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Commodities Pricing

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Theo Boafo

Commodities Pricing

Hi All,

Is there any work currently on Quantlib for Commodities ie Pricing of Tolling, Swing and Storage for Energy Products.

Also Spread Options, Swaptions, Baskets and Asians for Oil, Base Metals, Precious Metals, etc?

Regards

Theo

-----Original Message-----
From: quantlib-dev-request <[hidden email]>
To: quantlib-dev <[hidden email]>
Sent: Thu, 12 Apr 2012 9:26
Subject: QuantLib-dev Digest, Vol 71, Issue 3

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Today's Topics:

   1. R: Re: Re:  QuantLib in CDT ([hidden email])
   2. Re: QuantLib in CDT (Luigi Ballabio)
   3. Blog Post on Open Source Credit Rating Models	Mentions
      Quantlib (Marc Joffe)
   4. willing to contribute (aman)
   5. [ quantlib-Patches-3517001 ] Intraday Decay (SourceForge.net)
   6. [ quantlib-Patches-3517001 ] Intraday Decay (SourceForge.net)
   7. [ quantlib-Feature Requests-3306959 ] CUDA port (SourceForge.net)


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

Message: 1
Date: Wed, 11 Apr 2012 09:56:36 +0200 (CEST)
From: "[hidden email]" <[hidden email]>
Subject: [Quantlib-dev] R: Re: Re:  QuantLib in CDT
To: <[hidden email]>
Cc: [hidden email],
	[hidden email]
Message-ID:
	<9882410.8158711334130996441.JavaMail.defaultUser@defaultHost>
Content-Type: text/plain;charset="UTF-8"

the GCC version is 3.2.3

>----Messaggio originale----
>Da: [hidden email]
>Data: 11/04/2012 9.28
>A: "[hidden email]"<[hidden email]>
>Cc: <[hidden email]>, <quantlib-users-request@lists.
sourceforge.net>
>Ogg: Re: Re: [Quantlib-dev] QuantLib in CDT
>
>What's the g++ version?  (You can run "g++ --version" from the command
>line to find out)
>
>On Wed, Apr 11, 2012 at 9:20 AM, [hidden email]
><[hidden email]> wrote:
>> I followed the instructions at ?http://users.telenet.be/johan.
>> witters/website/skwash.com/get/get3.html Part I and I get this error
>>
>> ....QuantLib/ql/methods/finitedifferences/meshers/fdmblackscholesmesher.
hpp:
>> 48: parse error before `;' token
>> Build error occurred, build is stopped
>>
>>
>> I used MinGW and defined the compilers settings both for GCC C++ and GCC C 
in
>> Properties>C/C++Build>Settings
>>
>> My eclipse is:
>>
>> Eclipse IDE for C/C++ Developers
>> Version: Helios Service Release 2
>> Build id: 20110218-0911
>>
>> Thanks
>> Paolo
>>
>>>----Messaggio originale----
>>>Da: [hidden email]
>>>Data: 10/04/2012 23.16
>>>A: "[hidden email]"<[hidden email]>
>>>Cc: <[hidden email]>, <quantlib-users-request@lists.
>> sourceforge.net>
>>>Ogg: Re: [Quantlib-dev] QuantLib in CDT
>>>
>>>Paolo,
>>> ? ?what is the error? ?And what compiler (and version) is CDT using?
>>>
>>>Luigi
>>>
>>>On Thu, Apr 5, 2012 at 6:22 PM, [hidden email]
>>><[hidden email]> wrote:
>>>> I am trying to build quantlib in CDT.
>>>> I can build correctly the version 0.9 but if I try newer version I get a
>> parse
>>>> error.
>>>> Is there anyone who encountered the same problems?
>>>
>>
>>
>





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

Message: 2
Date: Wed, 11 Apr 2012 10:00:13 +0200
From: Luigi Ballabio <[hidden email]>
Subject: Re: [Quantlib-dev] QuantLib in CDT
To: "[hidden email]" <[hidden email]>
Cc: [hidden email]
Message-ID:
	<[hidden email]>
Content-Type: text/plain; charset=ISO-8859-1

It looks old.  Looking at the MinGW site, the current version is from
the 4.5 series.
Can you upgrade and see if that fixes the problem, or are you locked
at this version?

