Nabble - quantlib-dev

Re: [QuantLib-svn] SF.net SVN: quantlib:[15598] trunk/QuantLib

2008-09-29T12:08:37Z

On Sep 29, 2008, at 8:00 PM, nando@... wrote:

> Log Message:
> -----------
> made RateHelper a real class (it was a typedef) to allow for
> specialized interface (rate() inspector so far)
>
> Modified: trunk/QuantLib/ql/termstructures/yield/bondhelpers.cpp
> ===================================================================
> --- trunk/QuantLib/ql/termstructures/yield/bondhelpers.cpp
> 2008-09-26 17:05:55 UTC (rev 15597)
> +++ trunk/QuantLib/ql/termstructures/yield/bondhelpers.cpp
> 2008-09-29 18:00:07 UTC (rev 15598)
> @@ -82,6 +81,13 @@
> return bond_;
> }
>
> + Rate FixedRateBondHelper::rate() const {
> + QL_FAIL("not implemented yet");
> + // some kind of conventional yield should be calculated
> + Rate yield;
> + return yield;
> + }
> +

I'm not sure about this. When one has to inhibit a method, it looks
like a hint that maybe the interface is not general enough to go in
the base class. But even if this is only temporary, it is not clear
to me what the semantics of rate() is. In other words, how should one
interpret the returned value when one doesn't know what specific kind
of rate helper one's inspecting? Are we not putting different
specialized methods under the same umbrella in order to add them to
the base-class interface?

If the results are needed for some kind of analysis, I'd be more
comfortable by adding a full set of inspectors to each rate helper to
retrieve their data, make them visitable, and use a visitor to run the
analysis. It would also avoid interface bloat if more results were
needed in the future.

Luigi

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[ quantlib-Bugs-2104135 ] HybridHestonHullWhiteProcess -> negative prices for a Call

2008-09-24T06:46:48Z

Bugs item #2104135, was opened at 2008-09-10 20:01
Message generated for change (Comment added) made by lballabio
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2104135&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: HybridHestonHullWhiteProcess -> negative prices for a Call

Initial Comment:
I am getting negative prices for a call option (among other calibration problems) in the following example code. (Almost entirely based on test-suite code.)

----------------------------------------------------------------------

>Comment By: Luigi Ballabio (lballabio)
Date: 2008-09-24 15:46

Message:
results.value = std::max(0.0, results.value);

at the end of the engine's calculate() method?

Luigi

----------------------------------------------------------------------

Comment By: Klaus Spanderen (klausspanderen)
Date: 2008-09-16 09:01

Message:
Hi Luigi,

I can also generate negative option NPVs with Monte-Carlo engines
we have in actual library code (I guess nearly all MC engines
supporting control variate can generate negative NPVs for deep
OTM options. At least for the MCAmericanEngine it was pretty easy to
find an example.).

The root of the problem is the control variate algorithm itself, which
might generate negative NPVs having a finite MC statistics, see line 104
in montecarlomodel.hpp. At the time being I don't see a one line fix for
this behaviour.

best regards
Klaus

----------------------------------------------------------------------

Comment By: Luigi Ballabio (lballabio)
Date: 2008-09-15 18:08

Message:
Klaus,
I hope you don't mind my stepping in. Is this an issue of the
MultiVanillaOption class you had in the example, or of an instrument/engine
we have in actual library code? If it's library code, I'd try and avoid
negative NPVs being returned--even if the calibration or the use of control
variates is not optimal. Maybe the engine can floor the option value at
zero?

Luigi

----------------------------------------------------------------------

Comment By: Klaus Spanderen (klausspanderen)
Date: 2008-09-13 14:27

Message:
Hi

The example is using control variate to reduce the statistical error. But
this method can also lead to small negative option NPV for deep OTM options
(as happen in your example). Therefore these options are ignored during the
calibration.

A few other thinks
- in line 751 a constant vol of 12% is added to initialize the calibration
helper. IMO that's a bug because the calibration helper does not match to
the impliedVols array.
- you are using only a few instruments to calibrate the Hull-WHite model.
The \sigma is IMO unrealistically high. Look e.g. into the BermudanSwaption
example to get more realistic values.
- the targetQualityIndex of the test case is much too small for real world
problems. For real problems it is better to monitor the improvements of the
qualityIndex and exit if no further progress is made. (E.g. for your
example I'm getting a qualityIndex of around 100.)
- The algorithm is based on Monte-Carlo optimization and therefore by far
not as stable as a normal Heston calibration. That the reason why I've
removed the example a month ago.

best regards
Klaus

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Re: Bug in Solaris build

2008-09-24T03:25:23Z

Hi Simon,

it has been fixed on the trunk. Thank you

ciao -- Nando

On Wed, Sep 24, 2008 at 9:53 AM, Simon Ibbotson <s.ibbotson@...> wrote:

In file ql/pricingengines/lookback/analyticcontinuousfloatinglookback.cpp

Local variable defined as
Real SS = underlying()/minmax();

SS is a numeric constant under Solaris (v10) running on x86 machines.

Suggested remedy: change the local variable name from SS to Ss.

