Intra-day date representation ?
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Intra-day date representation ?
 
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I just had yet another RQuantLib user contact me noticing that option values do not adjust to small changes in time-to-maturity 't' -- which is correct. While I take 't' as a float it eventually gets encoded as Boost Date and becomes (day-based) fraction of a year. Now, I seem to recall that Klaus, when he was in Chicago for R/Finance, mentioned a hack or patch or extension which replaced Date with Datetime. Did any of that ever migrate into the repo, or another place? Or am I day-dreaming here (which is always entirely possible ... ;-) ? Dirk -- http://dirk.eddelbuettel.com | @eddelbuettel | [hidden email] ------------------------------------------------------------------------------ Infragistics Professional Build stunning WinForms apps today! Reboot your WinForms applications with our WinForms controls. Build a bridge from your legacy apps to the future. http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: Intra-day date representation ?
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Hi Dirk,
not a day-dream, but I never brought it into a "patch" or close to it. I started off by replacing QuantLib::Date with boost::local_date_time (w/o taking backwards compatibility into considerations) and changed the DayCounters to also consider hours but I think there is no way doing this in a backwards compatible manner.
regards Klaus
On Wednesday, August 06, 2014 01:40:24 PM Dirk Eddelbuettel wrote: > I just had yet another RQuantLib user contact me noticing that option values > do not adjust to small changes in time-to-maturity 't' -- which is correct. > While I take 't' as a float it eventually gets encoded as Boost Date and > becomes (day-based) fraction of a year. > > Now, I seem to recall that Klaus, when he was in Chicago for R/Finance, > mentioned a hack or patch or extension which replaced Date with Datetime. > > Did any of that ever migrate into the repo, or another place? Or am I > day-dreaming here (which is always entirely possible ... ;-) ? > > Dirk
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Re: Intra-day date representation ?
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Hi Klaus, Thanks for the quick reply! Had wondered whether to pester you and Peter directly, or go to the list. On 6 August 2014 at 22:46, Klaus Spanderen wrote: | not a day-dream, but I never brought it into a "patch" or close to it. I | started off by replacing QuantLib::Date with boost::local_date_time (w/o taking | backwards compatibility into considerations) and changed the DayCounters to | also consider hours but I think there is no way doing this in a backwards | compatible manner. That's the issue. But I guess if were to collect 'PEP' items (didn't we once a loooong time ago?) maybe this could be one. Might also make for a fun project for a motivated Google Summer of Code student... Cheeers, Dirk -- http://dirk.eddelbuettel.com | @eddelbuettel | [hidden email] ------------------------------------------------------------------------------ Infragistics Professional Build stunning WinForms apps today! Reboot your WinForms applications with our WinForms controls. Build a bridge from your legacy apps to the future. http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: Intra-day date representation ?
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my daydream PEP would be: boostify the library (date, stats, math) with no regard for backward compatibility...
then when I wake up I defer the development leadership to Luigi ;-) On Wed, Aug 6, 2014 at 11:01 PM, Dirk Eddelbuettel <[hidden email]> wrote:
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Re: Intra-day date representation ?
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plus C++11 and multithreading? I'd be a happy camper..
On Wednesday, August 06, 2014 11:26:26 PM Ferdinando M. Ametrano wrote: > my daydream PEP would be: boostify the library (date, stats, math) with no > regard for backward compatibility... > then when I wake up I defer the development leadership to Luigi ;-) > > On Wed, Aug 6, 2014 at 11:01 PM, Dirk Eddelbuettel <[hidden email]> wrote: > > Hi Klaus, > > > > Thanks for the quick reply! Had wondered whether to pester you and Peter > > directly, or go to the list. > > > > On 6 August 2014 at 22:46, Klaus Spanderen wrote: > > | not a day-dream, but I never brought it into a "patch" or close to it. I > > | started off by replacing QuantLib::Date with boost::local_date_time (w/o > > > > taking > > > > | backwards compatibility into considerations) and changed the DayCounters > > > > to > > > > | also consider hours but I think there is no way doing this in a > > | backwards > > | compatible manner. > > > > That's the issue. But I guess if were to collect 'PEP' items (didn't we > > once > > a loooong time ago?) maybe this could be one. Might also make for a fun > > project for a motivated Google Summer of Code student... > > > > Cheeers, Dirk > > > > -- > > http://dirk.eddelbuettel.com | @eddelbuettel | [hidden email] > > > > > > -------------------------------------------------------------------------- > > ---- Infragistics Professional > > Build stunning WinForms apps today! > > Reboot your WinForms applications with our WinForms controls. > > Build a bridge from your legacy apps to the future. > > > > http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clkt > > rk _______________________________________________ > > QuantLib-dev mailing list > > [hidden email] > > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
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Re: Intra-day date representation ?
