gmane.comp.finance.quantlib.devel

[ quantlib-Bugs-3526577 ] BicubicSpline update()doesn't work

SourceForge.net — 2012-05-15T12:22:17

Bugs item #3526577, was opened at 2012-05-14 07:26
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3526577&group_id=12740

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Category: None
Group: None
Priority: 5
Private: No
Submitted By: Fabio Ramponi (fabioramponi)
Summary: BicubicSpline update() doesn't work

Initial Comment:
The calculate() method in BicubicSpline is called every time the linked data matrix (zData_) changes but, due to the reserve() at line 58 of bicubicsplineinterpolation.hpp and the subesquent push_back(), every time I call update() new splines are added to the splines_ vector instead of substituting the existing ones.

My suggestion is to use resize instead of reserve, and then simply fill the allocated vector splines_.

In the attached file my proposal of change for th

Re: Garch11 in Quantlib

Luigi Ballabio — 2012-05-15T13:33:17

Thanks, Slava.  Somehow I managed to lose track of it.  Not the last
time I'll make a fool of myself, I guess...

I'll try and have a look shortly.

Luigi

On Tue, May 15, 2012 at 3:12 PM, Slava Mazur <smazur< at >liquidnet.com> wrote:

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Re: Garch11 in Quantlib (Luigi Ballabio)

Slava Mazur — 2012-05-15T13:12:22

Check it out:

http://sourceforge.net/tracker/?func=detail&aid=3102452&group_id=12740&atid=312740

Submitted there on Nov 2010.

Cheers,

Slava Mazur


Message: 5
Date: Mon, 14 May 2012 13:25:47 -0400
From: Yue Zhao <yzhao0527< at >gmail.com>
Subject: [Quantlib-dev] Garch11 in Quantlib
To: QuantLib Dev <QuantLib-dev< at >lists.sourceforge.net>
Message-ID:
<CAABQXNmef9RsTLq59gJRJi2n5Hx_Usz_18QHhmErSosELJOeUQ< at >mail.gmail.com>
Content-Type: text/plain; charset="iso-8859-1"

Hi,

My question might be silly. I am using the Garch11 class in QL, but I didn't see how to calibrate this model. Does anyone know how do calibration?

Best

Yue
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Message: 6
Date: Tue, 15 May 2012 09:35:10 +0200
From: Luigi Ballabio <luigi.ballabio< at >gmail.com>
Subject: Re: [Quantlib-dev] Garch11 in Quantlib
To: Yue Zhao <yzhao0527< at >gmail.com>
Cc: QuantLib Dev <QuantLib-dev< at >lists.sourceforge.net>
Message-ID:
<CAJkxnzeoMeWrKGC+DySxKg1VDQH6ZqGyGLJ5K

[ quantlib-Bugs-3525797 ] OIS Coupon calculation

SourceForge.net — 2012-05-14T10:18:01

Bugs item #3525797, was opened at 2012-05-11 03:31
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3525797&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,
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Category: None
Group: None
Priority: 5
Private: No
Submitted By: Andre Miemiec (miemiec)
Summary: OIS Coupon calculation 

Initial Comment:
I came across a tiny bug in the computation of overnight index coupons. In the file overnightindexcoupon.cpp the funtion swapletRate has a while slope
of type while( fixingDates[i]<today && i<n). When you try to compute the coupon on the payment date than the condition i<n is not satified but the access in fixingDates[i] is executed before. The program crahes.  

----------------------------------------------------------------------

Comment By: Luigi Ballabio (lballabio)
Date: 2012-05

[ quantlib-Bugs-3526577 ] BicubicSpline update()doesn't work

SourceForge.net — 2012-05-14T14:26:25

Bugs item #3526577, was opened at 2012-05-14 07:26
Message generated for change (Tracker Item Submitted) made by fabioramponi
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3526577&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: Fabio Ramponi (fabioramponi)
Assigned to: Nobody/Anonymous (nobody)
Summary: BicubicSpline update() doesn't work

Initial Comment:
The calculate() method in BicubicSpline is called every time the linked data matrix (zData_) changes but, due to the reserve() at line 58 of bicubicsplineinterpolation.hpp and the subesquent push_back(), every time I call update() new splines are added to the splines_ vector instead of substituting the existing ones.

My suggestion is to use resize instead of reserve, and then simply fill

Re: Garch11 in Quantlib

Luigi Ballabio — 2012-05-15T07:35:10

Hi,
    at this time there's no code for calibration in the library (the
Garch11 class declares a calibrate method, but it's empty). If anyone
wants to contribute it, I'll be glad to add it to the repository.

