Nabble - quantlib-dev

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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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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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

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

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)
>
>
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>

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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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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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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[ 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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[ 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:
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including the initial issue submission, for this request,
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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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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

calc.py (14K) Download Attachment

[ 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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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@...

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

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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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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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

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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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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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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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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

Re: Question to the Leap function in the Date class

2009-11-18T08:30:17Z

> with this change, one need to link the binary Boost.Date library with
> QuantLib (whereas before this, the library only needed the Boost
> headers.)
>
> I might be fine with this if we used Boost.Date to implement most of our
> Date class, but I wouldn't introduce the dependency just for checking
> leap years beyond 2200...

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

ciao -- Nando

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Re: market models code

2009-11-18T01:34:50Z

On Wed, 2009-11-18 at 20:31 +1100, Mark joshi wrote:
> I would suggest sticking with valarray. We all know the issue with
> resizing now.

Ok.

Luigi

--

I've finally learned what `upward compatible' means. It means we
get to keep all our old mistakes.
-- Dennie van Tassel

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Re: market models code

2009-11-18T01:31:44Z

I would suggest sticking with valarray. We all know the issue with
resizing now.

best

Mark

2009/11/18 Luigi Ballabio <luigi.ballabio@...>:

> On Tue, 2009-11-17 at 20:09 +1100, Mark joshi wrote:
>> Well all that really needs to be done is changing all the valarrays I
>> changed to deques and timing the testsuite. The only slight subtlety
>> is that the argument orders tend to be different for valarrays.
>
> Ok, done. I've run the market-model test cases. On VC9, deque is about
> 1.5 % faster than vector (about 10 seconds out of 10 minutes) and
> valarray is 2.5% faster than deque (another 15 sec.) Optimizations were
> as specified in release mode.
> With gcc and -O2, it makes hardly any difference in timing.
>
> So what do we do? Do we switch to deque?
>
> Luigi
>
>
> --
>
> The first thing we do, let's kill all the lawyers.
> -- W. Shakespeare, "King Henry VI, Part II"
>
>
>

--
Pricing exotic interest rate derivatives - The LIBOR Market Model in
QuantLib June 2009, London,
http://www.moneyscience.com/training/index.html

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

2009-11-18T01:23:44Z

On Tue, 2009-11-17 at 20:09 +1100, Mark joshi wrote:
> Well all that really needs to be done is changing all the valarrays I
> changed to deques and timing the testsuite. The only slight subtlety
> is that the argument orders tend to be different for valarrays.

Ok, done. I've run the market-model test cases. On VC9, deque is about
1.5 % faster than vector (about 10 seconds out of 10 minutes) and
valarray is 2.5% faster than deque (another 15 sec.) Optimizations were
as specified in release mode.
With gcc and -O2, it makes hardly any difference in timing.

So what do we do? Do we switch to deque?

Luigi

--

The first thing we do, let's kill all the lawyers.
-- W. Shakespeare, "King Henry VI, Part II"

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Re: QuantLibAddin, Addin/Cpp

2009-11-17T10:31:03Z

Let's keep in touch and I will certainly let you know when I get back
into this in detail. I would definitely welcome any help you could
provide on this front.

Hi Eric,

I mad a few more steps last weekend:

1) copied/pasted a simple example (I call it calcaddins.cpp) based on http://wiki.services.openoffice.org/wiki/Calc/Add-In/Simple_Calc_Add-In and

http://wiki.services.openoffice.org/wiki/CompleteAddIn

2) modified OpenOffice.org3.1_SDK/examples/DevelopersGuide/Components/Makefile to compile the simple example and deploy it into Calc

3) managed to link the sdk example code with QuantLibAddin, ObjectHandler 0.9.9 etc.

4) added calcutils.cpp, init.cpp, conversions.cpp from QuantLibAddin/Addins/Calc to the compilation

5) added a few functions manually to the example code: qlVersion(), qlAddinVersion(), qlEuropeanExercise()

It is all in a very experimental stage (see attached), but at least it compiles on my Mac, the addin library gets deployed, the functions show up in Calc's function wizard, and they work.

