Nabble - quantlib-users

Re: Heston model - Monte Carlo simulation

2009-11-09T00:51:50Z

Hello Everyone,

The aim of what I described below would be to evaluate an autocallable bond which is described as following:

Issue Size;Notes;Par per Note;Trade Date;Strike Date (Index value);Issue/payment date;Final Valuation Date;Final Redemption Date;Denomination;Issue price per note;Calendar
10000000;10000;1000;24/01/2008;24/01/2008(3809.07);07/02/2008;24/01/2013;07/02/2013;1000;London and TARGET

Index/Underlying=STOXX50E;
Trigger Level=65% closing value at strike date;
Protection Level=100% closing value at strike date;

Auto-Call Dates;IF STOXX50E >= Strike level; Then change at Early Redemption Date; to Early Redemption Amount; Next action
26/01/2009; 100% x Protection Level = 3809.07;09/02/2009; 112% x Denomination; -> Notes terminated and no further payment shall be made
25/01/2010; 95% x Protection Level; 08/02/2010; 124% x Denomination; -> Notes terminated and no further payment shall be made
24/01/2011; 90% x Protection Level; 07/02/2011; 136% x Denomination; -> Notes terminated and no further payment shall be made
24/01/2012; 85% x Protection Level; 07/02/2012; 148% x Denomination; -> Notes terminated and no further payment shall be made

Auto-Call Dates;IF STOXX50E >= Trigger Level;Then change at Redemption Date;to Redemption Amount
24/01/2013; 65% closing value at strike date; 07/02/2013; 160% x Denomination
; if NOT; 07/02/2013; 100% x (STOXX50E final / STOXX50E initial) x (100/65)

Evaluation date: 30/09/2009
Implied volatility:0.25667
Index value at evaluation date: 2872.63
Dividend: 0.033949938

To valuate it I thought of
1) Simulate a brownian motion
2) Evaluate at each auto-call dates le average of St

Someone has an idea?

Thank you in advance,

Regards,

Gilles

Heston model - Monte Carlo simulation

2009-11-06T09:19:49Z

Hello everyone,

I would like to evaluate the Heston model using a Monte Carlo simulation and get the values of the paths back, a kind of array [t, St], or better to get the average of the paths at certain dates. I went through the sources but I don’t see how to use the pricing engine for my purpose.

Does anyone have an idea to help me?

Thank you in advance and Have a nice weekend!

Regards,

Gilles

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Re: QuantLib 0.9.9 build problem (boost::none)

2009-11-03T04:28:20Z

I am not sure it relates but this thread is starting to look like a problem I
had so Ill jump in. I am on VC++2005, boost 1.38.0

I locally patch the lib with a few untested tricks. Anyway, this forces me to
remove the \Za flag to be able to use boost::thread. This was a known issue you
find in the boost forums, you trigger the macros not allowing threads if I
remember correctly.

Once that flag removed, the problem is that QL compil fails in:
Real AnalyticHestonEngine::Integration::calculate
in: analytichhestonengine.cpp

I havent investigated fully the reasons, looks like the compiler flags in boost
lib configuration files (at least my locals) are triggering somehow use of
boost::bind instead of boost::lambda::bind. Explicitly fully qualifying the use
of this and other lambdas solves the problem.

Are these the VC++2005 errors you mention?

I send you my local patch in case this is related to your problem. Of course
one should import the boost::lambda::_functs_ individually rather than the
spaghetti I am sending, but it shows the places if you perform a file compare.

Best regards
Pepe

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

> On Fri, 2009-10-30 at 07:22 -0700, Alexander Lotter wrote:
> > I also tried QuantLib 0.9.9 with 1.40 with default project settings in MS
> VS
> > 2005. It didn't worked and I had to remove /Za - flag, ANSI compatibility
> as
> > said in the QuantLib FAQ for .NET 2003 and could compile the project
> without
> > errors. It is better to turn it off in the project settings by default.
>
> I think that was done for VC++2005. Not for 2009, though---with
> compatibility disabled there were errors in some other files.
>
> Luigi
>
>
> --
>
> The First Rule of Optimization: Don't do it.
> The Second Rule of Optimization (For experts only): Don't do it yet.
> -- Michael Jackson
>
>
>
> ------------------------------------------------------------------------------
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> is the only developer event you need to attend this year. Jumpstart your
> developing skills, take BlackBerry mobile applications to market and stay
> ahead of the curve. Join us from November 9 - 12, 2009. Register now!
> http://p.sf.net/sfu/devconference
> _______________________________________________
> QuantLib-users mailing list
> QuantLib-users@...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
Copyright (C) 2004, 2005, 2008 Klaus Spanderen
Copyright (C) 2007 StatPro Italia srl

This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/

QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@...>. The license is also available online at
<http://quantlib.org/license.shtml>.

This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/

/*! \file hestonmodel.hpp
\brief analytic pricing engine for a heston option
based on fourier transformation
*/

#include <boost/math/special_functions/log1p.hpp>

#include <ql/math/functional.hpp>
#include <ql/math/integrals/simpsonintegral.hpp>
#include <ql/math/integrals/kronrodintegral.hpp>
#include <ql/math/integrals/trapezoidintegral.hpp>
#include <ql/math/integrals/gausslobattointegral.hpp>

#include <ql/instruments/payoffs.hpp>
#include <ql/pricingengines/vanilla/analytichestonengine.hpp>

#if defined(QL_PATCH_MSVC)
#pragma warning(disable: 4180)
#endif

#include <boost/lambda/if.hpp>
#include <boost/lambda/bind.hpp>
#include <boost/lambda/lambda.hpp>

using namespace boost::lambda;

namespace QuantLib {

// helper class for integration
class AnalyticHestonEngine::Fj_Helper
: public std::unary_function<Real, Real>
{
public:
Fj_Helper(const VanillaOption::arguments& arguments,
const boost::shared_ptr<HestonModel>& model,
const AnalyticHestonEngine* const engine,
ComplexLogFormula cpxLog,
Time term, Real ratio, Size j);

