0.9.0 release branch

[Luigi Ballabio]

Hi all,
        I've just created a release branch for QuantLib 0.9.0. You can check it
out from the Subversion repository at
<https://quantlib.svn.sourceforge.net/svnroot/quantlib/branches/R000900-branch>.

As usual, bug fixes should be committed on the branch; new developments
should go on the trunk.

Later,
        Luigi


--

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-- Gilbert K. Chesterton



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[Marco Marchioro]

Hi Luigi,
the new branch compiles and passes the tests on OS X, Tiger(10.4.11),
as compiled on my MacBook Pro.
I would be interested to know if anybody manage to compile it on  
Leopard.

Marco

+-------------------------------------------------------+
| Marco Marchioro, Ph. D., Head of Quantitative Finance |
|                    www.statpro.com                    |
+-------------------------------------------------------+

On Tuesday, 2007-11-27 , at 13:50 , Luigi Ballabio wrote:

>
> Hi all,
> I've just created a release branch for QuantLib 0.9.0. You can  
> check it
> out from the Subversion repository at
> <https://quantlib.svn.sourceforge.net/svnroot/quantlib/branches/ 
> R000900-branch>.
>
> As usual, bug fixes should be committed on the branch; new  
> developments
> should go on the trunk.
>
> Later,
> Luigi
>
>
> --
>
> Poets have been mysteriously silent on the subject of cheese.
> -- Gilbert K. Chesterton
>
>
>
> ----------------------------------------------------------------------
> ---
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[Marco Marchioro]

Hi,
I was able to compile QuantLib 0.9.0 on Leopard, OS X 10.5.2, GCC 4.0.1,
after installing XCode 3.0.
However, all tests pass but one:

--------------
Testing swaption volatility cube (sabr interpolation)...
Testing spreaded swaption volatility cube...
Testing volatility cube observability...
Testing swaption volatility matrix...
swaptionvolatilitymatrix.cpp(128): fatal error in  
"SwaptionVolatilityMatrixTest::testSwaptionVolMatrixCoherence":
recovery of 0th swap tenor failed for floating reference date,  
floating market data:
expected swap tenor  = 1Y
   actual swap tenor  = 1Y
expected swap length = 1
   actual swap length = 1.00274
Testing swaption volatility matrix observability...
Testing term structure against evaluation date change...
-------------

Anybody knows why this happens?

Marco


--
Marco Marchioro, Ph. D, Quantitative Finance Group, www.statpro.com





On Wednesday, 2007-11-28 , at 15:10 , Marco Marchioro wrote:

> Hi Luigi,
> the new branch compiles and passes the tests on OS X, Tiger(10.4.11),
> as compiled on my MacBook Pro.
> I would be interested to know if anybody manage to compile it on  
> Leopard.
>
> Marco
>
> +-------------------------------------------------------+
> | Marco Marchioro, Ph. D., Head of Quantitative Finance |
> |                    www.statpro.com                    |
> +-------------------------------------------------------+
>
> On Tuesday, 2007-11-27 , at 13:50 , Luigi Ballabio wrote:
>
>>
>> Hi all,
>> I've just created a release branch for QuantLib 0.9.0. You can  
>> check it
>> out from the Subversion repository at
>> <https://quantlib.svn.sourceforge.net/svnroot/quantlib/branches/R000900-branch 
>> >.
>>
>> As usual, bug fixes should be committed on the branch; new  
>> developments
>> should go on the trunk.
>>
>> Later,
>> Luigi
>>
>>
>> --
>>
>> Poets have been mysteriously silent on the subject of cheese.
>> -- Gilbert K. Chesterton
>>
>>
>> -------------------------------------------------------------------------
>> This SF.net email is sponsored by: Microsoft
>> Defy all challenges. Microsoft(R) Visual Studio 2005.
>> http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/
>> _______________________________________________
>> QuantLib-dev mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
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[Luigi Ballabio]

On Feb 20, 2008, at 5:15 PM, Marco Marchioro wrote:

> I was able to compile QuantLib 0.9.0 on Leopard, OS X 10.5.2, GCC
> 4.0.1,
> after installing XCode 3.0.
> However, all tests pass but one:
>
> --------------
> Testing swaption volatility matrix...
> swaptionvolatilitymatrix.cpp(128): fatal error in
> "SwaptionVolatilityMatrixTest::testSwaptionVolMatrixCoherence":
> recovery of 0th swap tenor failed for floating reference date,
> floating market data:
> expected swap tenor  = 1Y
>    actual swap tenor  = 1Y
> expected swap length = 1
>    actual swap length = 1.00274
> -------------
>
> Anybody knows why this happens?

