gmane.comp.finance.quantlib.devel

Re: [QuantLib-svn] SF.net SVN: quantlib:[15348]branches/oh_functions

Ferdinando Ametrano — 2008-08-07T14:07:24

if I get it right it should be: ciao -- Nando ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/

Re: QuantLibXL function in Excel, limit in number of arguments?

Eric Ehlers — 2008-08-07T10:22:58

Hello, On Wed, August 6, 2008 03:09, willshaw wrote: That's a very good point. Certain parameters are generated automatically: - 4 for a Constructor - ObjectId, Permanent, Trigger, Overwrite - 2 for a Member - ObjectId, Trigger - 1 for a Utility - Trigger These need to be taken into account when ensuring that the total number of parameters does not exceed the limit of 20. I just did a quick test, adding dummy parameters to a constructor function to get a total of 20 parameters (16 user defined + 4 autogenerated). I tested the function in Excel and it looks OK - it displays correctly in the Function Wizard and seems to function as expected. Are you saying that a similar test still fails for you? If so I again invite you to send me your modifications so that I can recreate the problem on my machine. I mentioned in an earlier email that it's possible to define user functions with up to 30 parameters, with the limitation that the Function Wizard displays descriptions for only the first 20. I thought Qua

Re: QuantLibXL function in Excel, limit in number of arguments?

willshaw — 2008-08-06T02:09:37

Hi, Eric, I just double check again. I defined own function with 15 arguments. But with extra 3 arguments, namely Permanent, Trigger, and Overwrite, there are actually 18 in Excel. But this does not matter really because I assume you will upgrade QuantLibXL to take advantage of Excel 2007. May I ask another question? What serializationIncludes and addinIncludes mean in XML files? Thanks. Eric Ehlers-2 wrote:

Re: precision in cubicsplineinterpolation (and ingeneral)

Sylvain Bertrand — 2008-08-04T15:55:31

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Re: Call QL from SWIG/Python : FittedBondCurve

Luigi Ballabio — 2008-08-04T14:50:25

On Wed, 2008-07-16 at 09:44 +0200, =?ISO-8859-1?Q? Fr=E9d=E9ric_Degraeve _ wrote: Try fully qualifying QuantLib::FittedBondDiscountCurve::FittingMethod in the constructor. If that fails, try exporting QuantLib::FittedBondDiscountCurve::FittingMethod trough SWIG. Luigi

Re: precision in cubicsplineinterpolation (andingeneral)

Luigi Ballabio — 2008-08-04T14:03:50

Yes, or we might specify std::max(x, 0) so that the 0 gets converted to the right type. We used the QL_REAL thing so that, in case one wanted to try and change the default float type, we didn't have double hard-coded everywhere. But we never tried very hard to make the library even compile with different types. As for your spline calculations, if you need long doubles, just go ahead and use long double. Luigi

version number problem

Mark joshi — 2008-08-04T05:15:18

never mind, I probably just didn't update properly. mark ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/

version number problem

Mark joshi — 2008-08-04T02:04:45

I did an update this morning. Test suite is looking for 0.9.6 when linking. Quantlib is producing the 0.9.5 version. So it fails to build. I 'm using VC8 I fixed it by changing the filename. What's the correct fix? thanks mark

Period to frequency conversion.

Slava Mazur — 2008-07-31T19:58:14

Greetings, Is there any particular reason for restrictions in Period::frequency() method on the length in weeks and days? Firstly, it looks inconsistent with handling of months. Why in a similar manner couldn't it translate weeks and days via Frequency(52/length) and Frequency(366/length) respectively? Secondly, I have a real issue with such a restriction. I need to setup a fixed rate bond that pays coupon every 182 days unadjusted. So, in setting up a schedule I specified tenor as 182D or 26W, but the constructor of FixedRateBond object ends up in exception when such a schedule is passed as an input parameter. It would be okay for me if such a bond would have semiannual settings for frequency; moreover it looks like in majority cases "frequency" plays just a "decorative" role. Is there any workaround? Thanks, Slava Mazur ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based

Re: Revision management of modifications to QuantLib

Bojan Nikolic — 2008-07-31T11:52:52

Hi Luigi, Luigi Ballabio gmail.com> writes: I have not tried this, but as far as I understand this is supported extremely well by the bzr-svn plugin: http://bazaar-vcs.org/BzrForeignBranches/Subversion#features In this case you would want to use bazaar to directly access the Sourceforge subversion repository rather than the mirror hosted on Launchpad. That is, with the plugin installed, you should be able to make a branch directly like this: bzr branch https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib And subsequently to publish your changes when you wish so with: bzr push https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk/QuantLib Best, Bojan