Fj_Helper(Real kappa, Real theta, Real sigma, Real v0, Real s0, Real rho,
const AnalyticHestonEngine* const engine,
ComplexLogFormula cpxLog,
Time term,
Real strike,
Real ratio,
Size j);

Fj_Helper(Real kappa, Real theta, Real sigma, Real v0, Real s0, Real rho,
ComplexLogFormula cpxLog,
Time term,
Real strike,
Real ratio,
Size j);

Real operator()(Real phi) const;

private:
const Size j_;
// const VanillaOption::arguments& arg_;
const Real kappa_, theta_, sigma_, v0_;
const ComplexLogFormula cpxLog_;

// helper variables
const Time term_;
const Real x_, sx_, dd_;
const Real sigma2_, rsigma_;
const Real t0_;

// log branch counter
mutable int b_; // log branch counter
mutable Real g_km1_; // imag part of last log value

const AnalyticHestonEngine* const engine_;
};

AnalyticHestonEngine::Fj_Helper::Fj_Helper(
const VanillaOption::arguments& arguments,
const boost::shared_ptr<HestonModel>& model,
const AnalyticHestonEngine* const engine,
ComplexLogFormula cpxLog,
Time term, Real ratio, Size j)
: j_ (j), //arg_(arguments),
kappa_(model->kappa()), theta_(model->theta()),
sigma_(model->sigma()), v0_(model->v0()),
cpxLog_(cpxLog), term_(term),
x_(std::log(model->process()->s0()->value())),
sx_(std::log(boost::dynamic_pointer_cast<StrikedTypePayoff>
(arguments.payoff)->strike())),
dd_(x_-std::log(ratio)),
sigma2_(sigma_*sigma_),
rsigma_(model->rho()*sigma_),
t0_(kappa_ - ((j_== 1)? model->rho()*sigma_ : 0)),
b_(0), g_km1_(0),
engine_(engine)
{
}

AnalyticHestonEngine::Fj_Helper::Fj_Helper(Real kappa, Real theta, Real sigma, Real v0, Real s0, Real rho,
const AnalyticHestonEngine* const engine,
ComplexLogFormula cpxLog,
Time term,
Real strike,
Real ratio,
Size j)
:
j_(j),
kappa_(kappa),
theta_(theta),
sigma_(sigma),
v0_(v0),
cpxLog_(cpxLog),
term_(term),
x_(std::log(s0)),
sx_(std::log(strike)),
dd_(x_-std::log(ratio)),
sigma2_(sigma_*sigma_),
rsigma_(rho*sigma_),
t0_(kappa - ((j== 1)? rho*sigma : 0)),
b_(0),
g_km1_(0),
engine_(engine)
{
}

AnalyticHestonEngine::Fj_Helper::Fj_Helper(Real kappa, Real theta, Real sigma, Real v0, Real s0, Real rho,
ComplexLogFormula cpxLog,
Time term,
Real strike,
Real ratio,
Size j)
:
j_(j),
kappa_(kappa),
theta_(theta),
sigma_(sigma),
v0_(v0),
cpxLog_(cpxLog),
term_(term),
x_(std::log(s0)),
sx_(std::log(strike)),
dd_(x_-std::log(ratio)),
sigma2_(sigma_*sigma_),
rsigma_(rho*sigma_),
t0_(kappa - ((j== 1)? rho*sigma : 0)),
b_(0),
g_km1_(0),
engine_(0)
{
}

Real AnalyticHestonEngine::Fj_Helper::operator()(Real phi) const
{
const Real rpsig(rsigma_*phi);

const std::complex<Real> t1 = t0_+std::complex<Real>(0, -rpsig);
const std::complex<Real> d =
std::sqrt(t1*t1 - sigma2_*phi
*std::complex<Real>(-phi, (j_== 1)? 1 : -1));
const std::complex<Real> ex = std::exp(-d*term_);

if (cpxLog_ == Gatheral) {
if (phi != 0.0) {
const std::complex<Real> p = (t1-d)/(t1+d);
const std::complex<Real> g
= std::log((1.0 - p*std::exp(-d*term_))/(1.0 - p));

std::complex<Real> addOnTerm = engine_ > 0 ? engine_->addOnTerm(phi, term_, j_) :0;

return
std::exp(v0_*(t1-d)*(1.0-ex)/(sigma2_*(1.0-ex*p))
+ (kappa_*theta_)/sigma2_*((t1-d)*term_-2.0*g)
+ std::complex<Real>(0.0, phi*(dd_-sx_))
+ addOnTerm
).imag()/phi;
}
else {
// use l'Hospital's rule to get lim_{phi->0}
if (j_ == 1) {
const Real kmr = rsigma_-kappa_;
if (std::fabs(kmr) > 1e-7) {
return dd_-sx_
+ (std::exp(kmr*term_)*kappa_*theta_
-kappa_*theta_*(kmr*term_+1.0) ) / (2*kmr*kmr)
- v0_*(1.0-std::exp(kmr*term_)) / (2.0*kmr);
}
else
// \kappa = \rho * \sigma
return dd_-sx_ + 0.25*kappa_*theta_*term_*term_
+ 0.5*v0_*term_;
}
else {
const std::complex<Real> p = (t1-d)/(t1+d);
const std::complex<Real> g
= std::log((1.0 - p*std::exp(-d*term_))/(1.0 - p));

return dd_-sx_
- (std::exp(-kappa_*term_)*kappa_*theta_
+kappa_*theta_*(kappa_*term_-1.0))/(2*kappa_*kappa_)
- v0_*(1.0-std::exp(-kappa_*term_))/(2*kappa_);
}
}
}
else if (cpxLog_ == BranchCorrection) {
const std::complex<Real> p = (t1+d)/(t1 - d);

// next term: g = std::log((1.0 - p*std::exp(d*term_))/(1.0 - p))
std::complex<Real> g;

g = std::log((1.0 - p*std::exp(-d*term_))/(1.0 - p));

