Nabble - quantlib-users

Re: Heston Calibration for American

2008-07-23T13:01:24Z

Hi Klaus, Thanks much for the reply, even though I that is not the reply I was hoping for ;)

I found the following article which talks about an efficient numerical method to price american options using Heston stochastic model.

http://www.mit.jyu.fi/tene/papers/reportB07-05.pdf

Any idea how hard it would be to incorporate it into QL. Has anyone looked at this method already ?

Thanks a lot.

C

Re: QuantLib-users Digest, Vol 26, Issue 7

2008-07-23T11:45:57Z

Re: QuantLib-users Digest, Vol 26, Issue 7

Enviado usando el Real Mail de Vodafone.

-----Original Message-----
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Sent: 7/23/2008 6:48:33 PM
To: <quantlib-users@...>
Subject: QuantLib-users Digest, Vol 26, Issue 7

Send QuantLib-users mailing list submissions to
        quantlib-users@...

To subscribe or unsubscribe via the World Wide Web, visit
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Questions about Asian pricing engines

2008-07-23T09:48:29Z

Questions about Asian pricing engines

Quantlib Benchmark: Monte Carlo methods and Finite Difference

2008-07-22T15:09:13Z

Hello,

I am trying to develop some numerical methods for pricing multi underlying exotic instruments, either European or American, using what I call "optimal schemes" techniques.

To benchmark these methods, I integrated new pricers to the QL framework, in order to compare their performances to their equivalent QL pricers. A first round of test is available at URL

http://www.crimere.com/Products/Optimal%20Schem%20Project/Investment%20Banking/Technical%20Overview_files/Optimal_Schemes_Results1D.pdf

These first tests concern only one underlying pricing, either european or american. The multi underlying case is under way, I will update in this forum as soon as possible.

Do not hesitate to contact me for further informations or questions.

Jean-Marc Mercier

Re: Heston Calibration for American

2008-07-22T11:54:27Z

Hi

no, at the time being you can't calibrate a heston model to american options
using QL out of the box... and IMHO it isn't an easy task as you can't rely
on semi-analytic pricers.

regards
Klaus

On Monday 21 July 2008 22:12:45 nabbleuser2008 wrote:

> Hi,
> Is there a way to calibrate a heston model to american options using QL ?
> Has anyone done it.
>
> Thank you very much.
>
> C

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Re: Problems with object handler

2008-07-22T03:21:01Z

Hi All,

I have added this item to the FAQ:

http://quantlib.org/quantlibaddin/faq.html#faq_item_winheader

Regards,
Eric

On Tue, July 15, 2008 21:59, Neil Firth wrote:
> Hi,
>
> You need to install the SDK. I am using VS2005 and have the
> SDK:
>
> C:\Program Files\Microsoft Platform SDK for Windows Server
2003

> R2\Include\windows.h
>
> You then need to add the include and link directories to the
> project
> settings.
>
> Neil
>
> -----Original Message-----
> From: quantlib-users-bounces@...
> [mailto:quantlib-users-bounces@...] On

Behalf
> Of
> Andrea Bellucci
> Sent: 14 July 2008 09:09
> To: quantlib-users@...
> Subject: [Quantlib-users] Problems with object handler
>
> Hi,t
>
> Maybe someone could help me to build object handler with
visual

> c++
> 2005.
> I tried to follow the instructions
> <http://www.quantlibxl.org/>
> QuantLibXL but when I'm trying to build log4cxx I have these
> errors:
>
> 1>------ Build started: Project: log4cxx, Configuration:
> Release Win32
> ------
> 1>Compiling...
> 1>timezone.cpp
> 1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25

) : fatal error C1083: Cannot open include file: 'windows.h':

> No such
> file or directory
> 1>threadspecificdata.cpp
> 1>..\..\src\threadspecificdata.cpp(22) : fatal error C1083:
> Cannot open
> include file: 'windows.h': No such file or directory
> 1>thread.cpp
> 1>..\..\src\thread.cpp(20) : fatal error C1083: Cannot open
> include
> file: 'windows.h': No such file or directory
> 1>telnetappender.cpp
> 1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25

