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Dimathematician

Adding new functions to blackcalculator

Hi everyone.

I'm new to this list. I'm thinking about adding new functions
to the blackcalculator, which are in particular needed in the
FX area. In particular, I'd like to add:

- premium adjusted black scholes deltas (spot and forward)
- functions, which return the strike for a given black scholes delta or ATM quotation

This would be a relatively small contribution and a small enough project
to get me started with contributing to QuantLib and learn how to contribute
code etc.

Would that be useful?

Best regards, Dima

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Ferdinando M. Ametrano-3

Re: Adding new functions to blackcalculator

Hi Dimitri

> I'm new to this list. I'm thinking about adding new functions
> to the blackcalculator, which are in particular needed in the
> FX area. In particular, I'd like to add:
>
> - premium adjusted black scholes deltas (spot and forward)
> - functions, which return the strike for a given black scholes delta or ATM
> quotation

this would be very much appreciated! I've been thinking about tackling
the last issue it's long time now, but never had the occasion.
BTW I've noticed that an algorithm is provided in the last version of
Haug Fomulas book, anyway i don't know if it is the most efficient
algorithm available

As for premium adjusted black scholes deltas I'm not familiar with FX,
but just go ahead and document the features.

And while there, anyone willing to provide Vanna-Volga interpolation?

ciao -- Nando

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Ferdinando M. Ametrano-3

Re: Adding new functions to blackcalculator

On Thu, Nov 13, 2008 at 12:42 PM, Dima <[hidden email]> wrote:
> Ok, good. [...] So, how to proceed?
It would be better if you work on the current trunk version, so
familiarize yourself with svn and check out the trunk snapshot. See
http://quantlib.org/svn.shtml
Also please read the "Developer introduction" at
http://quantlib.org/newdeveloper.shtml

> Will I work with someone of the core
> developers of the class closely?
I am the class main developer, but a) I'm not that proud of its design
b) it's not that complex c) Luigi is THE man
Just post on the dev list and somebody will step up and help you.

> Since I wasn't sure
> what to do with the blackcalculator class.
Please take a look at the blackformula file, where you can find
(hopefully) efficient formula for price and implied vol. You might
probably consider to implement strikeForDelta as function instead of
BlackCalculator class method.
BlackCalculator is just an aggregation of less used formulae with some
common calculation factorized at construction time.
See also BlackScholesCalculator. ImpliedVol and StrikeForDelta might
be wrapped as BlackCalculator methods if needed

> It seems,
> like Asset or Nothing and Cash or Nothing options
> are dealed with in the same class. But that is something
> that would be difficult to incorporate for functions such
> as strikeForDelta, since it basically applies to vanilla
> option deltas only.
check for the payoff and throw, or if you go for the function approach
use the appropriate vanilla payoff signature

> I can do Vanna-Volga and Malz, if needed.
It would be appreciated; take a look at Sabr and/or Abcd interpolation

> Also, I'd need some guidance how
> to start with the contribution...
Feel fre to ask here on the public mailing list any further questions

ciao -- Nando

> 2008/11/13 Ferdinando Ametrano <[hidden email]>
>>
>> Hi Dimitri
>>
>> > I'm new to this list. I'm thinking about adding new functions
>> > to the blackcalculator, which are in particular needed in the
>> > FX area. In particular, I'd like to add:
>> >
>> > - premium adjusted black scholes deltas (spot and forward)
>> > - functions, which return the strike for a given black scholes delta or
>> > ATM
>> > quotation
>>
>> this would be very much appreciated! I've been thinking about tackling
>> the last issue it's long time now, but never had the occasion.
>> BTW I've noticed that an algorithm is provided in the last version of
>> Haug Fomulas book, anyway i don't know if it is the most efficient
>> algorithm available
>>
>> As for premium adjusted black scholes deltas I'm not familiar with FX,
>> but just go ahead and document the features.
>>
>> And while there, anyone willing to provide Vanna-Volga interpolation?
>>
>> ciao -- Nando
>
>

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Dimathematician

Re: Adding new functions to blackcalculator

Ok, thanks a lot for your replies! After thinking about it I'd suggest
to code the delta calculations in a new class called BlackDeltaCalculator
with a similar constructor as the BlackCalculator class. This might look like
overkill (an own class for Delta calculation) on first sight, but my reasons are
as follows:

- we'll have to deal with 4 deltas, which could be conveniently
coded in an enumeration which could be passed to the
constructor.
- we'll need 4 different functions to return a strike for a given
delta. 2 of them will include a zero root search algorithm (premium
adjusted ones). This could be all handled by one function strike().
- We will need at least two functions, which return the strike for
an ATM convention (e.g. atm forward or atm delta neutral straddle).
Delta neutral straddle strike depends again on the 4 delta conventions.

