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/qua

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 "withStubDat

[ 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 i

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_.

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 ar

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 corre

[ 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::ve

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