Luigi

On Mon, May 14, 2012 at 7:25 PM, Yue Zhao <yzhao0527< at >gmail.com> wrote:

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Garch11 in Quantlib

Yue Zhao — 2012-05-14T17:25:47

Hi,

My question might be silly. I am using the Garch11 class in QL, but I
didn't see how to calibrate this model. Does anyone know how do calibration?

Best

Yue
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Re: Source control of Quantlib external development

Ferdinando Ametrano — 2012-05-14T13:18:01

On Mon, May 14, 2012 at 2:59 PM, Luigi Ballabio
<luigi.ballabio< at >gmail.com> wrote:

we're all waiting for your wise proposal
:-D

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Re: Source control of Quantlib external development

Bojan Nikolic — 2012-05-14T12:51:58

Luigi Ballabio <luigi.ballabio< at >gmail.com> writes:


Yes, we use git-svn too now. 

The bzr based solution stopped performing satisfactorily because of a
bug which I think is in libsvn but only seems to manifest when doing
bzr+svn.

Best,
Bojan

Re: Source control of Quantlib external development

Luigi Ballabio — 2012-05-14T12:59:57

Yes, of course.  The whole issue would become moot.

Then again, we'd have to think _how_ to switch.
To begin with, do we stay on SourceForge or do we move the repository
to GitHub? (Mailing lists and the site stay on SF, I guess).  And
after that, do we put all the modules in one repository, or do we
create one git repository per module?  (Unlike with subversion, it's
not possible to checkout just part of a tree.)   And finally, what
kind of workflow do we use?

Later,
    Luigi


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Re: Source control of Quantlib external development

Ferdinando Ametrano — 2012-05-14T12:45:28

would the scenario become clearer if we all switch to git?

On Mon, May 14, 2012 at 1:10 PM, Luigi Ballabio
<luigi.ballabio< at >gmail.com> wrote:

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Re: Source control of Quantlib external development

Luigi Ballabio — 2012-05-14T11:10:18

Hi Simon,
    you can use git-svn to create a git repository on your machine
which is synced to the upstream QuantLib svn repository.  You can also
setup a cron job that keeps it up to date.  That way, you'd have a
mirror like the one I've put on github, but with the full repository
if you choose so.

One issue with git-svn is that, of course, it can't really merge local
developments with upstream changes because subversion doesn't support
git merges.  This means that when you pull from upstream, it rebases
instead of merging.

What you might do is probably to clone your mirror, use the clone as
your main repository, and never push from the clone to the mirror.
This way, when the mirror pulls from upstream svn it never has to
rebase; and when you pull from the mirror to the clone, you're dealing
with a git repository so you can merge your developments as usual.

It's probably possible to do the same with mercurial, but I have never
tried having it talk to subversion.

Luigi


On Mon, May 14, 2012 at 12:36 PM

Source control of Quantlib external development

Simon Ibbotson — 2012-05-14T10:36:41

Hi,

I've been trying to work out the best way of maintaining my changes to
the QuantLib code. Some of these changes will never be made public for a
variety of reasons - but I still need to maintain a version control of
these changes. Therefore, this version control will - of necessity -
have to be outside Sourceforge.

The approach advocated by Subversion would be to do vendor drops into a
local repository - I've done this before but I lose the version history
and it makes it difficult to merge changes (both my changes and
Sourceforge changes).

I see Bojan Nikolic has a blog where he talks about using Bazaar to do
this - through the Launchpad service - but this appears to be currently
suspended. I also see that Luigi has place a mirror of Quantlib trunk on
github.com - but this does not appear to have QuantLibAddin or Excel
interfaces.

Can anyone give me some advice about which approach to take? Bazaar or
Git (or some other technique).

Even if you just reply with one sentence - telling me which approach

Re: fd questions ctd...

Peter Caspers — 2012-05-12T17:24:55

Hi Klaus,

yes, I totally agree. Concerning the time dependent Dirichlet bc I guess 
one should insert a

bc->setTime( t );

before each call of applyAfterApplying(Array&), 
applyAfterSolving(Array&) or applyAfterApplying(Real,Real) to ensure 
that valueOnBoundaryTimeDep_ / valuesOnBoundaryTimeDep_ are correctly 
set. No?

Concerning the Neumann bc, I was too optimistic about what has to be 
done to adapt the existing operators. You are right, it is not enough to 
provide discretizations for the base operators in the general case. It 
works fine in my toy example but it is useless otherwise. Sorry I should 
have spent some more thoughts on this.