) : fatal error C1083: Cannot open include file: 'windows.h':
> No such
> file or directory
> 1>system.cpp
> 1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25
) : fatal error C1083: Cannot open include file: 'windows.h':
> No such
> file or directory
> 1>syslogwriter.cpp
> 1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25
) : fatal error C1083: Cannot open include file: 'windows.h':
> No such
> file or directory
> 1>syslogappender.cpp
> 1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25
) : fatal error C1083: Cannot open include file: 'windows.h':
> No such
> file or directory
> 1>stringmatchfilter.cpp
> 1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25
) : fatal error C1083: Cannot open include file: 'windows.h':
> No such
> file or directory
> 1>static.cpp
> 1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25
) : fatal error C1083: Cannot open include file: 'windows.h':
> No such
> file or directory
> 1>socketoutputstream.cpp
> 1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25
) : fatal error C1083: Cannot open include file: 'windows.h':
> No such
> file or directory
> 1>socketnode.cpp
> 1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25
) : fatal error C1083: Cannot open include file: 'windows.h':
> No such
> file or directory
> 1>socketinputstream.cpp
> 1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25
) : fatal error C1083: Cannot open include file: 'windows.h':
> No such
> file or directory
> 1>socketimpl.cpp
> 1>..\..\src\socketimpl.cpp(20) : fatal error C1083: Cannot
open
> include
> file: 'windows.h': No such file or directory
> 1>sockethubappender.cpp
> 1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25
) : fatal error C1083: Cannot open include file: 'windows.h':
> No such
> file or directory
> 1>socketappender.cpp
> 1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25
) : fatal error C1083: Cannot open include file: 'windows.h':
> No such
> file or directory
> 1>socket.cpp
> 1>..\..\src\socket.cpp(20) : fatal error C1083: Cannot open
> include
> file: 'windows.h': No such file or directory
> 1>simplelayout.cpp
> 1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25
) : fatal error C1083: Cannot open include file: 'windows.h':
> No such
> file or directory
> 1>serversocket.cpp
> 1>..\..\src\serversocket.cpp(20) : fatal error C1083: Cannot
> open
> include file: 'windows.h': No such file or directory
> 1>semaphore.cpp
> 1>..\..\src\semaphore.cpp(22) : fatal error C1083: Cannot
open
> include
> file: 'windows.h': No such file or directory
> 1>rootcategory.cpp
> 1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25
) : fatal error C1083: Cannot open include file: 'windows.h':
> No such
> file or directory
> 1>Generating Code...
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Distributed computing for pricing analytics - Use Microsoft
Excel as a client to the Grid

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Re: How to use class BlackVarianceCurve

2008-07-21T20:58:26Z

Hi Bojan,

Thanks for your help! Exactly, I should use blackVariance() or blackVol() rather than the protected method in the derived class.

Best regards,
Max

On Mon, Jul 21, 2008 at 5:42 PM, Bojan Nikolic <bojan@...> wrote:

Hi Max,

I believe you should use functions blackVariance() and blackVol()
which BlackVarianceCurve inherits from BlackVolTermStructure. See the
declaration of the latter in:

ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp

Best,
Bojan

--
Bojan Nikolic || http://www.bnikolic.co.uk

Re: Quantlib+Boost+Visual Studio 2008

2008-07-21T18:43:19Z

Have you looked at

http://dave-programming.blogspot.com/2008/02/how-to-build-quantlib-090-using-visual.html

I was able to get QL working with VS 2008 using the above instructions.

Nick

On Mon, Jul 21, 2008 at 5:09 PM, <QuantLib@...> wrote:

Hello Everybody:

I have been using Quantlib before, and was able to build and run examples and to use libraries, then I stopped and was involved in some research. But now when I returned I have a problem with (such a "lovely" product) VS 2008. c:\....\quantlib09\quantlib-0.9.0\ql\config.msvc.hpp(188) : fatal error C1189: #error : "unknown Microsoft compiler". What is current prescription from Quantlib/Boost authority?

Thank you very much!

Best,

george

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Inputs of Quantlib

2008-07-21T15:23:31Z

Dear all,

I'm pretty new to Quantlib. I guess I will be able to use the classes I need as C++ codes but I don't know how to tell Quantlib to read inputs from an external source such as a simple CSV file. I don't think Quantlib itself has such features. Maybe Boost has. Or does anybody has an idea/advise for such a work? Will I have to write my own class for reading from a database or from a CSV file? I simply wonder what you guys do for calculating the present values of your option portfolios for instance?

Thanks and regards.
s.

--
"Segui il tuo corso, e lascia dir le genti."