So, to summarize: if we would try to build that in the current BlackCalculator
class, this would mess things up a lot, since many delta specific functions
would be needed, which are mostly used in FX.

I'm very open to other suggestions. What do you think? Regards, Dima

2008/11/13 Ferdinando Ametrano <[hidden email]>

On Thu, Nov 13, 2008 at 12:42 PM, Dima <[hidden email]> wrote:
> Ok, good. [...] So, how to proceed?
It would be better if you work on the current trunk version, so
familiarize yourself with svn and check out the trunk snapshot. See
http://quantlib.org/svn.shtml
Also please read the "Developer introduction" at
http://quantlib.org/newdeveloper.shtml

> Will I work with someone of the core
> developers of the class closely?

I am the class main developer, but a) I'm not that proud of its design
b) it's not that complex c) Luigi is THE man
Just post on the dev list and somebody will step up and help you.

> Since I wasn't sure
> what to do with the blackcalculator class.

Please take a look at the blackformula file, where you can find
(hopefully) efficient formula for price and implied vol. You might
probably consider to implement strikeForDelta as function instead of
BlackCalculator class method.
BlackCalculator is just an aggregation of less used formulae with some
common calculation factorized at construction time.
See also BlackScholesCalculator. ImpliedVol and StrikeForDelta might
be wrapped as BlackCalculator methods if needed

> It seems,
> like Asset or Nothing and Cash or Nothing options
> are dealed with in the same class. But that is something
> that would be difficult to incorporate for functions such
> as strikeForDelta, since it basically applies to vanilla
> option deltas only.

check for the payoff and throw, or if you go for the function approach
use the appropriate vanilla payoff signature

> I can do Vanna-Volga and Malz, if needed.

It would be appreciated; take a look at Sabr and/or Abcd interpolation

> Also, I'd need some guidance how
> to start with the contribution...

Feel fre to ask here on the public mailing list any further questions

ciao -- Nando

> 2008/11/13 Ferdinando Ametrano <[hidden email]>
>>
>> Hi Dimitri
>>
>> > I'm new to this list. I'm thinking about adding new functions
>> > to the blackcalculator, which are in particular needed in the
>> > FX area. In particular, I'd like to add:
>> >
>> > - premium adjusted black scholes deltas (spot and forward)
>> > - functions, which return the strike for a given black scholes delta or
>> > ATM
>> > quotation
>>
>> this would be very much appreciated! I've been thinking about tackling
>> the last issue it's long time now, but never had the occasion.
>> BTW I've noticed that an algorithm is provided in the last version of
>> Haug Fomulas book, anyway i don't know if it is the most efficient
>> algorithm available
>>
>> As for premium adjusted black scholes deltas I'm not familiar with FX,
>> but just go ahead and document the features.
>>
>> And while there, anyone willing to provide Vanna-Volga interpolation?
>>
>> ciao -- Nando
>
>

Ferdinando M. Ametrano-3

Re: Adding new functions to blackcalculator

On Thu, Nov 13, 2008 at 8:33 PM, Dima <[hidden email]> wrote:
> After thinking about it I'd suggest
> to code the delta calculations in a new class called BlackDeltaCalculator
> with a similar constructor as the BlackCalculator class. This might look
> like
> overkill (an own class for Delta calculation) on first sight, but my reasons
> are
> as follows: [...]

Not sure I agree, anyway it could be the right way to start: code it
the way it best suits you, provide unit tests (!!!!!), we quickly add
it to the experimental folder, gather feedback, and then maybe later
refactor the code

ciao -- Nando

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Dimathematician

Re: Adding new functions to blackcalculator

Ok, after ages I've started working on this, I plan to add some new FX machinery to QuantLib.

Question:

In the BlackCalculator constructor we have

if (stdDev_>=QL_EPSILON) {

...

