption.cpp
1>swaption.cpp
1>swap.cpp
1>stock.cpp
1>stickyratchet.cpp
1>quantovanillaoption.cpp
1>quantoforwardvanillaoption.cpp
1>quantobarrieroption.cpp
1>payoffs.cpp
1>pagodaoption.cpp
1>overnightindexedswap.cpp
1>oneassetoption.cpp
1>multiassetoption.cpp
1>Generating Code...
1>Compiling...
1>makeyoyinflationcapfloor.cpp
1>makevanillaswap.cpp
1>makeswaption.cpp
1>makeois.cpp
1>makecms.cpp
1>makecapfloor.cpp
1>lookbackoption.cpp
1>inflationcapfloor.cpp
1>impliedvolatility.cpp
1>himalayaoption.cpp
1>forwardvanillaoption.cpp
1>forwardrateagreement.cpp
1>forward.cpp
1>fixedratebondforward.cpp
1>everestoption.cpp
1>europeanoption.cpp
1>dividendvanillaoption.cpp
1>creditdefaultswap.cpp
1>compositeinstrument.cpp
1>cliquetoption.cpp
1>Generating Code...
1>Compiling...
1>claim.cpp
1>capfloor.cpp
1>bond.cpp
1>bmaswap.cpp
1>basketoption.cpp
1>barriertype.cpp
1>barrieroption.cpp
1>averagetype.cpp
1>assetswap.cpp
1>asianoption.cpp
1>usdliborswap.cpp
1>jpyliborswap.cpp
1>gbpliborswap.cpp
1>eurliborswap.cpp
1>euriborswap.cpp
1>chfliborswap.cpp
1>libor.cpp
1>eurlibor.cpp
1>euribor.cpp
1>eonia.cpp
1>Generating Code...
1>Compiling...
1>swapindex.cpp
1>region.cpp
1>interestrateindex.cpp
1>inflationindex.cpp
1>indexmanager.cpp
1>iborindex.cpp
1>bmaindex.cpp
1>yoyinflationcoupon.cpp
1>replication.cpp
1>rangeaccrual.cpp
1>overnightindexedcoupon.cpp
1>inflationcouponpricer.cpp
1>inflationcoupon.cpp
1>indexedcashflow.cpp
1>iborcoupon.cpp
1>floatingratecoupon.cpp
1>fixedratecoupon.cpp
1>duration.cpp
1>dividend.cpp
1>digitaliborcoupon.cpp
1>Generating Code...
1>Compiling...
1>digitalcoupon.cpp
1>digitalcmscoupon.cpp
1>couponpricer.cpp
1>coupon.cpp
1>conundrumpricer.cpp
1>cmscoupon.cpp
1>cashflows.cpp
1>capflooredinflationcoupon.cpp
1>capflooredcoupon.cpp
1>averagebmacoupon.cpp
1>trinomialtree.cpp
1>binomialtree.cpp
1>tridiagonaloperator.cpp
1>bsmoperator.cpp
1>boundarycondition.cpp
1>parametricexercise.cpp
1>lsmbasissystem.cpp
1>genericlsregression.cpp
1>Generating Code...
1>Compiling...
1>mcdigitalengine.cpp
1>jumpdiffusionengine.cpp
1>integralengine.cpp
1>discretizedvanillaoption.cpp
1>bjerksundstenslandengine.cpp
1>baroneadesiwhaleyengine.cpp
1>analyticeuropeanengine.cpp
1>analyticdividendeuropeanengine.cpp
1>analyticdigitalamericanengine.cpp
1>mcbarrierengine.cpp
1>analyticbarrierengine.cpp
1>blackformula.cpp
1>primenumbers.cpp
1>incompletegamma.cpp
1>factorial.cpp
1>errorfunction.cpp
1>beta.cpp
1>timebasket.cpp
1>cashflowvectors.cpp
1>Generating Code...
1>Compiling...
1>schedule.cpp
1>Compiling...
1>frequency.cpp
1>Compiling...
1>date.cpp
1>Compiling...
1>calendar.cpp
1>Compiling...
1>businessdayconvention.cpp
1>Compiling...
1>upperboundengine.cpp
1>Compiling...
1>swapratetrigger.cpp
1>Compiling...
1>parametricexerciseadapter.cpp
1>Compiling...
1>nothingexercisevalue.cpp
1>Compiling...
1>lsstrategy.cpp
1>Compiling...
1>collectnodedata.cpp
1>Compiling...
1>bermudanswaptionexercisevalue.cpp
1>Compiling...
1>getcovariance.cpp
1>Make build directory
1>Creating library...
1>Creating browse information file...
1>Microsoft Browse Information Maintenance Utility Version 9.00.21022
1>Copyright (C) Microsoft Corporation. All rights reserved.
1>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\build\vc90\Release (static runtime)\BuildLog.htm"
1>QuantLib - 0 error(s), 0 warning(s)
2>------ Build started: Project: CallableBonds, Configuration: Release (static runtime) Win32 ------
3>------ Build started: Project: CDS, Configuration: Release (static runtime) Win32 ------
2>Compiling...
3>Compiling...
2>CallableBonds.cpp
3>CDS.cpp
2>Linking...
3>Linking...
2>Creating manifest...
3>Creating manifest...
2>Creating browse information file...
3>Creating browse information file...
2>Microsoft Browse Information Maintenance Utility Version 9.00.21022
2>Copyright (C) Microsoft Corporation. All rights reserved.
3>Microsoft Browse Information Maintenance Utility Version 9.00.21022
3>Copyright (C) Microsoft Corporation. All rights reserved.
2>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\Examples\CallableBonds\build\vc90\Release (static runtime)\BuildLog.htm"
2>CallableBonds - 0 error(s), 0 warning(s)
3>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\Examples\CDS\build\vc90\Release (static runtime)\BuildLog.htm"
3>CDS - 0 error(s), 0 warning(s)
4>------ Build started: Project: FittedBondCurve, Configuration: Release (static runtime) Win32 ------
4>Compiling...
4>FittedBondCurve.cpp
5>------ Build started: Project: DiscreteHedging, Configuration: Release (static runtime) Win32 ------
5>Compiling...
5>DiscreteHedging.cpp
4>Linking...
5>Linking...
4>Creating manifest...
4>Creating browse information file...
5>Creating manifest...
5>Creating browse information file...
5>Microsoft Browse Information Maintenance Utility Version 9.00.21022
5>Copyright (C) Microsoft Corporation. All rights reserved.
5>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\Examples\DiscreteHedging\build\vc90\Release (static runtime)\BuildLog.htm"
5>DiscreteHedging - 0 error(s), 0 warning(s)
6>------ Build started: Project: BermudanSwaption, Configuration: Release (static runtime) Win32 ------
4>Microsoft Browse Information Maintenance Utility Version 9.00.21022
4>Copyright (C) Microsoft Corporation. All rights reserved.
4>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\Examples\FittedBondCurve\build\vc90\Release (static runtime)\BuildLog.htm"
4>FittedBondCurve - 0 error(s), 0 warning(s)
6>Compiling...
6>BermudanSwaption.cpp
7>------ Build started: Project: Replication, Configuration: Release (static runtime) Win32 ------
7>Compiling...
7>Replication.cpp
7>Linking...
6>Linking...
7>Creating manifest...
7>Creating browse information file...
6>Creating manifest...
6>Creating browse information file...
7>Microsoft Browse Information Maintenance Utility Version 9.00.21022
7>Copyright (C) Microsoft Corporation. All rights reserved.
7>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\Examples\Replication\build\vc90\Release (static runtime)\BuildLog.htm"
7>Replication - 0 error(s), 0 warning(s)
8>------ Build started: Project: Repo, Configuration: Release (static runtime) Win32 ------
6>Microsoft Browse Information Maintenance Utility Version 9.00.21022
6>Copyright (C) Microsoft Corporation. All rights reserved.
8>Compiling...
8>Repo.cpp
6>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\Examples\BermudanSwaption\build\vc90\Release (static runtime)\BuildLog.htm"
6>BermudanSwaption - 0 error(s), 0 warning(s)
9>------ Build started: Project: FRA, Configuration: Release (static runtime) Win32 ------
9>Compiling...
9>FRA.cpp
8>Linking...
8>Creating manifest...
8>Creating browse information file...
9>Linking...
9>Creating manifest...
9>Creating browse information file...
8>Microsoft Browse Information Maintenance Utility Version 9.00.21022
8>Copyright (C) Microsoft Corporation. All rights reserved.
8>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\Examples\Repo\build\vc90\Release (static runtime)\BuildLog.htm"
8>Repo - 0 error(s), 0 warning(s)
9>Microsoft Browse Information Maintenance Utility Version 9.00.21022
9>Copyright (C) Microsoft Corporation. All rights reserved.
9>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\Examples\FRA\build\vc90\Release (static runtime)\BuildLog.htm"
9>FRA - 0 error(s), 0 warning(s)
10>------ Build started: Project: ConvertibleBonds, Configuration: Release (static runtime) Win32 ------
10>Compiling...
10>ConvertibleBonds.cpp
11>------ Build started: Project: EquityOption, Configuration: Release (static runtime) Win32 ------
11>Compiling...
11>EquityOption.cpp
10>Linking...
11>Linking...
10>Creating manifest...
10>Creating browse information file...
11>Creating manifest...
11>Creating browse information file...
10>Microsoft Browse Information Maintenance Utility Version 9.00.21022
10>Copyright (C) Microsoft Corporation. All rights reserved.
10>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\Examples\ConvertibleBonds\build\vc90\Release (static runtime)\BuildLog.htm"
10>ConvertibleBonds - 0 error(s), 0 warning(s)
11>Microsoft Browse Information Maintenance Utility Version 9.00.21022
11>Copyright (C) Microsoft Corporation. All rights reserved.
12>------ Build started: Project: Swap, Configuration: Release (static runtime) Win32 ------
12>Compiling...
12>swapvaluation.cpp
11>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\Examples\EquityOption\build\vc90\Release (static runtime)\BuildLog.htm"
11>EquityOption - 0 error(s), 0 warning(s)
13>------ Build started: Project: testsuite, Configuration: Release (static runtime) Win32 ------
13>Compiling...
13>volatilitymodels.cpp
13>varianceswaps.cpp
12>Linking...
12>Creating manifest...
12>Creating browse information file...
13>varianceoption.cpp
13>transformedgrid.cpp
13>tracing.cpp
13>tqreigendecomposition.cpp
13>timeseries.cpp
12>Microsoft Browse Information Maintenance Utility Version 9.00.21022
12>Copyright (C) Microsoft Corporation. All rights reserved.
12>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\Examples\Swap\build\vc90\Release (static runtime)\BuildLog.htm"
12>Swap - 0 error(s), 0 warning(s)
14>------ Build started: Project: Bonds, Configuration: Release (static runtime) Win32 ------
14>Compiling...
14>Bonds.cpp
13>swaptionvolatilitymatrix.cpp
13>swaptionvolatilitycube.cpp
14>Linking...
