QuantLib Forum
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Hi all
as you probably know last Tuesday there has been the First QuantLib Forum in London, sponsored by StatPro: http://www.statpro.com/quantlib_forum.aspx It has been a great time meeting a lot of "QL names" in person, both the old friends and the new ones. Luigi's acrobatics were surely the main attraction ;-), but all presentations were very interesting, and the organization was impeccable: kudos to all speakers and organizers, it has been a real pleasure to collaborate with you. This is not just my subjective opinion: there were about 90 delegates attending the event, and according to the feedback forms 96% of them would attend a future QuantLib Forum again. The event scored a remarkable 5.23 out of 6.00! The presentations are available at http://www.statpro.com/quantlib_forum/quantlib_presentations.aspx There has been a lot of suggestions for future initiatives: more Python, more case studies, LMM, Credit, more (model) details, better overview, more background for less experienced users, more academic presentations, more examples on implementation. In a word people wants more, which is great and we will take these suggestions into account. This first forum also marks the 10th QL anniversary, so this is a good time for my heartfelt "thank you" to Dario Cintioli. While probably an obscure name to the mailing list subscribers he has always encouraged and sustained the QuantLib development since the first days at RiskMap up to these days at StatPro. He has showed a forward looking attitude quite rare between the managers I've worked with, and a remarkable courage to invest his own resources in what might have appeared a crazy project at the time To wrap it up from my side while looking forward to other reports: if you missed the first QL forum... well don't miss it next time! ciao -- Nando ------------------------------------------------------------------------------ Protect Your Site and Customers from Malware Attacks Learn about various malware tactics and how to avoid them. Understand malware threats, the impact they can have on your business, and how you can protect your company and customers by using code signing. http://p.sf.net/sfu/oracle-sfdevnl _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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Tks Nando,
Your words are very nice and very much appreciated. Compliments to you all for the great job done on QuantLib. Long live QuantLib!! Cheers, Dario Sent via Blackberry. This email and any files transmitted with it are confidential and intended solely for the intended recipient. If you are not the named addressee you should not disseminate, distribute, copy or alter this email. Any views or opinions presented in this email are solely those of the author and might not represent those of StatPro. Warning: Although StatPro has taken reasonable precautions to ensure no viruses are present in this email, the company cannot accept responsibility for any loss or damage arising from the use of this email or attachments. Sent via Blackberry. ----- Original Message ----- From: [hidden email] <[hidden email]> To: [hidden email] <[hidden email]>; QuantLib Mailing Lists <[hidden email]> Cc: Dario Cintioli; Jeanine Leuckel; Barbara Seljak Sent: Thu Jan 20 14:38:19 2011 Subject: QuantLib Forum Hi all as you probably know last Tuesday there has been the First QuantLib Forum in London, sponsored by StatPro: http://www.statpro.com/quantlib_forum.aspx It has been a great time meeting a lot of "QL names" in person, both the old friends and the new ones. Luigi's acrobatics were surely the main attraction ;-), but all presentations were very interesting, and the organization was impeccable: kudos to all speakers and organizers, it has been a real pleasure to collaborate with you. This is not just my subjective opinion: there were about 90 delegates attending the event, and according to the feedback forms 96% of them would attend a future QuantLib Forum again. The event scored a remarkable 5.23 out of 6.00! The presentations are available at http://www.statpro.com/quantlib_forum/quantlib_presentations.aspx There has been a lot of suggestions for future initiatives: more Python, more case studies, LMM, Credit, more (model) details, better overview, more background for less experienced users, more academic presentations, more examples on implementation. In a word people wants more, which is great and we will take these suggestions into account. This first forum also marks the 10th QL anniversary, so this is a good time for my heartfelt "thank you" to Dario Cintioli. While probably an obscure name to the mailing list subscribers he has always encouraged and sustained the QuantLib development since the first days at RiskMap up to these days at StatPro. He has showed a forward looking attitude quite rare between the managers I've worked with, and a remarkable courage to invest his own resources in what might have appeared a crazy project at the time To wrap it up from my side while looking forward to other reports: if you missed the first QL forum... well don't miss it next time! ciao -- Nando BlackSpider MailControl : To report this as spam, forward the email to [hidden email] This message is private and confidential. If you have received this message in error, please notify us and remove it from your system. Any views or opinions presented in this email are solely those of the author and might not represent those of StatPro. Warning: Although StatPro has taken reasonable precautions to ensure no viruses are present in this email, the company cannot accept responsibility for any loss or damage arising from the use of this email or attachments. ------------------------------------------------------------------------------ Special Offer-- Download ArcSight Logger for FREE (a $49 USD value)! Finally, a world-class log management solution at an even better price-free! Download using promo code Free_Logger_4_Dev2Dev. Offer expires February 28th, so secure your free ArcSight Logger TODAY! http://p.sf.net/sfu/arcsight-sfd2d _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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In reply to this post by Ferdinando M. Ametrano-3