}

else{

if (forward>strike_) {

cum_d1_ = 1.0;

cum_d2_= 1.0;

} else {

cum_d1_ = 0.0;

cum_d2_= 0.0;

}

I wonder if that's 100% right or if I've overlooked something. But if forward==strike,

then we have log(f/K)=0,

so, if vol is not zero, we should rather have

cum_d1=N (0*5*stdDev_)

which would be approximately 0.5 for very small vols. Opinions?

2008/11/14 Ferdinando Ametrano <[hidden email]>

On Thu, Nov 13, 2008 at 8:33 PM, Dima <[hidden email]> wrote:
> After thinking about it I'd suggest
> to code the delta calculations in a new class called BlackDeltaCalculator
> with a similar constructor as the BlackCalculator class. This might look
> like
> overkill (an own class for Delta calculation) on first sight, but my reasons
> are

> as follows: [...]

Not sure I agree, anyway it could be the right way to start: code it
the way it best suits you, provide unit tests (!!!!!), we quickly add
it to the experimental folder, gather feedback, and then maybe later
refactor the code

ciao -- Nando

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Ferdinando M. Ametrano-3

Re: Adding new functions to blackcalculator

Hi Dima

> I plan to add some new FX machinery to QuantLib.

if applicable please consider adding generic formulas to ql/pricingengines/blackformula.hpp

> In the BlackCalculator constructor we have
> if (stdDev_>=QL_EPSILON) {
>    ...
> }
> else{
> if (forward>strike_) {
>    cum_d1_ = 1.0;
>    cum_d2_= 1.0;
>    } else {
>    cum_d1_ = 0.0;
>    cum_d2_= 0.0;
>    }
> }
> I wonder if that's 100% right or if I've overlooked something. But if
> forward==strike,
> then we have log(f/K)=0,
> so, if vol is not zero, we should rather have
> cum_d1=N (0*5*stdDev_)
> which would be approximately 0.5 for very small vols. Opinions?

yeah, you're right. It should be patched as below, isn't it?

if (stdDev_>=QL_EPSILON) {
    if (close(strike_, 0.0)) {
        cum_d1_ = 1.0;
        cum_d2_ = 1.0;
        n_d1_ = 0.0;
        n_d2_ = 0.0;
    } else {
        D1_ = std::log(forward/strike_)/stdDev_ + 0.5*stdDev_;
        D2_ = D1_-stdDev_;
        CumulativeNormalDistribution f;
        cum_d1_ = f(D1_);
        cum_d2_ = f(D2_);
        n_d1_ = f.derivative(D1_);
        n_d2_ = f.derivative(D2_);
    }
} else {
    if (close(forward, strike_)) {
        cum_d1_ = 0.5;
        cum_d2_ = 0.5;
        n_d1_ = M_SQRT_2 * M_1_SQRTPI;
        n_d2_ = M_SQRT_2 * M_1_SQRTPI;
    } else if (forward>strike_) {
        cum_d1_ = 1.0;
        cum_d2_ = 1.0;
        n_d1_ = 0.0;
        n_d2_ = 0.0;
    } else {
        cum_d1_ = 0.0;
        cum_d2_ = 0.0;
        n_d1_ = 0.0;
        n_d2_ = 0.0;
    }
}

ciao -- Nando

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Dimathematician

Re: Adding new functions to blackcalculator

Nando, I think the modification should be ok for the blackcalculator. I've uploaded
my current working version of the deltacalculator including a testsuite(your recent change not incl.).

You can get it here:

longvega.com/DeltaEngine.zip

Now as you see its not really incorporated into blackcalculator and lets see
how we might be able to join the concepts. My reasons were the following:

1) First of all, we have 4 deltas to take care of and even more atm quotes, which
are rather FX specific, since we have 2 numeraires. So I have enums, which
basically have only FX specific types, don't know if that should go into a general
blackcalculator.

2)
I needed functions such as

Real deltaFromStrike(const Real &strike) const;
Real strikeFromDelta(const Real &delta) const;

since they will be later called very often in some numerical procedures in the
smile setup. Again, its FX specific to quote vols again deltas from which we can
extract strikes. And again, the functions return different values for different deltas.
It would be a bit incoherent from my point of view to return a strike different from
the one given in the constructor, as would be the case for the blackcalc.

