gmane.comp.finance.quantlib.devel

Re: bondhelpers.cpp bug

Luigi Ballabio — 2008-05-16T15:47:26

True--I've fixed that. Thanks for the report. True, but as you wrote it's tricky to make it safe. For the time being, I've added a warning to the documentation pointing out the problem. Luigi

Re: Error after calling quantlib-c++-dllviaswig-c#-interface

Luigi Ballabio — 2008-05-16T15:30:29

Hi Frank, unfortunately, I'm not an expert at all in managed C++/C#---my only exposure to C# has been to compile the SWIG wrappers before release to check that they work... Did you try asking on the SWIG mailing list? It doesn't seem a SWIG problem (since all you're exporting is a function taking some basic types---no class instances are passing through the wrapping layer) but there might be people there with more expertise. Luigi

Inflation curves

Simon Ibbotson - Straumur — 2008-05-15T13:28:24

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Re: New Calendars

Lecuyer, Fabrice — 2008-05-14T23:11:18

It makes sense. However, aren't belgian bonds also denominated in Euro? In any case, if bloomberg confirms their data, I back off and apologise for the mess I created... -----Original Message----- From: quantlib-dev-bounces< at >lists.sourceforge.net [mailto:quantlib-dev-bounces< at >lists.sourceforge.net] On Behalf Of Luigi Ballabio Sent: Thursday, 15 May 2008 5:28 AM To: MJC1 Cc: quantlib-dev< at >lists.sourceforge.net Subject: Re: [Quantlib-dev] New Calendars On May 13, 2008, at 11:17 PM, MJC1 wrote: No, it's probably not an error. It might just be that, being denominated in Euro, French bonds settle according to TARGET. Luigi ------------------------------------------------------------------------ - This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/ _______________________________________________ QuantLib-dev mailing list QuantLib-dev< at >lists.sourceforge.net https://lists.sourceforge.net/lists/listinfo/quantlib-dev ************** IMPORTANT MESSAGE ***************************** This e-mail message is intended only for the addressee(s) and contains information which may be confidential. If you are not the intended recipient please advise the sender by return email, do not use or disclose the contents, and delete the message and any attachments from your system. Unless specifically indicated, this email does not constitute formal advice or commitment by the sender or the Commonwealth Bank of Australia (ABN 48 123 123 124) or its subsidiaries. We can be contacted through our web site: commbank.com.au. If you no longer wish to receive commercial electronic messages from us, please reply to this e-mail by typing Unsubscribe in the subject line. ************************************************************** ------------------------------------------------------------------------- This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/

Re: New Calendars

Luigi Ballabio — 2008-05-14T19:28:03

On May 13, 2008, at 11:17 PM, MJC1 wrote: No, it's probably not an error. It might just be that, being denominated in Euro, French bonds settle according to TARGET. Luigi ------------------------------------------------------------------------- This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/

Re: New Calendars

MJC1 — 2008-05-13T21:17:22

It should be the calendar indicating all non-settlement days. I'll check with Bloomberg to see if their is an error on their end. Luigi Ballabio wrote:

[ quantlib-Bugs-1963642 ] Possible redundancy withstubDate_ in MakeSchedule

SourceForge.net — 2008-05-14T12:36:39

Bugs item #1963642, was opened at 2008-05-14 09:59 Message generated for change (Comment added) made by lballabio You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1963642&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 Priority: 5 Private: No Submitted By: Nobody/Anonymous (nobody) Assigned to: Nobody/Anonymous (nobody) Summary: Possible redundancy with stubDate_ in MakeSchedule Initial Comment: The member variable stubDate_ of MakeSchedule is set to default Date in the constructor, and none of the MakeSchedule methods modify it. Yet in the initial part of MakeSchedule operator::Schedule(), there is code that resets firstDate, nextToLastDate etc if stubDate_ is not equal to the default date. Given that stubDate_ is fixed at default Date, this code is never used. Is it possible that either a method "withStubDate" is required, or that stubDate_ needs to be reset in "withFirstDate" and "withNextToLastDate" methods? ohkang.kwon< at >gmail.com ---------------------------------------------------------------------- Comment By: Luigi Ballabio (lballabio) Date: 2008-05-14 14:36 Message: Logged In: YES user_id=75450 Originator: NO The bug is now fixed in the Subversion repository. Thank you for the report. ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1963642&group_id=12740 ------------------------------------------------------------------------- This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/

