gmane.comp.finance.quantlib.user

Re: QuantLib SWIG in Java

Luigi Ballabio — 2012-05-16T14:43:30

The first instantiates a template in Java.  If you just give SWIG the
definition of a class template, that's just a template. There's no
actual class to wrap, and as far as I know, it doesn't map to a
generic in Java.  The %template directive tells SWIG to instantiate
the template with the given type and wrap the instantiation.  You can
have a look at the SWIG docs for details.

The second is part of a define macro.  SWIG macros work more or less
like the C preprocessor.  When you call the macro, you pass a value
that replaces the Name parameter, and the above becomes, say,

%rename(SomeCurve) SomeCurvePtr;
class SomeCurvePtr : public boost::shared_ptr<YieldTermStructure> {...};

which declares the class SomeCurvePtr and exports it as SomeCurve.  We
usually do this because we want to hide pointers (which are not
idiomatic in the exported languages), so for instance we camouflage
boost::shared_ptr<YieldTermStructure> as YieldTermStructure in Python.
 But then you have problems if you also export a derived cl

QuantLib SWIG in Java

Billy Ng — 2012-05-16T06:51:37

What is the difference between these two structures?
Is %template (1) creating a template structure in Java?
whereas (2) is a template for i-file generating different Java Code?

Billy Ng

1.
%template(Callability) boost::shared_ptr<Callability>;
2.
%rename(Name) Name##Ptr;
class Name##Ptr : public boost::shared_ptr<YieldTermStructure> 
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please unsuscribe

Bill Smith — 2012-05-14T15:45:12

thanks
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Re: Sensitivity analysis in QuantLibXL

Ferdinando Ametrano — 2012-05-14T10:47:30

Hi Gerardo


yes it does.
qlBucketAnalysis calculates the sensitivity analysis for the
aggregated NPV (i.e. a single number) of a collection of Instruments
with respect to a matrix of quotes. As such it should return a matrix
of deltas and a matrix of gammas, but being limited by gensrc/Excel to
have a matrix return it just returns the delta matrix.


This must be because your input is a vector of quotes, so the result
is a degenerate one column matrix, i.e. a vector.
The duplication is just Excel usual confusing behavior when dealing
with multidimensional output ranges larger than the actual
multidimensional result.


It would be a quick hack to duplicate the function to have the gamma
matrix, but this would require two full evaluations.
A better way would be to have a different function limited to an input
vector of Quotes: in this case the delta would be just a vector and a
second Gamma vector could be added side by side as you were expecting.
The third best solution might be to have a persistent object i

Bootstrap 3M Curve from SA swaps and 6Mv3M Basis

BP_QLibXL_User — 2012-05-11T08:17:35

Hi,

I'm trying to bootstrap a 3M curve but only have data for (GBP) SA swaps and
6Mv3M basis. For the SwapRateHelpers I have set the FixedLegFrequency as
SemiAnnual, the IborIndex as 3M Libor and the spread as the 6Mv3M basis. Is
this the correct way of setting up the SwapRateHelpers?

Thanks,
Brian

Linking object as if no debug info

simone pilozzi — 2012-05-10T17:51:16

Hi Users,
I am receiving a list of linking warnings from a project compilation that
make uses of a few QuantLib classes (mainly related to bond and swap
calculations). The project finally compiles but with warnings like these:

QuantLib-vc100-mt-gd.lib(averagebmacoupon.obj) : warning LNK4099: PDB
'vc100.pdb' was not found with
'QuantLib-vc100-mt-gd.lib(averagebmacoupon.obj)' or at
'V:\PMS\Debug\vc100.pdb'; linking object as if no debug info
QuantLib-vc100-mt-gd.lib(termstructure.obj) : warning LNK4099: PDB
'vc100.pdb' was not found with
'QuantLib-vc100-mt-gd.lib(termstructure.obj)' or at
'V:\PMS\Debug\vc100.pdb'; linking object as if no debug info

The target application is an xll files(via XLW). I am including already the
auto_link. I would like to clear the warnings.
Any suggestion?
Thanks in advance!
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Sensitivity analysis in QuantLibXL

Ballabio Gerardo — 2012-05-10T10:12:50

Hi all,
I've recently started using QuantLibXL and I'm familiarizing with it. At
this moment I'm trying to understand how to compute sensitivities and
I'd like to ask a few questions:

1. In QuantLib's source code I read that the bucketAnalysis function (in
its various incarnations) calculates and returns both Delta and Gamma
(provided that SensitivityAnalysis == Centered). However, QuantLibXL's
function qlBucketAnalysis seems to return only Delta. I expanded the
function call into a matrix of cells, each row corresponds to a quote, I
was expecting to see two columns, with the Delta on the first column and
the Gamma on the second. Instead, no matter how much I expand the
matrix, I get always the same column repeated over and over. Is that
intentional or is it a bug? If it is intentional, how can I get the
Gamma?