14>Creating manifest...
14>Creating browse information file...
13>swapforwardmappings.cpp
13>surface.cpp
13>shortratemodels.cpp
14>Microsoft Browse Information Maintenance Utility Version 9.00.21022
14>Copyright (C) Microsoft Corporation. All rights reserved.
14>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\Examples\Bonds\build\vc90\Release (static runtime)\BuildLog.htm"
14>Bonds - 0 error(s), 0 warning(s)
13>sampledcurve.cpp
13>rounding.cpp
13>rngtraits.cpp
13>rangeaccrual.cpp
13>quantooption.cpp
13>piecewiseyieldcurve.cpp
13>period.cpp
13>pathgenerator.cpp
13>Generating Code...
13>Compiling...
13>pagodaoption.cpp
13>overnightindexedswap.cpp
13>optionletstripper.cpp
13>optimizers.cpp
13>nthtodefault.cpp
13>money.cpp
13>mclongstaffschwartzengine.cpp
13>marketmodel_smmcaplethomocalibration.cpp
13>marketmodel_smmcapletcalibration.cpp
13>marketmodel_smmcapletalphacalibration.cpp
13>marketmodel_smm.cpp
13>marketmodel_cms.cpp
13>marketmodel.cpp
13>lookbackoptions.cpp
13>linearleastsquaresregression.cpp
13>libormarketmodelprocess.cpp
13>libormarketmodel.cpp
13>interestrates.cpp
13>inflationvolatility.cpp
13>inflationcapflooredcoupon.cpp
13>Generating Code...
13>Compiling...
13>inflationcapfloor.cpp
13>inflation.cpp
13>hybridhestonhullwhiteprocess.cpp
13>himalayaoption.cpp
13>hestonmodel.cpp
13>gjrgarchmodel.cpp
13>gaussianquadratures.cpp
13>forwardoption.cpp
13>fdmlinearop.cpp
13>fdheston.cpp
13>fastfouriertransform.cpp
13>extendedtrees.cpp
13>exchangerate.cpp
13>everestoption.cpp
13>dividendoption.cpp
13>digitalcoupon.cpp
13>defaultprobabilitycurves.cpp
13>curvestates.cpp
13>creditdefaultswap.cpp
13>convertiblebonds.cpp
13>Generating Code...
13>Compiling...
13>compoundoption.cpp
13>cms.cpp
13>cliquetoption.cpp
13>cdsoption.cpp
13>cdo.cpp
13>cashflows.cpp
13>capflooredcoupon.cpp
13>brownianbridge.cpp
13>bonds.cpp
13>bermudanswaption.cpp
13>batesmodel.cpp
13>assetswap.cpp
13>array.cpp
13>Generating Code...
13>Compiling...
13>quantlibtestsuite.cpp
13>utilities.cpp
13>termstructures.cpp
13>swaption.cpp
13>swap.cpp
13>stats.cpp
13>solvers.cpp
13>riskstats.cpp
13>quotes.cpp
13>operators.cpp
13>mersennetwister.cpp
13>matrices.cpp
13>lowdiscrepancysequences.cpp
13>jumpdiffusion.cpp
13>interpolations.cpp
13>integrals.cpp
13>instruments.cpp
13>factorial.cpp
13>europeanoption.cpp
13>distributions.cpp
13>Generating Code...
13>Compiling...
13>digitaloption.cpp
13>daycounters.cpp
13>dates.cpp
13>covariance.cpp
13>capfloor.cpp
13>calendars.cpp
13>basketoption.cpp
13>barrieroption.cpp
13>asianoptions.cpp
13>americanoption.cpp
13>Generating Code...
13>Linking...
13>Creating manifest...
13>Creating browse information file...
13>Microsoft Browse Information Maintenance Utility Version 9.00.21022
13>Copyright (C) Microsoft Corporation. All rights reserved.
13>Auto run test
13>====================================
13>Testing QuantLib-vc90-mt-s-0_9_9.lib
13>====================================
13>Running 444 test cases...
13>Platform: Win32
13>Compiler: Microsoft Visual C++ version 9.0
13>STL : Dinkumware standard library version 505
13>Boost : 1.39.0
13>Testing Barone-Adesi and Whaley approximation for American options...
13>Testing Bjerksund and Stensland approximation for American options...
13>Testing Ju approximation for American options...
13>Testing finite-difference engine for American options...
13>Testing finite-differences American option greeks...
13>Testing finite-differences shout option greeks...
13>Testing array construction...
13>Testing analytic continuous geometric average-price Asians...
13>Testing analytic continuous geometric average-price Asian greeks...
13>Testing analytic discrete geometric average-price Asians...
13>Testing analytic discrete geometric average-strike Asians...
13>Testing Monte Carlo discrete geometric average-price Asians...
13>Testing Monte Carlo discrete arithmetic average-price Asians...
13>Testing Monte Carlo discrete arithmetic average-strike Asians...
13>Testing discrete-averaging geometric Asian greeks...
13>Testing use of past fixings in Asian options...
13>Testing consistency between fair price and fair spread...
13>Testing implied bond value against asset-swap fair price with null spread...
13>Testing relationship between market asset swap and par asset swap...
13>Testing clean and dirty price with null Z-spread against theoretical prices...
13>Testing implied generic-bond value against asset-swap fair price with null spread...
13>Testing market asset swap against par asset swap with generic bond...
13>Testing clean and dirty price with null Z-spread against theoretical prices...
13>Testing clean and dirty prices for specialized bond against equivalent generic bond...
13>Testing asset-swap prices and spreads for specialized bond against equivalent generic bond...
13>Testing barrier options against Haug's values...
13>Testing barrier options against Babsiri's values...
13>Testing barrier options against Beaglehole's values...
13>Testing perturbative engine for barrier options...
13>Testing local volatility and Heston FD engines for barrier options...
13>Testing two-asset European basket options...
13>Testing three-asset basket options against Barraquand's values...
13>Testing three-asset American basket options against Tavella's values...
13>Testing basket American options against 1-D case...
13>Testing antithetic engine using odd sample number...
13>Testing analytic Bates engine against Black formula...
13>Testing analytic Bates engine against Merton-76 engine...
13>Testing analytic Bates engine against Monte-Carlo engine...
13>Testing Bates model calibration using DAX volatility data...
13>Testing Bermudan swaption against cached values...
13>Testing consistency of bond price/yield calculation...
13>Testing consistency of bond price/z-spread calculation...
13>Testing theoretical bond price/yield calculation...
13>Testing bond price/yield calculation against cached values...
13>Testing zero-coupon bond prices against cached values...
13>Testing fixed-coupon bond prices against cached values...
13>Testing floating-rate bond prices against cached values...
13>Testing Brazilian public bond prices against Andima cached values...
13>Testing Brownian-bridge variates...
13>Testing Brownian-bridge path generation...
13>Testing Brazil holiday list...
13>Testing Milan Stock Exchange holiday list...
13>Testing UK settlement holiday list...
13>Testing London Stock Exchange holiday list...
13>Testing London Metals Exchange holiday list...
13>Testing Frankfurt Stock Exchange holiday list...
13>Testing Xetra holiday list...
13>Testing Eurex holiday list...
13>Testing TARGET holiday list...
13>Testing US settlement holiday list...
13>Testing US government bond market holiday list...
13>Testing New York Stock Exchange holiday list...
13>Testing South-Korean settlement holiday list...
13>Testing Korea Stock Exchange holiday list...
13>Testing calendar modification...
13>Testing joint calendars...
13>Testing bespoke calendars...
13>Testing end-of-month calculation...
13>Testing calculation of business days between dates...
13>Testing cap/floor dependency on strike...
13>Testing consistency between cap, floor and collar...
13>Testing cap/floor parity...
13>Testing cap/floor vega...
13>Testing cap/floor ATM rate...
13>Testing implied term volatility for cap and floor...
13>Testing Black cap/floor price against cached values...
13>Testing degenerate collared coupon...
13>Testing collared coupon against its decomposition...
13>Testing cash-flow settings...
13>Testing CDS-option value against cached values...
13>Testing CDO premiums against Hull-White values...
13>Testing Cliquet option values...
13>Testing Cliquet option greeks...
13>Testing performance option greeks...
13>Testing Monte Carlo performance engine against analytic results...
13>Testing Hagan-pricer flat-vol equivalence for coupons...
13>Testing Hagan-pricer flat-vol equivalence for swaps...
13>Testing put-call parity for capped-floored CMS coupons...
13>Testing compound-option values and greeks...
13>Testing compound-option put-call parity...
13>Testing out-of-the-money convertible bonds against vanilla bonds...
13>Testing zero-coupon convertible bonds against vanilla option...
13>Testing fixed-coupon convertible bond in known regression case...
13>Testing covariance and correlation calculations...
13>Testing positive semi-definiteness salvaging algorithms...
13>Testing matrix rank reduction salvaging algorithms...
13>Testing credit-default swap against cached values...
13>Testing credit-default swap against cached market values...
13>Testing implied hazard-rate for credit-default swaps...
13>Testing fair-spread calculation for credit-default swaps...
13>Testing fair-upfront calculation for credit-default swaps...
13>Testing constant-maturity-swap-market-model curve state...
13>Testing dates...
13>Testing ECB dates...
13>Testing IMM dates...
13>Testing ISO dates...
13>Testing actual/actual day counters...
13>Testing simple day counter...
13>Testing 1/1 day counter...
13>Testing business/252 day counter...
13>Testing default-probability structure...
13>Testing flat hazard rate...
13>Testing piecewise-flat hazard-rate consistency...
13>Testing piecewise-flat default-density consistency...
13>Testing piecewise-linear default-density consistency...
