gmane.comp.finance.quantlib.devel

Inflation curves

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

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[ 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/

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/

[ 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

[ quantlib-Patches-1954409 ] Copulas library proposal

SourceForge.net — 2008-05-07T15:42:46

Patches item #1954409, was opened at 2008-04-29 21:27 Message generated for change (Settings changed) made by lballabio You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1954409&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: Marek Glowacki (lfiarz) Assigned to: Nobody/Anonymous (nobody) Summary: Copulas library proposal Initial Comment: Copulas might be useful as a part of math library and for some models I attached zipped proposal for: ql/math/copulas/farliegumbelmorgensterncopula ql/math/copulas/frankcopula ql/math/copulas/gaussiancopula ql/math/copulas/gumbelcopula ql/math/copulas/independentcopula ql/math/copulas/marshallolkincopula ql/math/copulas/maxcopula ql/math/copulas/mincopula M.Glowacki mglowacki100< at >gmail.com p.s. Sorry for inconveniance, If I put this in wrong place, I'm quite new to sourceforge. ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1954409&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-Patches-1954409 ] Copulas library proposal

SourceForge.net — 2008-05-07T15:44:29

Patches item #1954409, was opened at 2008-04-29 21:27 Message generated for change (Comment added) made by lballabio You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1954409&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: Marek Glowacki (lfiarz) Summary: Copulas library proposal Initial Comment: Copulas might be useful as a part of math library and for some models I attached zipped proposal for: ql/math/copulas/farliegumbelmorgensterncopula ql/math/copulas/frankcopula ql/math/copulas/gaussiancopula ql/math/copulas/gumbelcopula ql/math/copulas/independentcopula ql/math/copulas/marshallolkincopula ql/math/copulas/maxcopula ql/math/copulas/mincopula M.Glowacki mglowacki100< at >gmail.com p.s. Sorry for inconveniance, If I put this in wrong place, I'm quite new to sourceforge. ---------------------------------------------------------------------- Comment By: Luigi Ballabio (lballabio) Date: 2008-05-07 17:44 Message: Logged In: YES user_id=75450 Originator: NO The patch was applied to the code repository. It will be included in next release. Thank you. ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1954409&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

New Calendars

MJC1 — 2008-05-09T20:31:12

Hi, I've created 4 additional calendars currently not included in version 0.9. The formats were taken from existing calendars. Could these be added to the calendar library? Thanks, Mike Craig http://www.nabble.com/file/p17155910/greece.cpp greece.cpp http://www.nabble.com/file/p17155910/france.cpp france.cpp http://www.nabble.com/file/p17155910/belgium.cpp belgium.cpp http://www.nabble.com/file/p17155910/malaysia.cpp malaysia.cpp http://www.nabble.com/file/p17155910/malaysia.hpp malaysia.hpp http://www.nabble.com/file/p17155910/greece.hpp greece.hpp http://www.nabble.com/file/p17155910/belgium.hpp belgium.hpp http://www.nabble.com/file/p17155910/france.hpp france.hpp

[ quantlib-Feature Requests-1954409 ] Copulaslibrary proposal

SourceForge.net — 2008-04-29T19:27:27

Feature Requests item #1954409, was opened at 2008-04-29 21:27 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=1954409&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: Marek Glowacki (lfiarz) Assigned to: Nobody/Anonymous (nobody) Summary: Copulas library proposal Initial Comment: Copulas might be useful as a part of math library and for some models I attached zipped proposal for: ql/math/copulas/farliegumbelmorgensterncopula ql/math/copulas/frankcopula ql/math/copulas/gaussiancopula ql/math/copulas/gumbelcopula ql/math/copulas/independentcopula ql/math/copulas/marshallolkincopula ql/math/copulas/maxcopula ql/math/copulas/mincopula M.Glowacki mglowacki100< at >gmail.com p.s. Sorry for inconveniance, If I put this in wrong place, I'm quite new to sourceforge. ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=362740&aid=1954409&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