[ quantlib-Bugs-1963642 ] Possible redundancy withstubDate_ in MakeSchedule

SourceForge.net — 2008-05-14T07:59:51

Bugs item #1963642, was opened at 2008-05-14 00:59 Message generated for change (Tracker Item Submitted) made by Item Submitter You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1963642&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: Nobody/Anonymous (nobody) Assigned to: Nobody/Anonymous (nobody) Summary: Possible redundancy with stubDate_ in MakeSchedule Initial Comment: The member variable stubDate_ of MakeSchedule is set to default Date in the constructor, and none of the MakeSchedule methods modify it. Yet in the initial part of MakeSchedule operator::Schedule(), there is code that resets firstDate, nextToLastDate etc if stubDate_ is not equal to the default date. Given that stubDate_ is fixed at default Date, this code is never used. Is it possible that either a method "withStubDate" is required, or that stubDate_ needs to be reset in "withFirstDate" and "withNextToLastDate" methods? ohkang.kwon< at >gmail.com ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1963642&group_id=12740 ------------------------------------------------------------------------- This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/

Re: CDS example

Ferdinando Ametrano — 2008-05-14T12:10:25

On Wed, May 14, 2008 at 12:17 PM, Luigi Ballabio gmail.com> wrote: mmm... I'm not so sure this is always the case. E.g. if you model the YieldTermStructure as interpolated zero rates, the zero rate at time t=0 is not unambiguously defined. For the time being the code defaults to a given value, but this is not really needed and as a matter of fact is often problematic, as it can break bootstrapping when using global interpolation. why don't we skip this early check altogether and adopt the lazy approach of delegating the check to the interpolation class? ciao -- Nando ------------------------------------------------------------------------- This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/

Re: CDS example

Luigi Ballabio — 2008-05-14T10:17:18

True. Since we have an additional point for today's date (and since this also holds for all other bootstrapped curves) I changed the check in IterativeBootstrap so that it requires a number of instruments equal to the number of required points minus one. The cases that used to work should be unaffected (since they passed the stricter condition already) and indeed, the existing test cases still pass. Thanks for the report. Luigi

Re: CDS example

2008-05-13T22:24:12

Hi Luca, I am aware of the problem. It is the class IterativeBootstrap that performs the test. Maybe it should delegate it. I made a temporary change on the code and I could calibrate to one instrument (but I did not want to break all the bootstrappers so I could not keep it :-) True, in this case one instrument should be enough for *any* interpolation since we should have an extra point for todays date but no instrument associated with it. The value of the probability at that point depends on the value associated to the one at the date of the intrument, on the probability model and on the interpolator. (Plays the role of DF(t=0)=1 if you want). As you say in the backwardflat case is more evident but independently of the interpolator the region from t=0 to the first point should always be covered (we might want to price an instruments with monthly payments) even when calling the interpolator with the extrapoltaion "off". The test (in "IterativeBootstrap::setup"): Size n = ts_->instruments_.size(); QL_REQUIRE(n >= Interpolator::requiredPoints, (...) makes the comparison with the number of instruments and not with the number of points in the bootstrapped curve (not necessarily the same number) We might fix it asking the term structure and not counting the instruments; "setup" is called right at the end of the calibrated term structure constructor and we have a ptr to it. I havent done this myself since it affects all bootstrappers and need to test a lot after it. To be honest I havent finish going through the last commit of the code, I am still modifying my client code to test the bootstrapping. Regards, sorry for the long reply. PP Quoting Luca Billi gmail.com>: ------------------------------------------------------------------------- This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/

CDS example

Luca Billi — 2008-05-13T15:34:49

Hi all, I'm looking at the CDS example in the repository and I see that the bootstraping scheme doesn't work if I use only one calibrating instrument. The exception thrown says it needs at least 2 instruments. Is this the expected behavior? The error is caused by the BackwardFlat interpolation class requiring 2 points. Technically, for flat interpolation one point might be enough. Thanks, Luca ------------------------------------------------------------------------- This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/