13>Testing log-linear survival-probability consistency...
13>Testing single-instrument curve bootstrap...
13>Testing bootstrap on upfront quotes...
13>Testing European asset-or-nothing digital coupon...
13>Testing European deep in-the-money asset-or-nothing digital coupon...
13>Testing European deep out-the-money asset-or-nothing digital coupon...
13>Testing European cash-or-nothing digital coupon...
13>Testing European deep in-the-money cash-or-nothing digital coupon...
13>Testing European deep out-the-money cash-or-nothing digital coupon...
13>Testing call/put parity for European digital coupon...
13>Testing replication type for European digital coupon...
13>Testing European cash-or-nothing digital option...
13>Testing European asset-or-nothing digital option...
13>Testing European gap digital option...
13>Testing American cash-(at-hit)-or-nothing digital option...
13>Testing American cash-(at-hit)-or-nothing digital option greeks...
13>Testing American asset-(at-hit)-or-nothing digital option...
13>Testing American cash-(at-expiry)-or-nothing digital option...
13>Testing American asset-(at-expiry)-or-nothing digital option...
13>Testing Monte Carlo cash-(at-hit)-or-nothing American engine...
13>Testing normal distributions...
13>Testing bivariate cumulative normal distribution...
13>Testing Poisson distribution...
13>Testing cumulative Poisson distribution...
13>Testing inverse cumulative Poisson distribution...
13>Testing dividend European option values with no dividends...
13>Testing dividend European option with a dividend on today's date...
13>Testing dividend European option greeks...
13>Testing finite-difference dividend European option values...
13>Testing finite-differences dividend European option greeks...
13>Testing finite-differences dividend American option greeks...
13>Testing degenerate finite-differences dividend European option...
13>Testing degenerate finite-differences dividend American option...
13>Testing European option values...
13>Testing European option greek values...
13>Testing analytic European option greeks...
13>Testing European option implied volatility...
13>Testing self-containment of implied volatility calculation...
13>Testing JR binomial European engines against analytic results...
13>Testing CRR binomial European engines against analytic results...
13>Testing EQP binomial European engines against analytic results...
13>Testing TGEO binomial European engines against analytic results...
13>Testing TIAN binomial European engines against analytic results...
13>Testing LR binomial European engines against analytic results...
13>Testing Joshi binomial European engines against analytic results...
13>Testing finite-difference European engines against analytic results...
13>Testing integral engines against analytic results...
13>Testing Monte Carlo European engines against analytic results...
13>Testing Quasi Monte Carlo European engines against analytic results...
13>Testing European price curves...
13>Testing finite-differences with local volatility...
13>Testing Everest option against cached values...
13>Testing direct exchange rates...
13>Testing derived exchange rates...
13>Testing lookup of direct exchange rates...
13>Testing lookup of triangulated exchange rates...
13>Testing lookup of derived exchange rates...
13>Testing time-dependent JR binomial European engines against analytic results...
13>Testing time-dependent CRR binomial European engines against analytic results...
13>Testing time-dependent EQP binomial European engines against analytic results...
13>Testing time-dependent TGEO binomial European engines against analytic results...
13>Testing time-dependent TIAN binomial European engines against analytic results...
13>Testing time-dependent LR binomial European engines against analytic results...
13>Testing time-dependent Joshi binomial European engines against analytic results...
13>Testing factorial numbers...
13>Testing Gamma function...
13>Testing complex direct FFT...
13>Testing convolution via inverse FFT...
13>Testing FDM with barrier option for Heston model vs Black-Scholes model...
13>Testing FDM with barrier option in Heston model...
13>Testing FDM with American option in Heston model...
13>Testing FDM Heston for Ikonen and Toivanen tests...
13>Testing FDM Heston with Black Scholes model...
13>Testing FDM with European option with dividends in Heston model...
13>Testing FDM Heston convergence...
13>Testing indexing of a linear operator...
13>Testing uniform grid mesher...
13>Testing application of first-derivatives map...
13>Testing application of second-derivatives map...
13>Testing application of second-order mixed-derivatives map...
13>Testing triple-band map solution...
13>Testing FDM with Barrier option in Heston model...
13>Testing FDM with American option in Heston model...
13>Testing FDM with express certificate in Heston model...
13>Testing FDM with Heston Hull-White model...
13>Testing BiCGstab with Heston operator...
13>Testing Crank-Nicolson with initial implicit damping steps for a digital option...
13>Testing forward option values...
13>Testing forward option greeks...
13>Testing forward performance option values...
13>Testing forward performance option greeks...
13>Testing Gauss-Jacobi integration...
13>Testing Gauss-Laguerre integration...
13>Testing Gauss-Hermite integration...
13>Testing Gauss hyperbolic integration...
13>Testing tabulated Gauss-Laguerre integration...
13>Testing Monte Carlo GJR-GARCH engine against analytic GJR-GARCH engine...
13>Testing GJR-GARCH model calibration using DAX volatility data...
13>Testing Heston model calibration using a flat volatility surface...
13>Testing Heston model calibration using DAX volatility data...
13>Testing analytic Heston engine against Black formula...
13>Testing analytic Heston engine against cached values...
13>Testing MC and FD Heston engines for the Kahl-Jaeckel example...
13>Testing different numerical Heston integration algorithms...
13>Testing FD barrier Heston engine against cached values...
13>Testing FD vanilla Heston engine against cached values...
13>Testing FD vanilla Heston engine for discrete dividends...
13>Testing FD vanilla Heston engine for american exercise...
13>Testing multiple-strikes FD Heston engine...
13>Testing Himalaya option against cached values...
13>Testing European option pricing for a BSM process with one-factor Hull-White model...
13>Comparing European option pricing for a BSM process with one-factor Hull-White model...
13>Testing Monte-Carlo zero bond pricing...
13>Testing Monte-Carlo vanilla option pricing...
13>Testing Monte-Carlo Heston option pricing...
13>Testing analytic Heston Hull-White option pricing...
13>Testing the pricing of a callable equity product...
13>Testing the discretization error of the Heston Hull-White process...
13>Testing the FDM Heston Hull-White engine...
13>Testing the Heston Hull-White calibration...
13>Testing zero inflation indices...
13>Testing zero inflation term structure...
13>Testing year-on-year inflation indices...
13>Testing year-on-year inflation term structure...
13>Testing consistency between yoy inflation cap, floor and collar...
13>Testing yoy inflation cap/floor parity...
13>Testing Black yoy inflation cap/floor price against cached values...
13>Testing collared coupon against its decomposition...
13>Testing inflation capped/floored coupon against inflation capfloor instrument...
13>Testing conversion from YoY cap-floor surface to YoY inflation term structure...
13>Testing conversion from YoY price surface to YoY volatility surface...
13>Testing observability of instruments...
13>Testing segment integration...
13>Testing trapezoid integration...
13>Testing mid-point trapezoid integration...
13>Testing Simpson integration...
13>Testing adaptive Gauss-Kronrod integration...
13>Testing non-adaptive Gauss-Kronrod integration...
13>Testing adaptive Gauss-Lobatto integration...
13>Testing interest-rate conversions...
13>Testing spline interpolation on generic values...
13>Testing symmetry of spline interpolation end-conditions...
13>Testing derivative end-conditions for spline interpolation...
13>Testing non-restrictive Hyman filter...
13>Testing spline interpolation on RPN15A data set...
13>Testing spline interpolation on a Gaussian data set...
13>Testing spline approximation on Gaussian data sets...
13>Testing N-dimensional cubic spline...
13>Testing use of interpolations as functors...
13>Testing backward-flat interpolation...
13>Testing forward-flat interpolation...
13>Testing Sabr interpolation...
13>Testing kernel 1D interpolation...
13>Testing kernel 2D interpolation ...
13>Testing bicubic spline derivatives...
13>Testing Merton 76 jump-diffusion model for European options...
13>Testing jump-diffusion option greeks...
13>Testing linear least-squares regression...
13>Testing linear least-squares regression...
13>Testing 1D simple linear least-squares regression...
13>Testing analytic continuous floating-strike lookback options...
13>Testing analytic continuous fixed-strike lookback options...
13>Testing randomized lattice sequences (A) up to dimension 30...
13>Testing randomized lattice sequences (B) up to dimension 30...
13>Testing randomized lattice sequences (C) up to dimension 30...
13>Testing randomized lattice sequences (D) up to dimension 30...