Cheers,

Simon

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Re: Exposure Issues

2008-09-24T03:16:45Z

Hello,

On Tue, September 23, 2008 11:17, Rahul Gupta wrote:
>
> I've now been through this in detail, and here are my results. I assumed
that the Heston engine implementation broke QLA, whereas in fact, it is the
Heston process. I removed the engine (still broken), the model (still
broken), and the process (still broken) in that order.
>
> The strange thing was that even having removed all of my code, the same
error persisted. As such, I took a fresh code base, and implemented:
>
> 1a) Heston Process as definition in processes.*pp
> OR
> 1b) Heston Process as a totally separate class (hestonprocess.*pp)
>
> 1a - edited processes.xml, added QuantLib::YieldTermStructure to types.xml
(libraryClass)
> 1b - edited categories.xml, added hestonprocess.xml, added
> QuantLib::YieldTermStructure to types.xml (libraryClass)
>
> And then as per usual, generate files, add to project, compile.

Either approach seems sensible to me.

> The result of both approaches was the same:
>
> qlPricingEngine - Error retrieving Enumeration from Registry - the type
'class boost::shared_ptr<class QuantLib::PricingEngine> (__cdecl*)(class
boost::shared_ptr<class QuantLib::GeneralizedBlackScholesProcess> const &)'
is not available!
>
> Any ideas?

Based on the info you provide I can't see what would cause that error.

If you send me your code I'll have a look. I would suggest that you provide
the smallest possible example that would enable me to recreate the error,
ideally in the form of a patch which I could uncompress over the standard
0.9.6 build.

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

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Bug in Solaris build

2008-09-24T00:53:23Z

In file ql/pricingengines/lookback/analyticcontinuousfloatinglookback.cpp

Local variable defined as
Real SS = underlying()/minmax();

SS is a numeric constant under Solaris (v10) running on x86 machines.

Suggested remedy: change the local variable name from SS to Ss.

Cheers,

Simon

Re: Cuda Port for Quantlib

2008-09-23T11:40:14Z

> maybe there is no use for this right now
That's doubtful, if i may dare to speculate.
Perhaps Mr. Joshi (or anyone) could provide a reference to
parallelizable parts of the LIBOR Market Model ?
Certainly http://scholar.google.com ought to have something to say, as well...
-Mike

On Tue, Sep 23, 2008 at 10:11 AM, Jose Luis San Martin
<joseluis.sanmartin@...> wrote:

> Hi Luigi,
> Thank you for your response.
> About C++ compatibility i think there is no problem. I tried some examples
> that comes with the SDK about the c++ integration and works without problem.
> Even there is integration with python.
> Quoting wikipedia "CUDA (Compute Unified Device Architecture) is a compiler
> and set of development tools that enable programmers to use a variation of C
> to code algorithms for execution on the graphics processing unit (GPU)."
> Cuda uses the high performance of the GPUs with parallel data to improve
> your application performance.
> You only need to migrate to cuda the portions of your code that needs
> high parallelism. The rest of the code might remain in C++. And as you can
> see on wikipedia, cuda is only available in the new Nvidia Geforce (Since 8
> Series), maybe there is no use for this right now, but everything have a
> start ;)
> If you can get me in touch with Mark, I'll be grateful.
> Regards,
> On Mon, Sep 15, 2008 at 5:49 PM, Luigi Ballabio <luigi.ballabio@...>
> wrote:
>>
>> On Fri, 2008-09-05 at 14:39 +0200, Jose Luis San Martin wrote:
>> > I'm interested in the Cuda port for QuantLib, at the moment I'm
>> > looking for an open source project with high performance requirements.
>> > I have no idea about quantitative finance but i have no problem with
>> > learn about it.
>> >
>> > The first thing i need is some advice to know where to start, which
>> > module could be easy to understand to start analyzing code to evaluate
>> > if is possible the Cuda port.
>>
>> Hi Jose Luis,
>> sorry for the delay. I don't know much about CUDA, except for a
>> quick
>> look at the site (maybe you could provide a short overview?) so you'll
>> forgive the question: does CUDA require C code? (In which case we're out
>> of luck---QuantLib is C++ and not easily rewritable in a procedural
>> way.) As for a candidate module, I guess that right now the most
>> computationally intensive, and also one that could make use of
>> parallelization, is the market-model code (i.e., the stuff in
>> <ql/models/marketmodels>.) If a port is possible, and if you're still
>> interested, you might want to get in touch with Mark Joshi; he wrote
>> most of the market-model code and might be interested in exploring the
>> possibility (Mark, are you reading this? Care to step in with any
>> thoughts?)
>>
>> Later,
>> Luigi
>>
>>
>>
>> --
>>
>> Glendower: I can call spirits from the vasty deep.
>> Hotspur: Why, so can I, or so can any man;
>> But will they come when you do call for them?
>> -- King Henry the Fourth Part I, Act III, Scene I
>>
>>
>
>
>
> --
> .:. Jose Luis .:.
>
> -------------------------------------------------------------------------
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> Build the coolest Linux based applications with Moblin SDK & win great
> prizes
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> _______________________________________________
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> QuantLib-dev@...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>

Re: Cuda Port for Quantlib

2008-09-23T07:11:39Z

Hi Luigi,

Thank you for your response.