Luigi

On Wed, Apr 11, 2012 at 9:56 AM, [hidden email]
<[hidden email]> wrote:
> the GCC version is 3.2.3
>
>>----Messaggio originale----
>>Da: [hidden email]
>>Data: 11/04/2012 9.28
>>A: "[hidden email]"<[hidden email]>
>>Cc: <[hidden email]>, <quantlib-users-request@lists.
> sourceforge.net>
>>Ogg: Re: Re: [Quantlib-dev] QuantLib in CDT
>>
>>What's the g++ version? ?(You can run "g++ --version" from the command
>>line to find out)
>>
>>On Wed, Apr 11, 2012 at 9:20 AM, [hidden email]
>><[hidden email]> wrote:
>>> I followed the instructions at ?http://users.telenet.be/johan.
>>> witters/website/skwash.com/get/get3.html Part I and I get this error
>>>
>>> ....QuantLib/ql/methods/finitedifferences/meshers/fdmblackscholesmesher.
> hpp:
>>> 48: parse error before `;' token
>>> Build error occurred, build is stopped
>>>
>>>
>>> I used MinGW and defined the compilers settings both for GCC C++ and GCC C
> in
>>> Properties>C/C++Build>Settings
>>>
>>> My eclipse is:
>>>
>>> Eclipse IDE for C/C++ Developers
>>> Version: Helios Service Release 2
>>> Build id: 20110218-0911
>>>
>>> Thanks
>>> Paolo
>>>
>>>>----Messaggio originale----
>>>>Da: [hidden email]
>>>>Data: 10/04/2012 23.16
>>>>A: "[hidden email]"<[hidden email]>
>>>>Cc: <[hidden email]>, <quantlib-users-request@lists.
>>> sourceforge.net>
>>>>Ogg: Re: [Quantlib-dev] QuantLib in CDT
>>>>
>>>>Paolo,
>>>> ? ?what is the error? ?And what compiler (and version) is CDT using?
>>>>
>>>>Luigi
>>>>
>>>>On Thu, Apr 5, 2012 at 6:22 PM, [hidden email]
>>>><[hidden email]> wrote:
>>>>> I am trying to build quantlib in CDT.
>>>>> I can build correctly the version 0.9 but if I try newer version I get a
>>> parse
>>>>> error.
>>>>> Is there anyone who encountered the same problems?
>>>>
>>>
>>>
>>
>
>



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

Message: 3
Date: Wed, 11 Apr 2012 12:33:32 -0700
From: "Marc Joffe" <[hidden email]>
Subject: [Quantlib-dev] Blog Post on Open Source Credit Rating Models
	Mentions Quantlib
To: <[hidden email]>,
	<[hidden email]>
Message-ID: <058001cd1819$fb1cf380$f156da80$@publicsectorcredit.org>
Content-Type: text/plain; charset="us-ascii"

Rating Agency Models and Open Source

http://expectedloss.blogspot.com/2012/04/credit-rating-agency-models-and-ope
n.html

 

I am looking for users and developers interested in collaborating on an open
source sovereign rating model project. If you don't agree with your
country's credit rating, here is a chance to do something about it!

 

A pre-release version of the tool is available at
http://www.publicsectorcredit.org/pscf.html. Source will be posted to GitHub
on 2 May 2012. The tool uses a Monte Carlo simulation but is not based on
the MC tools in QuantLib.  If anyone on the QuantLib team is interested in
integrating our functionality with the library, I would be interested in
discussing that.

 

Regards,

Marc Joffe

Public Sector Credit Solutions

[hidden email]

 

-------------- next part --------------
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Message: 4
Date: Thu, 12 Apr 2012 01:13:09 -0400
From: aman <[hidden email]>
Subject: [Quantlib-dev] willing to contribute
To: [hidden email]
Message-ID:
	<[hidden email]>
Content-Type: text/plain; charset="iso-8859-1"

Hi Everyone,

I love coding in C++. Playing with numbers and learning Finance is one of
my hobby. All these interests bring me to this field of Financial
Engineering / Modeling.

I have a formal education in Computer science and have been working as a
C++ developer from some time. I would like to contribute to quantlib and be
a part of this cause. Can anyone please help me where to get started (I
have gone through the developer's page, built quantlib and scanned open
items) and let me now a little bit how this community works? Is it a
collaborative effort on each task or each one person picks up one
component, develops it and integrates with the old code? Is some one
moderating the tasks and prioritizing them?

I apologies for lot of spamming everyone, please feel free to answer these
questions as per your convenience.
I would really appreciate if i could get involved.