13>Testing random-seed generator...
13>Testing 21200 primitive polynomials modulo two...
13>Testing Sobol sequences up to dimension 21200...
13>Testing Halton sequences...
13>Testing Faure sequences...
13>Testing Mersenne-twister discrepancy...
13>Testing plain Halton discrepancy...
13>Testing random-start Halton discrepancy...
13>Testing random-shift Halton discrepancy...
13>Testing random-start, random-shift Halton discrepancy...
13>Testing unit Sobol discrepancy...
13>Testing Jaeckel-Sobol discrepancy...
13>Testing Levitan-Sobol discrepancy...
13>Testing Levitan-Lemieux-Sobol discrepancy...
13>Testing Sobol sequence skipping...
13>Testing randomized low-discrepancy sequences up to dimension 21200...
13>Testing exact repricing of forwards and optionlets in a stochastic vol displaced diffusion forward rate market model...
13>Testing pathwise vegas in a lognormal forward rate market model...
13>Testing pathwise market vegas in a lognormal forward rate market model...
13>Testing caplet deltas in a lognormal forward rate market model using pathwise method...
13>Testing exact repricing of all multi-step products in a lognormal forward rate market model...
13>Testing exact repricing of one-step forwards and optionlets in a lognormal forward rate market model...
13>Testing exact repricing of one-step forwards and optionlets in a normal forward rate market model...
13>Pricing callable swap with naif exercise strategy in a LIBOR market model...
13>Pricing callable swap with Longstaff-Schwartz exercise strategy in a LIBOR market model...
13>Pricing callable swap with Anderson exercise strategy in a LIBOR market model...
13>Testing caplet greeks in a lognormal forward rate market model using partial proxy simulation...
13>Testing Abcd-volatility integration...
13>Testing different implementations of Abcd-volatility...
13>Testing Abcd-volatility fit...
13>Testing period-adaptation routines in LIBOR market model...
13>Testing drift calculation...
13>Testing exact repricing of multi-step constant maturity swaps and swaptions in a lognormal constant maturity swap market model...
13>Testing exact repricing of multi-step coterminal swaps and swaptions in a lognormal coterminal swap rate market model...
13>Testing alpha caplet calibration in a lognormal coterminal swap market model...
13>Testing GHLS caplet calibration in a lognormal coterminal swap market model...
13>Testing max homogeneity caplet calibration in a lognormal coterminal swap market model...
13>Testing max homogeneity periodic caplet calibration in a lognormal coterminal swap market model...
13>Testing sphere-cylinder optimization...
13>Testing orthogonal projections...
13>Testing eigenvalues and eigenvectors calculation...
13>Testing matricial square root...
13>Testing singular value decomposition...
13>Testing Higham matricial square root...
13>Testing QR decomposition...
13>Testing QR solve...
13>Testing LU inverse calculation...
13>Testing LU determinant calculation...
13>Testing Monte-Carlo pricing of American options...
13>Testing Monte-Carlo pricing of American max options...
13>Testing Mersenne twister...
13>Testing money arithmetic without conversions...
13>Testing money arithmetic with conversion to base currency...
13>Testing money arithmetic with automated conversion...
13>Testing nth-to-default against Hull-White values with Gaussian copula...
13>Testing nth-to-default against Hull-White values with Gaussian and Student copula...
13>Testing differential operators...
13>Testing consistency of BSM operators...
13>Testing optimizers...
13>Testing nested optimizations...
13>Testing forward/forward vol stripping from flat term vol surface using optionletstripper1...
13>Testing forward/forward vol stripping from non-flat term vol surface using optionletstripper1...
13>Testing forward/forward vol stripping from flat term vol surface using optionletstripper2...
13>Testing forward/forward vol stripping from non-flat term vol surface using optionletstripper2...
13>Testing Eonia-swap calculation of fair fixed rate...
13>Testing Eonia-swap calculation of fair floating spread...
13>Testing Eonia-swap calculation against cached value...
13>Testing Eonia-swap curve building...
13>Testing pagoda option against cached values...
13>Testing 1-D path generation against cached values...
13>Testing n-D path generation against cached values...
13>Testing period algebra on years/months...
13>Testing period algebra on weeks/days...
13>Testing consistency of piecewise-log-linear discount curve...
13>Testing consistency of piecewise-linear discount curve...
13>Testing consistency of piecewise-log-linear zero-yield curve...
13>Testing consistency of piecewise-linear zero-yield curve...
13>Testing consistency of piecewise-cubic zero-yield curve...
13>Testing consistency of piecewise-linear forward-rate curve...
13>Testing consistency of piecewise-flat forward-rate curve...
13>Testing consistency of convex monotone forward-rate curve...
13>Testing consistency of local-bootstrap algorithm...
13>Testing observability of piecewise yield curve...
13>Testing use of today's LIBOR fixings in swap curve...
13>Testing bootstrap over JPY LIBOR swaps...
13>Testing copying of discount curve...
13>Testing copying of forward-rate curve...
13>Testing copying of zero-rate curve...
13>Testing quanto option values...
13>Testing quanto option greeks...
13>Testing quanto-forward option values...
13>Testing quanto-forward option greeks...
13>Testing quanto-forward-performance option values...
13>Testing quanto-barrier option values...
13>Testing observability of quotes...
13>Testing observability of quote handles...
13>Testing derived quotes...
13>Testing composite quotes...
13>Testing forward-value and implied-standard-deviation quotes...
13>Testing risk measures...
13>Testing Gaussian pseudo-random number generation...
13>Testing Poisson pseudo-random number generation...
13>Testing custom Poisson pseudo-random number generation...
13>Testing closest decimal rounding...
13>Testing upward decimal rounding...
13>Testing downward decimal rounding...
13>Testing floor decimal rounding...
13>Testing ceiling decimal rounding...
13>Testing sampled curve construction...
13>Testing Hull-White calibration against cached values...
13>Testing Hull-White swap pricing against known values...
13>Testing Hull-White futures convexity bias...
13>Testing 1-D solvers...
13>Testing statistics...
13>Testing sequence statistics...
13>Testing convergence statistics...
13>Testing surface...
13>Testing vanilla-swap calculation of fair fixed rate...
13>Testing vanilla-swap calculation of fair floating spread...
13>Testing vanilla-swap dependency on fixed rate...
13>Testing vanilla-swap dependency on floating spread...
13>Testing in-arrears swap calculation...
13>Testing vanilla-swap calculation against cached value...
13>Testing implied swaption vol in LMM using HW approximation...
13>Testing forward-rate coinitial-swap Jacobian...
13>Testing forward-rate constant-maturity swap Jacobian...
13>Testing forward-rate coterminal-swap mappings...
13>Testing cash settled swaptions modified annuity...
13>Testing swaption dependency on strike...
13>Testing swaption dependency on spread...
13>Testing swaption treatment of spread...
13>Testing swaption value against cached value...
13>Testing implied volatility for swaptions...
13>Testing swaption vega...
13>Testing swaption volatility cube (atm vols)...
13>Testing swaption volatility cube (smile)...
13>Testing swaption volatility cube (sabr interpolation)...
13>Testing spreaded swaption volatility cube...
13>Testing volatility cube observability...
13>Testing swaption volatility matrix...
13>Testing swaption volatility matrix observability...
13>Testing term structure against evaluation date change...
13>Testing consistency of implied term structure...
13>Testing observability of implied term structure...
13>Testing consistency of forward-spreaded term structure...
13>Testing observability of forward-spreaded term structure...
13>Testing consistency of zero-spreaded term structure...
13>Testing observability of zero-spreaded term structure...
13>Testing time series construction...
13>Testing time series interval price...
13>Testing TQR eigenvalue decomposition...
13>Testing TQR zero-off-diagonal eigenvalues...
13>Testing TQR eigenvector decomposition...
13>Testing tracing...
13>Testing transformed grid construction...
13>Testing variance option with integral Heston engine...
13>Testing variance swap with replicating cost engine...
13>Testing variance swap with Monte Carlo engine...
13>Testing volatility model construction...
13>Testing simple covariance models...
13>Testing caplet pricing...
13>Testing forward swap and swaption pricing...
13>Testing calibration of a Libor forward model...
13>Testing caplet LMM process initialisation...
13>Testing caplet LMM lambda bootstrapping...
13>Testing caplet LMM Monte-Carlo caplet pricing...
13>
13>Tests completed in 21 m 33 s
13>Test suite "Master Test Suite" passed with:
13> 1687 assertions out of 1687 passed
13> 444 test cases out of 444 passed
13>Build log was saved at "file://c:\quantlib9.9\QuantLib-0.9.9\test-suite\build\vc90\Release (static runtime)\BuildLog.htm"
13>testsuite - 0 error(s), 0 warning(s)
========== Build: 14 succeeded, 0 failed, 0 up-to-date, 0 skipped ==========