Re: quantlib-Bugs-1857551 PiecewiseYieldCurve

Luigi Ballabio — 2008-05-13T15:24:40

Applied, thanks. Luigi

Re: New Calendars

Luigi Ballabio — 2008-05-13T08:10:41

Ok, I just had a more careful look at the submitted France calendar. It looks to me it's just the TARGET calendar. Am I wrong? Luigi

Re: New Calendars

Lecuyer, Fabrice — 2008-05-13T00:24:57

Hi all, I just looked at Bloomberg and they do see those dates only as non settlement dates. However, I still doubt a french bond can settle on the 14 of July (Bastille day) for example. Even Belgium has it's national day as a non-settlement day. I've never worked in France for a financial institution, but maybe somebody working in France can enlighten me? Fabrice -----Original Message----- From: quantlib-dev-bounces< at >lists.sourceforge.net [mailto:quantlib-dev-bounces< at >lists.sourceforge.net] On Behalf Of Craig, Michael Sent: Tuesday, 13 May 2008 2:01 AM To: 'luigi.ballabio< at >gmail.com' Cc: quantlib-dev< at >lists.sourceforge.net Subject: Re: [Quantlib-dev] New Calendars No - Bloomberg provided those holidays as well but indicated that they were in fact settlement days. The classes which I uploaded provide the dates for which securities do not settle on. Reason being - we are processing French Bonds and need non-settlement days to properly calc accruals, yield, etcetera... The other holidays Fabrice mentioned are provided in Bloomberg however they are listed as regular settlement days. -----Original Message----- From: Luigi Ballabio [mailto:luigi.ballabio< at >gmail.com] Sent: Monday, May 12, 2008 11:57 AM To: Craig, Michael Cc: quantlib-dev< at >lists.sourceforge.net Subject: RE: [Quantlib-dev] New Calendars On Mon, 2008-05-12 at 11:49 -0400, Craig, Michael wrote: You mean Bloomberg gave you the errors on the French calendar that Fabrice Lecuyer reported? Makes me wonder how accurate their information is. Before Fabrice's post, I would have taken it at face value. Is there anyone on the list from Belgium, Greece, or Malaysia? May you check the holidays and see if they are correct? Thanks, Luigi -- Matz's Law: A conclusion is the place where you got tired of thinking. ******************** NOTICE OF CONFIDENTIALITY This communication including any information transmitted with it is intended only for the use of the addressees and is confidential. If you are not an intended recipient or responsible for delivering the message to an intended recipient, any review, disclosure, conversion to hard copy, dissemination, reproduction or other use of any part of this communication is strictly prohibited, as is the taking or omitting of any action in reliance upon this communication. If you receive this communication in error or without authorization please notify us immediately by return e-mail or otherwise and permanently delete the entire communication from any computer, disk drive, or other storage medium. If the above disclaimer is not properly readable, it can be found at www.td.com/legal AVERTISSEMENT DE CONFIDENTIALITE Ce courriel, ainsi que tout renseignement ci-inclus, destiné uniquement aux destinataires susmentionnés, est confidentiel. Si vous n'êtes pas le destinataire prévu ou un agent responsable de la livraison de ce courriel, tout examen, divulgation, copie, impression, reproduction, distribution, ou autre utilisation d'une partie de ce courriel est strictement interdit de même que toute intervention ou abstraction à cet égard. Si vous avez reçu ce message par erreur ou sans autorisation, veuillez en aviser immédiatement l'expéditeur par retour de courriel ou par un autre moyen et supprimer immédiatement cette communication entière de tout système électronique. Si l'avis de non-responsabilité ci-dessus n'est pas lisible, vous pouvez le consulter à www.td.com/francais/legale ------------------------------------------------------------------------- This SF.net email is sponsored by the 2008 JavaOne(SM) Conference Don't miss this year's exciting event. There's still time to save $100. Use priority code J8TL2D2. http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone _______________________________________________ QuantLib-dev mailing list QuantLib-dev< at >lists.sourceforge.net https://lists.sourceforge.net/lists/listinfo/quantlib-dev ************** IMPORTANT MESSAGE ***************************** This e-mail message is intended only for the addressee(s) and contains information which may be confidential. If you are not the intended recipient please advise the sender by return email, do not use or disclose the contents, and delete the message and any attachments from your system. Unless specifically indicated, this email does not constitute formal advice or commitment by the sender or the Commonwealth Bank of Australia (ABN 48 123 123 124) or its subsidiaries. We can be contacted through our web site: commbank.com.au. If you no longer wish to receive commercial electronic messages from us, please reply to this e-mail by typing Unsubscribe in the subject line. ************************************************************** ------------------------------------------------------------------------- This SF.net email is sponsored by: Microsoft Defy all challenges. Microsoft(R) Visual Studio 2008. http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/

