gmane.comp.finance.quantlib.user

yield curve manipulation

Siddharth Alexander — 2008-09-04T15:42:35

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class Instrument, virtual destructor

Kim Kuen Tang — 2008-09-03T17:46:05

Hi all, the class Instrument is defined as an abstract class. For that reason it should be provided with a virtual destructor virtual ~Instrument(){}; to avoid memory leak. I hope that someone can add this to the file. with regards, Kim Tang ------------------------------------------------------------------------- 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=/

testing error in testsuite 0.9.6

Kim Tang — 2008-08-30T12:01:04

Hi all, i 've got testing errors from testsuite in QuantLib 0.9.6. with visual studio 2008, boost 1.36. The output is: >Testing alpha caplet calibration in a lognormal coterminal swap market model... 11>unknown location(0): fatal error in "QuantLib::detail::quantlib_test_case(&MarketModelSmmCapletAlphaCalibrationTest::testFunction)": std::exception: last caplet vol (0.1340376439125532) must be equal to last swaption vol (0.1340657951109429); discrepancy is 2.81511983896976e-005 11>c:\build_ql_0_9_6\quantlib\test-suite\utilities.hpp(76): last checkpoint 11>Testing GHLS caplet calibration in a lognormal coterminal swap market model... 11>unknown location(0): fatal error in "QuantLib::detail::quantlib_test_case(&MarketModelSmmCapletCalibrationTest::testFunction)": std::exception: last caplet vol (0.1340376439125532) must be equal to last swaption vol (0.1340657951109429); discrepancy is 2.81511983896976e-005 11>c:\build_ql_0_9_6\quantlib\test-suite\utilities.hpp(76): last checkpoint 11>Testing max homogeneity caplet calibration in a lognormal coterminal swap market model... 11>unknown location(0): fatal error in "QuantLib::detail::quantlib_test_case(&MarketModelSmmCapletHomoCalibrationTest::testFunction)": std::exception: last caplet vol (0.1340376439125532) must be equal to last swaption vol (0.1340657951109429); discrepancy is 2.81511983896976e-005 11>c:\build_ql_0_9_6\quantlib\test-suite\utilities.hpp(76): last checkpoint with regards, Kim Tang ------------------------------------------------------------------------- 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=/

Is the quantlibxl available for Mac OSX Leopard

Kyle G — 2008-08-29T00:34:56

I was wondering if the quantlibxl download was available for Macs? Best, Kyle ------------------------------------------------------------------------- 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=/

Compilation failure

Boris Dubuisson — 2008-09-02T14:39:08

the LMM in QuantLib

Mark joshi — 2008-09-01T23:55:05

question

eiichi oyama — 2008-08-28T21:18:06

QuantLib SWIG 0.9.6

Rahul Gupta — 2008-08-28T10:03:48

Hi, I was wondering if there is any planned date for the new version of QL SWIG, or if not, how close we are to the release? I am doing some work with this, and would prefer to hold off if the new version is going to appear soon. Thanks in advance.

Using QuantLibXL

Slava D — 2008-08-27T22:29:32

experimental

Lutz v. Grafenstein — 2008-08-22T10:37:25

Hi i get following build errors compiling QuantLib-0.9.6 on a sparc / gcc known issue? cheers lutz In file included from ../../../ql/issuer.hpp:27, from ../../../ql/experimental/credit/cdsoption.hpp:28, from cdsoption.cpp:20: ../../../ql/default.hpp:32: error: expected identifier before numeric constant ../../../ql/default.hpp:32: error: expected `}' before numeric constant ../../../ql/default.hpp:32: error: expected unqualified-id before numeric constant ../../../ql/default.hpp:38: error: expected class-name before '{' token ../../../ql/default.hpp:40: error: expected `,' or `...' before '&' token ../../../ql/default.hpp:43: error: ISO C++ forbids declaration of `Date' with no type ../../../ql/default.hpp:44: error: `Date' does not name a type ../../../ql/default.hpp:45: error: `Real' does not name a type ../../../ql/default.hpp:46: error: `Seniority' does not name a type ../../../ql/default.hpp:49: error: `Date' does not name a type ../../../ql/default.hpp:50: error: `Rate' does not name a type ../../../ql/default.hpp:51: error: `Seniority' does not name a type ../../../ql/default.hpp:53: error: `AcyclicVisitor' has not been declared ../../../ql/default.hpp:53: error: ISO C++ forbids declaration of `parameter' with no type ../../../ql/default.hpp:61: error: expected declaration before '}' token In file included from ../../../ql/issuer.hpp:27, from ../../../ql/experimental/credit/cdsoption.hpp:28, from cdsoption.cpp:20: ../../../ql/default.hpp:24:1: unterminated #ifndef In file included from ../../../ql/experimental/credit/cdsoption.hpp:28, from cdsoption.cpp:20: ../../../ql/issuer.hpp:24:1: unterminated #ifndef In file included from cdsoption.cpp:20: ../../../ql/experimental/credit/cdsoption.hpp:24:1: unterminated #ifndef make[4]: *** [cdsoption.lo] Error 1 make[4]: Leaving directory `/etc/orc/libsrc/QuantLib-0.9.6/ql/experimental/credit' make[3]: *** [all-recursive] Error 1 make[3]: Leaving directory `/etc/orc/libsrc/QuantLib-0.9.6/ql/experimental' make[2]: *** [all-recursive] Error 1 make[2]: Leaving directory `/etc/orc/libsrc/QuantLib-0.9.6/ql' make[1]: *** [all] Error 2 make[1]: Leaving directory `/etc/orc/libsrc/QuantLib-0.9.6/ql' make: *** [all-recursive] Error 1 This e-mail is confidential and may contain legally privileged information. It is intended only for the addressees. If you have received this e-mail in error, kindly notify us immediately by telephone or e-mail and delete the message from your system. ------------------------------------------------------------------------- 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=/

