Managed Wrapper

[John Maiden]

I'm working on a managed c++/cli wrapper for QuantLib that I can use it with
.net code. I'm using VS 2010 and have the latest code, where I downloaded the
2010 project using the advice from Quantcorner.

I've built the QuantLib code (with no problems) and included the library and
headers in the managed project as a reference. The code compiles, but I'm
getting linking errors that all seem to be centered around the FDM Heston code.
There are 12 linking errors in total; including three example errors for
reference. Hopefully someone will tell me what's going on:

Error 1 error LNK2019: unresolved external symbol "public: __thiscall
QuantLib::FdmSimpleProcess1dMesher::FdmSimpleProcess1dMesher(unsigned int,class
boost::shared_ptr<class QuantLib::StochasticProcess1D> const &,double,unsigned
int,double)"
(??0FdmSimpleProcess1dMesher@QuantLib@@QAE@IABV?$shared_ptr
@VStochasticProcess1D@QuantLib@@@boost@@NIN@Z)
referenced in function "public: virtual void __thiscall
QuantLib::FdHestonHullWhiteVanillaEngine::calculate(void)const "
(?calculate@FdHestonHullWhiteVanillaEngine@QuantLib@@UBEXXZ)

Error 2 error LNK2019: unresolved external symbol "public: __thiscall
QuantLib::Fdm3DimSolver::Fdm3DimSolver(struct QuantLib::FdmSolverDesc const
&,struct QuantLib::FdmSchemeDesc const &,class boost::shared_ptr<class
QuantLib::FdmLinearOpComposite> const &)"
(??0Fdm3DimSolver@QuantLib@@QAE@ABUFdmSolverDesc@1@ABUFdmSchemeDesc
@1@ABV?$shared_ptr@VFdmLinearOpComposite@QuantLib@@@boost@@@Z)
referenced in function "protected: virtual void __thiscall
QuantLib::FdmHestonHullWhiteSolver::performCalculations(void)const "
(?performCalculations@FdmHestonHullWhiteSolver@QuantLib@@MBEXXZ)

Error 12 error LNK2019: unresolved external symbol "public: double __thiscall
QuantLib::Fdm2DimSolver::thetaAt(double,double)const "
(?thetaAt@Fdm2DimSolver@QuantLib@@QBENNN@Z) referenced in function "public:
double __thiscall QuantLib::FdmHestonSolver::thetaAt(double,double)const "
(?thetaAt@FdmHestonSolver@QuantLib@@QBENNN@Z)


------------------------------------------------------------------------------
Create and publish websites with WebMatrix
Use the most popular FREE web apps or write code yourself;
WebMatrix provides all the features you need to develop and
publish your website. http://p.sf.net/sfu/ms-webmatrix-sf
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[John Maiden]

To add more color, I'm testing a simple option pricer, using the EquityOption
example. I've done some more testing. I can get an American option to build and
link, but I can't get a European option to link. See code below. If I uncomment
the European section then I can't get the code to link.

void priceOptionEuro(
        Date valueDate,
        Date settlementDate,
        Date maturity,
        Real underlying,
        Real strike,
        Rate riskFreeRate,
        Spread dividendYield,
        Volatility volatility,
        double &NPV)
{
        // Hard-coded values for now
        Calendar calendar = TARGET();
        DayCounter dayCounter = Actual365Fixed();
        Option::Type type(Option::Call);

        // Exercise type

    Handle<Quote> underlyingH(
        boost::shared_ptr<Quote>(new SimpleQuote(underlying)));

    // bootstrap the yield/dividend/vol curves
        // Flat yield structure
    Handle<YieldTermStructure> flatTermStructure(
        boost::shared_ptr<YieldTermStructure>(
            new FlatForward(settlementDate, riskFreeRate, dayCounter)));

        // Flat dividend
    Handle<YieldTermStructure> flatDividendTS(
        boost::shared_ptr<YieldTermStructure>(
            new FlatForward(settlementDate, dividendYield, dayCounter)));

        // Flat vol
    Handle<BlackVolTermStructure> flatVolTS(
        boost::shared_ptr<BlackVolTermStructure>(
            new BlackConstantVol(settlementDate, calendar, volatility,
dayCounter)));

    boost::shared_ptr<StrikedTypePayoff> payoff(
                                    new PlainVanillaPayoff(type, strike));
       
        Size timeSteps = 801;

        // BSM process
    boost::shared_ptr<BlackScholesMertonProcess> bsmProcess(
                new BlackScholesMertonProcess(underlyingH, flatDividendTS,
flatTermStructure, flatVolTS));