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Unfortunately C++11 is out of the reach of a lot of people still
suffering under the heel of their IT groups :) (Anecdotal evidence: at StatPro Italia, out boxes are still on the long-term support Ubuntu release from April 2012---we'll be switching to the April 2014 one, eventually, but that's lower priority that a lot of other things on our plate---so we're using gcc 4.6.2 from March 2012. And that's Ubuntu: if we were using RedHat, for instance, that would be more even conservative.) Anyway: I'd love all of the things on your list (C++, multithreading, boost) and I'd be glad to start a 2.0 branch, but I have no idea how to go about a lot of problems yet: see my talk at Dusseldorf <http://vimeo.com/79724861> for the major ones. So: let's start the discussion. I'd love to hear from people with some ideas about the above... Luigi On Wed, Aug 6, 2014 at 11:35 PM, Klaus Spanderen <[hidden email]> wrote: > plus C++11 and multithreading? I'd be a happy camper.. > > > > On Wednesday, August 06, 2014 11:26:26 PM Ferdinando M. Ametrano wrote: > >> my daydream PEP would be: boostify the library (date, stats, math) with no > >> regard for backward compatibility... > >> then when I wake up I defer the development leadership to Luigi ;-) > >> > >> On Wed, Aug 6, 2014 at 11:01 PM, Dirk Eddelbuettel <[hidden email]> wrote: > >> > Hi Klaus, > >> > > >> > Thanks for the quick reply! Had wondered whether to pester you and Peter > >> > directly, or go to the list. > >> > > >> > On 6 August 2014 at 22:46, Klaus Spanderen wrote: > >> > | not a day-dream, but I never brought it into a "patch" or close to it. >> > I > >> > | started off by replacing QuantLib::Date with boost::local_date_time >> > (w/o > >> > > >> > taking > >> > > >> > | backwards compatibility into considerations) and changed the >> > DayCounters > >> > > >> > to > >> > > >> > | also consider hours but I think there is no way doing this in a > >> > | backwards > >> > | compatible manner. > >> > > >> > That's the issue. But I guess if were to collect 'PEP' items (didn't we > >> > once > >> > a loooong time ago?) maybe this could be one. Might also make for a fun > >> > project for a motivated Google Summer of Code student... > >> > > >> > Cheeers, Dirk > >> > > >> > -- > >> > http://dirk.eddelbuettel.com | @eddelbuettel | [hidden email] > >> > > >> > > >> > >> > -------------------------------------------------------------------------- > >> > ---- Infragistics Professional > >> > Build stunning WinForms apps today! > >> > Reboot your WinForms applications with our WinForms controls. > >> > Build a bridge from your legacy apps to the future. > >> > > >> > >> > http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clkt > >> > rk _______________________________________________ > >> > QuantLib-dev mailing list > >> > [hidden email] > >> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > > > > ------------------------------------------------------------------------------ > Infragistics Professional > Build stunning WinForms apps today! > Reboot your WinForms applications with our WinForms controls. > Build a bridge from your legacy apps to the future. > http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clktrk > _______________________________________________ > QuantLib-dev mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > -- <https://implementingquantlib.blogspot.com> <https://twitter.com/lballabio> ------------------------------------------------------------------------------ Infragistics Professional Build stunning WinForms apps today! Reboot your WinForms applications with our WinForms controls. Build a bridge from your legacy apps to the future. http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: Intra-day date representation ?