Luigi Ballabio wrote:

Hi all,
if you have any cycles to spare during the weekend, please download and
try out the tarballs at <http://quantlib.org/prerelease/>. They're not
yet the final ones, but they're pretty close. Report here any problems
you may have. I'd particularly appreciate if you tried the library on
cygwin or mingw, as I don't have a test environment for those platforms.

Thanks,
Luigi

--

There are two ways of constructing a software design. One way is to
make it so simple that there are obviously no deficiencies. And the
other way is to make it so complicated that there are no obvious
deficiencies.
-- C. A. R. Hoare

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Cavit (Javit) Hafizoglu mailto:javit.hafizoglu@suntrust.com

Generalized Hull White model with non-constant parameters

2009-11-10T10:31:03Z

I modified the Black-Karasinski and the Ornstein-Uhlenbcek classes to build a generalized Hull-White model with time-dependent drift and volatility parameters. It consists of four files pasted at the bottom of this message:
GeneralizedOUprocess.hpp,
GeneralizedOUprocess.cpp,
GeneralizedHW.hpp and
GeneralizedHW.cpp.

These files need an addition/modification to the parameter class. Change the NoConstraint() condition in PiecewiseConstantParameter class to PositiveConstraint(). Or define another class in the parameter.hpp and name it PiecewiseConstantParameter2. This is how I did it. I changed the code in PiecewiseConstantParameter class

from --------
public:
PiecewiseConstantParameter(const std::vector<Time>& times)
: Parameter(times.size()+1,
boost::shared_ptr<Parameter::Impl>(
new PiecewiseConstantParameter2::Impl(times)),
NoConstraint())
to ----------
public:
PiecewiseConstantParameter2(const std::vector<Time>& times)
: Parameter(times.size(),
boost::shared_ptr<Parameter::Impl>(
new PiecewiseConstantParameter2::Impl(times)),
PositiveConstraint())

You will obviously nedd to make some changes to the paths in the include commands.

I would like these to be added to the quantlib library in the future. Please let me know what you think and also what I should do to make it a non-experimental contribution.

Thank you,
Javit

----------- GeneralizedOUprocess.hpp --------------

#ifndef quantlib_generalized_ou_process_hpp
#define quantlib_generalized_ou_process_hpp

#include <ql/stochasticprocess.hpp>
#include <ql/models/shortrate/onefactormodel.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>

#include <ql/termstructures/yield/zerocurve.hpp>
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/math/interpolations/loginterpolation.hpp>

namespace QuantLib {

//! Piecewise linear Ornstein-Uhlenbeck process class
/*! This class describes the Ornstein-Uhlenbeck process governed by
\f[
dx = a (level - x_t) dt + \sigma dW_t
\f]

\ingroup processes

where the coefficients a and sigma are piecewise linear.
*/
class GeneralizedOUprocess : public StochasticProcess1D {
public:
GeneralizedOUprocess(const Handle<YieldTermStructure>& speedTS,
const Handle<YieldTermStructure>& vol,
Real x0 = 0.0,
Real level = 0.0);
//! \name StochasticProcess interface
//@{
Real x0() const;

Real drift(Time t, Real x) const;
Real diffusion(Time t, Real x) const;

Handle<YieldTermStructure> speed() const;
Handle<YieldTermStructure> volatility() const;
Real level() const;

Real expectation(Time t0, Real x0, Time dt) const;
Real stdDeviation(Time t0, Real x0, Time dt) const;
Real variance(Time t0, Real x0, Time dt) const;
//@}
private:
Real x0_, level_;
Handle<YieldTermStructure> speed_;
Handle<YieldTermStructure> volatility_;
};

}

#endif

----------- GeneralizedOUprocess.cpp --------------

#include "C:\Documents and Settings\****\My Documents\Visual Studio 2008\Projects\GeneralizedHW\GeneralizedHW\generalizedOUprocess.hpp"

namespace QuantLib {

GeneralizedOUprocess::GeneralizedOUprocess(const Handle<YieldTermStructure>& speedTS,
const Handle<YieldTermStructure>& vol,
Real x0,
Real level)
: x0_(x0), speed_(speedTS), level_(level), volatility_(vol) {

QL_REQUIRE(x0 >= 0.0, "negative initial data given");
QL_REQUIRE(level >= 0.0, "negative level given");
}

Real GeneralizedOUprocess::x0() const {
return x0_;
}

Handle<YieldTermStructure> GeneralizedOUprocess::speed() const {
return speed_;
}

Handle<YieldTermStructure> GeneralizedOUprocess::volatility() const {
return volatility_;
}

Real GeneralizedOUprocess::drift(Time, Real x) const {
return 0;
}

Real GeneralizedOUprocess::diffusion(Time, Real) const {
return 0;
}

Real GeneralizedOUprocess::level() const {
return level_;
}

Real GeneralizedOUprocess::expectation(const Time t, Real x0, Time dt) const {

Real speed;
if (t!=0) {
speed = - std::log(speed_->discount(t))/t;
} else { speed = 0.000001;}

return level_ + (x0 - level_) * std::exp(-speed*dt);
}

Real GeneralizedOUprocess::stdDeviation(Time t, Real x0,Time dt) const {
return std::sqrt(variance(t,x0,dt));
}

Real GeneralizedOUprocess::variance(const Time t, Real x, Time dt) const {
Real speed;
Volatility vol;
if (t!=0) {
speed = - std::log(speed_->discount(t))/t;
vol = - std::log(volatility_->discount(t))/(t);
} else {
speed = 0.000001;
vol = 0.00001;
}

if (speed < std::sqrt(QL_EPSILON)) {
// algebraic limit for small speed
return vol*vol*dt;
} else {
return 0.5*vol*vol/speed*
(1.0 - std::exp(-2.0*speed*dt));
}
}

}

--------- GeneralizedHW.hpp -------------

#ifndef quantlib_GeneralizedHW_hpp
#define quantlib_GeneralizedHW_hpp

#include <ql/models/shortrate/onefactormodel.hpp>
#include "C:\Documents and Settings\****\My Documents\Visual Studio 2008\Projects\GeneralizedHW\GeneralizedHW\generalizedOUprocess.hpp"

namespace QuantLib {

//! Generalized Hull-White model class.
/*! This class implements the standard Black-Karasinski model defined by
\f[
d f(r_t) = (\theta(t) - \alpha f(r_t))dt + \sigma dW_t,
\f]
where \f$ alpha \f$ and \f$ sigma \f$ are piecewise linear functions.

