gmane.comp.finance.quantlib.user

Re: heston basket mulipath generation

Jason Bowsher — 2008-10-06T21:08:22

------------------------------------------------------------------------- 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=/_______________________________________________ QuantLib-users mailing list QuantLib-users< at >lists.sourceforge.net https://lists.sourceforge.net/lists/listinfo/quantlib-users

R: How do triggers work?

2008-09-29T07:25:31

Re: How do triggers work?

Giovanni Fontana — 2008-09-26T16:09:06

Re: heston basket mulipath generation

Frank Hövermann — 2008-10-05T10:03:09

64bit on windows + SWIG

Eric H Jensen — 2008-10-03T23:04:33

Hi, I need QuantLib to compile to 64 bit on Windows but notice there does not appear to be a 64 bit configuration defined in the Visual Studio 2008 .sln file. Before I add this configuration, is there anything special about compiling for 64 bit on Windows that I should be aware of? Also, anybody have experience using SWIG with 64 bit - I am calling QuantLib from a C# environment. Many thanks, eric ------------------------------------------------------------------------- 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=/

heston basket mulipath generation

Jason Bowsher — 2008-10-03T13:11:56

Error "Irregular fixings are not (yet) supported"in calibrating LMM with CapHelpers

Luca — 2008-09-30T15:04:57

Dears, I'm playing with the LMM QuantLib framework, starting from the example in the test-suite directory. I wish to reproduce the Black price of a european swaption using a LMM calibrated model. Now, I have market quoted vols for ATM CAPS of lenght 1Y, 2Y, ..., 10Y, 12Y, 15Y, 20Y and somw swaptions. When I build the caphelper, I got the following error: "Irregular fixings are not (yet) supported". The problem is in the discountBondOption QL_REQUIRE QL_REQUIRE( isize() && std::fabs(maturity - accrualStartTimes[i]) < 100*std::numeric_limits::epsilon() && std::fabs(bondMaturity - accrualEndTimes[i]) < 100*std::numeric_limits::epsilon(), ... but I don't understand way: seems a "mismatch" in the LMM index fixing times and cap maturities. Any help please? Thank you in advance, luca ------------------------------------------------------------------------- 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: Error "irregular fixings not (yet) supported"in LMM calibration with CapHelpers

Klaus Spanderen — 2008-10-03T22:36:25

Hi Luca On Wednesday 01 October 2008 11:00:11 luca ferraro wrote: yes. Reference date of the term structure used to instantiate the calibraton helper and the index should be index->fixingCalendar().advance(todaysDate, index->fixingDays(), Days); I guess the best way to fix it is to roll your bootstrapped curve forward by index->fixingDays() (or for a quick check generate a second term structure equal to the first one except that the first date is set to index->fixingCalendar().advance(todaysDate, index->fixingDays(), Days); instead of today. That the way it is done in the test case.) Please post your example code if this doesn't help. best regards Klaus ------------------------------------------------------------------------- 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=/

64bit on windows + SWIG

Eric H Jensen — 2008-10-04T12:11:59

Hi, I need QuantLib to compile to 64 bit on Windows Vista 64 but there does not appear to be a 64 bit configuration defined in the Visual Studio 2008 .sln file. Before I add this configuration, is there anything special about compiling for 64 bit on Windows that I should be aware of? Also, anybody have experience using SWIG with 64 bit - I am calling QuantLib from a C# environment. Many thanks, eric ------------------------------------------------------------------------- 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: Building a vol surface when strikes ranges are different across maturities

nabbleuser2008 — 2008-10-03T20:29:20

Hi Luigi, Thanks much for the answer. Unfortunately, the listed options (I've looked at) do not seem to have a constant ranges or constant step sizes for strikes. If I am to fill the gaps, I might have to do a lot of interpolations, and extrapolations. Thanks. CJ

Re: question about the web site

Luigi Ballabio — 2008-10-03T20:04:38

On Oct 3, 2008, at 5:23 PM, Charles Duranceau wrote: As Nando reported, this is fixed now. You could look at the examples. For a description of the architecture (in progress) you can see . I won't say the latter is the best way though, as I'm obviously biased... 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=/

Building a vol surface when strikes ranges are different across maturities

nabbleuser2008 — 2008-10-03T17:04:50

Hi, I'm looking at BlackVarianceSurface class in order to construct an implied volatility surface from the exchange listed options. Problem I'm having is that the option strikes across multiple maturities are not the same, i.e., for different maturities, not only the listed strike ranges are different, but the difference between the strikes also different. BlackVarianceSurface does not seem to handle that. Any suggestions how I can do that .. Thank you very much. CJ

Re: question about the web site

Ferdinando Ametrano — 2008-10-03T16:58:34

Hi Charles not, it's not normal. It will be back in few hours 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=/

question about the web site

Charles Duranceau — 2008-10-03T15:23:07

Re: QuantLib Website

Luigi Ballabio — 2008-10-03T14:46:00

Sourceforge (which hosts the site) has made changes in its configuration. Nando, which is responsible for the domain name, will make the necessary changes shortly. After that, the new IP address should propagate to all DNS. It will probably take a few days. Luigi

