How to get the inverse of a Quantlib Matrix in MSVC10

[jean-renaud viala]

Hello

I’d like to get the inverse of a quantlib matrix but apparently it’s not possible using boost::uBlAS

I’m using MSVC10 and the latest quantlib 1.1  and boost 1.47

Is there another way to get the inverse of a quantlib matrix?

Regards

 

 

 

	Jean-Renaud Viala
	Research and Method Head of Diversified Quant Research
	90, boulevard Pasteur - 75730 Paris Cedex 15 - France
	Web: http://www.amundi.com
	Tel: [phone]
	@: [hidden email]

 

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[StephenWong]

Viala Jean-Renaud (AMUNDI) wrote

Hello

I'd like to get the inverse of a quantlib matrix but apparently it's not
possible using boost::uBlAS

I'm using MSVC10 and the latest quantlib 1.1  and boost 1.47

Is there another way to get the inverse of a quantlib matrix?

Regards

 
Jean-Renaud Viala

Can you not use another library that can calculate the inverse of a matrix such as this.

[Luigi Ballabio]

On Oct 31, 2011, at 8:29 PM, StephenWong wrote:

> Viala Jean-Renaud (AMUNDI) wrote:
>>
>> I'd like to get the inverse of a quantlib matrix but apparently  
>> it's not
>> possible using boost::uBlAS
>>
>> I'm using MSVC10 and the latest quantlib 1.1  and boost 1.47
>>
>> Is there another way to get the inverse of a quantlib matrix?
>
> Can you not use another library that can calculate the inverse of a  
> matrix
> such as  http://www.alglib.net/matrixops/inv.php this .

Probably not, if he needs to use instances of our Matrix class  
elsewhere in the code.

Jean-Renaud, I think the block was put there for a previous version of  
Boost.  Can you re-enable uBlas (you can do this by commenting line 97  
in ql/config.msvc.hpp) and see if it work with your version? In any  
case, please write back and tell me what happens.

Thanks,
     Luigi



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[jean-renaud viala]

Hi
Thanks to Stephen Wong for the Link. However I'm adding functions to QuantLibXl and I would like to use Quantlib Matrix Object as much as possible to avoid too many nightmare in updating the librry

I tried what Luigi Ballabo suggested and I got the following error massage during the compilation of Project QuantlibObjects (in Static Debug mode MSVC10)
Do you have any ideas?
I'm using MSVC10 and the latest quantlib 1.1.0  and boost 1.47
Regards
JRViala



1>------ Début de la génération : Projet : QuantLib, Configuration : Debug (static runtime) Win32 ------

1>La génération a démarré 02/11/2011 18:26:02.

1>InitializeBuildStatus:

1>  Mise à jour de l'horodatage ".\build\vc100\Win32\Debug (static runtime)\QuantLib.unsuccessfulbuild".

2>------ Début de la génération : Projet : QuantLibObjects, Configuration : Debug (static runtime) Win32 ------

2>La génération a démarré 02/11/2011 18:26:17.

2>InitializeBuildStatus:

2>  Création de ".\build\vc100\Debug (static runtime)\QuantLibObjects.unsuccessfulbuild", car "AlwaysCreate" a été spécifié.

2>ClCompile:

2>  Toutes les sorties sont à jour.

2>Lib:

2>  Toutes les sorties sont à jour.

2>  QuantLibObjects_vc10.vcxproj -> C:\Quantlib\build_ql_1_1_0\QuantLibAddin\.\lib\QuantLibObjects-vc100-mt-sgd-1_1_0.lib

2>FinalizeBuildStatus:

2>  Suppression du fichier ".\build\vc100\Debug (static runtime)\QuantLibObjects.unsuccessfulbuild".

2>  Mise à jour de l'horodatage ".\build\vc100\Debug (static runtime)\QuantLibObjects.lastbuildstate".

2>

2>La génération a réussi.