About C++ compatibility i think there is no problem. I tried some examples that comes with the SDK about the c++ integration and works without problem. Even there is integration with python.

Quoting wikipedia "CUDA (Compute Unified Device Architecture) is a compiler and set of development tools that enable programmers to use a variation of C to code algorithms for execution on the graphics processing unit (GPU)." Cuda uses the high performance of the GPUs with parallel data to improve your application performance.

You only need to migrate to cuda the portions of your code that needs high parallelism. The rest of the code might remain in C++. And as you can see on wikipedia, cuda is only available in the new Nvidia Geforce (Since 8 Series), maybe there is no use for this right now, but everything have a start ;)

If you can get me in touch with Mark, I'll be grateful.

Regards,

On Mon, Sep 15, 2008 at 5:49 PM, Luigi Ballabio <luigi.ballabio@...> wrote:

On Fri, 2008-09-05 at 14:39 +0200, Jose Luis San Martin wrote:
> I'm interested in the Cuda port for QuantLib, at the moment I'm
> looking for an open source project with high performance requirements.
> I have no idea about quantitative finance but i have no problem with
> learn about it.
>
> The first thing i need is some advice to know where to start, which
> module could be easy to understand to start analyzing code to evaluate
> if is possible the Cuda port.

Hi Jose Luis,
sorry for the delay. I don't know much about CUDA, except for a quick
look at the site (maybe you could provide a short overview?) so you'll
forgive the question: does CUDA require C code? (In which case we're out
of luck---QuantLib is C++ and not easily rewritable in a procedural
way.) As for a candidate module, I guess that right now the most
computationally intensive, and also one that could make use of
parallelization, is the market-model code (i.e., the stuff in
<ql/models/marketmodels>.) If a port is possible, and if you're still
interested, you might want to get in touch with Mark Joshi; he wrote
most of the market-model code and might be interested in exploring the
possibility (Mark, are you reading this? Care to step in with any
thoughts?)

Later,
Luigi

--

Glendower: I can call spirits from the vasty deep.
Hotspur: Why, so can I, or so can any man;
But will they come when you do call for them?
-- King Henry the Fourth Part I, Act III, Scene I

--
.:. Jose Luis .:.

Re: Exposure Issues

2008-09-23T03:17:38Z

I've now been through this in detail, and here are my results. I assumed that the Heston engine implementation broke QLA, whereas in fact, it is the Heston process. I removed the engine (still broken), the model (still broken), and the process (still broken) in that order.

The strange thing was that even having removed all of my code, the same error persisted. As such, I took a fresh code base, and implemented:

1a) Heston Process as definition in processes.*pp
OR
1b) Heston Process as a totally separate class (hestonprocess.*pp)

1a - edited processes.xml, added QuantLib::YieldTermStructure to types.xml (libraryClass)
1b - edited categories.xml, added hestonprocess.xml, added QuantLib::YieldTermStructure to types.xml (libraryClass)

And then as per usual, generate files, add to project, compile.

The result of both approaches was the same:

qlPricingEngine - Error retrieving Enumeration from Registry - the type 'class boost::shared_ptr<class QuantLib::PricingEngine> (__cdecl*)(class boost::shared_ptr<class QuantLib::GeneralizedBlackScholesProcess> const &)' is not available!

Any ideas?

Eric Ehlers-2 wrote:

Hi Rahul,

On Thu, August 14, 2008 12:38, Rahul Gupta wrote:
> Eric,
>
> Thank you for such a thorough reply.

Happy to help.

> I should first clarify the following issues:
>
> 1) I was explicitly providing a null, I merely didn't type it correctly. 2)
The boosts issue is again a testament to my typing skills.

That makes more sense.

> Now with regards to the engine. I believe that I may have taken an
excessively complex route towards adding an engine. My terminal goal is to
expose Analytic and MC heston engines. Assuming I strip my code, would this
be the best way to add the engines?
>
> 1) Provide a type in enumeratedclasses.xml - Analytic = without
> timesteps, MC = with timesteps [in terms of type] (say, AHE and MCHE) 2) Add
a similar definition in pricingengines.xml/cpp/hpp to what I have already
done in my own files.

I have just reviewed the code in more detail, it's slightly more complicated.
Pricing engines come in 2 flavors:

1) Full fledged objects
2) Enumerated classes
2a) Without timesteps
2b) With timesteps

DiscountingSwapEngine is an example of 1):
- Class QuantLibAddin::DiscountingSwapEngine is implemented in files
QuantLibAddin\qlo\pricingengines.*pp
- Function qlDiscountingSwapEngine() is configured in file
QuantLibAddin\gensrc\metadata\functions\pricingengines.xml

AnalyticEuropeanEngine is an example of 2a):
- Function AE_Engine() is implemented in files
QuantLibAddin\qlo\enumerations\constructors\enumeratedclasses.*pp
- Enumeration AE is configured in file
QuantLibAddin\gensrc\metadata\enumerations\enumeratedclasses.xml

Note that in the case of 2) no QuantLibAddin class is implemented.

