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Multiple complilation errors - QuantLibXL 1.1.

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Rajiv Sesodia

Multiple complilation errors - QuantLibXL 1.1.

Hello

I'm new to QuantLib and am experiencing some difficulties in compiling the project ohxllib in the QuantLibXL solution (version 1.1). Could someone please assist?

The problem seems to be that the project ohxllib contains references to the files:

enumerations.cpp

export.hpp

functioncount.hpp

garbagecollection.cpp

...

etc...

However, these files are not present (for me); hence the compilation fails. I also similar problems when compiling the project QuantLibObjects. Here the compiler is looking for files such as \qlo\enumerations\register\register_pairs.cpp, register_types.cpp, but these do not exist either. In fact the directory \qlo is located under QuantLibAddins, not QuantLibXL...

Any help appreciated.

Regards

Rajiv

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Luigi Ballabio

Re: Multiple complilation errors - QuantLibXL 1.1.

These files should be generated by gensrc, which should be invoked by
the IDE at the start of the build. Do you see anything in the output
window that suggests it failed to generate them?

Luigi

On Mon, Mar 5, 2012 at 11:33 PM, Rajiv Sesodia <[hidden email]> wrote:

> I'm new to QuantLib and am experiencing some difficulties in compiling the
> project ohxllib in the QuantLibXL solution (version 1.1). Could someone
> please assist?
>
> The problem seems to be that the project ohxllib contains references to the
> files:
>
> enumerations.cpp
> export.hpp
> functioncount.hpp
> garbagecollection.cpp
> ...
> ...
> etc...
>
> However, these files are not present (for me); hence the compilation fails.
> I also similar problems when compiling the project QuantLibObjects. Here the
> compiler is looking for files such as
> \qlo\enumerations\register\register_pairs.cpp, register_types.cpp,
> but these do not exist either. In fact the directory \qlo is located under
> QuantLibAddins, not QuantLibXL...
>
> Any help appreciated.
>
> Regards
> Rajiv

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Billy Ng-5

QuantLib 1.2 Test Suite - Swaption Test Valiadtion Fails

unknown location(0): fatal error in "QuantLib::detail::quantlib_test_case(&SwaptionTest::testCashSettledSwaptions)": std::exception: 1st leg: d1 (March 31st, 2015) later than d2 (March 30th, 2015)
c:\quantlib-1.2\test-suite\utilities.hpp(78): last checkpoint

The test suite - Swaption is run on today (CommonVars) = March 24, 2012 with the above error.
Tried with other days 25, 26, March, 2012 have the same problem

For today = March 27, 2012, the same error with d1 and d2 changed to 2020
It run fine if today = March 23, 2012

As I just started going through the system, what does it mean and the cause of the problem?

Meanwhile, I am going over the Example Code on Market Model, two questions:

1. What is the Pathwise Greeks methodology used for the simulation, the 1999 Glasserman & Zhao, or the Adjoint method, or the more current modified adjoint method?
2. What is that upper/inner bound calculation? What is outer paths and inner paths?

Many Thanks
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Luigi Ballabio

Re: QuantLib 1.2 Test Suite - Swaption Test Valiadtion Fails

On Sat, Mar 24, 2012 at 4:13 PM, Billy Ng <[hidden email]> wrote:
> unknown location(0): fatal error in "QuantLib::detail::quantlib_test_case(&SwaptionTest::testCashSettledSwaptions)": std::exception: 1st leg: d1 (March 31st, 2015) later than d2 (March 30th, 2015)
> c:\quantlib-1.2\test-suite\utilities.hpp(78): last checkpoint
>
> The test suite - Swaption is run on today (CommonVars) = March 24, 2012 with the above error.
> As I just started going through the system, what does it mean and the cause of the problem?

Date adjustments going awry on an end of month, I guess. We'll have
to investigate.

Later,
Luigi

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Luigi Ballabio

Re: QuantLib 1.2 Test Suite - Swaption Test Valiadtion Fails

As expected, it was a problem with date adjustments. I just committed a fix.

Thanks for the heads-up.

Luigi

On Mon, Mar 26, 2012 at 4:16 PM, Luigi Ballabio
<[hidden email]> wrote:

> On Sat, Mar 24, 2012 at 4:13 PM, Billy Ng <[hidden email]> wrote:
>> unknown location(0): fatal error in "QuantLib::detail::quantlib_test_case(&SwaptionTest::testCashSettledSwaptions)": std::exception: 1st leg: d1 (March 31st, 2015) later than d2 (March 30th, 2015)
>> c:\quantlib-1.2\test-suite\utilities.hpp(78): last checkpoint
>>
>> The test suite - Swaption is run on today (CommonVars) = March 24, 2012 with the above error.
>> As I just started going through the system, what does it mean and the cause of the problem?
>
> Date adjustments going awry on an end of month, I guess. We'll have
> to investigate.
>
> Later,
> Luigi

Billy Ng-5

Re: QuantLib 1.2 Test Suite - Swaption Test Valiadtion Fails

Any comment on my other two questions on Market Model Example Code?

1. What is the Pathwise Greeks methodology used in the simulation?
2. What is that upper/inner bound calculation in the example code? What is outer paths and inner paths?

Billy Ng

-----Original Message-----
From: Luigi Ballabio [mailto:[hidden email]]
Sent: Wednesday, March 28, 2012 9:04 PM
To: Billy Ng
Cc: [hidden email]
Subject: Re: QuantLib 1.2 Test Suite - Swaption Test Valiadtion Fails

As expected, it was a problem with date adjustments. I just committed a fix.

Thanks for the heads-up.

Luigi

On Mon, Mar 26, 2012 at 4:16 PM, Luigi Ballabio
<[hidden email]> wrote:

Luigi Ballabio

Re: QuantLib 1.2 Test Suite - Swaption Test Valiadtion Fails

I'd refer you to Mark Joshi's papers for those. For instance,
<http://ssrn.com/abstract=907407> and
<http://ssrn.com/abstract=1768409>.

Mark, are you reading? Any other suggestion?

Luigi

On Wed, Mar 28, 2012 at 3:09 PM, Billy Ng <[hidden email]> wrote:
> Any comment on my other two questions on Market Model Example Code?
>
> 1. What is the Pathwise Greeks methodology used in the simulation?
> 2. What is that upper/inner bound calculation in the example code? What is outer paths and inner paths?

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