// the exp of the following expression is needed.
const std::complex<Real> e = std::log(p)+d*term_;

// does it fit to the machine precision?
if (std::exp(-e.real()) > QL_EPSILON) {
g = std::log((1.0 - p*std::exp(d*term_))/(1.0 - p));
} else {
// use a "big phi" approximation
g = d*term_ + std::log(p/(p - 1.0));

if (g.imag() > M_PI || g.imag() <= -M_PI) {
// get back to principal branch of the complex logarithm
Real im = std::fmod(g.imag(), 2*M_PI);
if (im > M_PI)
im -= 2*M_PI;
else if (im <= -M_PI)
im += 2*M_PI;

g = std::complex<Real>(g.real(), im);
}
}

// be careful here as we have to use a log branch correction
// to deal with the discontinuities of the complex logarithm.
// the principal branch is not always the correct one.
// (s. A. Sepp, chapter 4)
// remark: there is still the change that we miss a branch
// if the order of the integration is not high enough.
const Real tmp = g.imag() - g_km1_;
if (tmp <= -M_PI)
++b_;
else if (tmp > M_PI)
--b_;

g_km1_ = g.imag();
g += std::complex<Real>(0, 2*b_*M_PI);

std::complex<Real> addOnTerm = engine_ > 0 ? engine_->addOnTerm(phi, term_, j_) :0;

return std::exp(v0_*(t1+d)*(ex-1.0)/(sigma2_*(ex-p))
+ (kappa_*theta_)/sigma2_*((t1+d)*term_-2.0*g)
+ std::complex<Real>(0,phi*(dd_-sx_))
+ addOnTerm
).imag()/phi;
}
else {
QL_FAIL("unknown complex logarithm formula");
return 0.0;
}
}

AnalyticHestonEngine::AnalyticHestonEngine(
const boost::shared_ptr<HestonModel>& model,
Size integrationOrder)
: GenericModelEngine<HestonModel,
VanillaOption::arguments,
VanillaOption::results>(model),
cpxLog_ (Gatheral),
integration_(new Integration(
Integration::gaussLaguerre(integrationOrder))) {
}

AnalyticHestonEngine::AnalyticHestonEngine(
const boost::shared_ptr<HestonModel>& model,
Real relTolerance, Size maxEvaluations)
: GenericModelEngine<HestonModel,
VanillaOption::arguments,
VanillaOption::results>(model),
cpxLog_(Gatheral),
integration_(new Integration(Integration::gaussLobatto(
relTolerance, Null<Real>(), maxEvaluations))) {
}

AnalyticHestonEngine::AnalyticHestonEngine(
const boost::shared_ptr<HestonModel>& model,
ComplexLogFormula cpxLog,
const Integration& integration)
: GenericModelEngine<HestonModel,
VanillaOption::arguments,
VanillaOption::results>(model),
cpxLog_(cpxLog),
integration_(new Integration(integration)) {
QL_REQUIRE( cpxLog_ != BranchCorrection
|| !integration.isAdaptiveIntegration(),
"Branch correction does not work in conjunction "
"with adaptive integration methods");
}

Size AnalyticHestonEngine::numberOfEvaluations() const {
return evaluations_;
}

std::complex<Real>
AnalyticHestonEngine::addOnTerm(Real, Time, Size) const {
return std::complex<Real>(0,0);
}

void AnalyticHestonEngine::doCalculation(Real riskFreeDiscount,
Real dividendDiscount,
Real spotPrice,
Real strikePrice,
Real term,
Real kappa, Real theta, Real sigma, Real v0, Real rho,
const TypePayoff& type,
const Integration& integration,
const ComplexLogFormula cpxLog,
const AnalyticHestonEngine* const enginePtr,
Real& value,
Size& evaluations)
{

const Real ratio = riskFreeDiscount/dividendDiscount;

const Real c_inf = std::min(10.0, std::max(0.0001,
std::sqrt(1.0-square<Real>()(rho))/sigma))
*(v0 + kappa*theta*term);

evaluations = 0;
const Real p1 = integration.calculate(c_inf,

Fj_Helper(kappa,theta,sigma,v0,spotPrice,rho, enginePtr, cpxLog, term, strikePrice, ratio, 1))
//Fj_Helper(arguments_, model_, this, cpxLog_, term, ratio, 1))
/M_PI;
evaluations+= integration.numberOfEvaluations();

const Real p2 = integration.calculate(c_inf,
Fj_Helper(kappa,theta,sigma,v0,spotPrice,rho, enginePtr, cpxLog, term, strikePrice, ratio, 2))
//Fj_Helper(arguments_, model_, this, cpxLog_, term, ratio, 2))
/M_PI;
evaluations+= integration.numberOfEvaluations();

switch (type.optionType())
{
case Option::Call:
value = spotPrice*dividendDiscount*(p1+0.5)
- strikePrice*riskFreeDiscount*(p2+0.5);
break;
case Option::Put:
value = spotPrice*dividendDiscount*(p1-0.5)
- strikePrice*riskFreeDiscount*(p2-0.5);
break;
default:
QL_FAIL("unknown option type");
}

}

void AnalyticHestonEngine::calculate() const
{
// this is a european option pricer
QL_REQUIRE(arguments_.exercise->type() == Exercise::European,
"not an European option");

// plain vanilla
boost::shared_ptr<PlainVanillaPayoff> payoff =
boost::dynamic_pointer_cast<PlainVanillaPayoff>(arguments_.payoff);
QL_REQUIRE(payoff, "non-striked payoff given");

const boost::shared_ptr<HestonProcess>& process = model_->process();

const Real riskFreeDiscount = process->riskFreeRate()->discount(
arguments_.exercise->lastDate());
const Real dividendDiscount = process->dividendYield()->discount(
arguments_.exercise->lastDate());

const Real spotPrice = process->s0()->value();
QL_REQUIRE(spotPrice > 0.0, "negative or null underlying given");

const Real strikePrice = payoff->strike();
const Real term = process->time(arguments_.exercise->lastDate());

doCalculation(riskFreeDiscount,
dividendDiscount,
spotPrice,
strikePrice,
term,
model_->kappa(),
model_->theta(),
model_->sigma(),
model_->v0(),
model_->rho(),
*payoff,
*integration_,
cpxLog_,
this,
results_.value,
evaluations_);
}