Here functions are generic, in a blackcalculator I might need to setup 8 new functions?
The bigger problem for me was, that the strike in blackcalc is in the payoff, and
I need it to change very often. So I've created a parsimonious constructor which doesn't need
a strike nor a delta. If you look into strikeFromDelta, you'll see numerical procedures
for premium adjusted stuff, so I can't really make use of cached data anyways and
it doesn't have to do a lot with the standard black formulas anymore.

Btw: I'd appreciate a function which returns d1 and d2 in blackcalc, which I need for
other functions I'm working on as well. If that would be possible, I'd setup a blackcalc
in my class and the whole class would be basically based on the blackcalc.

I'm open to discussion. Whats your oppinion? Thanks

2009/4/20 Ferdinando Ametrano <[hidden email]>

Hi Dima

> I plan to add some new FX machinery to QuantLib.

if applicable please consider adding generic formulas to ql/pricingengines/blackformula.hpp

> In the BlackCalculator constructor we have
> if (stdDev_>=QL_EPSILON) {
>    ...
> }
> else{
> if (forward>strike_) {
>    cum_d1_ = 1.0;
>    cum_d2_= 1.0;
>    } else {
>    cum_d1_ = 0.0;
>    cum_d2_= 0.0;
>    }
> }
> I wonder if that's 100% right or if I've overlooked something. But if
> forward==strike,
> then we have log(f/K)=0,
> so, if vol is not zero, we should rather have
> cum_d1=N (0*5*stdDev_)
> which would be approximately 0.5 for very small vols. Opinions?

yeah, you're right. It should be patched as below, isn't it?

if (stdDev_>=QL_EPSILON) {
    if (close(strike_, 0.0)) {

        cum_d1_ = 1.0;
        cum_d2_ = 1.0;

        n_d1_ = 0.0;
        n_d2_ = 0.0;
    } else {
        D1_ = std::log(forward/strike_)/stdDev_ + 0.5*stdDev_;
        D2_ = D1_-stdDev_;
        CumulativeNormalDistribution f;
        cum_d1_ = f(D1_);
        cum_d2_ = f(D2_);
        n_d1_ = f.derivative(D1_);
        n_d2_ = f.derivative(D2_);
    }
} else {
    if (close(forward, strike_)) {
        cum_d1_ = 0.5;
        cum_d2_ = 0.5;
        n_d1_ = M_SQRT_2 * M_1_SQRTPI;
        n_d2_ = M_SQRT_2 * M_1_SQRTPI;

    } else if (forward>strike_) {
        cum_d1_ = 1.0;
        cum_d2_ = 1.0;
        n_d1_ = 0.0;
        n_d2_ = 0.0;

    } else {
        cum_d1_ = 0.0;
        cum_d2_ = 0.0;
        n_d1_ = 0.0;
        n_d2_ = 0.0;
    }
}

ciao -- Nando

Dimathematician

Re: Adding new functions to blackcalculator

While I'm still waiting for feedback, I continue coding and have VannaVolga and
Malz ready, testing included. Can I ask for a simple feature which I need in these
implementations?

I'd need smilesection.hpp to return the reference date. Is this possible? Thanks

2009/4/21 Dima <[hidden email]>

Nando, I think the modification should be ok for the blackcalculator. I've uploaded
my current working version of the deltacalculator including a testsuite(your recent change not incl.).

You can get it here:

longvega.com/DeltaEngine.zip

Now as you see its not really incorporated into blackcalculator and lets see
how we might be able to join the concepts. My reasons were the following:

1) First of all, we have 4 deltas to take care of and even more atm quotes, which
are rather FX specific, since we have 2 numeraires. So I have enums, which
basically have only FX specific types, don't know if that should go into a general
blackcalculator.

2)
I needed functions such as

Real deltaFromStrike(const Real &strike) const;
Real strikeFromDelta(const Real &delta) const;

since they will be later called very often in some numerical procedures in the
smile setup. Again, its FX specific to quote vols again deltas from which we can
extract strikes. And again, the functions return different values for different deltas.
It would be a bit incoherent from my point of view to return a strike different from
the one given in the constructor, as would be the case for the blackcalc.