2>

2>Temps écoulé 00:00:01.74

1>ClCompile:

1>  sparseilupreconditioner.cpp

1>C:\Quantlib\boost_1_47\boost/numeric/ublas/vector_of_vector.hpp(301): error C2668: 'boost::numeric::ublas::ref' : appel ambigu à une fonction surchargée

1>          C:\Quantlib\boost_1_47\boost/numeric/ublas/vector_sparse.hpp(174): peut être 'boost::numeric::ublas::compressed_vector<T> &boost::numeric::ublas::ref<boost::numeric::ublas::compressed_vector<T>>(VER &)'

1>          with

1>          [

1>              T=QuantLib::Integer,

1>              VER=boost::numeric::ublas::compressed_vector<QuantLib::Integer>

1>          ]

1>          c:\Program Files\Microsoft Visual Studio 10.0\VC\include\xrefwrap(439): ou       'std::tr1::reference_wrapper<_Ty> std::tr1::ref<T>(_Ty &)' [trouvé à l'aide d'une recherche dépendante d'un argument]

1>          with

1>          [

1>              _Ty=boost::numeric::ublas::compressed_vector<QuantLib::Integer>,

1>              T=boost::numeric::ublas::compressed_vector<QuantLib::Integer>

1>          ]

1>          lors de la tentative de mise en correspondance de la liste des arguments '(boost::numeric::ublas::compressed_vector<T>)'

1>          with

1>          [

1>              T=QuantLib::Integer

1>          ]

1>          C:\Quantlib\boost_1_47\boost/numeric/ublas/vector_of_vector.hpp(298) : lors de la compilation de la fonction membre 'int &boost::numeric::ublas::generalized_vector_of_vector<T,L,A>::insert_element(unsigned int,unsigned int,const int &)' de la classe modèle

1>          with

1>          [

1>              T=QuantLib::Integer,

1>              L=boost::numeric::ublas::row_major,

1>              A=boost::numeric::ublas::vector<boost::numeric::ublas::compressed_vector<QuantLib::Integer>>

1>          ]

1>          ql\experimental\finitedifferences\sparseilupreconditioner.cpp(61) : voir la référence à l'instanciation de la classe modèle 'boost::numeric::ublas::generalized_vector_of_vector<T,L,A>' en cours de compilation

1>          with

1>          [

1>              T=QuantLib::Integer,

1>              L=boost::numeric::ublas::row_major,

1>              A=boost::numeric::ublas::vector<boost::numeric::ublas::compressed_vector<QuantLib::Integer>>

1>          ]

1>C:\Quantlib\boost_1_47\boost/numeric/ublas/vector_of_vector.hpp(301): fatal error C1903: impossible de récupérer à partir des erreurs précédentes ; arrêt de la compilation

1>

1>ÉCHEC de la build.

1>

1>Temps écoulé 00:00:30.31

========== Génération : 1 a réussi, 1 a échoué, 6 mis à jour, 0 a été ignoré ==========

Luigi Ballabio wrote

On Oct 31, 2011, at 8:29 PM, StephenWong wrote:
> Viala Jean-Renaud (AMUNDI) wrote:
>>
>> I'd like to get the inverse of a quantlib matrix but apparently  
>> it's not
>> possible using boost::uBlAS
>>
>> I'm using MSVC10 and the latest quantlib 1.1  and boost 1.47
>>
>> Is there another way to get the inverse of a quantlib matrix?
>
> Can you not use another library that can calculate the inverse of a  
> matrix
> such as  http://www.alglib.net/matrixops/inv.php this .

Probably not, if he needs to use instances of our Matrix class  
elsewhere in the code.

Jean-Renaud, I think the block was put there for a previous version of  
Boost.  Can you re-enable uBlas (you can do this by commenting line 97  
in ql/config.msvc.hpp) and see if it work with your version? In any  
case, please write back and tell me what happens.