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On 7 August 2014 at 12:34, Luigi Ballabio wrote: | Unfortunately C++11 is out of the reach of a lot of people still | suffering under the heel of their IT groups :) | (Anecdotal evidence: at StatPro Italia, out boxes are still on the | long-term support Ubuntu release from April 2012---we'll be switching | to the April 2014 one, eventually, but that's lower priority that a | lot of other things on our plate---so we're using gcc 4.6.2 from March | 2012. And that's Ubuntu: if we were using RedHat, for instance, that | would be more even conservative.) (Seconded from over here in R-land. While we can now use C++11 on packages, I also know eg via the friends running RStudio that there are still RHEL 4 installation out there. So to be _used_ we may need to be conservative in what we depend upon.) (That said there is crazy new shit around. Seen the C++ Streams library using C++14? http://jscheiny.github.io/Streams/ Just wow.) | Anyway: I'd love all of the things on your list (C++, multithreading, | boost) and I'd be glad to start a 2.0 branch, but I have no idea how | to go about a lot of problems yet: see my talk at Dusseldorf | <http://vimeo.com/79724861> for the major ones. | | So: let's start the discussion. I'd love to hear from people with some | ideas about the above... Why don't start by generalizing Date :) (Only half-kidding, maybe incremental approaches are fine rather than grand rewrite that then may stall ...) Dirk -- http://dirk.eddelbuettel.com | @eddelbuettel | [hidden email] ------------------------------------------------------------------------------ Infragistics Professional Build stunning WinForms apps today! Reboot your WinForms applications with our WinForms controls. Build a bridge from your legacy apps to the future. http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: Intra-day date representation ?
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On Thu, Aug 7, 2014 at 2:52 PM, Dirk Eddelbuettel <[hidden email]> wrote:
> | So: let's start the discussion. I'd love to hear from people with some > | ideas about the above... > > Why don't start by generalizing Date :) (Only half-kidding, maybe incremental > approaches are fine rather than grand rewrite that then may stall ...) That one should be doable. Possibility 1: we add a time part to our date and keep track of it in day counters. Possibility 2: we change the internals of our date so that it contains a Boost date, we check that it works as before, then we also expose the time part (and keep track of it in day counters). At a later date (ha ha) we gut our date and keep Boost. Question: is Boost.Date header-only or do we need to link a library? Luigi -- <https://implementingquantlib.blogspot.com> <https://twitter.com/lballabio> ------------------------------------------------------------------------------ Infragistics Professional Build stunning WinForms apps today! Reboot your WinForms applications with our WinForms controls. Build a bridge from your legacy apps to the future. http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: Intra-day date representation ?
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On 7 August 2014 at 15:05, Luigi Ballabio wrote: | On Thu, Aug 7, 2014 at 2:52 PM, Dirk Eddelbuettel <[hidden email]> wrote: | > | So: let's start the discussion. I'd love to hear from people with some | > | ideas about the above... | > | > Why don't start by generalizing Date :) (Only half-kidding, maybe incremental | > approaches are fine rather than grand rewrite that then may stall ...) | | | That one should be doable. | Possibility 1: we add a time part to our date and keep track of it in | day counters. | Possibility 2: we change the internals of our date so that it contains | a Boost date, we check that it works as before, then we also expose | the time part (and keep track of it in day counters). At a later date | (ha ha) we gut our date and keep Boost. Question: is Boost.Date | header-only or do we need to link a library? Yay! This day is going to be a winner as *I* get to answer a question by Luigi :) >From my https://github.com/eddelbuettel/rcppbdt package which bring some Boost.Date goodness to R (via Rcpp, of course): // Setting this variable governs whether we need to link against the // Boost Date.Time library (eg -lboost_date_time on Debian/Ubuntu) or // not The functions not involving string parsing or conversion are // all available via the templated Boost header files and are thus // compile-time only which make things a little easier. // On Windows, set the BOOSTLIB variable to point to a suitable directory. // On other systems, just have Boost in the include path #define RcppBDT_UseWithStrings 0 #if RcppBDT_UseWithString #include <boost/date_time/gregorian/gregorian.hpp> // Gregorian calendar types, with I/O #else #include <boost/date_time/gregorian/gregorian_types.hpp> // Gregorian calendar types, no I/O #endif So just include gregorian_types.hpp and you remain header-only, foregoing only date formatting and parsing for which the library is needed. Dirk -- http://dirk.eddelbuettel.com | @eddelbuettel | [hidden email] ------------------------------------------------------------------------------ Infragistics Professional Build stunning WinForms apps today! Reboot your WinForms applications with our WinForms controls. Build a bridge from your legacy apps to the future. http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: Intra-day date representation ?