Your new classes would need to follow one approach or the other. The
differences between the two approaches should be fairly clear:

1) Fully fledged stateful object which can be instantiated in its own
cell, serialized, etc. No restrictions on the signature of the
constructor.

2) Enumeration, exists only as a transient object which cannot be directly
accessed by the user, must conform to one of the two available
constructor signatures (2a or 2b).

Before starting on this I would first identify the cause of the "class xxx is
not available" error. As mentioned I can't see anything in your description
of your initial changes which would have caused that error and you should get
to the bottom of that before proceeding.

Please let me know how it goes. Maybe when this is done there will be some
code to contribute back to the project, and perhaps a new section on
enumerations in the "Extending QuantLibXL" tutorial?

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

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[ quantlib-Bugs-2115805 ] Bug in SavedSettings?

2008-09-18T06:59:35Z

Bugs item #2115805, was opened at 2008-09-17 11:10
Message generated for change (Comment added) made by lballabio
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2115805&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: Closed
>Resolution: Fixed
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
>Assigned to: Luigi Ballabio (lballabio)
Summary: Bug in SavedSettings?

Initial Comment:
SavedSettings::~SavedSettings() {
try {
Settings::instance().evaluationDate() == evaluationDate_;
Settings::instance().enforcesTodaysHistoricFixings() = enforcesTodaysHistoricFixings_;
} catch (...) {
// nothing we can do except bailing out.
}
}

evaluationDate() returns DateProxy&, then DateProxy do not have operator==():

Settings::instance().evaluationDate() == evaluationDate_;

----------------------------------------------------------------------

Comment By: Luigi Ballabio (lballabio)
Date: 2008-09-18 15:59

Message:
The bug is now fixed in the Subversion repository.
Thank you for the report.

----------------------------------------------------------------------

Comment By: Luigi Ballabio (lballabio)
Date: 2008-09-18 15:58

Message:
You're right---I looked at the equality out of context.
It should have been an assignment instead.

----------------------------------------------------------------------

Comment By: Nobody/Anonymous (nobody)
Date: 2008-09-17 13:00

Message:
Line with code: "Settings::instance().evaluationDate() == evaluationDate_;"
have any meanings?

----------------------------------------------------------------------

Comment By: Nobody/Anonymous (nobody)
Date: 2008-09-17 12:46

Message:
MS VC 2k5 sp1:
error C2678: binary '==' : no operator found which takes a left-hand
operand of type 'Settings::DateProxy' (or there is no acceptable
conversion)

----------------------------------------------------------------------

Comment By: Luigi Ballabio (lballabio)
Date: 2008-09-17 12:40

Message:
DateProxy has an operator Date(), so evaluationDate() is implicitly
converted to Date and Date::operator== is used in the comparison.

Did you try compiling it? Does it give you any errors? If so, what
compiler and operating system are you using?

Luigi

----------------------------------------------------------------------

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[ quantlib-Bugs-2115805 ] Bug in SavedSettings?

2008-09-18T06:58:36Z

Bugs item #2115805, was opened at 2008-09-17 11:10
Message generated for change (Comment added) made by lballabio
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2115805&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: Bug in SavedSettings?

Initial Comment:
SavedSettings::~SavedSettings() {
try {
Settings::instance().evaluationDate() == evaluationDate_;
Settings::instance().enforcesTodaysHistoricFixings() = enforcesTodaysHistoricFixings_;
} catch (...) {
// nothing we can do except bailing out.
}
}

evaluationDate() returns DateProxy&, then DateProxy do not have operator==():

Settings::instance().evaluationDate() == evaluationDate_;

----------------------------------------------------------------------

Comment By: Luigi Ballabio (lballabio)
Date: 2008-09-18 15:58

Message:
You're right---I looked at the equality out of context.
It should have been an assignment instead.

----------------------------------------------------------------------

Comment By: Nobody/Anonymous (nobody)
Date: 2008-09-17 13:00

Message:
Line with code: "Settings::instance().evaluationDate() == evaluationDate_;"
have any meanings?

----------------------------------------------------------------------

Comment By: Nobody/Anonymous (nobody)
Date: 2008-09-17 12:46

Message:
MS VC 2k5 sp1:
error C2678: binary '==' : no operator found which takes a left-hand
operand of type 'Settings::DateProxy' (or there is no acceptable
conversion)

----------------------------------------------------------------------

Comment By: Luigi Ballabio (lballabio)
Date: 2008-09-17 12:40

Message:
DateProxy has an operator Date(), so evaluationDate() is implicitly
converted to Date and Date::operator== is used in the comparison.

Did you try compiling it? Does it give you any errors? If so, what
compiler and operating system are you using?

Luigi

----------------------------------------------------------------------

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[ quantlib-Bugs-2115805 ] Bug in SavedSettings?

2008-09-17T04:00:58Z

Bugs item #2115805, was opened at 2008-09-17 09:10
Message generated for change (Comment added) made by nobody
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2115805&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: Bug in SavedSettings?