2. What is the Parameters argument in qlBucketAnalysisDelta and
qlBucketAnalysisDelta2? The documentation doesn't explain. Reading the
source code I see that it must be a vector of quotes. I can't m

Re: OIS curve bootstrap

Luigi Ballabio — 2012-05-08T08:48:31

Yes, it has.  The library provides helpers for bootstrapping an OIS
curve (in <ql/termstructures/yield/oisratehelper.hpp>).  Once you've
done that, it's possible to pass it as a discount curve to the swap
helpers used for bootstrapping the indexing curve (see SwapRateHelper
in <ql/termstructures/yield/ratehelpers.hpp>, whose constructor takes
an optional discountingCurve parameter).

Unfortunately, there's no example code available.  If somebody wants
to try and contribute it, drop me a line and I'll get you started.

Luigi


On Thu, Apr 19, 2012 at 7:35 PM,  <candy.chiu.ad< at >gmail.com> wrote:

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QuantLib SWIG - optionlet stripper

2012-05-07T17:07:11

Hello, 

I have correctly ported QuantLib into Java using SWIG but only a part of the 
whole list of functionalities are translated. In fact the .i files do not 
consider all the QL files. 
I would like to know if someone has already implemented the interface for  the 
OptionletStripper.

If yes I would appreciate if you can forward me so I can give it a look in 
details

Thanks
Paolo

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Re: Curves over Eonia

Ferdinando Ametrano — 2012-05-07T10:46:07

The only help I can currently provide is to point at SwapRateHelper,
where you'll find the input parameter for an exogenous curve to be
used for discounting while bootstrapping a forwading curve.

As for updating the standalone examples, I'll try to do that before next release

ciao -- Nando

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Bootstrapping Caplet Volas from ATM Cap/Floor Volas

Andreas Spengler — 2012-05-03T15:04:59

Hi,

I am currently using QL in a project to price Structured Floaters; as part
of the incoming data I would like to use to parameterize the LFM we are
receiving (annualized) atm cap/floor volatilities...

I tried using OptionletStripper1/2 to get caplet volas from those;
however, OptionletStripper2 is not usable since it relies on
OptionletStripper1 which in turn needs a vol surface instead of a vol
curve.

Anyhow, "faking" a vol surface by setting all values to the atm vols gave
me only zeros upon calling OptionletStripper1::optionletVolatilities()

Am I doing something fundementally wrong here and/or is there some other
class/method which I can use for the purpose?


Thanks for any help and best regards,

Andreas





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Re: Install problem with VC++ 2010 Express

Viala Jean-Renaud (AMUNDI — 2012-04-27T08:40:04

Google it
You can find it there
http://en.sourceforge.jp/projects/sfnet_boost/downloads/boost-binaries/1.46.1/libboost_unit_test_framework-vc100-mt-gd-1_46_1.zip/
it's in japan but I found most of my boost lib there
good luck!
JRV
________________________________
From: Paul Darbyshire [mailto:pmdarbyshire2003< at >yahoo.co.uk]
Sent: Thursday, April 26, 2012 7:49 PM
To: quantlib-users< at >lists.sourceforge.net
Subject: [Quantlib-users] Install problem with VC++ 2010 Express

Dear All,

Ive followed all the instructions to install boost and quantlib using VC++ 2010 Express and when doing the final Build of the project I get the following error near the very end:

14> vpp.cpp
14> writerextensibleoption.cpp
14> quantlibtestsuite.cpp
14>LINK : fatal error LNK1104: cannot open file 'libboost_unit_test_framework-vc100-mt-1_47.lib'
========== Rebuild All: 14 succeeded, 1 failed, 0 skipped ==========

Please can anyone help me sort out this problem?

Thanks

Paul
---------------------------------------------------------------

Re: Install problem with VC++ 2010 Express

Luigi Ballabio — 2012-04-27T08:37:44

Just to exclude the obvious candidates: do you have
libboost_unit_test_framework-vc100-mt-1_47.lib on your disk? Did you
add its directory to the library directories for the compiler as shown
in the instructions?

Luigi

On Thu, Apr 26, 2012 at 7:48 PM, Paul Darbyshire
<pmdarbyshire2003< at >yahoo.co.uk> wrote:

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Install problem with VC++ 2010 Express

Paul Darbyshire — 2012-04-26T17:48:32

Dear All,
 
Ive followed all the instructions to install boost and quantlib using VC++ 2010 Express and when doing the final Build of the project I get the following error near the very end:
 14>  vpp.cpp
14>  writerextensibleoption.cpp
14>  quantlibtestsuite.cpp
14>LINK : fatal error LNK1104: cannot open file 'libboost_unit_test_framework-vc100-mt-1_47.lib'
========== Rebuild All: 14 succeeded, 1 failed, 0 skipped ==========
 
Please can anyone help me sort out this problem?
 