Re: New Calendars

Craig, Michael — 2008-05-12T16:01:11

No - Bloomberg provided those holidays as well but indicated that they were in fact settlement days. The classes which I uploaded provide the dates for which securities do not settle on. Reason being - we are processing French Bonds and need non-settlement days to properly calc accruals, yield, etcetera... The other holidays Fabrice mentioned are provided in Bloomberg however they are listed as regular settlement days. -----Original Message----- From: Luigi Ballabio [mailto:luigi.ballabio< at >gmail.com] Sent: Monday, May 12, 2008 11:57 AM To: Craig, Michael Cc: quantlib-dev< at >lists.sourceforge.net Subject: RE: [Quantlib-dev] New Calendars On Mon, 2008-05-12 at 11:49 -0400, Craig, Michael wrote: You mean Bloomberg gave you the errors on the French calendar that Fabrice Lecuyer reported? Makes me wonder how accurate their information is. Before Fabrice's post, I would have taken it at face value. Is there anyone on the list from Belgium, Greece, or Malaysia? May you check the holidays and see if they are correct? Thanks, Luigi -- Matz's Law: A conclusion is the place where you got tired of thinking. ******************** NOTICE OF CONFIDENTIALITY This communication including any information transmitted with it is intended only for the use of the addressees and is confidential. If you are not an intended recipient or responsible for delivering the message to an intended recipient, any review, disclosure, conversion to hard copy, dissemination, reproduction or other use of any part of this communication is strictly prohibited, as is the taking or omitting of any action in reliance upon this communication. If you receive this communication in error or without authorization please notify us immediately by return e-mail or otherwise and permanently delete the entire communication from any computer, disk drive, or other storage medium. If the above disclaimer is not properly readable, it can be found at www.td.com/legal AVERTISSEMENT DE CONFIDENTIALITE Ce courriel, ainsi que tout renseignement ci-inclus, destiné uniquement aux destinataires susmentionnés, est confidentiel. Si vous nêtes pas le destinataire prévu ou un agent responsable de la livraison de ce courriel, tout examen, divulgation, copie, impression, reproduction, distribution, ou autre utilisation dune partie de ce courriel est strictement interdit de même que toute intervention ou abstraction à cet égard. Si vous avez reçu ce message par erreur ou sans autorisation, veuillez en aviser immédiatement lexpéditeur par retour de courriel ou par un autre moyen et supprimer immédiatement cette communication entière de tout système électronique. Si l'avis de non-responsabilité ci-dessus n'est pas lisible, vous pouvez le consulter à www.td.com/francais/legale ------------------------------------------------------------------------- This SF.net email is sponsored by the 2008 JavaOne(SM) Conference Don't miss this year's exciting event. There's still time to save $100. Use priority code J8TL2D2. http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone

[ quantlib-Bugs-1947215 ] MS VS 2k3 complie error

SourceForge.net — 2008-05-12T09:00:47

Bugs item #1947215, was opened at 2008-04-20 16:26 Message generated for change (Settings changed) made by lballabio You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1947215&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 Priority: 5 Private: No Submitted By: Nobody/Anonymous (nobody) Assigned to: Nobody/Anonymous (nobody) Summary: MS VS 2k3 complie error Initial Comment: When I try to complie the quantlib C++ source file, the following message came into error log like Below is the one of the error log. What should I do? I am a dummy in C++. Help! :\Program Files\Microsoft Visual Studio .NET 2003\Vc7\include\vector(1112) : error C2065: '_Myoff' : undeclared identifier c:\Program Files\Microsoft Visual Studio .NET 2003\Vc7\include\vector(1102) : while compiling class-template member function 'std::vector<_Ty,_Ax>::const_iterator &std::vector<_Ty,_Ax>::const_iterator::operator +=(std::vector<_Ty,_Ax>::const_iterator::difference_type)' with [ _Ty=bool, _Ax=std::allocator ] c:\Program Files\Microsoft Visual Studio .NET 2003\Vc7\include\vector(1455) : see reference to class template instantiation 'std::vector<_Ty,_Ax>::const_iterator' being compiled with [ _Ty=bool, _Ax=std::allocator ] c:\Program Files\Microsoft Visual Studio .NET 2003\Vc7\include\vector(1454) : while compiling class-template member function 'std::vector<_Ty,_Ax>::const_reference std::vector<_Ty,_Ax>::operator [](std::vector<_Ty,_Ax>::size_type) const' with [ _Ty=bool, _Ax=std::allocator ] c:\documents and settings\copolayuki\바탕 화면\quantlib\quantlib\ql\termstructures\volatility\swaption\swaptionvolcube1.hpp(148) : see reference to class template instantiation 'std::vector<_Ty,_Ax>' being compiled with [ _Ty=bool, _Ax=std::allocator ] ---------------------------------------------------------------------- Date: 2008-05-12 11:00 Message: Logged In: YES user_id=75450 Originator: NO Yes, it's a compiler problem. You can either patch the header as described in the previous comment, or enable Microsoft extensions in the project. Luigi ---------------------------------------------------------------------- Comment By: Nobody/Anonymous (nobody) Date: 2008-04-23 07:59 Message: Logged In: NO This happened to me as well when I first tried to compile with 2003. I had to actually edit the vectorr header file and replace the reference to _Myoff with this->_Myoff. I think this is an actual error with this header, that might have beeen corrected in a service pack I have not yet installed at teh time, but i am not sure. ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1947215&group_id=12740 ------------------------------------------------------------------------- This SF.net email is sponsored by the 2008 JavaOne(SM) Conference Don't miss this year's exciting event. There's still time to save $100. Use priority code J8TL2D2. http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone _______________________________________________ QuantLib-dev mailing list QuantLib-dev< at >lists.sourceforge.net https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Re: New Calendars

MJC1 — 2008-05-12T12:31:37

Hi Fabrice, Thanks for looking into the calendar for me. I was relying on the Bloomberg settlement calendar. Many of the holidays you listed are there, however Bloomberg does not denote them as non-settlement days. We need this calendar to calculate accruals for French Bonds, so its days that the market is closed that we are after. I suppose writing this in the documentation would have been useful =). Any thoughts? Fabrice_CBA wrote:

Re: New Calendars

Craig, Michael — 2008-05-12T15:49:45

Hi Luigi, The information was sourced from Bloomberg (CDR Command). Would you like me to resend the header files or can you add this in? Cheers, Mike -----Original Message----- From: Luigi Ballabio [mailto:luigi.ballabio< at >gmail.com] Sent: Monday, May 12, 2008 11:47 AM To: Craig, Michael Cc: quantlib-dev< at >lists.sourceforge.net Subject: Re: [Quantlib-dev] New Calendars On Fri, 2008-05-09 at 13:31 -0700, MJC1 wrote: Sure. Just one thing: may you provide a reference to the source of the information you used (a URL or something) to be included in each header file? Thanks, Luigi -- A debugged program is one for which you have not yet found the conditions that make it fail.

Re: New Calendars

Luigi Ballabio — 2008-05-12T15:56:43

You mean Bloomberg gave you the errors on the French calendar that Fabrice Lecuyer reported? Makes me wonder how accurate their information is. Before Fabrice's post, I would have taken it at face value. Is there anyone on the list from Belgium, Greece, or Malaysia? May you check the holidays and see if they are correct? Thanks, Luigi

Re: New Calendars

Luigi Ballabio — 2008-05-12T15:46:39

Sure. Just one thing: may you provide a reference to the source of the information you used (a URL or something) to be included in each header file? Thanks, Luigi