Initial Comment:
SavedSettings::~SavedSettings() {
try {
Settings::instance().evaluationDate() == evaluationDate_;
Settings::instance().enforcesTodaysHistoricFixings() = enforcesTodaysHistoricFixings_;
} catch (...) {
// nothing we can do except bailing out.
}
}

evaluationDate() returns DateProxy&, then DateProxy do not have operator==():

Settings::instance().evaluationDate() == evaluationDate_;

----------------------------------------------------------------------

Comment By: Nobody/Anonymous (nobody)
Date: 2008-09-17 11:00

Message:
Line with code: "Settings::instance().evaluationDate() == evaluationDate_;"
have any meanings?

----------------------------------------------------------------------

Comment By: Nobody/Anonymous (nobody)
Date: 2008-09-17 10:46

Message:
MS VC 2k5 sp1:
error C2678: binary '==' : no operator found which takes a left-hand
operand of type 'Settings::DateProxy' (or there is no acceptable
conversion)

----------------------------------------------------------------------

Comment By: Luigi Ballabio (lballabio)
Date: 2008-09-17 10:40

Message:
DateProxy has an operator Date(), so evaluationDate() is implicitly
converted to Date and Date::operator== is used in the comparison.

Did you try compiling it? Does it give you any errors? If so, what
compiler and operating system are you using?

Luigi

----------------------------------------------------------------------

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https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2115805&group_id=12740

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[ quantlib-Bugs-2115805 ] Bug in SavedSettings?

2008-09-17T03:46:36Z

Bugs item #2115805, was opened at 2008-09-17 09:10
Message generated for change (Comment added) made by nobody
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2115805&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,
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: Bug in SavedSettings?

Initial Comment:
SavedSettings::~SavedSettings() {
try {
Settings::instance().evaluationDate() == evaluationDate_;
Settings::instance().enforcesTodaysHistoricFixings() = enforcesTodaysHistoricFixings_;
} catch (...) {
// nothing we can do except bailing out.
}
}

evaluationDate() returns DateProxy&, then DateProxy do not have operator==():

Settings::instance().evaluationDate() == evaluationDate_;

----------------------------------------------------------------------

Comment By: Nobody/Anonymous (nobody)
Date: 2008-09-17 10:46

Message:
MS VC 2k5 sp1:
error C2678: binary '==' : no operator found which takes a left-hand
operand of type 'Settings::DateProxy' (or there is no acceptable
conversion)

----------------------------------------------------------------------

Comment By: Luigi Ballabio (lballabio)
Date: 2008-09-17 10:40

Message:
DateProxy has an operator Date(), so evaluationDate() is implicitly
converted to Date and Date::operator== is used in the comparison.

Did you try compiling it? Does it give you any errors? If so, what
compiler and operating system are you using?

Luigi

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[ quantlib-Bugs-2115805 ] Bug in SavedSettings?

2008-09-17T03:40:51Z

[ quantlib-Bugs-2115805 ] Bug in SavedSettings?

2008-09-17T02:10:46Z

Bugs item #2115805, was opened at 2008-09-17 09:10
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=2115805&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: Bug in SavedSettings?

Initial Comment:
SavedSettings::~SavedSettings() {
try {
Settings::instance().evaluationDate() == evaluationDate_;
Settings::instance().enforcesTodaysHistoricFixings() = enforcesTodaysHistoricFixings_;
} catch (...) {
// nothing we can do except bailing out.
}
}

evaluationDate() returns DateProxy&, then DateProxy do not have operator==():

Settings::instance().evaluationDate() == evaluationDate_;

----------------------------------------------------------------------

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[ quantlib-Bugs-2104135 ] HybridHestonHullWhiteProcess -> negative prices for a Call

2008-09-16T00:01:39Z

Bugs item #2104135, was opened at 2008-09-10 18:01
Message generated for change (Comment added) made by klausspanderen
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2104135&group_id=12740

Please note that this message will contain a full copy of the comment thread,
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Nobody/Anonymous (nobody)
Assigned to: Nobody/Anonymous (nobody)
Summary: HybridHestonHullWhiteProcess -> negative prices for a Call

Initial Comment:
I am getting negative prices for a call option (among other calibration problems) in the following example code. (Almost entirely based on test-suite code.)

----------------------------------------------------------------------

Comment By: Klaus Spanderen (klausspanderen)
Date: 2008-09-16 07:01

Message:
Hi Luigi,

I can also generate negative option NPVs with Monte-Carlo engines
we have in actual library code (I guess nearly all MC engines
supporting control variate can generate negative NPVs for deep
OTM options. At least for the MCAmericanEngine it was pretty easy to
find an example.).

The root of the problem is the control variate algorithm itself, which
might generate negative NPVs having a finite MC statistics, see line 104
in montecarlomodel.hpp. At the time being I don't see a one line fix for
this behaviour.

best regards
Klaus

----------------------------------------------------------------------

Comment By: Luigi Ballabio (lballabio)
Date: 2008-09-15 16:08

Message:
Klaus,
I hope you don't mind my stepping in. Is this an issue of the
MultiVanillaOption class you had in the example, or of an instrument/engine
we have in actual library code? If it's library code, I'd try and avoid
negative NPVs being returned--even if the calibration or the use of control
variates is not optimal. Maybe the engine can floor the option value at
zero?