        // European code that gives linking problem
        /*boost::shared_ptr<Exercise> europeanExercise(
                            new EuropeanExercise(maturity));

        VanillaOption europeanOption(payoff, europeanExercise);
   
    europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                new FDEuropeanEngine<CrankNicolson>(bsmProcess, timeSteps,
timeSteps-1)));
                               
        NPV = europeanOption.NPV();*/

        // American code that builds and links
        boost::shared_ptr<Exercise> americanExercise(
                                    new AmericanExercise(settlementDate, maturity));

        VanillaOption americanOption(payoff, americanExercise);

        americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
            new FDAmericanEngine<CrankNicolson>(bsmProcess, timeSteps,
timeSteps-1)));
       
        NPV = americanOption.NPV();
}


------------------------------------------------------------------------------
Create and publish websites with WebMatrix
Use the most popular FREE web apps or write code yourself;
WebMatrix provides all the features you need to develop and
publish your website. http://p.sf.net/sfu/ms-webmatrix-sf
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[John Maiden]

I can also swap out the American code with a Bermudan one-exercise, which also
builds and links:

        std::vector<Date> exerciseDates;
        exerciseDates.push_back(maturity);

        boost::shared_ptr<Exercise> bermudanExercise(
                                    new BermudanExercise(exerciseDates));

        VanillaOption bermudanOption(payoff, bermudanExercise);

    bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
                new FDBermudanEngine<CrankNicolson>(bsmProcess, timeSteps,
timeSteps-1)));

        NPV = bermudanOption.NPV();


------------------------------------------------------------------------------
Create and publish websites with WebMatrix
Use the most popular FREE web apps or write code yourself;
WebMatrix provides all the features you need to develop and
publish your website. http://p.sf.net/sfu/ms-webmatrix-sf
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[John Maiden]

Actually, I'm getting the Bermudan and American code to link, but I'm getting
runtime errors. It happens when FDBermudanEngine/FDAmericanEngine get to their
base class, FDVanillaEngine. The base class tries to initiate the
TridiagonalOperator member with size = 0, which ends up copying an empty array.
This gets caught as an error when copy is called for a null array.


------------------------------------------------------------------------------
Create and publish websites with WebMatrix
Use the most popular FREE web apps or write code yourself;
WebMatrix provides all the features you need to develop and
publish your website. http://p.sf.net/sfu/ms-webmatrix-sf
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Luigi Ballabio]

On Mon, 2011-04-04 at 03:25 +0000, John Maiden wrote:
> Actually, I'm getting the Bermudan and American code to link, but I'm getting
> runtime errors. It happens when FDBermudanEngine/FDAmericanEngine get to their
> base class, FDVanillaEngine. The base class tries to initiate the
> TridiagonalOperator member with size = 0, which ends up copying an empty array.
> This gets caught as an error when copy is called for a null array.

Yes, this was fixed recently on the 1.1 branch, but we haven't released
it yet.  You can check it out from Subversion.  The name of the branch
is R01010x-branch.

Luigi


--

Discontent is the first necessity of progress.
-- Thomas A. Edison



------------------------------------------------------------------------------
Xperia(TM) PLAY
It's a major breakthrough. An authentic gaming
smartphone on the nation's most reliable network.
And it wants your games.
http://p.sf.net/sfu/verizon-sfdev
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Luigi Ballabio]

On Fri, 2011-04-08 at 17:35 +0200, Luigi Ballabio wrote:

> On Mon, 2011-04-04 at 03:25 +0000, John Maiden wrote:
> > Actually, I'm getting the Bermudan and American code to link, but I'm getting
> > runtime errors. It happens when FDBermudanEngine/FDAmericanEngine get to their
> > base class, FDVanillaEngine. The base class tries to initiate the
> > TridiagonalOperator member with size = 0, which ends up copying an empty array.
> > This gets caught as an error when copy is called for a null array.
>
> Yes, this was fixed recently on the 1.1 branch, but we haven't released
> it yet.  You can check it out from Subversion.  The name of the branch
> is R01010x-branch.

Checking out the branch might fix the linking errors, too---the projects
on the trunk might not be fully updated.

Luigi


--

Though this be madness, yet there is method in't.
-- Hamlet, Act II, scene II



------------------------------------------------------------------------------
Xperia(TM) PLAY
It's a major breakthrough. An authentic gaming
smartphone on the nation's most reliable network.
And it wants your games.
http://p.sf.net/sfu/verizon-sfdev
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users