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On 7 August 2014 at 08:10, Dirk Eddelbuettel wrote: | So just include gregorian_types.hpp and you remain header-only, foregoing | only date formatting and parsing for which the library is needed. Just to be plain: that works of cause only when you can farm out parsing and printing of Dates as I can when being embedded in R. May be different here. Dirk -- http://dirk.eddelbuettel.com | @eddelbuettel | [hidden email] ------------------------------------------------------------------------------ Infragistics Professional Build stunning WinForms apps today! Reboot your WinForms applications with our WinForms controls. Build a bridge from your legacy apps to the future. http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clktrk _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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In reply to this post by Klaus Spanderen-2
Just out of curiosity, which features of C++11 would benefit QuantLib the most? Francois Botha
On 6 August 2014 23:35, Klaus Spanderen <[hidden email]> wrote:
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Re: Intra-day date representation ?
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On Saturday, August 09, 2014 02:38:59 PM Francois Botha wrote: > Just out of curiosity, which features of C++11 would benefit QuantLib the > most?
IMO it will be multithreading, auto and Lambda functions. (Plus the other nice features;-)
regards Klaus
> > Francois Botha > > On 6 August 2014 23:35, Klaus Spanderen <[hidden email]> wrote: > > plus C++11 and multithreading? I'd be a happy camper.. > > > > On Wednesday, August 06, 2014 11:26:26 PM Ferdinando M. Ametrano wrote: > > > my daydream PEP would be: boostify the library (date, stats, math) with > > > > no > > > > > regard for backward compatibility... > > > > > > then when I wake up I defer the development leadership to Luigi ;-) > > > > > > > > > > > > On Wed, Aug 6, 2014 at 11:01 PM, Dirk Eddelbuettel <[hidden email]> > > > > wrote: > > > > Hi Klaus, > > > > > > > > > > > > > > > > Thanks for the quick reply! Had wondered whether to pester you and > > > > Peter > > > > > > directly, or go to the list. > > > > > > > > On 6 August 2014 at 22:46, Klaus Spanderen wrote: > > > > | not a day-dream, but I never brought it into a "patch" or close to > > > > it. I > > > > > > | started off by replacing QuantLib::Date with boost::local_date_time > > > > (w/o > > > > > > taking > > > > > > > > | backwards compatibility into considerations) and changed the > > > > DayCounters > > > > > > to > > > > > > > > | also consider hours but I think there is no way doing this in a > > > > | > > > > | backwards > > > > | > > > > | compatible manner. > > > > > > > > That's the issue. But I guess if were to collect 'PEP' items (didn't > > > > we > > > > > > > > once > > > > > > > > a loooong time ago?) maybe this could be one. Might also make for a > > > > fun > > > > > > > > project for a motivated Google Summer of Code student... > > > > > > > > > > > > > > > > Cheeers, Dirk > > > > > > > > > > > > > > > > -- > > > > > > > > http://dirk.eddelbuettel.com | @eddelbuettel | [hidden email] > > > > -------------------------------------------------------------------------- > > > > > > ---- Infragistics Professional > > > > > > > > Build stunning WinForms apps today! > > > > > > > > Reboot your WinForms applications with our WinForms controls. > > > > > > > > Build a bridge from your legacy apps to the future. > > > > http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clkt > > > > > > rk _______________________________________________ > > > > > > > > QuantLib-dev mailing list > > > > > > > > [hidden email] > > > > > > > > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > > > -------------------------------------------------------------------------- > > ---- Infragistics Professional > > Build stunning WinForms apps today! > > Reboot your WinForms applications with our WinForms controls. > > Build a bridge from your legacy apps to the future. > > > > http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clkt > > rk _______________________________________________ > > QuantLib-dev mailing list > > [hidden email] > > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
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Re: Intra-day date representation ?