Re: Revision management of modifications to QuantLib

Luigi Ballabio — 2008-07-30T19:38:58

On Jul 29, 2008, at 11:48 PM, Bojan Nikolic wrote: Bojan, thanks for the article---very interesting. I had tried something similar with svk, but I ran into technical problems and gave up. I might give bazaar a try. Also, it would be interesting if you had some comments on how to go the other way; i.e., how (if possible) to merge one's changes back into the official Subversion repository if one has write access to the latter. Luigi ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/

Revision management of modifications to QuantLib

Bojan Nikolic — 2008-07-29T21:48:21

Dear All, I have written a little article on how I manage my experimental and non-public changes to QuantLib using the bazaar distributed revision control system. Examples where this can be useful are: * Tracking patches which are not yet ready for a public review and integration in the central source code tree * Extensions or changes to QuantLib that are intended to be permanently private but require revision control and tracking of the public source tree If you are interested, the article is available at: http://www.bnikolic.co.uk/blog/ql-ontop-bzr.html Comments welcome. Best, Bojan

Re: [QuantLib-svn] SF.net SVN: quantlib:[15249]trunk/QuantLib

Luigi Ballabio — 2008-07-30T15:20:54

On Sun, 2008-07-20 at 11:23 +0000, markjoshi< at >users.sourceforge.net wrote: Hi Mark, did it work? Luigi

Re: QuantLibXL function in Excel, limit in number of arguments?

Eric Ehlers — 2008-07-29T12:39:20

Hello, On Wed, July 23, 2008 02:14, willshaw wrote: function Very strange. Please send me the smallest possible patch which would allow me to recreate the problem - e.g. a handful of files containing your edits which I could unzip onto a clean install of 0.9.0. Thanks, Eric ------------------------- Eric Ehlers nazcatech sprl | Brussels | http://www.nazcatech.be Distributed computing for pricing analytics - Use Microsoft Excel as a client to the Grid ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/

Re: QuantLibXL function in Excel, limit in number of arguments?

willshaw — 2008-07-23T01:14:43

Hi, to expose a function to Excel, I first define the function interface in project "QuantLibObjects" under namespace QuantLibAddin, it should call the real function in QuantLib, then edit the xml in project "qlgensrc", then compile. No edit of autogenerated files. I use Excel 2003. Regards, Eric Ehlers-2 wrote:

[ quantlib-Feature Requests-2023353 ] CUDA port

SourceForge.net — 2008-07-21T08:39:03

Feature Requests item #2023353, was opened at 2008-07-21 08:39 Message generated for change (Tracker Item Submitted) made by Item Submitter You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=362740&aid=2023353&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 Priority: 5 Private: No Submitted By: Nobody/Anonymous (nobody) Assigned to: Nobody/Anonymous (nobody) Summary: CUDA port Initial Comment: Hello, A great feature would be a CUDA port of QuantLib. Thanks ! ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=362740&aid=2023353&group_id=12740 ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest

Re: LinearLeastSquaresRegression Class Constructor

Klaus Spanderen — 2008-07-27T11:01:26

Hi The y values (return value of the functions) have to be of type Real as the alogrithm rely on the SVD method... and looking back I think making the x values a template parameter is "overengineered" here. regards Klaus On Friday 25 July 2008 11:21:56 Silakhdar Krikeb wrote: ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/

LinearLeastSquaresRegression Class Constructor

Silakhdar Krikeb — 2008-07-25T09:21:56

Re: precision in cubicsplineinterpolation (and ingeneral)

Sylvain Bertrand — 2008-07-23T19:53:29

Re: precision in cubicsplineinterpolation (and ingeneral)

Sylvain Bertrand — 2008-07-23T14:50:07

FD American Options Pricing

Kyle Kelley — 2008-07-22T17:34:50

Hi, I'm trying to understand how the finite-differences American Options pricing in QuantLib works. Specifically, I've been looking into the FDDivdendAmericanEngine class but am having a bit of trouble understanding the algorithm on a high level because of the multiple levels of inheritance. As I understand it, it implements a Crank -Nicolson fully centered finite difference method by iterating backwards in time over a grid of prices, but please correct me if I'm wrong. Note that I've just been running this class as it's used in the quanlib-benchmark program. My main questions involve how the dimensions of the grid are determined: - How are the number of price levels determined? (They seem to be fixed at 100 in the benchmark). - How are the time-steps of the grid determined? Mu understanding is that these methods typically use constant time steps, but the quantlib implementation seems to vary them. I determined this by looking in rollbackImpl() found in finitedifferencemodel.hpp. I don'