Thanks,
     Luigi



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[jean-renaud viala]

Hello
Do you have anyinsight on this subject?
I'd rather not try and debugg Boost it seems a little over my league
An alternative would be to code an Inverse function "boost free" directly into the quantlib::matrix object but it seems rather inelegant to me
In this case wouldn't this topic be more appropriate in the developper-list?
Regards

jrviala wrote

Hi
Thanks to Stephen Wong for the Link. However I'm adding functions to QuantLibXl and I would like to use Quantlib Matrix Object as much as possible to avoid too many nightmare in updating the librry

I tried what Luigi Ballabo suggested and I got the following error massage during the compilation of Project QuantlibObjects (in Static Debug mode MSVC10)
Do you have any ideas?
I'm using MSVC10 and the latest quantlib 1.1.0  and boost 1.47
Regards
JRViala



1>------ Début de la génération : Projet : QuantLib, Configuration : Debug (static runtime) Win32 ------

1>La génération a démarré 02/11/2011 18:26:02.

1>InitializeBuildStatus:

1>  Mise à jour de l'horodatage ".\build\vc100\Win32\Debug (static runtime)\QuantLib.unsuccessfulbuild".

2>------ Début de la génération : Projet : QuantLibObjects, Configuration : Debug (static runtime) Win32 ------

2>La génération a démarré 02/11/2011 18:26:17.

2>InitializeBuildStatus:

2>  Création de ".\build\vc100\Debug (static runtime)\QuantLibObjects.unsuccessfulbuild", car "AlwaysCreate" a été spécifié.

2>ClCompile:

2>  Toutes les sorties sont à jour.

2>Lib:

2>  Toutes les sorties sont à jour.

2>  QuantLibObjects_vc10.vcxproj -> C:\Quantlib\build_ql_1_1_0\QuantLibAddin\.\lib\QuantLibObjects-vc100-mt-sgd-1_1_0.lib

2>FinalizeBuildStatus:

2>  Suppression du fichier ".\build\vc100\Debug (static runtime)\QuantLibObjects.unsuccessfulbuild".

2>  Mise à jour de l'horodatage ".\build\vc100\Debug (static runtime)\QuantLibObjects.lastbuildstate".

2>

2>La génération a réussi.

2>

2>Temps écoulé 00:00:01.74

1>ClCompile:

1>  sparseilupreconditioner.cpp

1>C:\Quantlib\boost_1_47\boost/numeric/ublas/vector_of_vector.hpp(301): error C2668: 'boost::numeric::ublas::ref' : appel ambigu à une fonction surchargée

1>          C:\Quantlib\boost_1_47\boost/numeric/ublas/vector_sparse.hpp(174): peut être 'boost::numeric::ublas::compressed_vector<T> &boost::numeric::ublas::ref<boost::numeric::ublas::compressed_vector<T>>(VER &)'

1>          with

1>          [

1>              T=QuantLib::Integer,

1>              VER=boost::numeric::ublas::compressed_vector<QuantLib::Integer>

1>          ]

1>          c:\Program Files\Microsoft Visual Studio 10.0\VC\include\xrefwrap(439): ou       'std::tr1::reference_wrapper<_Ty> std::tr1::ref<T>(_Ty &)' [trouvé à l'aide d'une recherche dépendante d'un argument]

1>          with

1>          [

1>              _Ty=boost::numeric::ublas::compressed_vector<QuantLib::Integer>,

1>              T=boost::numeric::ublas::compressed_vector<QuantLib::Integer>

1>          ]

1>          lors de la tentative de mise en correspondance de la liste des arguments '(boost::numeric::ublas::compressed_vector<T>)'

1>          with

1>          [

1>              T=QuantLib::Integer

1>          ]

1>          C:\Quantlib\boost_1_47\boost/numeric/ublas/vector_of_vector.hpp(298) : lors de la compilation de la fonction membre 'int &boost::numeric::ublas::generalized_vector_of_vector<T,L,A>::insert_element(unsigned int,unsigned int,const int &)' de la classe modèle