AnalyticHestonEngine::Integration::Integration(
Algorithm intAlgo,
const boost::shared_ptr<Integrator>& integrator)
: intAlgo_(intAlgo),
integrator_(integrator) { }

AnalyticHestonEngine::Integration::Integration(
Algorithm intAlgo,
const boost::shared_ptr<GaussianQuadrature>& gaussianQuadrature)
: intAlgo_(intAlgo),
gaussianQuadrature_(gaussianQuadrature) { }

AnalyticHestonEngine::Integration
AnalyticHestonEngine::Integration::gaussLobatto(Real relTolerance,
Real absTolerance,
Size maxEvaluations) {
return Integration(GaussLobatto,
boost::shared_ptr<Integrator>(
new GaussLobattoIntegral(maxEvaluations,
absTolerance,
relTolerance,
false)));
}

AnalyticHestonEngine::Integration
AnalyticHestonEngine::Integration::gaussKronrod(Real absTolerance,
Size maxEvaluations) {
return Integration(GaussKronrod,
boost::shared_ptr<Integrator>(
new GaussKronrodAdaptive(absTolerance,
maxEvaluations)));
}

AnalyticHestonEngine::Integration
AnalyticHestonEngine::Integration::simpson(Real absTolerance,
Size maxEvaluations) {
return Integration(Simpson,
boost::shared_ptr<Integrator>(
new SimpsonIntegral(absTolerance,
maxEvaluations)));
}

AnalyticHestonEngine::Integration
AnalyticHestonEngine::Integration::trapezoid(Real absTolerance,
Size maxEvaluations) {
return Integration(Trapezoid,
boost::shared_ptr<Integrator>(
new TrapezoidIntegral<Default>(absTolerance,
maxEvaluations)));
}

AnalyticHestonEngine::Integration
AnalyticHestonEngine::Integration::gaussLaguerre(Size intOrder) {
QL_REQUIRE(intOrder <= 192, "maximum integraton order (192) exceeded");
return Integration(GaussLaguerre,
boost::shared_ptr<GaussianQuadrature>(
new GaussLaguerreIntegration(intOrder)));
}

AnalyticHestonEngine::Integration
AnalyticHestonEngine::Integration::gaussLegendre(Size intOrder) {
return Integration(GaussLegendre,
boost::shared_ptr<GaussianQuadrature>(
new GaussLegendreIntegration(intOrder)));
}

AnalyticHestonEngine::Integration
AnalyticHestonEngine::Integration::gaussChebyshev(Size intOrder) {
return Integration(GaussChebyshev,
boost::shared_ptr<GaussianQuadrature>(
new GaussChebyshevIntegration(intOrder)));
}

AnalyticHestonEngine::Integration
AnalyticHestonEngine::Integration::gaussChebyshev2th(Size intOrder) {
return Integration(GaussChebyshev2th,
boost::shared_ptr<GaussianQuadrature>(
new GaussChebyshev2thIntegration(intOrder)));
}

Size AnalyticHestonEngine::Integration::numberOfEvaluations() const {
if (integrator_) {
return integrator_->numberOfEvaluations();
}
else if (gaussianQuadrature_) {
return gaussianQuadrature_->order();
}
else {
QL_FAIL("neither Integrator nor GaussianQuadrature given");
}
}

bool AnalyticHestonEngine::Integration::isAdaptiveIntegration() const {
return intAlgo_ == GaussLobatto
|| intAlgo_ == GaussKronrod
|| intAlgo_ == Simpson
|| intAlgo_ == Trapezoid;
}

Real AnalyticHestonEngine::Integration::calculate(
Real c_inf,
const boost::function1<Real, Real>& f) const {
Real retVal;

switch(intAlgo_) {
case GaussLaguerre:
retVal = gaussianQuadrature_->operator()(f);
break;
case GaussLegendre:
case GaussChebyshev:
case GaussChebyshev2th:
retVal = gaussianQuadrature_->operator()(
boost::function1<Real, Real>(
boost::lambda::if_then_else_return (
(boost::lambda::_1+1.0)*c_inf > QL_EPSILON,
boost::lambda::bind(f, -boost::lambda::bind(std::ptr_fun<Real,Real>(std::log),
0.5 * boost::lambda::_1 + 0.5) / c_inf
)/((boost::lambda::_1+1.0)*c_inf),
boost::lambda::bind(constant<Real, Real>(0.0), boost::lambda::_1))
));
break;
case Simpson:
case Trapezoid:
case GaussLobatto:
case GaussKronrod:
retVal = integrator_->operator()(
boost::function1<Real, Real>(
boost::lambda::if_then_else_return (
boost::lambda::_1*c_inf > QL_EPSILON,
boost::lambda::bind(f,-boost::lambda::bind(std::ptr_fun<Real,Real>(std::log), boost::lambda::_1) /c_inf) /(boost::lambda::_1*c_inf),
boost::lambda::bind(constant<Real, Real>(0.0), boost::lambda::_1)
)
),
0.0, 1.0);
break;
default:
QL_FAIL("unknwon integration algorithm");
}

return retVal;
}
}

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Re: QuantLib 0.9.9 build problem (boost::none)

2009-11-03T03:14:29Z

On Fri, 2009-10-30 at 07:22 -0700, Alexander Lotter wrote:
> I also tried QuantLib 0.9.9 with 1.40 with default project settings in MS VS
> 2005. It didn't worked and I had to remove /Za - flag, ANSI compatibility as
> said in the QuantLib FAQ for .NET 2003 and could compile the project without
> errors. It is better to turn it off in the project settings by default.

I think that was done for VC++2005. Not for 2009, though---with
compatibility disabled there were errors in some other files.