\ingroup shortrate
*/

class GeneralizedHW : public OneFactorModel,
public TermStructureConsistentModel {

// TO DO: Build your fInverse class according to your model. The template class T
// should overload the () operator to return a function value, f inverse.

public:

GeneralizedHW(const Handle<YieldTermStructure>& yieldtermStructure,
const std::vector<Date>& speedstructure,
const std::vector<Date>& volstructure);

boost::shared_ptr<ShortRateDynamics> dynamics() const {
QL_FAIL("no defined process for generalized Hull-White model");
}

boost::shared_ptr<Lattice> tree(const TimeGrid& grid)const;

private:

class Dynamics;
class Helper;

std::vector<Date> speedstructure_;
std::vector<Date> volstructure_;

Handle<YieldTermStructure> speed() const;
Handle<YieldTermStructure> vol() const;

Parameter& a_;
Parameter& sigma_;
Parameter phi_;

};

//! Short-rate dynamics in the generalized Hull-White model
/*! The short-rate is here

f(r_t) = x_t + g(t)

where g is the deterministic time-dependent
parameter (which can not be determined analytically)
used for term-structure fitting and x_t is the state
variable following an Ornstein-Uhlenbeck process.
*/

class GeneralizedHW::Dynamics : public GeneralizedHW::ShortRateDynamics {
public:
Dynamics(const Parameter& fitting, const Handle<YieldTermStructure>& alpha,
const Handle<YieldTermStructure>& sigma)
: ShortRateDynamics(boost::shared_ptr<StochasticProcess1D>(
new GeneralizedOUprocess(alpha, sigma))), fitting_(fitting) {}

Real variable(Time t, Rate r) const {
return std::log(r) - fitting_(t);
}

Real shortRate(Time t, Real x) const {
return std::exp(x + fitting_(t));
}

private:
Parameter fitting_;
};

}

#endif

----------------- GeneralizedHW.cpp -------------
#include "C:\Documents and Settings\****\My Documents\Visual Studio 2008\Projects\GeneralizedHW\GeneralizedHW\GeneralizedHW.hpp"
#include <ql/methods/lattices/trinomialtree.hpp>
#include <ql/math/solvers1d/brent.hpp>
#include <ql/termstructures/yield/zerocurve.hpp>
#include <ql/math/solvers1d/bisection.hpp>

namespace QuantLib {

/* Private function used by solver to determine time-dependent parameter
df(r) = [theta(t) - a(t) f(r)]dt + sigma(t) dz
dg = [theta(t) - a(t) g(t)] dt
dx = -a(t) x dt + sigma(t) dz
x = f(r) - g(t)

*/
//Change the overloaded operator to change the model by changing the function below
//fInverse is a user-chosen function. When fInverse = exp(), the model becomes Black-Karasinski model.

Real fInverse_(Real x) {
return std::exp(x);
}

class GeneralizedHW::Helper {
public:
Helper(const Size i, const Real xMin, const Real dx,
const Real discountBondPrice,
const boost::shared_ptr<ShortRateTree>& tree)
: size_(tree->size(i)),
dt_(tree->timeGrid().dt(i)),
xMin_(xMin), dx_(dx),
statePrices_(tree->statePrices(i)),
discountBondPrice_(discountBondPrice){}

Real operator()(const Real theta) const {
Real value = discountBondPrice_;
Real x = xMin_;
for (Size j=0; j<size_; j++) {
Real discount = std::exp(- fInverse_(theta+x)*dt_);
//std::cout <<"fInverse " <<fInverse_(theta+x)<<std::endl;
value -= statePrices_[j]*discount;
x += dx_;
}

return value;
}

private:
Size size_;
Time dt_;
Real xMin_, dx_;
const Array& statePrices_;
Real discountBondPrice_;
};

GeneralizedHW::GeneralizedHW(const Handle<YieldTermStructure>& yieldtermStructure,
const std::vector<Date>& speedstructure,
const std::vector<Date>& volstructure) : OneFactorModel(2), TermStructureConsistentModel(yieldtermStructure),
speedstructure_(speedstructure),
volstructure_(volstructure),
a_(arguments_[0]), sigma_(arguments_[1]){

std::vector<Real>speedperiods;
speedperiods.push_back(0.0);
for (Size i=0;i<speedstructure.size()-1;i++)
speedperiods.push_back(
(speedstructure[i+1]-speedstructure[i])/365.0);

a_ = PiecewiseConstantParameter2(speedperiods);

std::vector<Real>volperiods;
volperiods.push_back(0.0);
for (Size i=0;i<volstructure.size()-1;i++)
volperiods.push_back(
(volstructure[i+1]-volstructure[i])/365.0);

sigma_ = PiecewiseConstantParameter2(volperiods);

a_.setParam(0,0.0001);
sigma_.setParam(0,0.0001);
for (Size i=1; i< a_.size();i++){

a_.setParam(i,0.01*i);

}

for (Size i=1; i< sigma_.size();i++){

sigma_.setParam(i,0.01*i);

}

registerWith(yieldtermStructure);

}

boost::shared_ptr<Lattice> GeneralizedHW::tree(const TimeGrid& grid) const{

TermStructureFittingParameter phi(termStructure());
boost::shared_ptr<ShortRateDynamics> numericDynamics(
new Dynamics(phi, speed(), vol()));
boost::shared_ptr<TrinomialTree> trinomial(
new TrinomialTree(numericDynamics->process(), grid));
boost::shared_ptr<ShortRateTree> numericTree(
new ShortRateTree(trinomial, numericDynamics, grid));
typedef TermStructureFittingParameter::NumericalImpl NumericalImpl;
boost::shared_ptr<NumericalImpl> impl =
boost::dynamic_pointer_cast<NumericalImpl>(phi.implementation());

impl->reset();
Real value = 1.0;
Real vMin = -50.0;
Real vMax = 50.0;

extern std::vector<Real> shifts;

for (Size i=0; i<(grid.size() - 1); i++) {
vMin = -50.0;
vMax = 50.0;
Real discountBond = termStructure()->discount(grid[i+1]);
Real xMin = trinomial->underlying(i, 0);
Real dx = trinomial->dx(i);
Helper finder(i, xMin, dx, discountBond, numericTree);
value = 0.5*(vMin + vMax);
Brent s1d;
s1d.setMaxEvaluations(1000);
value =s1d.solve(finder, QL_EPSILON, value, vMin, vMax);
impl->set(grid[i], value);
shifts.push_back(value);
}
return numericTree;

}

Handle<YieldTermStructure> GeneralizedHW::speed() const {

std::vector<Real> speedvals;
speedvals.push_back(0.000001);
for (Size i=0;i<a_.size()-1;i++)
speedvals.push_back(
a_(
(speedstructure_[i+1]-speedstructure_[i])/365.0
- 0.00001));

Handle<YieldTermStructure> speed_(boost::shared_ptr<YieldTermStructure>(
new InterpolatedZeroCurve<LogLinear>(speedstructure_, speedvals, Actual365Fixed())));

return speed_;
}

Handle<YieldTermStructure> GeneralizedHW::vol() const {

std::vector<Real> volvals;
volvals.push_back(0.000001);
for (Size i=0;i<sigma_.size()-1;i++)
volvals.push_back(
sigma_(
(speedstructure_[i+1]-speedstructure_[i])/365.0
- 0.00001));

Handle<YieldTermStructure> vol_(boost::shared_ptr<YieldTermStructure>(
new InterpolatedZeroCurve<LogLinear>(volstructure_, volvals, Actual365Fixed())));

return vol_;
}

}
--------------- End of GeneralizedHW.cpp-----------------------

Cavit (Javit) Hafizoglu mailto:javit.hafizoglu@suntrust.com

gensrc support for valarray

2009-11-10T09:26:43Z

Hi all

the latest commit on the trunk from Mark broke QLXL as there is no
support in gensrc for valarray.
While I've been able to manually code an easy workaround this of
course isn't satisfactory, but I have little idea how to add valarray
support.
Any volunteer ?

ciao -- Nando

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Re: market models code

2009-11-10T05:16:44Z

I'd love to see an market model example project!

2009/11/10 Mark joshi <mark.joshi@...>

I don't have any other ideas for interface changes.

I would advocate banning vector<bool> and getting rid of it elsewhere
in the code, however.

best

Mark

2009/11/10 Luigi Ballabio <luigi.ballabio@...>:

> On Tue, 2009-11-10 at 14:07 +1100, Mark joshi wrote:
>> as you'll have noticed I've been doing some fiddling with the market
>> models code.
>
> Yes, I noticed. Do you have other interface changes in mind? I'd like
> to freeze them after 1.0 to keep backward compatibility, so this would
> be the time to do them.
>
>> What do you think of the idea of a new example project based on the
>> market model code?
>> I would do it all. I might then use it in my quantlib and LMM training course
>
> Sounds good.
>
> Thanks,
> Luigi
>
>
> --
>
> No, I'm not interested in developing a powerful brain. All I'm after
> is just a mediocre brain, something like the president of American
> Telephone and Telegraph Company.
> -- Alan Turing on the possibilities of a thinking machine, 1943.
>
>
>

--

Quant Job Interview Questions and Answers is now out: www.markjoshi.com

Assoc Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com

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Re: market models code

2009-11-10T02:04:04Z

I don't have any other ideas for interface changes.

I would advocate banning vector<bool> and getting rid of it elsewhere
in the code, however.

best

Mark

2009/11/10 Luigi Ballabio <luigi.ballabio@...>:

> On Tue, 2009-11-10 at 14:07 +1100, Mark joshi wrote:
>> as you'll have noticed I've been doing some fiddling with the market
>> models code.
>
> Yes, I noticed. Do you have other interface changes in mind? I'd like
> to freeze them after 1.0 to keep backward compatibility, so this would
> be the time to do them.
>
>> What do you think of the idea of a new example project based on the
>> market model code?
>> I would do it all. I might then use it in my quantlib and LMM training course
>
> Sounds good.
>
> Thanks,
> Luigi
>
>
> --
>
> No, I'm not interested in developing a powerful brain. All I'm after
> is just a mediocre brain, something like the president of American
> Telephone and Telegraph Company.
> -- Alan Turing on the possibilities of a thinking machine, 1943.
>
>
>

--
Quant Job Interview Questions and Answers is now out: www.markjoshi.com

Assoc Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com

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Re: market models code

2009-11-10T01:07:42Z

On Tue, 2009-11-10 at 14:07 +1100, Mark joshi wrote:
> as you'll have noticed I've been doing some fiddling with the market
> models code.