Luigi

----------------------------------------------------------------------

Comment By: Klaus Spanderen (klausspanderen)
Date: 2008-09-13 12:27

Message:
Hi

The example is using control variate to reduce the statistical error. But
this method can also lead to small negative option NPV for deep OTM options
(as happen in your example). Therefore these options are ignored during the
calibration.

A few other thinks
- in line 751 a constant vol of 12% is added to initialize the calibration
helper. IMO that's a bug because the calibration helper does not match to
the impliedVols array.
- you are using only a few instruments to calibrate the Hull-WHite model.
The \sigma is IMO unrealistically high. Look e.g. into the BermudanSwaption
example to get more realistic values.
- the targetQualityIndex of the test case is much too small for real world
problems. For real problems it is better to monitor the improvements of the
qualityIndex and exit if no further progress is made. (E.g. for your
example I'm getting a qualityIndex of around 100.)
- The algorithm is based on Monte-Carlo optimization and therefore by far
not as stable as a normal Heston calibration. That the reason why I've
removed the example a month ago.

best regards
Klaus

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Re: error exiting Excel

2008-09-15T12:17:10Z

Hi Nando,

On Mon, September 15, 2008 18:16, Ferdinando Ametrano wrote:
> BTW why is ohRepositoryDeleteAllObjects called? Is it really necessary in
order to free the memory?

I added that many versions ago. It fixed a crash at shutdown, if I remember
correctly it related to multiple dynamically linked XLLs. It's a hack, it may
no longer be necessary and if it is then the problem should be fixed some
other way.

Regards,
Eric
-------------------------
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nazcatech sprl | Brussels | http://www.nazcatech.be
Distributed computing for pricing analytics - Use Microsoft Excel as a client
to the Grid

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Re: error exiting Excel

2008-09-15T10:16:47Z

Ok I found out the problem. In xlAutoClose() the ohAllObjectDelete was
called, and I just renamed it as ohRepositoryDeleteAllObjects.
I wasn't aware of xlAutoClose.

BTW why is ohRepositoryDeleteAllObjects called? Is it really necessary
in order to free the memory?

ciao -- Nando

On Mon, Sep 15, 2008 at 5:58 PM, Ferdinando Ametrano <nando@...> wrote:

> Hi Eric
>
> I don't know if it is related to the crash recently reported but
> exiting Excel I now receive the error message "The macro
> 'ohAllObjectDelete' cannot be found".
> Then I click OK and another error message is displayed "Error
> unloading ObjectHandler: Error in call to Excel: (255) callback
> failed: Invalid XLOPER"
>
> ciao -- Nando
>

[ quantlib-Bugs-2104135 ] HybridHestonHullWhiteProcess -> negative prices for a Call

2008-09-15T09:08:03Z

Bugs item #2104135, was opened at 2008-09-10 20:01
Message generated for change (Comment added) made by lballabio
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2104135&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: HybridHestonHullWhiteProcess -> negative prices for a Call

Initial Comment:
I am getting negative prices for a call option (among other calibration problems) in the following example code. (Almost entirely based on test-suite code.)

----------------------------------------------------------------------

>Comment By: Luigi Ballabio (lballabio)
Date: 2008-09-15 18:08

Message:
Klaus,
I hope you don't mind my stepping in. Is this an issue of the
MultiVanillaOption class you had in the example, or of an instrument/engine
we have in actual library code? If it's library code, I'd try and avoid
negative NPVs being returned--even if the calibration or the use of control
variates is not optimal. Maybe the engine can floor the option value at
zero?

Luigi

----------------------------------------------------------------------

Comment By: Klaus Spanderen (klausspanderen)
Date: 2008-09-13 14:27

Message:
Hi

The example is using control variate to reduce the statistical error. But
this method can also lead to small negative option NPV for deep OTM options
(as happen in your example). Therefore these options are ignored during the
calibration.

A few other thinks
- in line 751 a constant vol of 12% is added to initialize the calibration
helper. IMO that's a bug because the calibration helper does not match to
the impliedVols array.
- you are using only a few instruments to calibrate the Hull-WHite model.
The \sigma is IMO unrealistically high. Look e.g. into the BermudanSwaption
example to get more realistic values.
- the targetQualityIndex of the test case is much too small for real world
problems. For real problems it is better to monitor the improvements of the
qualityIndex and exit if no further progress is made. (E.g. for your
example I'm getting a qualityIndex of around 100.)
- The algorithm is based on Monte-Carlo optimization and therefore by far
not as stable as a normal Heston calibration. That the reason why I've
removed the example a month ago.

best regards
Klaus

----------------------------------------------------------------------

You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2104135&group_id=12740

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error exiting Excel

2008-09-15T08:58:49Z

Hi Eric

I don't know if it is related to the crash recently reported but
exiting Excel I now receive the error message "The macro
'ohAllObjectDelete' cannot be found".
Then I click OK and another error message is displayed "Error
unloading ObjectHandler: Error in call to Excel: (255) callback
failed: Invalid XLOPER"

ciao -- Nando

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Re: Cuda Port for Quantlib

2008-09-15T08:49:09Z

On Fri, 2008-09-05 at 14:39 +0200, Jose Luis San Martin wrote:
> I'm interested in the Cuda port for QuantLib, at the moment I'm
> looking for an open source project with high performance requirements.
> I have no idea about quantitative finance but i have no problem with
> learn about it.
>
> The first thing i need is some advice to know where to start, which
> module could be easy to understand to start analyzing code to evaluate
> if is possible the Cuda port.