Error after calling quantlib-c++-dll viaswig-c#-interface

Frank Hövermann — 2008-05-05T19:09:30

Hi there, I think this is a matter of unproper garbage collection or something similar but I need some guru advice: A properly coded function (in C++, some double* serve as input, and a .txt or .csv file is the output but the function call is like "void func_name(double *input, char *path)" so nothing is actually returned) which does some calculations using some QuantLib objects somehow changes its behaviour under /clr compiler option. This I need to be able to use it via SWIG under C#. Calculations are done as supposed to, but upon C# program termination an "unknown software exception" (0xc0020001) at 0x7c81eb33 pops up. I googled a bit and indications point to a too quick (unmanaged) object disposal where the program terminates before the C++ object does. Does this sound familiar to one of you? Are there any hints to prevent this? Thanks in advance for any hints and best regards ------------------------------------------------------------------------- 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

seasonality for inflation term structures

Chris Kenyon — 2008-04-29T08:50:32

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

SourceForge.net — 2008-04-23T05:59:47

Bugs item #1947215, was opened at 2008-04-20 07:26 Message generated for change (Comment added) made by nobody 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 Status: Open Resolution: 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 ] ---------------------------------------------------------------------- Comment By: Nobody/Anonymous (nobody) Date: 2008-04-22 22:59 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

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

SourceForge.net — 2008-04-20T14:26:22

Bugs item #1947215, was opened at 2008-04-20 07:26 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=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 Status: Open Resolution: 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 ] ---------------------------------------------------------------------- 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

[ quantlib-Bugs-1904433 ] complie bug ormisunderstood?

SourceForge.net — 2008-04-20T14:27:38

Bugs item #1904433, was opened at 2008-02-28 20:44 Message generated for change (Comment added) made by nobody You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1904433&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: complie bug or misunderstood? Initial Comment: everytime I compile the example in the quontlib, the following message I've seen. Is this misunderstood or complie bug or something different? ---------------------------------------------------- cannot find -lQuoantlib-mgw-0_9_0 Id returned 1 exit status [Build Error] [bin/FRA-mwg.exe] Error 1 ---------------------------------------------------------------------- Comment By: Nobody/Anonymous (nobody) Date: 2008-04-20 07:27 Message: Logged In: NO You might have to update your compiler first. I got that message, too. ---------------------------------------------------------------------- Comment By: Luigi Ballabio (lballabio) Date: 2008-02-29 01:36 Message: Logged In: YES user_id=75450 Originator: NO Did you succesfully compile the library first? (The corresponding project is QuantLib.dev) ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1904433&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-Bugs-1947150 ] inflationPeriod incorrectfor SemiAnnual and Quarterly frequ

SourceForge.net — 2008-04-20T11:59:58

Bugs item #1947150, was opened at 2008-04-20 04:59 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=1947150&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: inflationPeriod incorrect for SemiAnnual and Quarterly frequ Initial Comment: Hi, inflationPeriod incorrect for SemiAnnual and Quarterly frequencies. It should read: case Semiannual: startMonth = Month(6*((month-1)/6) + 1) and case Quarterly: startMonth = Month(3*((month-1)/3) + 1) with the other lines unchanged. Best regards, chris.kenyon< at >yahoo.com ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=1947150&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

Disposable

snovik — 2008-04-21T15:19:23

Hi, I am on the team to port ql to c# .net and trying to understand the reasons behind Disposable class. It looks to me like a tricky memory-saving excercise and I wonder if it really is or there are other reasons. would be very grateful. rgds s

about QuantLib\test-suite\fastfouriertransform.*pp

Ferdinando Ametrano — 2008-04-18T12:13:53

Hi all the QuantLib\test-suite\fastfouriertransform.*pp files are excluded from the test-suite build (and would not compile if included). What is their status? ciao -- Nando ------------------------------------------------------------------------- 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

Non copyable curves.

Simon Ibbotson — 2008-04-17T07:48:49

[ quantlib-Feature Requests-1941916 ] Asian AverageStrike Option

SourceForge.net — 2008-04-14T10:19:05

Feature Requests item #1941916, was opened at 2008-04-14 15:49 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=1941916&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: abhishek Srivastava (abhiabhi001) Assigned to: Nobody/Anonymous (nobody) Summary: Asian Average Strike Option Initial Comment: Hi in the instrument list "Asian Average Strike Option" is not avaialable. Thanks Abhishek ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=362740&aid=1941916&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

independent use of objecthandler

Ole Peng — 2008-04-13T23:57:05

South Korea Calendar - modification proposed

Chongseok — 2008-04-11T00:20:48

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ /* Copyright (C) 2004 FIMAT Group Copyright (C) 2007 StatPro Italia srl Copyright (C) 2008 Charles Chongseok Hyun (ordeeq< at >hanmail.net) This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email lists.sf.net>. The license is also available online at . This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ /*! \file southkorea.hpp \brief South Korean calendars */ #ifndef quantlib_south_korean_calendar_hpp #define quantlib_south_korean_calendar_hpp #include namespace QuantLib { //! South Korean calendars /*! Public holidays with definite rules:

Saturdays
Sundays
New Year's Day, January 1st
Independence Day, March 1st
Children's Day, May 5th
Memorial Day, June 6th
Liberation Day, August 15th
National Fondation Day, October 3th
Christmas Day, December 25th

Other public holidays for which no rule is given (data available for 2004-2010 only):

Lunar New Year: The last day of the previous lunar year, January 1st, 2nd in lunar calendar
Election Days
- National Assembly: 2004-APR-15, 2008-APR-09
- Presidency: 2007-DEC-19
- Regional Election: 2006-MAY-31
Buddha's birthday, April 8th in lunar calendar
Harvest Moon Day: August 14th, 15th, 16th in lunar calendar

Holidays for settlements:

All public holidays listed above
Labour Day, May 1st

Holidays for the Korea exchange (data from or ):

All public holidays listed above
Labour Day, May 1st
Year-end closing: 2004-DEC-31, 2005-DEC-30, 2006-DEC-29, 2007-DEC-31

Important changes!!!:

Arbour Day, April 5th: a holiday until 2005, not a holiday after 2005
Constitution Day, July 17th: a holiday until 2007, not a holiday after 2008

\ingroup calendars */ class SouthKorea : public Calendar { private: //! SettlementImpl represents South Korean public holidays. class SettlementImpl : public Calendar::Impl { public: SettlementImpl() : calendarName_("South Korean settlement"){} virtual std::string name() const { return calendarName_; } virtual bool isWeekend(Weekday) const; virtual bool isBusinessDay(const Date&) const; protected: //! Constructor /*! This constructor is for the sake of calling from subclasses. */ SettlementImpl(const std::string& calendarName) : calendarName_(calendarName){} protected: std::string calendarName_; }; /*! KrxImpl inherits SettlementImpl because all KRX business days are also settlement business days. */ class KrxImpl : public SettlementImpl { public: KrxImpl() : SettlementImpl(std::string("South Korean settlement")){} virtual bool isBusinessDay(const Date&) const; }; public: enum Market { Settlement, //!< generic settlement calendar KRX//!< Korea exchange calendar }; SouthKorea(Market m = Settlement); }; } #endif /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ /* Copyright (C) 2004 FIMAT Group Copyright (C) 2007 StatPro Italia srl Copyright (C) 2008 Charles Chongseok Hyun (ordeeq< at >hanmail.net) This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email lists.sf.net>. The license is also available online at . This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. */ #include "southkorea.hpp" #include namespace QuantLib { SouthKorea::SouthKorea(Market market) { typedef boost::shared_ptr t_ptr_cal_impl; // all calendar instances share the same implementation instance static t_ptr_cal_impl settlementImpl(new SouthKorea::SettlementImpl); static t_ptr_cal_impl krxImpl(new SouthKorea::KrxImpl); switch (market) { case Settlement: impl_ = settlementImpl; break; case KRX: impl_ = krxImpl; break; default: QL_FAIL("unknown market"); } } bool SouthKorea::SettlementImpl::isWeekend(Weekday w) const { return w == Saturday || w == Sunday; } bool SouthKorea::SettlementImpl::isBusinessDay(const Date& date) const { Weekday w = date.weekday(); Day d = date.dayOfMonth(); Month m = date.month(); Year y = date.year(); if (isWeekend(w) // New Year's Day || (d == 1 && m == January) // Independence Day || (d == 1 && m == March) // Labor Day || (d == 1 && m == May) // Children's Day || (d == 5 && m == May) // Memorial Day || (d == 6 && m == June) // Liberation Day || (d == 15 && m == August) // National Foundation Day || (d == 3 && m == October) // Christmas Day || (d == 25 && m == December) // Lunar New Year 2004 || ((d == 21 || d==22 || d==23 || d==24 || d==26 ) && m == January && y==2004) || ((d == 8 || d==9 || d==10) && m == February && y==2005) || ((d==29 || d==30 || d==31 ) && m == January && y==2006) || (d==19 && m == February && y==2007) || ((6==d || 7==d || 8==d) && February==m && 2008==y) || ((25==d || 26==d || 27==d) && January==m && 2009==y) || ((13==d || 14==d || 15==d) && February==m && 2010==y) // Election Day || (15==d && April==m && 2004==y) //National Assembly || (9==d && April==m && 2008==y) || (19==d && December==m && 2007==y) //Presidency || (31==d && May==m && 2006==y) //Regional election // Buddha's birthday || (d == 26 && m == May && 2004==y) || (d == 15 && m == May && 2005==y) || (d == 5 && m == May && 2006==y) || (d == 24 && m == May && 2007==y) || (12==d && May==m && 2008==y) || (2==d && May==m && 2009==y) || (21==d && May==m && 2010==y) // Harvest Moon Day || ((d == 27 || d == 28 || d == 29) && m == September && y==2004) || ((d == 17 || d == 18 || d == 19) && m == September && y==2005) || ((d == 5 || d == 6 || d == 7) && m == October && y==2006) || ((d == 24 || d == 25 || d == 26) && m == September && y==2007) || ((13==d || 14==d || 15==d) && September==m && 2008==y) || ((2==d || 3==d || 4==d) && October==m && 2009==y) || ((21==d || 22==d || 23==d) && September==m && 2010==y) ) return false; // changes from the South Korean national holiday system if ( // Arbour Day (5==d && April==m && y < 2006) // Constitution Day || (17==d && July==m && y < 2008) ) return false; return true; } bool SouthKorea::KrxImpl::isBusinessDay(const Date& date) const { Weekday w = date.weekday(); Day d = date.dayOfMonth(); Month m = date.month(); Year y = date.year(); // Check settlement business day if ( !SettlementImpl::isBusinessDay(date) ) return false; // Year-end closing if ( (31==d && December==m && 2004==y) || (30==d && December==m && 2005==y) || (29==d && December==m && 2006==y) || (30==d && December==m && 2007==y) ) return false; return true; } } /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ /* Copyright (C) 2008 Charles Chongseok Hyun (ordeeq< at >hanmail.net) This file is for the purpose of testing QuantLib::SouthKorea, which has been modified from the class with same name in QuantLib version 0.9.0 by Charles Chongseok Hyun. Contact the modifier by email with 'ordeeq< at >hanmail.net' for more details. */ #pragma once #include /* remember to document new and/or updated tests in the Doxygen comment block of the corresponding class */ class CalendarPatchTest { public: //! South Korean Settlement calendar static void testSouthKoreanSettlement(); //! Korea Stock Exchange calendar (http://www.krx.co.kr) static void testKoreaStockExchange(); //! Make a bundle of test functions static boost::unit_test_framework::test_suite* suite(); }; /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ /* Copyright (C) 2008 Charles Chongseok Hyun (ordeeq< at >hanmail.net) This file is for the purpose of testing QuantLib::SouthKorea, which has been modified from the class with same name in QuantLib version 0.9.0 by Charles Chongseok Hyun. Contact the modifier by email with 'ordeeq< at >hanmail.net' for more details. */ #include "southkoreancalendar_test.hpp" #include "southkorea.hpp" #include #include using namespace QuantLib; using namespace boost::unit_test_framework; void CalendarPatchTest::testSouthKoreanSettlement() { BOOST_MESSAGE("Testing South Korean settlement holiday list..."); std::vector expectedHol; expectedHol.push_back(Date(1,January,2004)); expectedHol.push_back(Date(21,January,2004)); expectedHol.push_back(Date(22,January,2004)); expectedHol.push_back(Date(23,January,2004)); expectedHol.push_back(Date(1,March,2004)); expectedHol.push_back(Date(5,April,2004)); expectedHol.push_back(Date(15,April,2004)); //election day // expectedHol.push_back(Date(1,May,2004)); // Saterday expectedHol.push_back(Date(5,May,2004)); expectedHol.push_back(Date(26,May,2004)); // expectedHol.push_back(Date(6,June,2004)); // Sunday // expectedHol.push_back(Date(17,July,2004)); // Saturday // expectedHol.push_back(Date(15,August,2004)); // Sunday