At this point I think we could make the QuantLibAddin for Calc work in 0.9.9 with OOo 3 as it did in version 0.9.0 with Ooo 2.4 (I mean adding functions manually, have not looked into gensrc yet).

Before I continue digging into this, I'd like to discuss with you a bit more. For example, your IDL file looks already different from the example I have picked etc. I'm also curious whether the attached files work on your (I guess) Linux environment, too (definitely needs changing paths in the Makefile).

What do you think?

Best regards,

Roland

calcaddin.tar.gz (376K) Download Attachment

Re: FX Functions Code Contribution

2009-11-17T01:58:24Z

Just wanted to add some news regarding the code above. We're documenting it in a blog here:

http://www.mathfinance.de/forum/?p=346

The rest of the code will be discussed in upcoming discussions. Regards

2009/8/6 Luigi Ballabio <luigi.ballabio@...>

On Wed, 2009-08-05 at 15:10 +0200, Dima wrote:
> I discussed it ages ago, but its finally finished. I've uploaded new

> QuantLib code on www.longvega.com/FxFunctions.zip. [...] I'd be happy

> to see it somewhere in the trunk soon,
> so I can use it withing QuantLib.

Dima,
thanks for the code. I'll put it in the repository, but probably not
so soon as I'm trying to stabilize the existing code for the 1.0
release. Your code will probably get in the trunk after that.

Thanks again,

Luigi

--

fix, n.,v.
What one does when a problem has been reported too many times
to be ignored.
-- the Jargon file

Re: market models code

2009-11-17T01:09:09Z

Well all that really needs to be done is changing all the valarrays I
changed to deques and timing the testsuite. The only slight subtlety
is that the argument orders tend to be different for valarrays.

best

mark

2009/11/17 Luigi Ballabio <luigi.ballabio@...>:

> On Tue, 2009-11-17 at 13:03 +1100, Mark joshi wrote:
>> I'll put it on the "todo" list which is rather large right now...
>
> If it's just trying the timing, I can do that (I'd settle the thing for
> the 1.0 release---I'm not in a big hurry, but sometime in the next month
> or so would be nice.)
>
> Luigi
>
>
> --
>
> Father's got the sack from the water-works
> For smoking of his old cherry-briar;
> Father's got the sack from the water-works
> 'Cos he might set the water-works on fire.
>
>
>

Re: market models code

2009-11-17T00:57:29Z

On Tue, 2009-11-17 at 13:03 +1100, Mark joshi wrote:
> I'll put it on the "todo" list which is rather large right now...

If it's just trying the timing, I can do that (I'd settle the thing for
the 1.0 release---I'm not in a big hurry, but sometime in the next month
or so would be nice.)

Luigi

--

Father's got the sack from the water-works
For smoking of his old cherry-briar;
Father's got the sack from the water-works
'Cos he might set the water-works on fire.

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Re: market models code

2009-11-16T18:03:05Z

I'll put it on the "todo" list which is rather large right now...

2009/11/16 Luigi Ballabio <luigi.ballabio@...>:

> On Fri, 2009-11-13 at 21:52 +0100, Klaus Spanderen wrote:
>> I'm using deque<bool> as a drop-in replacement for vector<bool> because
>> deque<bool> is usually faster than vector<bool> (but needs more memory).
>
> deque looks good. Mark, would you try it out and see whether you get the
> same speed improvement as valarray?
>
> Luigi
>
>
>
> --
>
> I have yet to see any problem, however complicated, which, when you
> looked at it in the right way, did not become still more complicated.
> -- Poul Anderson
>
>
>

--
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: Generalized Hull White model with non-constant parameters

2009-11-16T12:06:36Z

1) The code is the same as in Sourceforge. Actually, in my sourceforge post, I provided a link (not the source code) to my original message in the quantlib-dev group.

For 3), I'm working on the copyright thing with our group manager. It's going to take sometime. Meanwhile, I would like to tidy up the code and write a good example case.