Yes, I noticed. Do you have other interface changes in mind? I'd like
to freeze them after 1.0 to keep backward compatibility, so this would
be the time to do them.

> What do you think of the idea of a new example project based on the
> market model code?
> I would do it all. I might then use it in my quantlib and LMM training course

Sounds good.

Thanks,
Luigi

--

No, I'm not interested in developing a powerful brain. All I'm after
is just a mediocre brain, something like the president of American
Telephone and Telegraph Company.
-- Alan Turing on the possibilities of a thinking machine, 1943.

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Re: GNU tools build of branches/R0100x-branch/QuantLib - all.hpp is lonely

2009-11-10T01:05:18Z

On Fri, 2009-11-06 at 15:03 +0000, Walter Eaves wrote:
> There's an Makefile.am issue in a few places: ql/experimental and ql/legacy.
>
> I've fixed it and attached a diff, but you might find a bit too Unix.

No problem at all, I'm on a Linux box myself.
However, I fail to see what this fixes---the autotools build works fine
on my box with no headers besides all.hpp in experimental. What problem
are you having precisely?

Luigi

--

Better to have an approximate answer to the right question than a
precise answer to the wrong question.
-- John Tukey as quoted by John Chambers

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market models code

2009-11-09T19:07:12Z

Dear All,

as you'll have noticed I've been doing some fiddling with the market
models code.

What do you think of the idea of a new example project based on the
market model code?
I would do it all. I might then use it in my quantlib and LMM training course:

http://www.moneyscience.com/training/pricing-exotic-interest-rate-derivatives-the-libor-market-model-in-quantlib.html

best

Mark

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LinkedIn Thread on QL

2009-11-09T07:40:30Z

Check
http://www.linkedin.com/groupAnswers?viewQuestionAndAnswers=&discussionI
D=9442895&gid=90917&trk=EML_anet_qa_ttle-0St79xs2RVr6JBpnsJt7dBpSBA

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Re: Update version of experimental/mcbasket

2009-11-09T05:34:24Z

On 11/10/09 19:46, Andrea wrote:

> 1) it currently skips all paths that give a non positive exercise value. this because it assumes the
> continuation value will always be positive, and there is no point to accept a negative exercise.
> it might not be the case always and it is hard to dynamically detect this lower bound (0.0). so the
> payoff has a function to return the lower bound of the continuation value or -INF if absent

It is actually possible to dynamically detect what an out of the money option is.
Since we go backward, we just remember what the lowest payoff is, and never exercise if the early
termination value is less or equal to that value.

In this updated version of the mcbasket experimental patch, I've implemented it.
In my (simple) tests it worked properly.

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mcbasket.diff.gz (13K) Download Attachment

Re: [QuantLib-svn] SF.net SVN: quantlib:[16709] branches/R000909-branch/QuantLib/ql/models/ marketmodels

2009-11-09T03:57:58Z

On Sat, 2009-11-07 at 20:53 +0100, Ferdinando Ametrano wrote:
> On Sat, Nov 7, 2009 at 1:06 PM, Luigi Ballabio <luigi.ballabio@...> wrote:
> I cannot confirm it until Monday, but I trust Plamen :-) so you might
> just make up your mind if you want the define in some header file (my
> preference) or the project settings.

Inside config.msvc.hpp would probably be easiest.

> Just for the record, it seems to me we changed compiler native
> behavior when we switched "disable language extensions" to Yes; anyway
> I would stick to that choice.

We changed the behavior back and forth a few times (the native behavior
being... let me check... disable language extensions = NO for a
newly-created project.) What made me cringe was changing it right
before release. I'd be happier if it worked as is.

> Finally on Monday I might report if everything compiles switching
> "disable language extensions" back to No, and commit a few more code
> tweaks to avoid warnings in the compiler native behavior ;-)

Let's touch base first. If we find out that we can keep them disabled
with Plamen's trick, further tweaks are not necessary and can go in the
1.0 branch.

> BTW what about the patches needed by VC7 ? Don't we include them in 0.9.9 ?

I'm trying to find out what Boost versions are affected. It worked on
my box with 1.35. I'm looking at more recent versions.

Later,
Luigi

--

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by those who cannot.
-- Sir Ernest Gowers

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Re: [QuantLib-svn] SF.net SVN: quantlib:[16709] branches/R000909-branch/QuantLib/ql/models/ marketmodels

2009-11-07T11:53:10Z

On Sat, Nov 7, 2009 at 1:06 PM, Luigi Ballabio <luigi.ballabio@...> wrote:
> A change that made the library
> compile would be another matter, but given the choice, I'd rather take
> Plamen's solution than having the compiler change its behavior. If you
> confirm that the library compiles by adding BOOST_HAS_LONG_LONG to the
> preprocessor definitions, I'd be happy to take that change.

I cannot confirm it until Monday, but I trust Plamen :-) so you might
just make up your mind if you want the define in some header file (my
preference) or the project settings.

Just for the record, it seems to me we changed compiler native
behavior when we switched "disable language extensions" to Yes; anyway
I would stick to that choice.

Finally on Monday I might report if everything compiles switching
"disable language extensions" back to No, and commit a few more code
tweaks to avoid warnings in the compiler native behavior ;-)

BTW what about the patches needed by VC7 ? Don't we include them in 0.9.9 ?

ciao -- Nando

PS C'mon Luigi... a third release candidate is looming...

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Re: [QuantLib-svn] SF.net SVN: quantlib:[16709] branches/R000909-branch/QuantLib/ql/models/ marketmodels

2009-11-07T04:06:40Z

On Nov 7, 2009, at 10:53 AM, Ferdinando Ametrano wrote:
> mmm... to release 0.9.9 which does not compile with VC 7/8/9 and boost
> 1.40 is asking for endless questions on the mailing lists.

Wait a mnute now. The latest changeset was just avoiding a couple of
warnings, so it wouldn't solve this anyway. A change that made the
library compile would be another matter, but given the choice, I'd
rather take Plamen's solution than having the compiler change its
behavior. If you confirm that the library compiles by adding
BOOST_HAS_LONG_LONG to the preprocessor definitions, I'd be happy to
take that change.

Luigi

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Re: [QuantLib-svn] SF.net SVN: quantlib:[16709] branches/R000909-branch/QuantLib/ql/models/ marketmodels

2009-11-07T02:26:54Z

Guys,

just as a side info - I managed to compile QuantLib with vs9 and boost 1.40 by just defining BOOST_HAS_LONG_LONG and leaving the language extensions switched on.
Had no side effects so far ...

cheers,
Plamen

On Saturday 07 Nov 2009 09:53:20 Ferdinando Ametrano wrote:

> On Fri, Nov 6, 2009 at 9:24 PM, Luigi Ballabio <luigi.ballabio@...> wrote:
> >> scoped loop variable declaration to avoid warnings if one wants NOT to
> >> "disable language extension" (in order to compile with boost 1.40)
> >
> > Sorry, I'm reverting this one on the 0.9.9 branch---at this point, I'd
> > rather not make new tarballs and start another round of tests for a couple
> > of warnings in a non-standard configuration.
> > I applied your changes on the 1.0 branch instead.
>
> mmm... to release 0.9.9 which does not compile with VC 7/8/9 and boost
> 1.40 is asking for endless questions on the mailing lists.
>
> Besides don't you have to patch the code anyway for VC7 since it does
> not compile with boost a1.39 and probably even some earlier version?
>
> I'm trying to compile with 1.40 over the week-end switching "disable
> language extensions" to NO.
>
> Of course I'll leave any final judgment to you
>
> ciao -- Nando
>
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>

Re: [QuantLib-svn] SF.net SVN: quantlib:[16709] branches/R000909-branch/QuantLib/ql/models/ marketmodels

2009-11-07T01:53:20Z

On Fri, Nov 6, 2009 at 9:24 PM, Luigi Ballabio <luigi.ballabio@...> wrote:
>> scoped loop variable declaration to avoid warnings if one wants NOT to
>> "disable language extension" (in order to compile with boost 1.40)
>
> Sorry, I'm reverting this one on the 0.9.9 branch---at this point, I'd
> rather not make new tarballs and start another round of tests for a couple
> of warnings in a non-standard configuration.
> I applied your changes on the 1.0 branch instead.

mmm... to release 0.9.9 which does not compile with VC 7/8/9 and boost
1.40 is asking for endless questions on the mailing lists.

Besides don't you have to patch the code anyway for VC7 since it does
not compile with boost a1.39 and probably even some earlier version?

I'm trying to compile with 1.40 over the week-end switching "disable
language extensions" to NO.