expectedHol.push_back(Date(27,September,2004)); expectedHol.push_back(Date(28,September,2004)); expectedHol.push_back(Date(29,September,2004)); // expectedHol.push_back(Date(3,October,2004)); // Sunday // expectedHol.push_back(Date(25,December,2004)); // Saturday // expectedHol.push_back(Date(1,January,2005)); // Saturday expectedHol.push_back(Date(8,February,2005)); expectedHol.push_back(Date(9,February,2005)); expectedHol.push_back(Date(10,February,2005)); expectedHol.push_back(Date(1,March,2005)); expectedHol.push_back(Date(5,April,2005)); expectedHol.push_back(Date(5,May,2005)); // expectedHol.push_back(Date(15,May,2005)); // Sunday expectedHol.push_back(Date(6,June,2005)); // expectedHol.push_back(Date(17,July,2005)); // Sunday expectedHol.push_back(Date(15,August,2005)); // expectedHol.push_back(Date(17,September,2005)); // Saturday // expectedHol.push_back(Date(18,September,2005)); // Sunday expectedHol.push_back(Date(19,September,2005)); expectedHol.push_back(Date(3,October,2005)); // expectedHol.push_back(Date(25,December,2005)); // Sunday // expectedHol.push_back(Date(1,January,2006)); // Sunday // expectedHol.push_back(Date(28,January,2006)); // Saturday // expectedHol.push_back(Date(29,January,2006)); // Sunday expectedHol.push_back(Date(30,January,2006)); expectedHol.push_back(Date(1,March,2006)); expectedHol.push_back(Date(1,May,2006)); expectedHol.push_back(Date(5,May,2006)); expectedHol.push_back(Date(31,May,2006)); // election expectedHol.push_back(Date(6,June,2006)); expectedHol.push_back(Date(17,July,2006)); expectedHol.push_back(Date(15,August,2006)); expectedHol.push_back(Date(3,October,2006)); expectedHol.push_back(Date(5,October,2006)); expectedHol.push_back(Date(6,October,2006)); // expectedHol.push_back(Date(7,October,2006)); // Saturday expectedHol.push_back(Date(25,December,2006)); expectedHol.push_back(Date(1,January,2007)); // expectedHol.push_back(Date(17,February,2007)); // Saturday // expectedHol.push_back(Date(18,February,2007)); // Sunday expectedHol.push_back(Date(19,February,2007)); expectedHol.push_back(Date(1,March,2007)); expectedHol.push_back(Date(1,May,2007)); // expectedHol.push_back(Date(5,May,2007)); // Saturday expectedHol.push_back(Date(24,May,2007)); expectedHol.push_back(Date(6,June,2007)); expectedHol.push_back(Date(17,July,2007)); expectedHol.push_back(Date(15,August,2007)); expectedHol.push_back(Date(24,September,2007)); expectedHol.push_back(Date(25,September,2007)); expectedHol.push_back(Date(26,September,2007)); expectedHol.push_back(Date(3,October,2007)); expectedHol.push_back(Date(19,December,2007)); // election expectedHol.push_back(Date(25,December,2007)); Calendar c = SouthKorea(SouthKorea::Settlement); std::vector hol = Calendar::holidayList(c, Date( 1, January, 2004), Date(31,December, 2007)); for (Size i=0; i(hol.size(), expectedHol.size()); i++) { if (hol[i]!=expectedHol[i]) BOOST_FAIL("expected holiday was " << expectedHol[i] << " while calculated holiday is " << hol[i]); } if (hol.size()!=expectedHol.size()) BOOST_FAIL("there were " << expectedHol.size() << " expected holidays, while there are " << hol.size() << " calculated holidays"); } void CalendarPatchTest::testKoreaStockExchange() { BOOST_MESSAGE("Testing New York Stock Exchange holiday list..."); std::vector expectedHol; expectedHol.push_back(Date(1,January,2004)); expectedHol.push_back(Date(21,January,2004)); expectedHol.push_back(Date(22,January,2004)); expectedHol.push_back(Date(23,January,2004)); expectedHol.push_back(Date(1,March,2004)); expectedHol.push_back(Date(5,April,2004)); expectedHol.push_back(Date(15,April,2004)); //election day // expectedHol.push_back(Date(1,May,2004)); // Saterday expectedHol.push_back(Date(5,May,2004)); expectedHol.push_back(Date(26,May,2004)); // expectedHol.push_back(Date(6,June,2004)); // Sunday // expectedHol.push_back(Date(17,July,2004)); // Saturday // expectedHol.push_back(Date(15,August,2004)); // Sunday