Hi Jose Luis,
sorry for the delay. I don't know much about CUDA, except for a quick
look at the site (maybe you could provide a short overview?) so you'll
forgive the question: does CUDA require C code? (In which case we're out
of luck---QuantLib is C++ and not easily rewritable in a procedural
way.) As for a candidate module, I guess that right now the most
computationally intensive, and also one that could make use of
parallelization, is the market-model code (i.e., the stuff in
<ql/models/marketmodels>.) If a port is possible, and if you're still
interested, you might want to get in touch with Mark Joshi; he wrote
most of the market-model code and might be interested in exploring the
possibility (Mark, are you reading this? Care to step in with any
thoughts?)

Later,
Luigi

--

Glendower: I can call spirits from the vasty deep.
Hotspur: Why, so can I, or so can any man;
But will they come when you do call for them?
-- King Henry the Fourth Part I, Act III, Scene I

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Re: Visual C++ configurations

2008-09-15T01:44:37Z

Hi Fabrice

> > a user that needs a particular runtime is likely to know what settings
> > to change to obtain it.
> True, however people that don't would primarily expect to be using
> static runtime, no?. I know I was.

I was too.

Anyway as Luigi pointed out if one asks for a new project, VC++ 8 and
9 create one with Debug and Release configurations: they will link
dynamically to the C runtime library. So if you look forward it makes
more sense to conform to this behavior.

ciao -- Nando

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Re: Visual C++ configurations

2008-09-15T01:31:34Z

Hi all,

If I can give a humble newbie opinion:

Static runtime configuration is more natural and easier to understand
for a beginner in that kind of projects. Since it's self-contained and
easier to deploy, it makes it easier to use in the end. It might be more
difficult for a new audience to understand how to use quantlib if you
decide to make that configuration non-default, not to mention getting
rid of it all together.

>a user that needs a particular runtime is likely to know what settings
to change to obtain it.
True, however people that don't would primarily expect to be using
static runtime, no?. I know I was.

That beeing said, correcting the inconsistency with VC8&9 seems more
important. After all, Microsoft decided CRTDLL was the new default
configuration, so be it. I would vote for clearer names though. About
VC7, I agree with Fernando.

A plus,
Fabrice

-----Original Message-----
From: quantlib-dev-bounces@...
[mailto:quantlib-dev-bounces@...] On Behalf Of Luigi
Ballabio
Sent: Thursday, 4 September 2008 7:29 AM
To: QuantLib developers
Subject: [Quantlib-dev] Visual C++ configurations

Hi all,
I've just answered a poor soul on quantlib-users that asked
about the difference between the various VC++ configurations we've
defined. A few thoughts:

First: the nomenclature is cryptic. It's not obvious that CRTDLL stands
for "common runtime dll." We should clarify the names.

Second, and perhaps most important: there's a mismatch between what we
call release and what the default is for VC++ projects. If one asks for
a new project, VC++ creates one with a Debug and a Release
configuration. Unfortunately, they don't correspond to what we call
release. If a user has compiled QuantLib in Release mode and tries to
link it to its new application, he'll have an unexpected linking error.
What VC++ 7 calls "Release" is what we call "Release SingleThread"; what
VC++ 8 and 9 calls "Release" is what we call "Release CRTDLL".

Needless to say, I'd like to fix this in future releases. For VC++ 8 and
9, I'd call "Release" the default configuration (crtdll) and something
like "Release (static runtime)" the current Release. Well, actually, I'm
not even sure that I'd leave multiple configurations instead of just
Debug/Release; on the one hand, they're confusing for most users, and on
the other hand, a user that needs a particular runtime is likely to know
what settings to change to obtain it. We can talk about this; at the
very least, I'd switch the names.

For VC++ 7, I'm not so sure. For uniformity, I'd call Release what VC+
+ calls Release, i.e., the single-thread configuration. But doing so,
we'd lose uniformity between VC++ versions; and I'm also concerned about
QuantLibXL---Eric, does it support single-thread mode, or does it
require the multi-threaded runtime? If the latter, we might want to use
the crtdll configuration as default.

Thought anyone?

Later,
Luigi

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[ quantlib-Bugs-2104135 ] HybridHestonHullWhiteProcess -> negative prices for a Call

2008-09-13T05:27:11Z

Re: error in Schedule?