Re: Quantlib+Boost+Visual Studio 2008

2008-07-21T14:09:04Z

Hello Everybody:

I have been using Quantlib before, and was able to build and run examples and to use libraries, then I stopped and was involved in some research. But now when I returned I have a problem with (such a "lovely" product) VS 2008. c:\....\quantlib09\quantlib-0.9.0\ql\config.msvc.hpp(188) : fatal error C1189: #error : "unknown Microsoft compiler". What is current prescription from Quantlib/Boost authority?

Thank you very much!

Best,

george

Get fantasy football with free live scoring. Sign up for FanHouse Fantasy Football today.

Heston Calibration for American

2008-07-21T13:12:45Z

Hi,
Is there a way to calibrate a heston model to american options using QL ? Has anyone done it.

Thank you very much.

C

Re: problem with QuantLibAddin installation

2008-07-21T11:54:18Z

Hello,

Rename the directories for gensrc, ObjectHandler, and
QuantLibAddin - remove the "-0.9.0" suffix from each directory
name, so you have only the application name, not the version
number. This problem will be fixed in the next release.

Also, you probably want to re-run configure for QuantLibAddin
as follows:

./configure --enable-addin-cpp

(plus whatever other arguments you may require) so that the
command line C++ environment for QLA is built.

Regards,
Eric

On Mon, July 21, 2008 19:25, aymen zarroug wrote:

> I have installed boost, QuantLib, log4cxx,ObjectHandler(0.9.0
> Version) and
> gensrc.I'm using gcc 4.2 with ubuntu. But when i like to
> install
> ObjectLibAddin i have this error by gensrc:
> root@aymen-laptop:/home/aymen/Documents/QuantLibAddin-0.9.0#
> make Making all in gensrc make[1]: entrant dans le répertoire «
> /home/aymen/Documents/QuantLibAddin-0.9.0/gensrc » python
> ../../gensrc/gensrc.py -vsled > > gensrc has encountered a
> fatal error. > >
>>>>>>>>>>> BEGIN STACK TRACE >>>>>>>>>> File
>>>>>>>>>>> "../../gensrc/gensrc.py", line
> 102, in addinList = addinlist.AddinList(addinIds) File
> "/home/aymen/Documents/gensrc-0.9.0/gensrc/Addins/addinlist.py",
> line 121,
> in __init__ File
> "/home/aymen/Documents/gensrc/gensrc/Utilities/utilities.py",
> line 31, in
> serializeObject objectInstance.postSerialize() File
> "/home/aymen/Documents/gensrc/gensrc/Configuration/configuration.py",
> line
> 104, in postSerialize
> utilities.serializeList(self.coreCategoryPath_, self,
> 'coreCategoryNames', 'categoryName') File
> "/home/aymen/Documents/gensrc/gensrc/Utilities/utilities.py",
> line 39, in
> serializeList serializer = xmlreader.XmlReader(path) File
> "/home/aymen/Documents/gensrc/gensrc/Serialization/xmlreader.py",
> line 217,
> in __init__ raise
> exceptions.SerializationParseException(self.documentName_)
>> <<<<<<<<<< END STACK TRACE <<<<<<<<<< > > gensrc error: > >
>> Error loading
> XML document ../../ObjectHandler/gensrc/config/categories.xml :
> > [Errno 2]
> No such file or directory:
> u'../../ObjectHandler/gensrc/config/categories.xml' > make[1]:
> ***
> [.time-stamp] Erreur 1 make[1]: quittant le répertoire «
> /home/aymen/Documents/QuantLibAddin-0.9.0/gensrc » make: ***
> [all-recursive]
> Erreur 1 Please any idea ...
>
> --
> ZARROUG Aymen
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-------------------------
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Distributed computing for pricing analytics - Use Microsoft
Excel as a client to the Grid

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problem with QuantLibAddin installation