QuantLib Website

T Robbertze — 2008-10-03T12:37:31

Hi The QuantLib website (http://quantlib.org) has been down for a couple of days now. Has anybody got an idea how long before it would be accessible again? Regards Theo

Error "irregular fixings not (yet) supported" in LMM calibration with CapHelpers

luca ferraro — 2008-10-01T09:00:11

I already posted a similar message using gmane, but it seems that it was lost. In case, sorry for the duplication ... I'm playing with the QL LMM framework, trying to reproduce the Black price of a vanilla european swaption. I use the LMM example in the test-suite directory as a guide. The problem comes during LMM calibration with CapHelpers (using ATM CAPS taken from market quotes for 1Y, 2Y, ... , 10Y, 12Y, 15Y, 20Y for a LMM tenor based on a EURIBOR 6M index) I got the following error "irregular fixings not (yet) supported". Using the debugger, I see that the problem is in the LiborForwardModel::discountBondOption on the QL_REQURE: QL_REQUIRE( isize() && std::fabs(maturity - accrualStartTimes[i]) < 100*std::numeric_limits::epsilon() && std::fabs(bondMaturity - accrualEndTimes[i]) < 100*std::numeric_limits::epsilon(), "irregular fixings are not (yet) supported"); What I understand is that the maturity of caplets should be close enough to index tenor fixings, is it right? How can I do that? In the test-suite example a termstructure is build with a reference date different from todays date (evaluation date), but in my code I already build a termstructure (bootstrapping with calibration helpers) that starts at todays date. Any help please? thank you in advance, luca

Re: cuda port

Stanislav Seltser — 2008-10-01T03:33:35

Luis, i would be interested in helping you do the cuda port of LMM. first we would need to learn LMM from published papers and books and then do the port. doing the port without understanding finance part it is meaningless exercise. it may be easier to figure out first how to parallelize the lmm code first. i have a bit more experience in finance Stanley ------------------------------------------------------------------------- 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: How do triggers work?

Bennett, Dr. Paul — 2008-09-29T03:23:15

Re: dynamic time change as in the case of quotes

javit — 2008-09-25T12:38:10

It worked. Thank you, Javit javit wrote: ----- Cavit (Javit) Hafizoglu mailto:javit.hafizoglu< at >suntrust.com mailto:javit.hafizoglu< at >suntrust.com

Re: How do triggers work?

Bennett, Dr. Paul — 2008-09-25T06:13:06

Giovanni, I forgot the StopTimer: Sub StopTimer() Application.OnTime earliesttime:=RunWhen, procedure:=cRunWhat1, schedule:=False End Sub Regards, Paul -----Original Message----- From: Bennett, Dr. Paul [mailto:Paul.Bennett< at >lbbwsg.com] Sent: Thursday, September 25, 2008 1:31 PM To: eric.ehlers< at >nazcatech.be; jimmygio Cc: quantlib-users< at >lists.sourceforge.net Subject: Re: [Quantlib-users] How do triggers work? Giovanni, Can't you use a simple timer in EXCEL? This can be done using Visual Basic and is simple to set up, see the code below. This code will run the "RecalculateTermstructure" macro after you open the spreadsheet and continue to run this macro every 5 seconds until you close the spreadsheet. Simply set calculations to manual (already in the auto_open) and write the code to do what you want in the "RecalculateTermstructure" macro. Regards, Paul Public RunWhen As Double Public Const CRunIntervalSeconds = 5 'seconds Public Const cRunWhat = "RecalculateTermstructure" Sub Auto_Open() With Application .Calculation = xlManual End With StartTimer End Sub Private Sub Auto_Close() StopTimer End Sub Sub StartTimer() RunWhen = Now + TimeSerial(0, 0, CRunIntervalSeconds) Application.OnTime earliesttime:=RunWhen, procedure:=cRunWhat, schedule:=True End Sub Sub RecalculateTermstructure() 'YOUR RECALCULATE TERMSTRUCTURE CODE StartTimer End Sub Dr. Paul Bennett Quantitative Analyst Capital Markets and Treasury Landesbank Baden-Württemberg Singapore Branch 25 International Business Park #01-72 German Centre Singapore 609916 Telephone: +65 6562-9255 Telefax: +65 6562-9259 mailto: paul.bennett< at >LBBWsg.com http://www.LBBWsg.com -----Original Message----- From: Eric Ehlers [mailto:eric.ehlers< at >nazcatech.be] Sent: Wednesday, September 24, 2008 7:16 PM To: jimmygio Cc: quantlib-users< at >lists.sourceforge.net Subject: Re: [Quantlib-users] How do triggers work? Hi Giovanni, On Mon, September 22, 2008 14:18, jimmygio wrote: I would like to recalculate the termstructure every 5 seconds, and NOT when depo/futures/swap rates change. triggers work. Can you please help me to understand how to manage this field? Any kind of example will be very appreciated... Triggers are documented at this link: http://www.quantlibaddin.org/references.html Regards, 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=/ _______________________________________________ QuantLib-users mailing list QuantLib-users< at >lists.sourceforge.net https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------- 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=/ _______________________________________________ QuantLib-users mailing list QuantLib-users< at >lists.sourceforge.net https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------- 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=/