QuantLibXL problem: qlRateHelperSelection withqlFixedRateBondHelpers

Marek Ozana — 2008-08-24T18:25:53

problem with qlRand() and some other Math functions

2008-08-19T14:59:12

Hi, I've recently installed QuantLibXL 0.9.0 (on Excel 2003) and most things work fine. But I have a strange problem with some Math functions. It seems that all the Math functions for which there is an Excel equivalent return 0. For example qlRand() returns 0.000000 in the RandomNumbers.xls workbook. Same thing for all the functions in the normdist.xls workbook (eg qlNormSInv return 0.00000). I haven't found any help on t he internet. Is this something you've come across before? Many thanks and well done for this brilliant tool, Fredrik Dahlqvist Quant Fixed Income Strategist HSBC ************************************************************ HSBC Bank plc may be solicited in the course of its placement efforts for a new issue, by investment clients of the firm for whom the Bank as a firm already provides other services. It may equally decide to allocate to its own proprietary book or with an associate of HSBC Group. This represents a potential conflict of interest. HSBC Bank plc has internal arrangements designed to ensure that the firm would give unbiased and full advice to the corporate finance client about the valuation and pricing of the offering as well as internal systems, controls and procedures to identify and manage conflicts of interest. HSBC Bank plc Registered Office: 8 Canada Square, London E14 5HQ, United Kingdom Registered in England - Number 14259 Authorised and regulated by the Financial Services Authority. ************************************************************ ----------------------------------------- SAVE PAPER - THINK BEFORE YOU PRINT! This transmission has been issued by a member of the HSBC Group "HSBC" for the information of the addressee only and should not be reproduced and/or distributed to any other person. Each page attached hereto must be read in conjunction with any disclaimer which forms part of it. Unless otherwise stated, this transmission is neither an offer nor the solicitation of an offer to sell or purchase any investment. Its contents are based on information obtained from sources believed to be reliable but HSBC makes no representation and accepts no responsibility or liability as to its completeness or accuracy. ------------------------------------------------------------------------- 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=/

indexFixing( )

Li, Peter — 2008-08-20T20:50:52

VAR Methodology

ssykowski — 2008-08-14T13:11:40

We are evaluating different risk libraries for VaR. Can anyone point me to the details of the approach used by QuantLib. My apologies in advance if this was obvious in the docs, and I missed it.

Quanto barrier submission

2008-08-23T18:36:06

How to expose new class to quantlib

Kim Kuen Tang — 2008-08-25T20:41:08

Hi guys, i have a question about correctly adding new class to QuantLib in visual studio. I notice that if I just add a new class by using /File/->/New/->File from the menu i get problems with the linker. The linker tells me that my class already exists in another object files. So my question is that do i need to update the makefiles in the folder? Do I have to add the new file to the makefile.am and then use automake to create a new makefile.in? Is there adnother additional steps i have to do before linking the whole project? Thanks for your help, Kim Tang ------------------------------------------------------------------------- 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=/

Calculating American Early Exercise Premium

nabbleuser2008 — 2008-08-25T15:30:11

Hi, I'm trying to calculate the european option price from an american by taking out the early exercise premium. I first use FDDividendAmericanEngine to calculte the implied vol, then use Barone-Adesy and Whaley engine and Black Scholes engines to calculate the american and european prices which I thought would allow me to get the american premium. But, when I do this calculation, my two option prices always match. Do you think my above thinking is flawed or it could be due to a programming error on my part. Anycase, if you have a better alternative for what I'm trying to do, I really appreciate to hear that too. Thank you very much. C

what paper is RangeAccrualPricerByBgm based?

willshaw — 2008-08-22T17:29:52

Hi, anyone knows what paper is the pricer RangeAccrualPricerByBgm based? Thanks. Will

boost::ublas and boost::function support?

Jesse Perla — 2008-08-20T16:15:51

AnaliticHestonEngine -- SV or SVJ

nabbleuser2008 — 2008-08-19T18:42:58

Hi, I noticed that the following paper is listed as a reference in the analytichestonengine.cpp file. I also noticed that the same paper is mentioned in the test-suite/hestonmodel.cpp file under testDAXCalibration method. A. Sepp, Pricing European-Style Options under Jump Diffusion Processes with Stochastic Volatility: Applications of Fourier Transform () I had previously thought that the analytichestonengine.cpp implements heston Stochastic Volatility (SV) model without jumps, but having seen the above reference, I'd like to double check if SV with Jumps is available in QuantLib. Also, secondarily, I'd like to clarify which model, ie, SV with Jumps or SV (without jumps) used in the testDAXCalibration ? Thank you very much. C

Online valuation using QuantLib

T Robbertze — 2008-08-18T08:08:28

Hi All I posted here a while ago regarding an online yield curve utility that I created using QuantLib. Thank you for everybody's feedback. I have now added the ability to value interest rate swap contracts. I will hopefully soon add the ability to value swaptions and caps and floors. The site can be found at http://www.bramaan.com I would appreciate any feedback. Especially on bugs and functionality. Regards Theo Robbertze