Here functions are generic, in a blackcalculator I might need to setup 8 new functions?
The bigger problem for me was, that the strike in blackcalc is in the payoff, and
I need it to change very often. So I've created a parsimonious constructor which doesn't need
a strike nor a delta. If you look into strikeFromDelta, you'll see numerical procedures
for premium adjusted stuff, so I can't really make use of cached data anyways and
it doesn't have to do a lot with the standard black formulas anymore.

Btw: I'd appreciate a function which returns d1 and d2 in blackcalc, which I need for
other functions I'm working on as well. If that would be possible, I'd setup a blackcalc
in my class and the whole class would be basically based on the blackcalc.

I'm open to discussion. Whats your oppinion? Thanks

2009/4/20 Ferdinando Ametrano <[hidden email]>

Hi Dima

> I plan to add some new FX machinery to QuantLib.

if applicable please consider adding generic formulas to ql/pricingengines/blackformula.hpp

> In the BlackCalculator constructor we have
> if (stdDev_>=QL_EPSILON) {
>    ...
> }
> else{
> if (forward>strike_) {
>    cum_d1_ = 1.0;
>    cum_d2_= 1.0;
>    } else {
>    cum_d1_ = 0.0;
>    cum_d2_= 0.0;
>    }
> }
> I wonder if that's 100% right or if I've overlooked something. But if
> forward==strike,
> then we have log(f/K)=0,
> so, if vol is not zero, we should rather have
> cum_d1=N (0*5*stdDev_)
> which would be approximately 0.5 for very small vols. Opinions?

yeah, you're right. It should be patched as below, isn't it?

if (stdDev_>=QL_EPSILON) {
    if (close(strike_, 0.0)) {

        cum_d1_ = 1.0;
        cum_d2_ = 1.0;

        n_d1_ = 0.0;
        n_d2_ = 0.0;
    } else {
        D1_ = std::log(forward/strike_)/stdDev_ + 0.5*stdDev_;
        D2_ = D1_-stdDev_;
        CumulativeNormalDistribution f;
        cum_d1_ = f(D1_);
        cum_d2_ = f(D2_);
        n_d1_ = f.derivative(D1_);
        n_d2_ = f.derivative(D2_);
    }
} else {
    if (close(forward, strike_)) {
        cum_d1_ = 0.5;
        cum_d2_ = 0.5;
        n_d1_ = M_SQRT_2 * M_1_SQRTPI;
        n_d2_ = M_SQRT_2 * M_1_SQRTPI;

    } else if (forward>strike_) {
        cum_d1_ = 1.0;
        cum_d2_ = 1.0;
        n_d1_ = 0.0;
        n_d2_ = 0.0;

    } else {
        cum_d1_ = 0.0;
        cum_d2_ = 0.0;
        n_d1_ = 0.0;
        n_d2_ = 0.0;
    }
}

ciao -- Nando

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Ferdinando M. Ametrano-3

Re: Adding new functions to blackcalculator

On Mon, Apr 27, 2009 at 11:03 AM, Dima <[hidden email]> wrote:
> While I'm still waiting for feedback

I've just committed your fix for the (stdDev<QL_EPSILON, fwd==strike) case

> I'd need smilesection.hpp to return the reference date. Is this possible?
just done.

> I continue coding and have VannaVolga and
> Malz ready, testing included.

share them as a patch whenever you're comfortable with them

ciao -- Nando

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Dimathematician

Re: Adding new functions to blackcalculator

Thanks a lot. Did you have the chance to look at the black calculator that I posted?
Sorry for annoying, but since I'm using it intensively in all of my current classes I'm
just afraid that the discussion will start later and I have to go back and change
everything in all of the classes :)

2009/4/27 Ferdinando Ametrano <[hidden email]>

On Mon, Apr 27, 2009 at 11:03 AM, Dima <[hidden email]> wrote:
> While I'm still waiting for feedback

I've just committed your fix for the (stdDev<QL_EPSILON, fwd==strike) case

> I'd need smilesection.hpp to return the reference date. Is this possible?

just done.

> I continue coding and have VannaVolga and
> Malz ready, testing included.

share them as a patch whenever you're comfortable with them

ciao -- Nando

Luigi Ballabio

Re: Adding new functions to blackcalculator

In reply to this post by Dimathematician

On Tue, 2009-04-21 at 09:49 +0200, Dima wrote:
> I've uploaded
> my current working version of the deltacalculator including a
> testsuite(your recent change not incl.).
>
> You can get it here:
>
> longvega.com/DeltaEngine.zip
>

Dimitri,
I've added your stuff to the Subversion trunk under q;/experimental/fx.
May you check it out and see that I haven't broken anything?