I will be happy if you find the Dirichlet bc extension useful and add it 
to the SVN. I will also continue to think about the Neumann bc and try 
to send more useful code next time ;-)

thank you again and regards
Peter

Am 10.05.2012 23:16, schrieb Klaus Spanderen:


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[ quantlib-Bugs-3525797 ] OIS Coupon calculation

SourceForge.net — 2012-05-11T10:31:40

Bugs item #3525797, was opened at 2012-05-11 03:31
Message generated for change (Tracker Item Submitted) made by miemiec
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3525797&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: Andre Miemiec (miemiec)
Assigned to: Nobody/Anonymous (nobody)
Summary: OIS Coupon calculation 

Initial Comment:
I came across a tiny bug in the computation of overnight index coupons. In the file overnightindexcoupon.cpp the funtion swapletRate has a while slope
of type while( fixingDates[i]<today && i<n). When you try to compute the coupon on the payment date than the condition i<n is not satified but the access in fixingDates[i] is executed before. The program crahes.  

------------------------------------------------

Yield Curve fitting with OIS/Libor,Stochastic vol/Stochastic rates

2012-05-11T13:51:33


Hi Luigi,
 I am looking at piecewiseyieldcurve.cpp in testsuite, I have the following
uestions:
 (a) what is BMA?
(b) what does this code below do, RelinkableHandle<YieldTermStructure>
curveHandle;curveHandle.linkTo(vars.termStructure);
(c) Is there any code boostrapping OIS and Libor simultaneously, as that
seems to be the way now for yieldcurve building and fitting and I want to
understand how that works.
 (d) Is there any thing on hybrids eg. FX/IR ie PRDC or EQ/IR where rates is
long-dated so using say Heston or Bates Stochastic vol model with Stochastic rates using Hull/White?
Regards
Theo

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Re: fd questions ctd...

Klaus Spanderen — 2012-05-10T21:16:18

Hi Peter,

cool stuff. The Dirichlet bc was introduced to implement barrier options only. 
Your time dependent code the right step forward..and yes, the implementation 
of the schemes is based on either free bc's or non time dependent Dirichlet 
bc's. This is also the main reason why FdmBoundaryConditionSet is linked to 
FdmDirichletBoundary instead of OperatorTraits<FdmLinearOp>::bc_set. One 
think we still need to do is to make
 
FdmDirichletBoundary::applyAfterApplying(Real x, Real value) const;

time dependent as well.

As you have written It's difficult to implement the Neumann bc in a general 
manner for the multi dimensional framework. In the one dim. framework all 
linear operators are tridiagonal operators and the Neumann bc is "doable". I 
have no idea how to translate this idea into the multi dimensional case 
except implementing the Neumann bc for all 10+ operators individually. (hmm.. 
I don't think it is enough to do this for the three basis operators alone).


good question. I haven't seen muc

Boost 1.44 onwards

Simon Ibbotson — 2012-05-10T16:32:00

One issue I've discovered is that Boost Filesystem has been radically
changed in later versions. Versions 1.46 and 1.47 are backward
compatible if you include the macro "BOOST_FILESYSTEM_VERSION=2".

and may have to change (or include macro defined code).

All the best,
Simon





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Re: How all.hpp files are called on visual c++

Luigi Ballabio — 2012-05-08T08:52:35

They were added as a convenience.  If you include an all.hpp folder,
it recursively includes all the headers in the same directory and
those in its subdirectories.  You can use it when you want to write
some code quickly and you don't want to enumerate all the specific
#include you need.  However, be aware that it causes the compilation
times to go up, since you might be including quite some stuff you
don't need.

Luigi

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Re: Local static initialization in singleton.hpp

Luigi Ballabio — 2012-05-08T08:41:11

Hi William,
    apologies for the delay.  We've had another contribution recently
on the singleton issue, that applies the same patch and also addresses
the problem of managing the session-id function at runtime.  The diffs
are at <https://github.com/mortoray/quantlib/commit/dbf6b23429b21cccb0982d6f3e5c13f5860842e1>;
it would be great if you (and anyone interested) could have a look and
comment.

Thanks,
    Luigi


On Wed, Apr 18, 2012 at 12:20 AM, W. Anthony Calore
<anthony.calore< at >gmail.com> wrote:

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Re: fd questions ctd...

Peter Caspers — 2012-05-06T19:24:39

Hallo Klaus,

thanks a lot for your answers. I implemented a Neumann condition for the 
multidimensional case. I tested the new class against known solutions 
for the 1d heat equation with Neumann and mixed lower Dirichlet / upper 
Neumann conditions using some of the existing multidim schemes. The 
results suggest that the implementation is ok. Also, the testsuite runs 
without problems which is good I guess.

However, I could not see how to implement the condition by changing the 
final operator directly as done in the 1d framework. Instead I added 
functionality to change the discretization of multidim operators from 
default = FreeBoundary to Neumann by adding a method

void FdmLinearOp::discretization(Size direction, Discretization d);

The enum DiscretizationType in the same class can be used to specify a 
Neumann discretization together with the side (using bitwise or; this 
could be extended for other boundary conditions later). The method calls 
another protected virtual method changeDiscretization(