Luigi

--

The First Rule of Optimization: Don't do it.
The Second Rule of Optimization (For experts only): Don't do it yet.
-- Michael Jackson

------------------------------------------------------------------------------
Come build with us! The BlackBerry(R) Developer Conference in SF, CA
is the only developer event you need to attend this year. Jumpstart your
developing skills, take BlackBerry mobile applications to market and stay
ahead of the curve. Join us from November 9 - 12, 2009. Register now!
http://p.sf.net/sfu/devconference
_______________________________________________
QuantLib-users mailing list
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Re: ql/experimental/inflation/yoycapfloortermpricesurface.hpp: bug in intersect() ? (raffaele.pellicani@zkb.ch)

2009-10-31T05:15:04Z

Hi,

yes, this was a bug (thanks Raffaele). The fix is now in the 0.99 branch as:

if ( floorPrice_(t,fStrikes_.back()) > capPrice_(t,fStrikes_.back()) ) {

logic as before.

Changing to fStrikes_.back() on both sides of the comparison ensures that the same strike is used (also as suggested), otherwise strange effects are possible.

Best regards,
Chris

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Re: QuantLib 0.9.9 build problem (boost::none)

2009-10-30T07:22:41Z

Hello Luigi,

that did a trick and I could compile QuantLib 0.9.9 with 1.33.1

I also tried QuantLib 0.9.9 with 1.40 with default project settings in MS VS 2005. It didn't worked and I had to remove /Za - flag, ANSI compatibility as said in the QuantLib FAQ for .NET 2003 and could compile the project without errors. It is better to turn it off in the project settings by default.

Have a nice weekend.

Take care,

Alexander

Alexander Lotter wrote:

Dear all,

I've just checked out the actuall QuantLib 0.9.9 from the trunk and couldn't compile it with my old boost 1.33.1. What is the new min boost requirement for the lib? I worked with 0.9.7 before and boost 1.33.1 was enought.

Thanks in advance.

Alexander

Re: Bootstrapping US Treasury Curve with fake zero coupon bonds

2009-10-29T12:47:02Z

Thanks, Luigi.
This particular problem was actually caused by me passing 0 for bond redemptions by mistake, sorry!

Luigi Ballabio wrote:

On Tue, 2009-10-20 at 11:51 -0700, pdrubetskoy wrote:
> I am also having similar issues bootstrapping a treasury curve with
> QuantLib. Has there been any resolution to this thread?

Not that I know of. However, my guess is that unconstrained Cubic
interpolation oscillates too much and the bootstrapper cannot find a
solution; other interpolations work.

Would you have time to debug the problem?

Luigi

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Re: Bootstrapping US Treasury Curve with fake zero coupon bonds

2009-10-29T09:22:13Z

On Tue, 2009-10-20 at 11:51 -0700, pdrubetskoy wrote:
> I am also having similar issues bootstrapping a treasury curve with
> QuantLib. Has there been any resolution to this thread?

Not that I know of. However, my guess is that unconstrained Cubic
interpolation oscillates too much and the bootstrapper cannot find a
solution; other interpolations work.

Would you have time to debug the problem?

Luigi

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Re: QuantLib 0.9.9 build problem (boost::none)

2009-10-29T08:55:39Z

On Thu, 2009-10-29 at 06:48 -0700, Alexander Lotter wrote:
> I've just checked out the actuall QuantLib 0.9.9 from the trunk and couldn't
> compile it with my old boost 1.33.1. What is the new min boost requirement
> for the lib? I worked with 0.9.7 before and boost 1.33.1 was enought.

It works with 1.35 on one of my boxes. I'm not sure about earlier
versions, but if the problem is boost::none, 1.34 should work from what
I read on the Boost site. If you want to keep 1.33.1, the code should
work (please me know if it does or not) if you replace boost::none with
boost::none_t() everywhere---note the (). You might have to include
some additional Boost header to get the declaration of boost::none_t.

Luigi

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QuantLib 0.9.9 build problem (boost::none)

2009-10-29T06:48:33Z

Dear all,

I've just checked out the actuall QuantLib 0.9.9 from the trunk and couldn't compile it with my old boost 1.33.1. What is the new min boost requirement for the lib? I worked with 0.9.7 before and boost 1.33.1 was enought.

Thanks in advance.

Alexander

Re: Additional result as an array

2009-10-22T00:46:24Z

On Thu, 2009-10-22 at 00:00 -0700, Yomi wrote:
> I doubled check and indeed it can contain arrays.
> But if you use the qlInstrumentResults function, you get the following error
> message:
>
> qlInstrumentResults - boost::bad_any_cast: failed conversion using
> boost::any_cast

Oh, you meant in Excel. Yes, that's limited to doubles (no templates
there.) You'll need to generalize the function somehow. At a pinch,
you can probably create another one that performs the correct cast.
Nando? Eric?

Luigi

--

fix, n.,v.
What one does when a problem has been reported too many times
to be ignored.
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Re: Additional result as an array

2009-10-22T00:00:22Z

I doubled check and indeed it can contain arrays.
But if you use the qlInstrumentResults function, you get the following error message:

qlInstrumentResults - boost::bad_any_cast: failed conversion using boost::any_cast

I don't know if I do something wrong but I would like to dump my greeks in excel when needed and it was sounding the natural way.