Thanks,
Luigi

--

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by those who cannot.
-- Sir Ernest Gowers

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Dimathematician

Re: Adding new functions to blackcalculator

Thanks Luigi and sorry for not having answered earlier. I'm busy. I tried to build QL from the latest trunk
but was not sucessfull. And the stuff you added is not in the official 1.0 version, so I couldn't really check.
Don't know what happened to the trunk files, they seem to be corrupted. For example, in smilesection.hpp
I find

<<<<<<<<<<.mine

in the code. Its either a problem here or in the trunk.

2010/2/15 Luigi Ballabio <[hidden email]>

On Tue, 2009-04-21 at 09:49 +0200, Dima wrote:
> I've uploaded
> my current working version of the deltacalculator including a
> testsuite(your recent change not incl.).
>
> You can get it here:
>
> longvega.com/DeltaEngine.zip
>

Dimitri,
I've added your stuff to the Subversion trunk under q;/experimental/fx.
May you check it out and see that I haven't broken anything?

Thanks,
Luigi

--

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by those who cannot.
-- Sir Ernest Gowers

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Luigi Ballabio

Re: Adding new functions to blackcalculator

On Wed, 2010-03-03 at 09:47 +0100, Dima wrote:

> Thanks Luigi and sorry for not having answered earlier. I'm busy. I
> tried to build QL from the latest trunk
> but was not sucessfull. And the stuff you added is not in the official
> 1.0 version, so I couldn't really check.
> Don't know what happened to the trunk files, they seem to be
> corrupted. For example, in smilesection.hpp
> I find
>
> <<<<<<<<<<.mine
>
> in the code. Its either a problem here or in the trunk.

The trunk is clean. You modified the code on your machine, made a svn
update, and got a conflict between your local changes and the changes
pulled in by the update. Subversion doesn't know how to merge them and
keeps both sets of changes between markers such as the one above. You'll
have to resolve the conflict manually. You can see
<http://svnbook.red-bean.com/en/1.5/svn.tour.cycle.html#svn.tour.cycle.resolve> for more details.

Luigi

--

The box said "Use Windows 95 or better," so I got a Macintosh.

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Dimathematician

Re: Adding new functions to blackcalculator

I see, thanks. Will get back to you

2010/3/3 Luigi Ballabio <[hidden email]>

On Wed, 2010-03-03 at 09:47 +0100, Dima wrote:
> Thanks Luigi and sorry for not having answered earlier. I'm busy. I
> tried to build QL from the latest trunk
> but was not sucessfull. And the stuff you added is not in the official
> 1.0 version, so I couldn't really check.
> Don't know what happened to the trunk files, they seem to be
> corrupted. For example, in smilesection.hpp
> I find
>
> <<<<<<<<<<.mine
>
> in the code. Its either a problem here or in the trunk.

The trunk is clean. You modified the code on your machine, made a svn
update, and got a conflict between your local changes and the changes
pulled in by the update. Subversion doesn't know how to merge them and
keeps both sets of changes between markers such as the one above. You'll
have to resolve the conflict manually. You can see
<http://svnbook.red-bean.com/en/1.5/svn.tour.cycle.html#svn.tour.cycle.resolve> for more details.

Luigi

--

The box said "Use Windows 95 or better," so I got a Macintosh.

Dimathematician

Re: Adding new functions to blackcalculator

I feel kind of bad since I needed so much time to check! Anyways, I
checked and everything seems to be ok. I've attached an example project
which uses the contributed class, similar to the other example projects.
You might want to add it to the trunk. Anyways, I appologize for such a slow
response time! Bad bad. Meanwhile I've extended the class...

2010/3/3 Dima <[hidden email]>

I see, thanks. Will get back to you

2010/3/3 Luigi Ballabio <[hidden email]>

On Wed, 2010-03-03 at 09:47 +0100, Dima wrote:
> Thanks Luigi and sorry for not having answered earlier. I'm busy. I
> tried to build QL from the latest trunk
> but was not sucessfull. And the stuff you added is not in the official
> 1.0 version, so I couldn't really check.
> Don't know what happened to the trunk files, they seem to be
> corrupted. For example, in smilesection.hpp
> I find
>
> <<<<<<<<<<.mine
>
> in the code. Its either a problem here or in the trunk.