2008-09-12T14:26:25Z

Hi Nando,

suppose you have payments defined as "last-day-of-month", with Following convention (so payments can roll to the next month if the last day is not a business day). How can I generate these? This gets tricky if you start on a month with a small number of days, e.g. 28. I don't see how to get them directly - all suggestions welcome.

BTW ... what's wrong with having last-day-of-month + a convention?

Ciao,
Chris

----- Original Message ----
From: Ferdinando Ametrano <nando@...>
To: Chris Kenyon <chris.kenyon@...>
Cc: quantlib-dev@...
Sent: Friday, September 12, 2008 5:33:54 PM
Subject: Re: [Quantlib-dev] error in Schedule?

Hi Chris

On Fri, Sep 12, 2008 at 6:10 PM, Chris Kenyon <chris.kenyon@...> wrote:
> in the Schedule class, if you have endOfMonth=true, and you start from an
> end-of-month, then the convention is set (silently) to Preceding
> internally.
> [...]
> This seems like an error - what if you want the convention you specified?
> What is the reason for this?

it's not an error. If you want your dates to be on the end-of-month,
i.e. on the last working day of the given months, specifying Following
of Preceding doesn't make sense anymore. Just as implementation detail
we use Preceding to move from the last calendar day in the month to
the last working day in that same month.

Is there any schedule you would like to obtain and you cannot using
the existing class? If this is the case please let me know and I'll
look into it

ciao -- Nando

Re: error in Schedule?

2008-09-12T09:33:54Z

Hi Chris

On Fri, Sep 12, 2008 at 6:10 PM, Chris Kenyon <chris.kenyon@...> wrote:
> in the Schedule class, if you have endOfMonth=true, and you start from an
> end-of-month, then the convention is set (silently) to Preceding
> internally.
> [...]
> This seems like an error - what if you want the convention you specified?
> What is the reason for this?

it's not an error. If you want your dates to be on the end-of-month,
i.e. on the last working day of the given months, specifying Following
of Preceding doesn't make sense anymore. Just as implementation detail
we use Preceding to move from the last calendar day in the month to
the last working day in that same month.

Is there any schedule you would like to obtain and you cannot using
the existing class? If this is the case please let me know and I'll
look into it

ciao -- Nando

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error in Schedule?

2008-09-12T09:10:38Z

Hi,

in the Schedule class, if you have endOfMonth=true, and you start from an end-of-month, then the convention is set (silently) to Preceding internally. This happens with both Forward and Backward date generation (around lines 156 and 200), via:

if (endOfMonth && calendar.isEndOfMonth(seed))
convention=Preceding;

This seems like an error - what if you want the convention you specified? What is the reason for this?

Best regards,
Chris Kenyon

Re: [Quantlib-users] Using QuantLibXL

2008-09-11T02:24:45Z

Hi Slava,

On Wed, September 10, 2008 20:26, Slava D wrote:
> am I missing something - can I compile QuantLibXL without compiling
> QuantLib, genXXX and QuantLibObject?

QuantLibXL_full_vc?.sln includes all dependencies. See
http://www.quantlibaddin.org/build_qlxl.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

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Re: [Quantlib-users] Using QuantLibXL

2008-09-10T12:26:12Z

Hi Eric,

thank you very much for your -email.

>>it's not necessary to run vcredist on a machine where Visual C++ is already

installed. It shouldn't do any harm either.

Yep, thanks will know this.

>>I don't entirely understand your comments above. There is no

QuantLibObjectHandler. QuantLibAddin contains a project called
QuantLibObjects. I wouldn't expect you to run Dependency Walker on that,
rather on the XLL.

sorry for the confusion. I ran dependency walker on QuantLibObject xll-s.

I did everything with VS2005, but plan to try again with VS2008.

>>Please try the following:

1) svn checkout from

https://quantlib.svn.sourceforge.net/svnroot/quantlib/trunk

to

C:\projects\trunk

2) Start VC8

3) Open QuantLibXL\QuantLibXL_full_vc8.sln, select configuration Release, and
do Build | Build Solution.

4) Start Excel and load QuantLibXL\xll\QuantLibXL-vc80-mt-s-0_9_6.xll

am I missing something - can I compile QuantLibXL without compiling QuantLib, genXXX and QuantLibObject?

>>I'm pleased at the prospect that you may contribute back
to the Project

To be honest, I would like to give something back.

As soon as I get QuantLib up and running, I plan to come back and to see whether I can do something.

Thanks for the clarifications with the vcredist.

I got into all those details out of despair - all compilations were clean but QuantLib xll was not opening.

I have not tried anything again as I am still waiting for my VS2008 license.

I will update when I try again.

thanks you very much for your help.

many thanks,

Slava

[ quantlib-Bugs-2104135 ] HybridHestonHullWhiteProcess -> negative prices for a Call

2008-09-10T11:01:47Z

Bugs item #2104135, was opened at 2008-09-10 18:01
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=2104135&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: HybridHestonHullWhiteProcess -> negative prices for a Call

Initial Comment:
I am getting negative prices for a call option (among other calibration problems) in the following example code. (Almost entirely based on test-suite code.)

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