Tx

Dimathematician wrote:

Luigi Ballabio schrieb:
> On Oct 21, 2009, at 6:31 PM, Yomi wrote:
>
>> Here is what I am trying to do:
>> I have a PDE engine that I am happy with but I would like to see the
>> delta
>> on the full grid (to see the behavior at the barrier).
>> As of today the additionalResults_ should be a single value due to the
>> boost::any type.
>>
>
> As far as I know, boost::any can contain any type including arrays. Am
> I wrong?
>
> Luigi
>
>
> ------------------------------------------------------------------------------
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>
Yes it can include arrays, or any-thing

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Re: Additional result as an array

2009-10-21T22:33:33Z

Luigi Ballabio schrieb:

> On Oct 21, 2009, at 6:31 PM, Yomi wrote:
>
>> Here is what I am trying to do:
>> I have a PDE engine that I am happy with but I would like to see the
>> delta
>> on the full grid (to see the behavior at the barrier).
>> As of today the additionalResults_ should be a single value due to the
>> boost::any type.
>>
>
> As far as I know, boost::any can contain any type including arrays. Am
> I wrong?
>
> Luigi
>
>
> ------------------------------------------------------------------------------
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>
>

Yes it can include arrays, or any-thing

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Re: Additional result as an array

2009-10-21T11:46:31Z

On Oct 21, 2009, at 6:31 PM, Yomi wrote:
> Here is what I am trying to do:
> I have a PDE engine that I am happy with but I would like to see the
> delta
> on the full grid (to see the behavior at the barrier).
> As of today the additionalResults_ should be a single value due to the
> boost::any type.

As far as I know, boost::any can contain any type including arrays. Am
I wrong?

Luigi

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Additional result as an array

2009-10-21T09:31:46Z

Hi,

Here is what I am trying to do:
I have a PDE engine that I am happy with but I would like to see the delta on the full grid (to see the behavior at the barrier).
As of today the additionalResults_ should be a single value due to the boost::any type.
Is there any otherway to see my result instead of developping a pecial function for this special model?

Cheers

ql/experimental/inflation/yoycapfloortermpricesurface.hpp: bug in intersect() ?

2009-10-21T07:41:25Z

Hi,

ATM swap rates come from put-call parity on inflation cap/floor premiums.
The intersection is made in ql/experimenta/yoycapfloortermpricesurface.hpp/ InterpolatedYoYCapFloorTermPriceSurface::intersect()
The code below refers to this function.

I think that the line:

if ( floorPrice_(t,cStrikes_.back()) > capPrice_(t,cStrikes_.front()) ) {
should be changed in:

if ( floorPrice_(t,fStrikes_.back()) > capPrice_(t,cStrikes_.front()) ) {

That is, if the floor price at fStrikes_.back(),the last strike available for floors is higher than cStrikes_.front(),
the cap price at the first strike available for caps, the fixed leg in the associated YoY Inflation Swap is paying too much.
Hence, the search must be oriented towards ATM Swap Rate( t ) < fStrikes_.back() and the code following the line above gains sense.

So far, I've worked with data where fStrikes_.back() = cStrikes_.front() = 2% (the standard market convention in quoting caps/floors).
The ATM Swap curve I get after the change is compatible with the ZC Inflation Swap market.

Regards,
Raffaele

Freundliche Grüsse
Raffaele Pellicani
Zürcher Kantonalbank
Financial Engineering Handel, SIPH

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Re: Bootstrapping US Treasury Curve with fake zero coupon bonds

2009-10-20T11:51:30Z

Hi,
I am also having similar issues bootstrapping a treasury curve with QuantLib. Has there been any resolution to this thread?
Any help would be appreciated,
Peter

Irakli Machabeli-2 wrote:

Luigi,

I get this error if I try to bootstrap curve from c# code
1st iteration: could not bootstrap the 1st instrument, maturity March 19th,
2009: root not bracketed: f[2.22045e-016,3] ->
[-9.996249e+001,-4.730857e+001]

....

Re: Unresolved external symbol when building python

2009-10-20T01:06:02Z

On Mon, 2009-10-19 at 19:01 -0700, tglauner wrote:
> I actually resolved the issue by adding '/EHsc' to the extra compile flags.
> Apologies for the original post.

No apologies required--in fact, it's good to have the problem and
solution archived here.

Luigi

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Re: Unresolved external symbol when building python

2009-10-19T19:01:03Z

I actually resolved the issue by adding '/EHsc' to the extra compile flags. Apologies for the original post.

Re: fatal error C1055: compiler limit : out of keys

2009-10-19T04:34:47Z

On Sun, Oct 18, 2009 at 6:42 PM, Andrea Loddo <anloddo@...> wrote:
> I got this error message when trying to compile QuanrLibAddin (full) in
> debug mode with boost 1.34 and VC 7.1.
> Any idea?

a couple...

1) get rid of VC7.1 and get VC9 instead

2) QuantLibXL (and maybe QuantLibAddin) would need to be splitted in 3
(dates, math, and the rest) in order to reduce complexity, ease
modular upgrades, reduce linking times, etc

the first point can be satisfied easily, unless you have some
exogenous constraint to stick with VC7.
the second one is a lot of boring work... volunteers welcomed

ciao -- Nando

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fatal error C1055: compiler limit : out of keys

2009-10-18T09:42:38Z

Hi,

I got this error message when trying to compile QuanrLibAddin (full) in debug mode with boost 1.34 and VC 7.1.

Any idea?

Thanks,

Andrea

Unresolved external symbol when building python

2009-10-16T13:49:12Z

I am trying to use the Python wrapper for Quantlib but have trouble building and installing the python part. I am on XP and use VS 2008 with boost 34.