2008-07-21T11:25:17Z

I have installed boost, QuantLib, log4cxx,ObjectHandler(0.9.0 Version) and gensrc.I'm using gcc 4.2 with ubuntu. But when i like to install ObjectLibAddin i have this error by gensrc: root@aymen-laptop:/home/aymen/Documents/QuantLibAddin-0.9.0# make Making all in gensrc make[1]: entrant dans le répertoire « /home/aymen/Documents/QuantLibAddin-0.9.0/gensrc » python ../../gensrc/gensrc.py -vsled > > gensrc has encountered a fatal error. > > >>>>>>>>>> BEGIN STACK TRACE >>>>>>>>>> File "../../gensrc/gensrc.py", line 102, in addinList = addinlist.AddinList(addinIds) File "/home/aymen/Documents/gensrc-0.9.0/gensrc/Addins/addinlist.py", line 121, in __init__ File "/home/aymen/Documents/gensrc/gensrc/Utilities/utilities.py", line 31, in serializeObject objectInstance.postSerialize() File "/home/aymen/Documents/gensrc/gensrc/Configuration/configuration.py", line 104, in postSerialize utilities.serializeList(self.coreCategoryPath_, self, 'coreCategoryNames', 'categoryName') File "/home/aymen/Documents/gensrc/gensrc/Utilities/utilities.py", line 39, in serializeList serializer = xmlreader.XmlReader(path) File "/home/aymen/Documents/gensrc/gensrc/Serialization/xmlreader.py", line 217, in __init__ raise exceptions.SerializationParseException(self.documentName_) > <<<<<<<<<< END STACK TRACE <<<<<<<<<< > > gensrc error: > > Error loading XML document ../../ObjectHandler/gensrc/config/categories.xml : > [Errno 2] No such file or directory: u'../../ObjectHandler/gensrc/config/categories.xml' > make[1]: *** [.time-stamp] Erreur 1 make[1]: quittant le répertoire « /home/aymen/Documents/QuantLibAddin-0.9.0/gensrc » make: *** [all-recursive] Erreur 1 Please any idea ...

--
ZARROUG Aymen

problem with QuantLibAddin installation

2008-07-21T11:11:16Z

I have installed boost, QuantLib, log4cxx,ObjectHandler and gensrc.I'm using gcc 4.2 with ubuntu. But when i like to install ObjectLibAddin i have this error by gensrc: root@aymen-laptop:/home/aymen/Documents/QuantLibAddin-0.9.0# make Making all in gensrc make[1]: entrant dans le répertoire « /home/aymen/Documents/QuantLibAddin-0.9.0/gensrc » python ../../gensrc/gensrc.py -vsled > > gensrc has encountered a fatal error. > > >>>>>>>>>> BEGIN STACK TRACE >>>>>>>>>> File "../../gensrc/gensrc.py", line 102, in addinList = addinlist.AddinList(addinIds) File "/home/aymen/Documents/gensrc-0.9.0/gensrc/Addins/addinlist.py", line 121, in __init__ File "/home/aymen/Documents/gensrc/gensrc/Utilities/utilities.py", line 31, in serializeObject objectInstance.postSerialize() File "/home/aymen/Documents/gensrc/gensrc/Configuration/configuration.py", line 104, in postSerialize utilities.serializeList(self.coreCategoryPath_, self, 'coreCategoryNames', 'categoryName') File "/home/aymen/Documents/gensrc/gensrc/Utilities/utilities.py", line 39, in serializeList serializer = xmlreader.XmlReader(path) File "/home/aymen/Documents/gensrc/gensrc/Serialization/xmlreader.py", line 217, in __init__ raise exceptions.SerializationParseException(self.documentName_) > <<<<<<<<<< END STACK TRACE <<<<<<<<<< > > gensrc error: > > Error loading XML document ../../ObjectHandler/gensrc/config/categories.xml : > [Errno 2] No such file or directory: u'../../ObjectHandler/gensrc/config/categories.xml' > make[1]: *** [.time-stamp] Erreur 1 make[1]: quittant le répertoire « /home/aymen/Documents/QuantLibAddin-0.9.0/gensrc » make: *** [all-recursive] Erreur 1 Please any idea ...

problem with QuantLibAddin installation

2008-07-21T11:10:30Z

problem with QuantLibAdd installation

2008-07-21T11:05:18Z

Re: MultiProductComposite Problem

2008-07-21T02:29:40Z

ok, found the bug in my own code....
(( the nextTimeStep() - implementation in your own products must return true for all steps _greater_ or equal than the last necessary step. if you only have one component it suffices to return true for the last step (because the evolver stops then), if you have more than one component there might be time steps after that very step (because of other components needing this step)... ))
Thx for thinking about that anyway
Peter

petercaspers wrote:

Hi, i am using the quantlib 0.8 market model implementation. I use two MultiProductMultiStep - Instances for two collection of instruments. If I add any one of them (but only one!) to MultiProductComposite, finalize and simulate, everythings fine. But if I add both of them, I get an "vector subscript out of range" exception. Think this must be a quantlib bug, because adding only one collection works fine. Anyone has a hint for me?
Thx a lot in advance
Peter

How to use class BlackVarianceCurve

2008-07-21T01:15:06Z

Hi,

I try to create a volatility term structures (ATM) using class BlackVarianceCurve.
Below is a simple program. But it fails to compile due to the access the protected member function blackVarianceImpl().