For 2), there is a concern. Sadruddin Rejeb and/or StatPro Italia srl didn't refer to any material about the trinomial tree generation method used in the code. Comparing to the documents I have used in coding, the trinomial tree structures are different by observation. I need some information about the trinomial tree generation method in the trinomialtree class. Or instead, I may create another trinomialtree class. In either caser, it would be better to know more about the current trinomialtree class.

Thank you,
Javit

Luigi Ballabio wrote:

On Tue, 2009-11-10 at 10:31 -0800, javit wrote:
> 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.

Thanks, Javit. I'll add the files to the library as soon as I get some
time. I've a few questions, namely:

1) are the files attached here the same as the ones in the Sourceforge
patch tracker, or is one version more recent than the other?

2) it would be nice to have a test case for the new classes to add to
the test suite. Do you think you can find some time to code it?

3) and finally, there's the usual matter of copyright attribution.
Should the copyright be attributed to you or your company (if any?)
And if you're not self-employed, are you sure that your company is ok
with you contributing code?

Later,
Luigi

--

Hanlon's Razor:
Never attribute to malice that which is adequately explained
by stupidity.

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

Re: Question to the Leap function in the Date class

2009-11-16T07:39:08Z

On Wed, 2009-10-21 at 11:50 +0200, Ferdinando Ametrano wrote:

> I suggest you to just replace the current implementation with
>
> #include <boost/date_time/gregorian/gregorian.hpp>
> [...]
> bool Date::isLeap(Year y) {
> return boost::gregorian::gregorian_calendar::is_leap_year(y);
> }
> [...]
>
> I will commit this change unless objections are raised

Nando,
with this change, one need to link the binary Boost.Date library with
QuantLib (whereas before this, the library only needed the Boost
headers.)

I might be fine with this if we used Boost.Date to implement most of our
Date class, but I wouldn't introduce the dependency just for checking
leap years beyond 2200...

Luigi

--

I hate quotations.
-- Ralph Waldo Emerson

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Re: Generalized Hull White model with non-constant parameters

2009-11-16T07:21:19Z

On Tue, 2009-11-10 at 10:31 -0800, javit wrote:
> 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.

Thanks, Javit. I'll add the files to the library as soon as I get some
time. I've a few questions, namely:

1) are the files attached here the same as the ones in the Sourceforge
patch tracker, or is one version more recent than the other?

2) it would be nice to have a test case for the new classes to add to
the test suite. Do you think you can find some time to code it?

3) and finally, there's the usual matter of copyright attribution.
Should the copyright be attributed to you or your company (if any?)
And if you're not self-employed, are you sure that your company is ok
with you contributing code?

Later,
Luigi

--

Hanlon's Razor:
Never attribute to malice that which is adequately explained
by stupidity.

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Re: market models code

2009-11-16T01:05:26Z

On Fri, 2009-11-13 at 21:52 +0100, Klaus Spanderen wrote:
> I'm using deque<bool> as a drop-in replacement for vector<bool> because
> deque<bool> is usually faster than vector<bool> (but needs more memory).

deque looks good. Mark, would you try it out and see whether you get the
same speed improvement as valarray?

Luigi

--

I have yet to see any problem, however complicated, which, when you
looked at it in the right way, did not become still more complicated.
-- Poul Anderson

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Re: market models code

2009-11-13T12:53:03Z

I discovered this odd property of valarray just weeks ago.

In his book Bjarne Stroustrup says the C++ standard on
valarray gives compiler writers much latitude so that they can use
tricks behind the scenes to speed up code.

Thus there may be a reason for this madness.

This is too bad, because valarray gives a nice way to do vector
processing and selecting (using valarray<bool>). Unfortunately,
you need to know how many items will be selected before the
code is run that does the selection! This greatly reduces the
utility and elegance of the approach.