Thanks
 
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Re: Curves over Eonia

BP_QLibXL_User — 2012-04-25T09:47:54

Hi Nando and Kaya,
I'd like to second Francois' request. Bootstrapping a Euribor over Eonia
curve would be really useful.

Is it possible without adding anything to the current version of the .xla?
(If so, a stand alone example sheet would be incredibly helpful.)


Many thanks,
Brian


eonia curve.  

Hello
I want to do exactly the same thing and i didn't understand how you did it 
Do you have more explanation  ?
Thanks in advance
Regards
Francois

QuantlibXL

BP_QLibXL_User — 2012-04-24T16:24:44

Hi all, 

Will there be (or has there been in the past) a course focusing on
QuantLibXL? I'm relatively new to QL-XL and am having some difficulty moving
beyond the stand alone workbook examples. 

For example, it took me quite a while today to price a Cap with a vol curve
instead of a constant vol as is illustrated in the
InterestRateDerivatives.xls file. I spent most of that time trying to get an
OptionletVolatilityStructure from a CapFloorTermVolatilityStructure! 

Thanks, 
Brian

Introduction to Quantlib Development, London, May 21-23 - Special Offer to Mailing List Members

Jacob B — 2012-04-24T12:54:11

Dear List Members,

Please forgive this one-off promotional mail. MoneyScience hopes to run a
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The course will focus on QuantLib proper, i.e., on the C++ library and won't
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You can read more about the course at:

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or download a brochure from:

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Quantllib mailing list members can receive a 15% discount by quoting
QLList01 the on registration form.

Thank you.

Jacob Bettany

~~~~~~~~~~~~~~~~~~~~~~~~~~~

Re: Adding functions to QuantLib SWIG

Billy Ng — 2012-04-21T06:56:08

In the swap valuation example.
The following change will cause a boostrapping of the curves

        boost::shared_ptr<SimpleQuote> fiveYearsRate =
            boost::dynamic_pointer_cast<SimpleQuote>(s5yRate);
        fiveYearsRate->setValue(0.0460);

How do I do a similar dynamic pointer casting in SWIG/Java?

Billy
-----Original Message-----
From: Luigi Ballabio [mailto:luigi.ballabio< at >gmail.com]
Sent: Thursday, April 19, 2012 3:16 PM
To: Billy Ng
Cc: quantlib-users< at >lists.sourceforge.net
Subject: Re: [Quantlib-users] Adding functions to QuantLib SWIG


The CallableBonds example.

Luigi

On Thu, Apr 19, 2012 at 1:53 AM, Billy Ng <mail.billy< at >gmail.com> wrote:
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Re: Adding functions to QuantLib SWIG

Billy Ng — 2012-04-21T13:58:27

Hi Luigi,

For the CallableBonds Example, I need to set up the SWIG file for these two classes
TreeCallableFixedRateBondEngine
CallableFixedRateBond

What are the good SWIG file references for these two classes? 

Billy

-----Original Message-----
From: Luigi Ballabio [mailto:luigi.ballabio< at >gmail.com]
Sent: Thursday, April 19, 2012 3:16 PM
To: Billy Ng
Cc: quantlib-users< at >lists.sourceforge.net
Subject: Re: [Quantlib-users] Adding functions to QuantLib SWIG


The CallableBonds example.

Luigi

On Thu, Apr 19, 2012 at 1:53 AM, Billy Ng <mail.billy< at >gmail.com> wrote:
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Re: Adding functions to QuantLib SWIG

Billy Ng — 2012-04-21T10:53:40

In the swap valuation example.
The following change will cause a boostrapping of the curves

        boost::shared_ptr<SimpleQuote> fiveYearsRate =
            boost::dynamic_pointer_cast<SimpleQuote>(s5yRate);
        fiveYearsRate->setValue(0.0460);

How do I do a similar dynamic pointer casting in SWIG/Java?

Billy
-----Original Message-----
From: Luigi Ballabio [mailto:luigi.ballabio< at >gmail.com]
Sent: Thursday, April 19, 2012 3:16 PM
To: Billy Ng
Cc: quantlib-users< at >lists.sourceforge.net
Subject: Re: [Quantlib-users] Adding functions to QuantLib SWIG


The CallableBonds example.

Luigi

On Thu, Apr 19, 2012 at 1:53 AM, Billy Ng <mail.billy< at >gmail.com> wrote:
------------------------------------------------------------------------------
For Developers, A Lot Can Happen In A Second.
Boundary is the first to Know...and Tell You.
Monitor Your Applications in Ultra-Fine Resolution. Try it FREE!
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OIS curve bootstrap

2012-04-19T17:35:37

Hi,

Has QuantLib implemented anything to bootstrap two curves (one for  
indexing, one for discounting) simultaneously?

Thanks!
------------------------------------------------------------------------------
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Boundary is the first to Know...and Tell You.
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