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move semantics and rvalue references ?
On 10 August 2014 13:37, Klaus Spanderen <[hidden email]> wrote: > On Saturday, August 09, 2014 02:38:59 PM Francois Botha wrote: > >> Just out of curiosity, which features of C++11 would benefit QuantLib the > >> most? > > > > IMO it will be multithreading, auto and Lambda functions. (Plus the other > nice features;-) > > > > regards > > Klaus > > > >> > >> Francois Botha > >> > >> On 6 August 2014 23:35, Klaus Spanderen <[hidden email]> wrote: > >> > plus C++11 and multithreading? I'd be a happy camper.. > >> > > >> > On Wednesday, August 06, 2014 11:26:26 PM Ferdinando M. Ametrano wrote: > >> > > my daydream PEP would be: boostify the library (date, stats, math) >> > > with > >> > > >> > no > >> > > >> > > regard for backward compatibility... > >> > > > >> > > then when I wake up I defer the development leadership to Luigi ;-) > >> > > > >> > > > >> > > > >> > > On Wed, Aug 6, 2014 at 11:01 PM, Dirk Eddelbuettel <[hidden email]> > >> > > >> > wrote: > >> > > > Hi Klaus, > >> > > > > >> > > > > >> > > > > >> > > > Thanks for the quick reply! Had wondered whether to pester you and > >> > > >> > Peter > >> > > >> > > > directly, or go to the list. > >> > > > > >> > > > On 6 August 2014 at 22:46, Klaus Spanderen wrote: > >> > > > | not a day-dream, but I never brought it into a "patch" or close to > >> > > >> > it. I > >> > > >> > > > | started off by replacing QuantLib::Date with >> > > > boost::local_date_time > >> > > >> > (w/o > >> > > >> > > > taking > >> > > > > >> > > > | backwards compatibility into considerations) and changed the > >> > > >> > DayCounters > >> > > >> > > > to > >> > > > > >> > > > | also consider hours but I think there is no way doing this in a > >> > > > | > >> > > > | backwards > >> > > > | > >> > > > | compatible manner. > >> > > > > >> > > > That's the issue. But I guess if were to collect 'PEP' items (didn't > >> > > > we > >> > > > > >> > > > once > >> > > > > >> > > > a loooong time ago?) maybe this could be one. Might also make for a > >> > > > fun > >> > > > > >> > > > project for a motivated Google Summer of Code student... > >> > > > > >> > > > > >> > > > > >> > > > Cheeers, Dirk > >> > > > > >> > > > > >> > > > > >> > > > -- > >> > > > > >> > > > http://dirk.eddelbuettel.com | @eddelbuettel | [hidden email] > >> > > >> > >> > -------------------------------------------------------------------------- > >> > > >> > > > ---- Infragistics Professional > >> > > > > >> > > > Build stunning WinForms apps today! > >> > > > > >> > > > Reboot your WinForms applications with our WinForms controls. > >> > > > > >> > > > Build a bridge from your legacy apps to the future. > >> > > >> > >> > http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clkt > >> > > >> > > > rk _______________________________________________ > >> > > > > >> > > > QuantLib-dev mailing list > >> > > > > >> > > > [hidden email] > >> > > > > >> > > > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > >> > > >> > >> > -------------------------------------------------------------------------- > >> > ---- Infragistics Professional > >> > Build stunning WinForms apps today! > >> > Reboot your WinForms applications with our WinForms controls. > >> > Build a bridge from your legacy apps to the future. > >> > > >> > >> > http://pubads.g.doubleclick.net/gampad/clk?id=153845071&iu=/4140/ostg.clkt > >> > rk _______________________________________________ > >> > QuantLib-dev mailing list > >> > [hidden email] > >> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > > > > > ------------------------------------------------------------------------------ > > _______________________________________________ > QuantLib-dev mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > ------------------------------------------------------------------------------ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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