The trunk is clean. You modified the code on your machine, made a svn
update, and got a conflict between your local changes and the changes
pulled in by the update. Subversion doesn't know how to merge them and
keeps both sets of changes between markers such as the one above. You'll
have to resolve the conflict manually. You can see
<http://svnbook.red-bean.com/en/1.5/svn.tour.cycle.html#svn.tour.cycle.resolve> for more details.

Luigi

--

The box said "Use Windows 95 or better," so I got a Macintosh.

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FxBlackDeltaExamples.rar (8M) Download Attachment

Luigi Ballabio

Re: Adding new functions to blackcalculator

On Mon, 2010-06-07 at 18:05 +0200, Dima wrote:
> I feel kind of bad since I needed so much time to check!

After seeing _my_ response times? You're too harsh on yourself :)

> Anyways, I checked and everything seems to be ok. I've attached an
> example project which uses the contributed class, similar to the other
> example projects. You might want to add it to the trunk.

Ok, I'll have a look.

Thanks,
Luigi

--

There's no sense in being precise when you don't even know what you're
talking about.
-- John von Neumann

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Michael Waßmann

Quantlib/XL Enhancement to "FittedBondDiscountCurve" and simultaneously fitting "credit spread curves"

Hi there,

I am using Quantlib for a bit, and I started to develop some enhancements
to the library.

As I am new to Quantlib development, I am not sure about the right
procedure to supply source code to QuantLib. How and with whom can/should
I discuss my solution? Is there anybody who can help me?

These are my topics:
1)
I developed a minor enhancement to QL, allowing to use
ZeroBonds in class "FittedBondDiscountCurve", furthermore I
added the complete "FittedBondDiscountCurve" functionality to
QuantlibAddin / XL, to be able to calculate the curve
fitting in XL.
I would like to provide these enhancement to the project or
someone who will review these changes to ensure that they
are conform to the coding styles from Quantlib.
Can you please let me know how to continue or whom to contact?

2)
Currently I am working on simultaneously fitting credit
spread curves based on coporate bonds with different ratings
as input.
In other words: I am simultaneously fitting multiple sets of
bonds (Fixedratebonds and Zerobonds) for different ratings.
For each set of bonds I am calculating the spread on top of
a basis curve (e.g. Swapcurve) which will be simultaneously
fitted with a simplified Nelson-Siegel method. The fit is
done with constraints, so that the resulting curves have the expected
behaviour.
This functionality is completely available in XL (and QuantLibAddin) as well.
Might this be of interest for the QL-project? Please let me
know.

Kind regards

Michael

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Luigi Ballabio

Re: Quantlib/XL Enhancement to "FittedBondDiscountCurve" and simultaneously fitting "credit spread curves"

On Tue, 2010-06-22 at 10:06 +0200, Michael Waßmann wrote:
> I am using Quantlib for a bit, and I started to develop some enhancements
> to the library.
>
> As I am new to Quantlib development, I am not sure about the right
> procedure to supply source code to QuantLib. How and with whom can/should
> I discuss my solution? Is there anybody who can help me?

You can either post your code here, or submit a patch to the Sourceforge
patch manager. If you're contributing modifications to old files (as
opposed to entirely new files), a diff would be the best way.

Later,
Luigi

--

Blessed is the man who, having nothing to say, abstains from giving
wordy evidence of the fact.
-- George Eliot

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Ferdinando M. Ametrano-2

Re: Quantlib/XL Enhancement to "FittedBondDiscountCurve" and simultaneously fitting "credit spread curves"

In reply to this post by Michael Waßmann

Hi Michael

> I developed a minor enhancement to QL, allowing to use
> ZeroBonds in class "FittedBondDiscountCurve", furthermore I
> added the complete "FittedBondDiscountCurve" functionality to
> QuantlibAddin / XL, to be able to calculate the curve
> fitting in XL.

Replacing FixedRateBondHelper with BondHelper does compile
successfully (and no problem from the test suite), so the usage of
FixedRateBondHelper was probably just a legacy limitation and any kind
of Bond can be used now.
Am I missing something ?

ciao -- Nando

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