#include <ql/quantlib.hpp>
#include <iostream>

using namespace QuantLib;

int main() {

    DayCounter dc = Actual365Fixed();

    Date today(25, Feb, 2008);
    std::vector<Date> dates;
    dates.push_back(Date(25, Aug, 2008));
    dates.push_back(Date(25, Feb, 2009));

    std::vector<Volatility> vols;
    vols.push_back(24.9358/100); // 25 Aug 2008
    vols.push_back(21.4448/100); // 25 Aug 2009

    // volatility term structures
    boost::shared_ptr<BlackVolTermStructure> volTS(
        new BlackVarianceCurve(today, dates, vols, dc, false));

    Real result_vol = volTS->blackVarianceImpl((Time)0.49863, (Real)0);

    std::cout << "result_vol = " << result_vol << std::endl;
}

Here is the compilation error message (using GCC):

main.cpp: In function `int main()':
/usr/local/include/ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp:120: error: `virtual QuantLib::Real QuantLib::BlackVolTermStructure::blackVarianceImpl(QuantLib::Time, QuantLib::Real) const' is protected
main.cpp:23: error: within this context

May I know why the blackVarianceImpl() cannot be accessed in this way?
Also I wonder what is the proper way to create ATM volatility term structure using QuantLib.
Thanks!

Best regards,
Max

MultiProductComposite Problem

2008-07-20T02:40:24Z

Hi, i am using the quantlib 0.8 market model implementation. I use two MultiProductMultiStep - Instances for two collection of instruments. If I add any one of them (but only one!) to MultiProductComposite, finalize and simulate, everythings fine. But if I add both of them, I get an "vector subscript out of range" exception. Think this must be a quantlib bug, because adding only one collection works fine. Anyone has a hint for me?
Thx a lot in advance
Peter

Question about asian option pricing engines

2008-07-17T14:34:19Z

Hello,

I was browsing the online documentation for QuantLib's asian option
pricing engines and now I have a question. I see there are pricing
engines for continuously sampled, geometrically averaged asian
options (an analytic engine), for discretely sampled, geometrically
averaged asian options (an analytic engine), and for discretely
sampled, arithmetically averaged asian options (a Monte Carlo
engine). However, I did not see a pricing engine for continuously
sampled, arithmetically averaged asian options. Why is that? Is the
developer group waiting for someone to volunteer to implement that?
Are there any PDE, perhaps finite difference-based pricing engines
for these types of asian options?

Thanks,
Bob

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negative yields

2008-07-17T07:26:58Z

Hi,

I'm using the yield to maturity and IRR methods for inflation linked bonds. When the real yield is <0 the methods are returning errors.

Does anybody have any suggestions for alternative methods to use to compute yield for this asset class?

Thanks,

Mike

Call QL from SWIG/Python : FittedBondCurve

2008-07-16T00:44:50Z

Hi,

Glenn, did you finish your translation of fitted bond curve from C++ to Python in QuantLib? I've got a problem with my own translation. So, I'm really interested by your code if possible.

Also, I would like to understand where my mistake is. Now, I don't find any solutions except making a c++ function that creates my FittedBondDiscountCurve from simple parameters. I guess it is not a clean solution.

Firstly, I wrote a swig file to call FittedBondDiscountCurve from Python. Secondly, I called it from a python script. Finally, this prototype is not recognized.

Someone has some tips to find mistakes with Swig (like swig option to activate…)?