Of course I'll leave any final judgment to you

ciao -- Nando

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Re: [QuantLib-svn] SF.net SVN: quantlib:[16709] branches/R000909-branch/QuantLib/ql/models/ marketmodels

2009-11-06T12:24:15Z

On Nov 6, 2009, at 8:11 PM, nando@... wrote:

> Revision: 16709
> http://quantlib.svn.sourceforge.net/quantlib/?rev=16709&view=rev
> Author: nando
> Date: 2009-11-06 19:11:18 +0000 (Fri, 06 Nov 2009)
>
> Log Message:
> -----------
> scoped loop variable declaration to avoid warnings if one wants NOT
> to "disable language extension" (in order to compile with boost 1.40)

Sorry, I'm reverting this one on the 0.9.9 branch---at this point, I'd
rather not make new tarballs and start another round of tests for a
couple of warnings in a non-standard configuration.
I applied your changes on the 1.0 branch instead.

Later,
Luigi

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GNU tools build of branches/R0100x-branch/QuantLib - all.hpp is lonely

2009-11-06T07:03:05Z

Hello,

I'm building this branch, but merging back to the trunk on experimental.

There's an Makefile.am issue in a few places: ql/experimental and ql/legacy.

I've fixed it and attached a diff, but you might find a bit too Unix.

--
Walter.Eaves@... http://www.bigfoot.com/~Walter.Eaves

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ql-r1_0.diff (824 bytes) Download Attachment

question about vector of handl

2009-11-05T22:52:55Z

Hihi,

I have a problem to define a constructor which takes vector of handles as arguments, like

const std::vector<QuantLib::Handle<QuantLib::YieldTermStructure> >&

I can see const QuantLib::Handle<QuantLib::YieldTermStructure>& in QuantLibObjects

The xml is defined as:

<type>QuantLib::YieldTermStructure</type>

<superType>libToHandle</superType>

<tensorRank>scalar</tensorRank>

<description>forecasting yield term structure.</description>

</Parameter>

Accordingly, I define my xml as:

<type>QuantLib::YieldTermStructure</type>

<superType>libToHandle</superType>

<tensorRank>vector</tensorRank>

<description>forecasting yield term structure.</description>

</Parameter>

But when the create_ xxx.cpp is generated, I get one statement:

std::vector<boost::shared_ptr<QuantLib::YieldTermStructure> > DiscountCurvesLibObj =

ObjectHandler::ohVariantToObjectVector<QuantLib::YieldTermStructure, QuantLibAddin::YieldTermStructure>(

DiscountCurves, "DiscountCurves");

This get the error msg: 'ohVariantToObjectVector' : is not a member of 'ObjectHandler'

My version is ql_0_9_7. In this version, I can’t find 'ohVariantToObjectVector' in 'ObjectHandler'. But in previous version, I can. It seems I didn’t define the xml file correctly. Can anybody tell me how to solve this problem? Thanks a lot for your help!

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Re: Other tentative 0.9.9 tarballs and partial branch freeze

2009-11-05T06:58:07Z

Quoting Luigi Ballabio <luigi.ballabio@...>:

>
> Hi all,
> as it turns out, the latest tarballs weren't the final ones after all.

Almost fine and dandy here on a very old CygWin/gcc set on W2K:
/gcc/i686-pc-cygwin/3.4.4/
boost 1.38.0

Lib builds and all the examples build and run.

Could not build the test-suite because I am having trouble building boost::test
on this environment but thats my own problem.

The building stops at the emacs/lisp script creation with the message below
and the libs do not get installed.
>From my ignorance I guess it has something to do with my local emacs
installation. If you can please tip me on this one now that I am at it.

So there are no code generation problems, I'll blame the other problems to my
cygwin installation. This is not a problem I am having now with 0.9.9; it is
not the env I normally use.

Best regards
Pepe

--------------------------------------------------------------
[......]
make[1]: Entering directory `/cygdrive/c/Documents and Settings/Pepe/Desktop/Q
uantLib-0.9.9'
WARNING: Warnings can be ignored. :-)
if test "emacs" != no; then \
set x; \
list='quantlib.el'; for p in $list; do \
if test -f "$p"; then d=; else d="./"; fi; \
set x "$@" "$d$p"; shift; \
done; \
shift; \
EMACS="emacs" /bin/sh ./config/elisp-comp "$@" || exit 1; \
else : ; fi
mv: cannot stat `*.elc': No such file or directory
make[1]: *** [elc-stamp] Error 1
make[1]: Leaving directory `/cygdrive/c/Documents and Settings/Pepe/Desktop/Qu
antLib-0.9.9'
make: *** [all-recursive] Error 1
--------------------------------------------------------------

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Re: Other tentative 0.9.9 tarballs and partial branch freeze

2009-11-05T05:16:40Z

Hi all,
as it turns out, the latest tarballs weren't the final ones after all.
So, if you have any more cycles to spare, please download and try out
the new tarballs at <http://quantlib.org/prerelease/>. If nobody
reports any showstoppers by next Wednesday, these ones are going to be
released.

Report here any problems you may have. As usual, I'd particularly
appreciate if you tried the library on cygwin or mingw, as I don't have
a test environment for those platforms.

Hi Luigi,

this tarball compiles on both

Mac OS X 10.5.7 with boost 1.39 and

MinGW on Vista on Parallels on Mac OS X with boost 1.34.1

Test suite is passed without erros in both environments.

Regards,

Roland

Re: Other tentative 0.9.9 tarballs and partial branch freeze

2009-11-05T01:51:29Z

Hi Luigi

compilation fails (INTERNAL COMPILER ERROR) when using VC++ 7 (2003)
with boost 1.39

I just stopped at the first error in money.cpp line 201

Personally I will not dedicate my time to VC++ 7 support, as it
dropped out of my table a lot of time ago, and I don't even have VC 7
boost libs around anymore.

ciao -- Nando

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Re: Other tentative 0.9.9 tarballs and partial branch freeze

2009-11-04T11:48:52Z

On 4 November 2009 at 18:15, Luigi Ballabio wrote:
| Report here any problems you may have. As usual, I'd particularly
| appreciate if you tried the library on cygwin or mingw, as I don't have
| a test environment for those platforms.

MinGW success using Dev-C++ (which I last used to build QL 0.9.7); also built
one example (FittedBondCurve) which runs. Looks good.

Also updating the Debian package to 0.9.9~20091104-1.

Dirk

--
Three out of two people have difficulties with fractions.

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Other tentative 0.9.9 tarballs and partial branch freeze

2009-11-04T09:15:16Z

Hi all,
as it turns out, the latest tarballs weren't the final ones after all.
So, if you have any more cycles to spare, please download and try out
the new tarballs at <http://quantlib.org/prerelease/>. If nobody
reports any showstoppers by next Wednesday, these ones are going to be
released.

Report here any problems you may have. As usual, I'd particularly
appreciate if you tried the library on cygwin or mingw, as I don't have
a test environment for those platforms.

Also, as we're close to release, I'm partially freezing the 0.9.9
branch; please don't commit anything in its QuantLib and QuantLib-SWIG
modules without checking with me first.

Thanks,
Luigi

--

There are two ways of constructing a software design. One way is to
make it so simple that there are obviously no deficiencies. And the
other way is to make it so complicated that there are no obvious
deficiencies.
-- C. A. R. Hoare

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QuantLib.xla improvement

2009-11-04T08:11:54Z

Ciao Nando,

I had some problems with QuantLib.xla and did som improvements.

First of all:

Module -> ObjectBuilder -> Function ListFilesInFolder

...
If FileItem.Type = "XML Document" - doesn't work for the German version :-( I extended it with "XML-Dokument"
...

Maybe there is a better idea how to check the file. For example using its extension.

Second:

Module -> ObjectBuilder -> Function buildConstructor

...
values(1,1) = "=ohRangeRetrieveError(R[-1]C)" doesn't work for the older excel version (2002)
...

I exchanged it with values(1,1) = "=ohRangeRetrieveError(" & dest.offset(0,1).Cells.Address & ")"
...

Hope it will be helpfull. I've spent some time trying to figure out the problem.

Ciao,

Alexander

Re: QuantLibXL.xla Problem with QuantLib 0.9.9

2009-11-04T03:50:44Z

On Tue, Nov 3, 2009 at 8:41 PM, Alexander Lotter
<alexander.lotter@...> wrote:
> I've just renamed this file (no file - no problem as written in your comment
> in svn) and it worked. So please take a look at it if you have time and
> update the svn.

I've fixed the file on the 0.9.9 branch, so now it should work with
the xml config file too

ciao -- Nando

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Re: Tentative 0.9.9 tarballs

2009-11-04T02:51:04Z

Hi,

on OS X 10.6.1 (Snow Leopard) + boost 1.40.0
build OK
tests pass, but fails on exiting with:

*** No errors detected
quantlib-test-suite(15731) malloc: *** error for object 0x3000102504200: pointer being freed was not allocated
*** set a breakpoint in malloc_error_break to debug
Abort trap

Best regards,
Chris