Intra-day date representation ?

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Intra-day date representation ?

Dirk Eddelbuettel

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 ?

Klaus Spanderen-2

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 ?

Dirk Eddelbuettel

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

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Re: Intra-day date representation ?

Ferdinando M. Ametrano-2
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

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Re: Intra-day date representation ?

Klaus Spanderen-2

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]

> >

> >

> > --------------------------------------------------------------------------

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> > rk _______________________________________________

> > QuantLib-dev mailing list

> > [hidden email]

> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev

 


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Re: Intra-day date representation ?

Luigi Ballabio
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
>
>
>
>
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>



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Re: Intra-day date representation ?

Dirk Eddelbuettel

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

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Re: Intra-day date representation ?

Luigi Ballabio
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




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Re: Intra-day date representation ?

Dirk Eddelbuettel

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


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Re: Intra-day date representation ?

Dirk Eddelbuettel

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

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Re: Intra-day date representation ?

igitur
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:

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 _______________________________________________


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Re: Intra-day date representation ?

Klaus Spanderen-2

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

> >

> > --------------------------------------------------------------------------

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> > QuantLib-dev mailing list

> > [hidden email]

> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev

 


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Re: Intra-day date representation ?

Peter Caspers-4
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
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>> >
>
>> > > 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]>
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>> >
>
>> > wrote:
>
>> > > > Hi Klaus,
>
>> > > >
>
>> > > >
>
>> > > >
>
>> > > > Thanks for the quick reply! Had wondered whether to pester you and
>
>> >
>
>> > Peter
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>> >
>
>> > > > 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
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>> >
>
>> > > > | started off by replacing QuantLib::Date with
>> > > > boost::local_date_time
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>> >
>
>> > (w/o
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>> >
>
>> > > > taking
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>> > > >
>
>> > > > | backwards compatibility into considerations) and changed the
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>> >
>
>> > DayCounters
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>> >
>
>> > > > to
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>> > > >
>
>> > > > | also consider hours but I think there is no way doing this in a
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>> > > > |
>
>> > > > | backwards
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>> > > > |
>
>> > > > | compatible manner.
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>> > > >
>
>> > > > That's the issue. But I guess if were to collect 'PEP' items (didn't
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>> > > > we
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>> > > >
>
>> > > > once
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>> > > >
>
>> > > > a loooong time ago?) maybe this could be one. Might also make for a
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>> > > > fun
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>> > > >
>
>> > > > project for a motivated Google Summer of Code student...
>
>> > > >
>
>> > > >
>
>> > > >
>
>> > > > Cheeers, Dirk
>
>> > > >
>
>> > > >
>
>> > > >
>
>> > > > --
>
>> > > >
>
>> > > > http://dirk.eddelbuettel.com | @eddelbuettel | [hidden email]
>
>> >
>
>> >
>> > --------------------------------------------------------------------------
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>> > > > rk _______________________________________________
>
>> > > >
>
>> > > > QuantLib-dev mailing list
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>> >
>> > --------------------------------------------------------------------------
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>> > ---- 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
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>> > rk _______________________________________________
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