Marco,
        it's a bug that, due to Murphy's law, surfaced shortly after release.
It was some mismatch in date/time calculation. Unfortunately, the
resulting lengths matched in December. It was fixed on the trunk
sometime last month.

Luigi


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[David Brown]

The same thing happens with WINDOWS6, VC9, BOOST 1.38, and QL-0.9.7.

Where could I find the trunk you are referring to or does this need more coding?

I'll continue to investigate.


Best,
David Brown

Luigi Ballabio wrote

On Feb 20, 2008, at 5:15 PM, Marco Marchioro wrote:
> I was able to compile QuantLib 0.9.0 on Leopard, OS X 10.5.2, GCC
> 4.0.1,
> after installing XCode 3.0.
> However, all tests pass but one:
>
> --------------
> Testing swaption volatility matrix...
> swaptionvolatilitymatrix.cpp(128): fatal error in
> "SwaptionVolatilityMatrixTest::testSwaptionVolMatrixCoherence":
> recovery of 0th swap tenor failed for floating reference date,
> floating market data:
> expected swap tenor  = 1Y
>    actual swap tenor  = 1Y
> expected swap length = 1
>    actual swap length = 1.00274
> -------------
>
> Anybody knows why this happens?

Marco,
        it's a bug that, due to Murphy's law, surfaced shortly after release.
It was some mismatch in date/time calculation. Unfortunately, the
resulting lengths matched in December. It was fixed on the trunk
sometime last month.

Luigi


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[tamasrs (Bugzilla)]

SVN trunk:

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

you alos need an svn client like this:

http://tortoisesvn.tigris.org/

Best,

TRS

On 15 Feb 2009, at 20:46, uptotibet wrote:

>
> The same thing happens with WINDOWS6, VC9, BOOST 1.38, and QL-0.9.7.
>
> Where could I find the trunk you are referring to or does this need  
> more
> coding?
>
> I'll continue to investigate.
>
>
> Best,
> David Brown
>
>
>
>
>
> Luigi Ballabio wrote:
>>
>>
>> On Feb 20, 2008, at 5:15 PM, Marco Marchioro wrote:
>>> I was able to compile QuantLib 0.9.0 on Leopard, OS X 10.5.2, GCC
>>> 4.0.1,
>>> after installing XCode 3.0.
>>> However, all tests pass but one:
>>>
>>> --------------
>>> Testing swaption volatility matrix...
>>> swaptionvolatilitymatrix.cpp(128): fatal error in
>>> "SwaptionVolatilityMatrixTest::testSwaptionVolMatrixCoherence":
>>> recovery of 0th swap tenor failed for floating reference date,
>>> floating market data:
>>> expected swap tenor  = 1Y
>>>   actual swap tenor  = 1Y
>>> expected swap length = 1
>>>   actual swap length = 1.00274
>>> -------------
>>>
>>> Anybody knows why this happens?
>>
>> Marco,
>>  it's a bug that, due to Murphy's law, surfaced shortly after  
>> release.
>> It was some mismatch in date/time calculation. Unfortunately, the
>> resulting lengths matched in December. It was fixed on the trunk
>> sometime last month.
>>
>> Luigi
>>
>>
>> -------------------------------------------------------------------------
>> 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-dev mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
>>
>
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> View this message in context: http://www.nabble.com/0.9.0-release-branch-tp13970225p22027367.html
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>
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[Luigi Ballabio]

On Sun, 2009-02-15 at 12:46 -0800, uptotibet wrote:
> The same thing happens with WINDOWS6, VC9, BOOST 1.38, and QL-0.9.7.
>
> Where could I find the trunk you are referring to or does this need more
> coding?

It does need more coding.

> I'll continue to investigate.

Yes, please do.

Luigi


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looked at it in the right way, did not become still more complicated.
-- Poul Anderson



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