Dominick

Mark joshi wrote:

> Ok you've convinced me that valarray is bad. I hate classes where =
> doesn't do what you expect!
>
> vector<bool> is bad too.
>
> Maybe we should be using a boost class for arrays of bools.
>
> best
>
> mark
>
>
> 2009/11/13 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.
>>>
>> Mark,
>> just for future reference: when using gcc, the test suite was failing
>> hard (access violations and such.) It turns out that according to the C
>> ++ standard, the valarray assignment operator is only required to work
>> when the two sides of the assignment have the same size (yes, one never
>> ends learning C++.) More details in the standard and at
>> <http://groups.google.com/group/comp.lang.c
>> ++/browse_thread/thread/b9ac323fd7f5578b/dba133d7b15e91e0?hl=en&ie=UTF-8>.
>>
>> Therefore, when one writes
>>
>> valarray<Foo> v1;
>> v1 = some_function();
>>
>> where some_function returns a (presumably not empty) valarray, the
>> behavior is undefined (the above effectively occurs, for instance, when
>> a valarray data member is initialized in the constructor body.) Visual
>> C++ tries to help the average programmer and does what one would expect
>> (i.e., resize v1 and copy.) Instead, gcc silently ignore the assignment
>> so that v1 ends up still empty. You say it's kind of snob of gcc? My
>> reaction exactly. Well, my second reaction. The first involved a lot
>> of cursing.
>>
>> Conclusion: I committed a few changes to keep the code portable.
>> Basically, one has to include a few valarray.resize() calls before
>> assignment. Unfortunately, we'll have to keep that in mind when we write
>> new valarray code.
>>
>> Luigi
>>
>>
>> P.S. About the MarketModel example: please whistle in my general
>> direction when it's done, so I can backport it to the 1.0 branch.
>> Thanks.
>>
>>
>>
>> --
>>
>> I'd never join any club that would have the likes of me as a member.
>> -- Groucho Marx
>>
>>
>>
>>
>
>
>
>

Re: market models code

2009-11-13T12:52:58Z

Hi Mark,

On Friday 13 November 2009 21:01:57 Mark joshi wrote:
> Ok you've convinced me that valarray is bad. I hate classes where =
> doesn't do what you expect!
>
> vector<bool> is bad too.
>
> Maybe we should be using a boost class for arrays of bools.

I'm using deque<bool> as a drop-in replacement for vector<bool> because
deque<bool> is usually faster than vector<bool> (but needs more memory).

cheers
Klaus

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Re: market models code

2009-11-13T12:01:57Z

Ok you've convinced me that valarray is bad. I hate classes where =
doesn't do what you expect!

vector<bool> is bad too.

Maybe we should be using a boost class for arrays of bools.

best

mark

2009/11/13 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.
>
> Mark,
> just for future reference: when using gcc, the test suite was failing
> hard (access violations and such.) It turns out that according to the C
> ++ standard, the valarray assignment operator is only required to work
> when the two sides of the assignment have the same size (yes, one never
> ends learning C++.) More details in the standard and at
> <http://groups.google.com/group/comp.lang.c
> ++/browse_thread/thread/b9ac323fd7f5578b/dba133d7b15e91e0?hl=en&ie=UTF-8>.
>
> Therefore, when one writes
>
> valarray<Foo> v1;
> v1 = some_function();
>
> where some_function returns a (presumably not empty) valarray, the
> behavior is undefined (the above effectively occurs, for instance, when
> a valarray data member is initialized in the constructor body.) Visual
> C++ tries to help the average programmer and does what one would expect
> (i.e., resize v1 and copy.) Instead, gcc silently ignore the assignment
> so that v1 ends up still empty. You say it's kind of snob of gcc? My
> reaction exactly. Well, my second reaction. The first involved a lot
> of cursing.
>
> Conclusion: I committed a few changes to keep the code portable.
> Basically, one has to include a few valarray.resize() calls before
> assignment. Unfortunately, we'll have to keep that in mind when we write
> new valarray code.
>
> Luigi
>
>
> P.S. About the MarketModel example: please whistle in my general
> direction when it's done, so I can backport it to the 1.0 branch.
> Thanks.
>
>
>
> --
>
> I'd never join any club that would have the likes of me as a member.
> -- Groucho Marx
>
>
>