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 "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

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::ve

[ 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 incon

[ 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.

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 in

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(S

seasonality for inflation term structures

Chris Kenyon — 2008-04-29T08:50:32

------------------------------------------------------------------------- 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 — 2008-04-23T05:59:47

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

[ 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 compilin

[ 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: 2

[ 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 ---------------------------------------------------------------------- Yo

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

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_cale