#ifndef quantlib_fitted_bond_i

#define quantlib_fitted_bond_i

%include termstructures.i

%include ratehelpers.i

using QuantLib::FittedBondDiscountCurve;

using QuantLib::FittedBondDiscountCurve::FittingMethod;

typedef boost::shared_ptr<FittedBondDiscountCurve> FittedBondDiscountCurvePtr;

%rename(FittedBondDiscountCurve) FittedBondDiscountCurvePtr;

class FittedBondDiscountCurvePtr : public boost::shared_ptr<YieldTermStructure> {

public:

%extend {

FittedBondDiscountCurvePtr(Natural settlementDays,

const Calendar& calendar,

const std::vector<boost::shared_ptr<FixedRateBondHelper> >& instruments,

const DayCounter& dayCounter,

const FittingMethod& fittingMethod,

Real accuracy = 1.0e-10,

Size maxEvaluations = 10000,

const Array& guess = Array(),

Real simplexLambda = 1.0)

{

return new FittedBondDiscountCurvePtr(

new FittedBondDiscountCurve(settlementDays, calendar, instruments, dayCounter,

fittingMethod, accuracy, maxEvaluations, guess, simplexLambda));

}

FittedBondDiscountCurvePtr(const Date &referenceDate,

const std::vector<boost::shared_ptr<FixedRateBondHelper> >& instruments,

const DayCounter& dayCounter,

const FittingMethod& fittingMethod,

Real accuracy = 1.0e-10,

Size maxEvaluations = 10000,

const Array &guess = Array(),

Real simplexLambda = 1.0)

{

return new FittedBondDiscountCurvePtr(

new FittedBondDiscountCurve(referenceDate, instruments, dayCounter,

fittingMethod, accuracy, maxEvaluations, guess, simplexLambda));

}

};

using QuantLib::ExponentialSplinesFitting;

using QuantLib::NelsonSiegelFitting;

using QuantLib::CubicBSplinesFitting;

class ExponentialSplinesFitting : public QuantLib::FittedBondDiscountCurve::FittingMethod

{

public:

%extend

{

ExponentialSplinesFitting(bool constrainAtZero = true)

{

return new ExponentialSplinesFitting(constrainAtZero);

}

};

class NelsonSiegelFitting : public QuantLib::FittedBondDiscountCurve::FittingMethod

{

public:

%extend

{

NelsonSiegelFitting()

{

return new NelsonSiegelFitting();

}

};

class CubicBSplinesFitting : public QuantLib::FittedBondDiscountCurve::FittingMethod

{

public:

%extend

{

CubicBSplinesFitting(const std::vector<Time>& knotVector, bool constrainAtZero = true)

{

return new CubicBSplinesFitting(knotVector, constrainAtZero);

}

};

#endif

I call if from:

print type(instruments[0])

print type(self.today_ql), type(instruments), type(dc), type(exponentialSplines)

ts = FittedBondDiscountCurve(self.today_ql,

instruments,

dc,

exponentialSplines)

And I get:

[...]

NotImplementedError: Wrong number of arguments for overloaded function 'new_FittedBondDiscountCurve'.

Possible C/C++ prototypes are:

FittedBondDiscountCurvePtr(Date const &,std::vector< boost::shared_ptr< FixedRateBondHelper >,std::allocator< boost::shared_ptr< FixedRateBondHelper > > > const &,DayCounter const &,FittingMethod const &)

Thank you

Frédéric

-----Original Message-----
From: quantlib-users-bounces@... [mailto:quantlib-users-bounces@...] On Behalf Of Luigi Ballabio
Sent: mardi 29 avril 2008 18:11
To: ga@...
Cc: quantlib-users@...
Subject: Re: [Quantlib-users] Converting C++ to Python SWIG

On Sun, 2008-04-20 at 20:25 -0500, glenn andrews wrote:

> I am trying to convert the example below from C++ to Python using SWIG.

> I am stuck on how to convert some of the lines such as the following to

> Python:

> 1) std::vector< boost::shared_ptr<SimpleQuote> > quote;

> 2) RelinkableHandle<Quote> quoteHandle[numberOfBonds]

> 3) Real coupons[] = { 0.0200, 0.0225, 0.0250, 0.0275, 0.0300,

> 0.0325, 0.0350, 0.0375, 0.0400, 0.0425,

> 0.0450, 0.0475, 0.0500, 0.0525, 0.0550 };

In each case, you can use Python lists. For instance, the third case

would be:

coupons = [ 0.0200, 0.0225, 0.0250, 0.0275, 0.0300,

0.0325, 0.0350, 0.0375, 0.0400, 0.0425,

0.0450, 0.0475, 0.0500, 0.0525, 0.055 ]

In the first two cases, you don't need separate initialization. You can

create the list using list comprehension; for example, 1) would be:

quote = [ SimpleQuote(cleanPrice[i]) for i in range(len(cleanPrice)) ]

or better yet

quote = [ SimpleQuote(p) for p in cleanPrice ]

In general:

- shared_ptr is hidden in the SWIG interfaces, so you can just omit it

and use the pointed class directly;

- for vectors, use Python lists.