1>          with

1>          [

1>              T=QuantLib::Integer,

1>              L=boost::numeric::ublas::row_major,

1>              A=boost::numeric::ublas::vector<boost::numeric::ublas::compressed_vector<QuantLib::Integer>>

1>          ]

1>          ql\experimental\finitedifferences\sparseilupreconditioner.cpp(61) : voir la référence à l'instanciation de la classe modèle 'boost::numeric::ublas::generalized_vector_of_vector<T,L,A>' en cours de compilation

1>          with

1>          [

1>              T=QuantLib::Integer,

1>              L=boost::numeric::ublas::row_major,

1>              A=boost::numeric::ublas::vector<boost::numeric::ublas::compressed_vector<QuantLib::Integer>>

1>          ]

1>C:\Quantlib\boost_1_47\boost/numeric/ublas/vector_of_vector.hpp(301): fatal error C1903: impossible de récupérer à partir des erreurs précédentes ; arrêt de la compilation

1>

1>ÉCHEC de la build.

1>

1>Temps écoulé 00:00:30.31

========== Génération : 1 a réussi, 1 a échoué, 6 mis à jour, 0 a été ignoré ==========

Luigi Ballabio wrote

On Oct 31, 2011, at 8:29 PM, StephenWong wrote:
> Viala Jean-Renaud (AMUNDI) wrote:
>>
>> I'd like to get the inverse of a quantlib matrix but apparently  
>> it's not
>> possible using boost::uBlAS
>>
>> I'm using MSVC10 and the latest quantlib 1.1  and boost 1.47
>>
>> Is there another way to get the inverse of a quantlib matrix?
>
> Can you not use another library that can calculate the inverse of a  
> matrix
> such as  http://www.alglib.net/matrixops/inv.php this .

Probably not, if he needs to use instances of our Matrix class  
elsewhere in the code.

Jean-Renaud, I think the block was put there for a previous version of  
Boost.  Can you re-enable uBlas (you can do this by commenting line 97  
in ql/config.msvc.hpp) and see if it work with your version? In any  
case, please write back and tell me what happens.

Thanks,
     Luigi



------------------------------------------------------------------------------
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in minutes. BlackBerry App World™ now supports Android™ Apps
for the BlackBerry® PlayBook™. Discover just how easy and simple
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[jean-renaud viala]

Hi
I must have made a mistake in my previous compilation
Now Inverse works when re-enabling UBLAS in matrix.cpp
Regards
JRV
-----Original Message-----
From: [hidden email]
[mailto:[hidden email]] On Behalf Of Luigi
Ballabio
Sent: Monday, October 31, 2011 9:47 PM
To: StephenWong
Cc: [hidden email]
Subject: Re: [Quantlib-users] How to get the inverse of a Quantlib
Matrix inMSVC10


On Oct 31, 2011, at 8:29 PM, StephenWong wrote:

> Viala Jean-Renaud (AMUNDI) wrote:
>>
>> I'd like to get the inverse of a quantlib matrix but apparently  
>> it's not
>> possible using boost::uBlAS
>>
>> I'm using MSVC10 and the latest quantlib 1.1  and boost 1.47
>>
>> Is there another way to get the inverse of a quantlib matrix?
>
> Can you not use another library that can calculate the inverse of a  
> matrix
> such as  http://www.alglib.net/matrixops/inv.php this .

Probably not, if he needs to use instances of our Matrix class  
elsewhere in the code.

Jean-Renaud, I think the block was put there for a previous version of  
Boost.  Can you re-enable uBlas (you can do this by commenting line 97  
in ql/config.msvc.hpp) and see if it work with your version? In any  
case, please write back and tell me what happens.

Thanks,
     Luigi



------------------------------------------------------------------------
------
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in minutes. BlackBerry App World&#153; now supports Android&#153; Apps
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