expectedHol.push_back(Date(27,September,2004)); expectedHol.push_back(Date(28,September,2004)); expectedHol.push_back(Date(29,September,2004)); // expectedHol.push_back(Date(3,October,2004)); // Sunday // expectedHol.push_back(Date(25,December,2004)); // Saturday expectedHol.push_back(Date(31,December,2004)); // expectedHol.push_back(Date(1,January,2005)); // Saturday expectedHol.push_back(Date(8,February,2005)); expectedHol.push_back(Date(9,February,2005)); expectedHol.push_back(Date(10,February,2005)); expectedHol.push_back(Date(1,March,2005)); expectedHol.push_back(Date(5,April,2005)); expectedHol.push_back(Date(5,May,2005)); // expectedHol.push_back(Date(15,May,2005)); // Sunday expectedHol.push_back(Date(6,June,2005)); // expectedHol.push_back(Date(17,July,2005)); // Sunday expectedHol.push_back(Date(15,August,2005)); // expectedHol.push_back(Date(17,September,2005)); // Saturday // expectedHol.push_back(Date(18,September,2005)); // Sunday expectedHol.push_back(Date(19,September,2005)); expectedHol.push_back(Date(3,October,2005)); // expectedHol.push_back(Date(25,December,2005)); // Sunday expectedHol.push_back(Date(30,December,2005)); // expectedHol.push_back(Date(1,January,2006)); // Sunday // expectedHol.push_back(Date(28,January,2006)); // Saturday // expectedHol.push_back(Date(29,January,2006)); // Sunday expectedHol.push_back(Date(30,January,2006)); expectedHol.push_back(Date(1,March,2006)); expectedHol.push_back(Date(1,May,2006)); expectedHol.push_back(Date(5,May,2006)); expectedHol.push_back(Date(31,May,2006)); // election expectedHol.push_back(Date(6,June,2006)); expectedHol.push_back(Date(17,July,2006)); expectedHol.push_back(Date(15,August,2006)); expectedHol.push_back(Date(3,October,2006)); expectedHol.push_back(Date(5,October,2006)); expectedHol.push_back(Date(6,October,2006)); // expectedHol.push_back(Date(7,October,2006)); // Saturday expectedHol.push_back(Date(25,December,2006)); expectedHol.push_back(Date(29,December,2006)); expectedHol.push_back(Date(1,January,2007)); // expectedHol.push_back(Date(17,February,2007)); // Saturday // expectedHol.push_back(Date(18,February,2007)); // Sunday expectedHol.push_back(Date(19,February,2007)); expectedHol.push_back(Date(1,March,2007)); expectedHol.push_back(Date(1,May,2007)); // expectedHol.push_back(Date(5,May,2007)); // Saturday expectedHol.push_back(Date(24,May,2007)); expectedHol.push_back(Date(6,June,2007)); expectedHol.push_back(Date(17,July,2007)); expectedHol.push_back(Date(15,August,2007)); expectedHol.push_back(Date(24,September,2007)); expectedHol.push_back(Date(25,September,2007)); expectedHol.push_back(Date(26,September,2007)); expectedHol.push_back(Date(3,October,2007)); expectedHol.push_back(Date(19,December,2007)); // election expectedHol.push_back(Date(25,December,2007)); expectedHol.push_back(Date(31,December,2007)); Calendar c = SouthKorea(SouthKorea::KRX); std::vector hol = Calendar::holidayList(c, Date(1,January,2004), Date(31,December,2007)); Size i; for (i=0; i(hol.size(), expectedHol.size()); i++) { if (hol[i]!=expectedHol[i]) BOOST_FAIL("expected holiday was " << expectedHol[i] << " while calculated holiday is " << hol[i]); } if (hol.size()!=expectedHol.size()) BOOST_FAIL("there were " << expectedHol.size() << " expected holidays, while there are " << hol.size() << " calculated holidays"); } test_suite* CalendarPatchTest::suite() { test_suite* suite = BOOST_TEST_SUITE("South Korean calendar tests"); suite->add(BOOST_TEST_CASE(&CalendarPatchTest::testSouthKoreanSettlement)); suite->add(BOOST_TEST_CASE(&CalendarPatchTest::testKoreaStockExchange)); return suite; } ------------------------------------------------------------------------- This SF.net email is sponsored by the 2008 JavaOne(SM) Conference Don't miss this year's exciting event. 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