Luigi

Weiler's Law:

Nothing is impossible for the man who doesn't have to

do it himself.

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Re: Problems with object handler

2008-07-15T13:59:53Z

Hi,

You need to install the SDK. I am using VS2005 and have the SDK:

C:\Program Files\Microsoft Platform SDK for Windows Server 2003 R2\Include\windows.h

You then need to add the include and link directories to the project settings.

Neil

-----Original Message-----
From: quantlib-users-bounces@... [mailto:quantlib-users-bounces@...] On Behalf Of Andrea Bellucci
Sent: 14 July 2008 09:09
To: quantlib-users@...
Subject: [Quantlib-users] Problems with object handler

Hi,t

Maybe someone could help me to build object handler with visual c++ 2005.
I tried to follow the instructions QuantLibXL but when I'm trying to build log4cxx I have these errors:

1>------ Build started: Project: log4cxx, Configuration: Release Win32 ------
1>Compiling...
1>timezone.cpp
1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25) : fatal error C1083: Cannot open include file: 'windows.h': No such file or directory
1>threadspecificdata.cpp
1>..\..\src\threadspecificdata.cpp(22) : fatal error C1083: Cannot open include file: 'windows.h': No such file or directory
1>thread.cpp
1>..\..\src\thread.cpp(20) : fatal error C1083: Cannot open include file: 'windows.h': No such file or directory
1>telnetappender.cpp
1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25) : fatal error C1083: Cannot open include file: 'windows.h': No such file or directory
1>system.cpp
1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25) : fatal error C1083: Cannot open include file: 'windows.h': No such file or directory
1>syslogwriter.cpp
1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25) : fatal error C1083: Cannot open include file: 'windows.h': No such file or directory
1>syslogappender.cpp
1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25) : fatal error C1083: Cannot open include file: 'windows.h': No such file or directory
1>stringmatchfilter.cpp
1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25) : fatal error C1083: Cannot open include file: 'windows.h': No such file or directory
1>static.cpp
1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25) : fatal error C1083: Cannot open include file: 'windows.h': No such file or directory
1>socketoutputstream.cpp
1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25) : fatal error C1083: Cannot open include file: 'windows.h': No such file or directory
1>socketnode.cpp
1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25) : fatal error C1083: Cannot open include file: 'windows.h': No such file or directory
1>socketinputstream.cpp
1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25) : fatal error C1083: Cannot open include file: 'windows.h': No such file or directory
1>socketimpl.cpp
1>..\..\src\socketimpl.cpp(20) : fatal error C1083: Cannot open include file: 'windows.h': No such file or directory
1>sockethubappender.cpp
1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25) : fatal error C1083: Cannot open include file: 'windows.h': No such file or directory
1>socketappender.cpp
1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25) : fatal error C1083: Cannot open include file: 'windows.h': No such file or directory
1>socket.cpp
1>..\..\src\socket.cpp(20) : fatal error C1083: Cannot open include file: 'windows.h': No such file or directory
1>simplelayout.cpp
1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25) : fatal error C1083: Cannot open include file: 'windows.h': No such file or directory
1>serversocket.cpp
1>..\..\src\serversocket.cpp(20) : fatal error C1083: Cannot open include file: 'windows.h': No such file or directory
1>semaphore.cpp
1>..\..\src\semaphore.cpp(22) : fatal error C1083: Cannot open include file: 'windows.h': No such file or directory
1>rootcategory.cpp
1>c:\build_ql_0_9_0\log4cxx\include\log4cxx/helpers/criticalsection.h(25) : fatal error C1083: Cannot open include file: 'windows.h': No such file or directory
1>Generating Code...

Re: Simulating multiple correlated stochastic processes

2008-07-15T09:07:14Z

Yong,
apologies for the delay. I have been on vacation and I have lost track
of old posts.

On Tue, 2008-07-01 at 06:30 -0700, yong cai wrote:
> Great to learn the Quantlib. I would like to start with building a
> USD term structure with Euro Dollar Futures and Swap contracts as most
> IB shops do:
>
> I saw examples using fixed-rate-bond and flat TS, but not sure how to
> build with the mix.

You can have a look at the Swap example--it builds a term structure
based on deposits, futures, and swaps.

Luigi

--

If you can't convince them, confuse them.
-- Harry S. Truman

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