Could you please guide me on how to fix this.
Tim

Here is the error:
C:\Program Files\QuantLib-SWIG-0.9.7\Python>python setup.py build test
running build
running build_py
not copying QuantLib\__init__.py (output up-to-date)
not copying QuantLib\__init__.py (output up-to-date)
not copying QuantLib\QuantLib.py (output up-to-date)
running build_ext
building 'QuantLib._QuantLib' extension
Calling 'vcvarsall.bat x86' (version=9.0)
skipping QuantLib/quantlib_wrap.cpp (build\temp.win32-2.6\Release\QuantLib/quantlib_wrap.obj up-to-date)
C:\Program Files\Microsoft Visual Studio 9.0\VC\BIN\link.exe /DLL /nologo /INCREMENTAL:NO /LIBPATH:C:\Python26\libs /LIBPATH:C:\Python26\PCbuild "/LIBPATH:c:\Program Files\QuantLib-0.9.7\lib" "/LIBPATH:C:\Program Files\boost\boost_1_34_0" /EXPORT:init_QuantLib build\temp.win32-2.6\Release\QuantLib/quantlib_wrap.obj /OUT:build\lib.win32-2.6\QuantLib\_QuantLib.pyd /IMPLIB:build\temp.win32-2.6\Release\QuantLib\_QuantLib.lib /MANIFESTFILE:build\temp.win32-2.6\Release\QuantLib\_QuantLib.pyd.manifest /subsystem:windows /machine:I386
Creating library build\temp.win32-2.6\Release\QuantLib\_QuantLib.lib and object build\temp.win32-2.6\Release\QuantLib\_QuantLib.exp
quantlib_wrap.obj : error LNK2019: unresolved external symbol "void __cdecl boost::throw_exception(class std::exception const &)" (?throw_exception@boost@@YAXABVexception@std@@@Z) referenced in function "public: double __thiscall boost::function1<double,double,class std::allocator<void> >::operator()(double)const " (??R?$function1@NNV?$allocator@X@std@@@boost@@QBENN@Z)
build\lib.win32-2.6\QuantLib\_QuantLib.pyd : fatal error LNK1120: 1 unresolved externals
error: command '"C:\Program Files\Microsoft Visual Studio 9.0\VC\BIN\link.exe"' failed with exit status 1120

Need help with qlRateHelperSelection

2009-10-15T10:29:48Z

quantuser@...

I am very new to quantlib. So far trying to maintain a user application that calling qlratehelperselction to return a set of selected depo, futures and swaps. Somehow, not all of these instruments have returned values, and the result array shifted up with the return value. Will this meaning I am using wrong instrument ID? I am using qlDepositRateHelper/qlFutureRateHelper/qlSwapRateHelper to get following instrument ID.

AllRateHelpers Priority Selected
DepoONO#0002 1 DepoO2W
DepoO1W#0008 1 FUTTZ9
DepoO2W#0005 1 FUTTH0
DepoO1M#0002 1 FUTTM0
Depo2M#0004 1 FUTTU0
DepoO3M#0003 1 FUTTZ0
DepoO6M#0002 1 FUTTH1
FUTTZ9#0009 1 FUTTM1
FUTTH0#0003 1 FUTTU1
FUTTM0#0002 4 SwapP3Y
FUTTU0#0002 4 SwapP4Y
FUTTZ0#0002 4 SwapP5Y
FUTTH1#0000 4 SwapP6Y
FUTTM1#0000 4 SwapP7Y
FUTTU1#0000 4 SwapP8Y
SwapP3Y#0012 4 SwapP9Y
SwapP4Y#0002 4 SwapP10Y
SwapP5Y#0002 3 SwapP15Y
SwapP6Y#0002 3 SwapP20Y
SwapP7Y#0002 3 SwapP25Y
SwapP8Y#0002 3 SwapP30Y
SwapP9Y#0000 3 #N/A
SwapP10Y#0000 3 #N/A
SwapP15Y#0000 3 #N/A
SwapP20Y#0000 3 #N/A
SwapP25Y#0000 3 #N/A
SwapP30Y#0000 3 #N/A

Thanks in advance!

Re: Can't build QuantLib 0.9.7 with Boost 1.40

2009-10-13T01:41:54Z

On Mon, 2009-10-12 at 14:12 -0700, Tactic wrote:
> I don't have any mention of Service Packs in the list.
>
> What I have is Microsoft Visual Studio .Net 2003 Hotfix if it's of any
> relevance.

I don't know. Maybe you might ask your lab administrator if he can check
whether he can apply any updates?

Luigi

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Re: Can't build QuantLib 0.9.7 with Boost 1.40

2009-10-12T14:12:32Z

Luigi Ballabio wrote:

This might be it--I have 7.1.6030. I also have Service Pack 1 in the
list of installed products (under Help/About MVC++.) Do you?

Luigi

I don't have any mention of Service Packs in the list.

What I have is Microsoft Visual Studio .Net 2003 Hotfix if it's of any relevance.

Product details: This is a hotfix to the Microsoft Visual Studio .NET 2003. When you install a later service pack, this hotfix will uninstall automatically for you. The fix will then be applied by the service pack you are installing.

Re: Can't build QuantLib 0.9.7 with Boost 1.40

2009-10-12T05:20:16Z

On Fri, 2009-10-09 at 03:40 -0700, Tactic wrote:
> It's a university machine, the software was installed by our IT staff.
>
> Microsoft Development Environment 2003 Version 7.1.3088

This might be it--I have 7.1.6030. I also have Service Pack 1 in the
list of installed products (under Help/About MVC++.) Do you?

Luigi

--

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Re: About Rainbow Option

2009-10-12T05:17:29Z

On Sat, 2009-10-10 at 17:46 -0500, Bohan Liu wrote:
> Dear all,
>
> Is there a Rainbow option in Multiassets Option?

No, there isn't.

Luigi

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There is not now, and never will be, a language in
which it is the least bit difficult to write bad programs.

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Re: C# - SWIG

2009-10-12T05:14:50Z

On Tue, 2009-10-06 at 06:05 -0700, sachurao wrote:
> Hi I'm getting the same error as well and I don't think it is related to the
> Date constructor. The first call in my code is creating a calendar and it
> throws the same exception:
>
> Calendar c = new UnitedStates();
>
> Are we aware of any solution for this? It might be that I'm not set up
> correctly.

Do the distributed examples work? They should when they're launched from
the IDE.

Luigi

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works.
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About Rainbow Option

2009-10-10T15:46:18Z

Dear all,

Is there a Rainbow option in Multiassets Option?

Best,

Bohan

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[QuantLibLXL 0.9.7] sparse SABR volatility surface/smile section invalid quote

2009-10-09T08:51:58Z

Hi:

Just looking for some advice - I need to construct a swaption volatility surface (ATM vols across option expiration and swap tenors) with sparse data, the swaption surface object qlSabrVolSurface() returns a valid object but when trying to extract sections from it with the corresponding smile sections (qlSmileSectionFromSabrVolSurface) got an error "invalid SimpleQuote" (due to missing quotes at certain expirations and swap tenors).

