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CallableFixedRateBond dependencies

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smazzucca

CallableFixedRateBond dependencies

The CallableFixedRateBond looks more and more like a massive can of worms.

I got it to compile, but when I run it, I get "no arguments given", which is probably due to the lack of proper pricing engine.

I was suggested to use TreeCallableFixedRateBondEngine.
But to add this I first need to add LatticeShortRateModelEngine.
And to add that I have to have GenericModelEngine.

Trial and error to get just one of these working takes hours. Do you have any suggestions as to how to go about this ?

Thank you!
Simon

Allen Kuo-2

Re: CallableFixedRateBond dependencies

Simon, would look in the Examples directory, which sets up a callable
fixed rate bond and then prices it.

Best, Allen

On 1/4/2014 5:55 AM, smazzucca wrote:

> The CallableFixedRateBond looks more and more like a massive can of worms.
>
> I got it to compile, but when I run it, I get "no arguments given", which is
> probably due to the lack of proper pricing engine.
>
> I was suggested to use TreeCallableFixedRateBondEngine.
> But to add this I first need to add LatticeShortRateModelEngine.
> And to add that I have to have GenericModelEngine.
>
> Trial and error to get just one of these working takes hours. Do you have
> any suggestions as to how to go about this ?
>
> Thank you!
> Simon
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/CallableFixedRateBond-dependencies-tp14813.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
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smazzucca

Re: CallableFixedRateBond dependencies

Allen,

That will be useful, thank you.

I realize my post was not clear, but I am doing this in C# and what I really need help with is the SWIG interface files because the TreeCallableFixedRateBondEngine classes are not exposed.

Thank you,
Simon

Luigi Ballabio

Re: CallableFixedRateBond dependencies

Hi Simon,
it's not as bad as it looks. You don't need to expose all the
intermediate classes, just TreeCallableFixedRateBondEngine itself
(SWIG only needs to know that it ultimately inherits from
PricingEngine), and that's basically the same as TreeSwaptionEngine in
shortratemodels.i. You should be able to take that as a model and
just modify the class name.

Luigi

On Mon, Jan 6, 2014 at 3:44 PM, smazzucca <[hidden email]> wrote:

> Allen,
>
> That will be useful, thank you.
>
> I realize my post was not clear, but I am doing this in C# and what I really
> need help with is the SWIG interface files because the
> TreeCallableFixedRateBondEngine classes are not exposed.
>
> Thank you,
> Simon
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/CallableFixedRateBond-dependencies-tp14813p14815.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
> ------------------------------------------------------------------------------
> Rapidly troubleshoot problems before they affect your business. Most IT
> organizations don't have a clear picture of how application performance
> affects their revenue. With AppDynamics, you get 100% visibility into your
> Java,.NET, & PHP application. Start your 15-day FREE TRIAL of AppDynamics Pro!
> http://pubads.g.doubleclick.net/gampad/clk?id=84349831&iu=/4140/ostg.clktrk
> _______________________________________________
> QuantLib-users mailing list
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smazzucca

Re: CallableFixedRateBond dependencies

OK, I made some serious progress converting the TreeCallableFixedRateBondEngine!

The one difference with TreeSwaptionEngine is the 3rd constructor: the one that takes const Handle<ShortRateModel>& as the first parameter. And that is the constructor I was planning to use in order to pass a ShortRateModelHandle.

So, my question is:
1) Should I find a way to add that 3rd constructor similar to TreeSwaptionEngine ? (Although it's not in QL, so not sure if possible)
2) Or should I leave the interface as is and find a way to pass a ShortRateModel instead of ShortRateModelHandle (In this case I don't know how to build the ShortRateModel as the constructor takes no params).

Thanks!
S

Luigi Ballabio

Re: CallableFixedRateBond dependencies

I'd go for 2). Where the engine expect a ShortRateModel, you can pass
an instance of any of its derived classes (such as HullWhite, for
instance).

Luigi

On Tue, Jan 7, 2014 at 6:25 PM, smazzucca <[hidden email]> wrote:

> OK, I made some serious progress converting the
> TreeCallableFixedRateBondEngine!
>
> The one difference with TreeSwaptionEngine is the 3rd constructor: the one
> that takes const Handle<ShortRateModel>& as the first parameter. And that is
> the constructor I was planning to use in order to pass a
> ShortRateModelHandle.
>
> So, my question is:
> 1) Should I find a way to add that 3rd constructor similar to
> TreeSwaptionEngine ? (Although it's not in QL, so not sure if possible)
> 2) Or should I leave the interface as is and find a way to pass a
> ShortRateModel instead of ShortRateModelHandle (In this case I don't know
> how to build the ShortRateModel as the constructor takes no params).
>
> Thanks!
> S
>
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/CallableFixedRateBond-dependencies-tp14813p14821.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
> ------------------------------------------------------------------------------
> Rapidly troubleshoot problems before they affect your business. Most IT
> organizations don't have a clear picture of how application performance
> affects their revenue. With AppDynamics, you get 100% visibility into your
> Java,.NET, & PHP application. Start your 15-day FREE TRIAL of AppDynamics Pro!
> http://pubads.g.doubleclick.net/gampad/clk?id=84349831&iu=/4140/ostg.clktrk
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users

smazzucca

Re: CallableFixedRateBond dependencies

Success! Thank you!
S