Regards
-Aman
-------------- next part --------------
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------------------------------

Message: 5
Date: Wed, 11 Apr 2012 13:33:25 -0700
From: SourceForge.net <[hidden email]>
Subject: [Quantlib-dev] [ quantlib-Patches-3517001 ] Intraday Decay
To: SourceForge.net <[hidden email]>
Message-ID:
	<[hidden email]>
Content-Type: text/plain; charset=UTF-8

Patches item #3517001, was opened at 2012-04-11 13:33
Message generated for change (Tracker Item Submitted) made by shparmar
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3517001&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: Shailesh Parmar (shparmar)
Assigned to: Nobody/Anonymous (nobody)
Summary: Intraday Decay

Initial Comment:
Supports intraday decay of options. 

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3517001&group_id=12740



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

Message: 6
Date: Wed, 11 Apr 2012 14:59:22 -0700
From: SourceForge.net <[hidden email]>
Subject: [Quantlib-dev] [ quantlib-Patches-3517001 ] Intraday Decay
To: SourceForge.net <[hidden email]>
Message-ID:
	<[hidden email]>
Content-Type: text/plain; charset=UTF-8

Patches item #3517001, was opened at 2012-04-11 13:33
Message generated for change (Comment added) made by lballabio
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3517001&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: Deleted
>Resolution: Postponed
Priority: 5
Private: No
Submitted By: Shailesh Parmar (shparmar)
Assigned to: Nobody/Anonymous (nobody)
Summary: Intraday Decay

Initial Comment:
Supports intraday decay of options. 

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

>Comment By: Luigi Ballabio (lballabio)
Date: 2012-04-11 14:59

Message:
Removed as per request of submitter.
Will be submitted again.

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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3517001&group_id=12740



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

Message: 7
Date: Thu, 12 Apr 2012 00:18:44 -0700
From: SourceForge.net <[hidden email]>
Subject: [Quantlib-dev] [ quantlib-Feature Requests-3306959 ] CUDA
	port
To: SourceForge.net <[hidden email]>
Message-ID:
	<[hidden email]>
Content-Type: text/plain; charset=UTF-8

Feature Requests item #3306959, was opened at 2011-05-24 07:30
Message generated for change (Comment added) made by avandergood
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=3306959&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
Priority: 5
Private: No
Submitted By: Dominique (miroslav87)
Assigned to: Nobody/Anonymous (nobody)
Summary: CUDA port

Initial Comment:
Hi!

I would like if there is any CUDA port of QuantLib, at least partial one.
If not, is there anyone that has adapted a CUDA layer for numerical analytic and 
maths under QuantLib to at least perform matrix decomposition and calculation on 
GPU? 
Anyone has an idea or a clue on how it could be made properly ?

Thanks very much

PS: Excuse my poor English!

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

Comment By: Vandegood (avandergood)
Date: 2012-04-12 00:18

Message:
Hello Dom, 
you can find some good library on cuda zone 
if you want to work with matrix, try the library "Cublas"
this library is included in the cuda toolkit package that you can download
easily from http://developer.nvidia.com/cuda-downloads


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

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=362740&aid=3306959&group_id=12740



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Luigi Ballabio

Re: Commodities Pricing

The little we have is in <ql/experimental/commodities/>. It's a
contribution of a few years ago, and I'm afraid it hasn't been tested
much.

Luigi

[P.S. Moderator note: please don't quote the whole daily digest when posting]

On Thu, Apr 12, 2012 at 2:30 PM, <[hidden email]> wrote:

> Hi All,
>
> Is there any work currently on Quantlib for Commodities ie Pricing of
> Tolling, Swing and Storage for Energy Products.
>
> Also Spread Options, Swaptions, Baskets and Asians for Oil, Base Metals,
> Precious Metals, etc?
>
> Regards
>
> Theo

Theo Boafo

Yield Curve fitting with OIS/Libor, Stochastic vol/Stochastic rates

Hi Luigi,

 I am looking at piecewiseyieldcurve.cpp in testsuite, I have the following
questions:

 (a) what is BMA?
 (b) what does this code below do, RelinkableHandle<YieldTermStructure>
 curveHandle;curveHandle.linkTo(vars.termStructure);
 (c) Is there any code boostrapping OIS and Libor simultaneously, as that
 seems to be the way now for yieldcurve building and fitting and I want to
 understand how that works.

 (d) Is there any thing on hybrids eg. FX/IR ie PRDC or EQ/IR where rates is
 long-dated so using say Heston or Bates Stochastic vol model with Stochastic rates using Hull/White?

Regards

Theo

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