Not sure if there is a solution beside gluing together individual slices of the surface and extrapolate/interpolate the missing data? Anyone one tried a "sparse" volatility interpolation?

Thank you,
Radu

Re: Can't build QuantLib 0.9.7 with Boost 1.40

2009-10-09T03:40:21Z

Luigi Ballabio wrote:

Did you check that you installed service packs etc.? Or, may
you get the exact version of your compiler so we can compare them?

It's a university machine, the software was installed by our IT staff.

Microsoft Development Environment 2003 Version 7.1.3088
Microsoft .NET Framework 1.1 Version 1.1.4322
Microsoft Visual C++ .NET 69462-270-0000007-18211

Re: Can't build QuantLib 0.9.7 with Boost 1.40

2009-10-09T02:02:08Z

On Thu, 2009-10-08 at 03:24 -0700, Tactic wrote:
> Well, I get exactly the same error messages with Boost 1.39

Hmm. Then I can't reproduce the error---0.9.7 builds with VC 2003 on my
machine. Did you check that you installed service packs etc.? Or, may
you get the exact version of your compiler so we can compare them?

Luigi

--

Just remember what ol' Jack Burton does when the earth quakes, the
poison arrows fall from the sky, and the pillars of Heaven shake. Yeah,
Jack Burton just looks that big old storm right in the eye and says,
"Give me your best shot. I can take it."
-- Jack Burton, "Big trouble in Little China"

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Re: Can't build QuantLib 0.9.7 with Boost 1.40

2009-10-09T01:58:53Z

On Thu, 2009-10-08 at 22:03 +0200, Kim Kuen Tang wrote:
> The others errors message indicate that you didnt set the library path.

No, the other messages are just because, due to the first error, the
library wasn't built. So of course the linker can't find it.

Luigi

--

Olmstead's Law:
After all is said and done, a hell of a lot more is said
than done.

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Re: Can't build QuantLib 0.9.7 with Boost 1.40

2009-10-08T13:03:08Z

Hi Tactic,

the errors messages dont indicate that this is a problem related to
quantlib.

The first error is a well known problem caused by visual studio and
should be fixed by version >= 4.0. Perhaps you should update your visual
studio.

If you are a student you can download the latest visual studio in
dreamspark.

The others errors message indicate that you didnt set the library path.
Can you check your library path?

Btw. You should not install quantlib on your desktop.

Best regards,
Kim

Tactic schrieb:

> Hi there,
>
> I'm trying to build QuantLib 0.9.7 in Visual C++ .Net 2003 following the
> guide in http://quantlib.org/install/vc9.shtml
>
> I have an C1001 error and several LNK1181 errors, namely:
>
> **************************************************************************
> fatal error C1001: INTERNAL COMPILER ERROR (compiler file 'msc1.cpp', line
> 2701) Please choose the Technical Support command on the Visual C++ Help
> menu, or open the Technical Support help file for more information
>
>
> CallableBonds fatal error LNK1181: cannot open input file
> '\.windows_settings\desktop\quantlib\quantlib-0.9.7\lib\QuantLib-vc71-mt-0_9_7.lib'
>
>
> CDS fatal error LNK1181: cannot open input file
> '\.windows_settings\desktop\quantlib\quantlib-0.9.7\lib\QuantLib-vc71-mt-0_9_7.lib'
>
>
>
> FittedBondCurve fatal error LNK1181: cannot open input file
> '\.windows_settings\desktop\quantlib\quantlib-0.9.7\lib\QuantLib-vc71-mt-0_9_7.lib'
>
>
> Replication fatal error LNK1181: cannot open input file
> '\.windows_settings\desktop\quantlib\quantlib-0.9.7\lib\QuantLib-vc71-mt-0_9_7.lib'
>
>
> Repo fatal error LNK1181: cannot open input file
> '\.windows_settings\desktop\quantlib\quantlib-0.9.7\lib\QuantLib-vc71-mt-0_9_7.lib'
>
>
> Swap fatal error LNK1181: cannot open input file
> '\.windows_settings\desktop\quantlib\quantlib-0.9.7\lib\QuantLib-vc71-mt-0_9_7.lib'
>
>
> EquityOption fatal error LNK1181: cannot open input file
> '\.windows_settings\desktop\quantlib\quantlib-0.9.7\lib\QuantLib-vc71-mt-0_9_7.lib'
>
>
>
> DiscreteHedging fatal error LNK1181: cannot open input file
> '\.windows_settings\desktop\quantlib\quantlib-0.9.7\lib\QuantLib-vc71-mt-0_9_7.lib'
>
>
>
> BermudanSwaption fatal error LNK1181: cannot open input file
> '\.windows_settings\desktop\quantlib\quantlib-0.9.7\lib\QuantLib-vc71-mt-0_9_7.lib'
>
>
>
> ConvertibleBonds fatal error LNK1181: cannot open input file
> '\.windows_settings\desktop\quantlib\quantlib-0.9.7\lib\QuantLib-vc71-mt-0_9_7.lib'
>
>
> FRA fatal error LNK1181: cannot open input file
> '\.windows_settings\desktop\quantlib\quantlib-0.9.7\lib\QuantLib-vc71-mt-0_9_7.lib'
>
>
> ******************************************************************************
>
> Any solutions?
>
> Thank you.
>
>
> P.S. Boost 1.40 was successfully tested on the testing examples from both
> Boost and QuantLib websites.
>
>

Re: Can't build QuantLib 0.9.7 with Boost 1.40

2009-10-08T03:24:17Z

Well, I get exactly the same error messages with Boost 1.39

Luigi Ballabio wrote:

> I have an C1001 error and several LNK1181 errors, namely:

Yes, we're having quite a few problems with Boost 1.40.
For the time being, I suggest you stick with 1.39.

Luigi