On my side at least, I would like to say thanks to everybody who organised the conference and also thanks for organising it in London and travelling in to give your presentations -- it made it very convenient and accessible for us who are here! I agree with summary that people were interested "more" of a lot of things... The two topics which particularly caught my eye was "more Python" (and seeing that Luigi for example uses it often); and, plans for new, SWIG-based, Excel add-in. In fact thinking now about this, I see there could be a nice shortcut in enabling this: write the Excel interface in Python. This would allow the work to concentrate on the C++ -> Python SWIG wrapper, and Python modules could then quite easily re-wrap this functionality for Excel. This would also have the added advantage that a lot of higher-level functionality could be in Python but still easily accessible from Excel. What do people think about this? Best, Bojan -- Bojan Nikolic || http://www.bnikolic.co.uk ------------------------------------------------------------------------------ Special Offer-- Download ArcSight Logger for FREE (a $49 USD value)! Finally, a world-class log management solution at an even better price-free! Download using promo code Free_Logger_4_Dev2Dev. Offer expires February 28th, so secure your free ArcSight Logger TODAY! http://p.sf.net/sfu/arcsight-sfd2d _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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Hi Bojan,
Many thanks for your feedback on the forum and your interest in future developments. Quoting Bojan Nikolic <[hidden email]>: > On my side at least, I would like to say thanks to everybody who > organised the conference and also thanks for organising it in London and > travelling in to give your presentations -- it made it very convenient > and accessible for us who are here! > > I agree with summary that people were interested "more" of a lot of > things... The two topics which particularly caught my eye was "more > Python" (and seeing that Luigi for example uses it often); and, plans > for new, SWIG-based, Excel add-in. I'm working on a small prototype of this and will report back here as soon as there is something to share. If the approach proves viable then all feedback and assistance would be welcome. > In fact thinking now about this, I see there could be a nice shortcut in > enabling this: write the Excel interface in Python. This would allow the > work to concentrate on the C++ -> Python SWIG wrapper, and Python > modules could then quite easily re-wrap this functionality for > Excel. This would also have the added advantage that a lot of > higher-level functionality could be in Python but still easily > accessible from Excel. What do people think about this? I think the Excel-Python interface looks interesting and could have useful applications but it would not be my choice for the QuantLibXL architecture. Excel's C API, while obscure, is mature and robust and remains the fastest way to access Excel's internals. Kind Regards, Eric =================================================== Eric Ehlers nazcatech sprl | Brussels | http://www.nazcatech.be * Distributed computing for pricing analytics * Use Microsoft Excel as a client to the Grid ------------------------------------------------------------------------------ Special Offer-- Download ArcSight Logger for FREE (a $49 USD value)! Finally, a world-class log management solution at an even better price-free! Download using promo code Free_Logger_4_Dev2Dev. Offer expires February 28th, so secure your free ArcSight Logger TODAY! http://p.sf.net/sfu/arcsight-sfd2d _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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>> In fact thinking now about this, I see there could be a nice shortcut in >> enabling this: write the Excel interface in Python. This would allow the >> work to concentrate on the C++ -> Python SWIG wrapper, and Python >> modules could then quite easily re-wrap this functionality for >> Excel. This would also have the added advantage that a lot of >> higher-level functionality could be in Python but still easily >> accessible from Excel. What do people think about this? > > I think the Excel-Python interface looks interesting and could have > useful applications but it would not be my choice for the QuantLibXL > architecture. Excel's C API, while obscure, is mature and robust and > remains the fastest way to access Excel's internals. I was thinking of actually using Python packaged into a DLL and accessing directly Excel's C API. So you get the benefits of using Python (and SWIG-ed QuantLib in this case) combined with the traditional Excel C interface. Perhaps surprisingly, this works really quite well and enables direct interaction with Python quite easily. We've used it in a project and it worked very well. There is a little spin-off example at http://www.bnikolic.co.uk/expy/. There is also another project with code available at http://code.google.com/p/pyinex/downloads/list. Best, Bojan -- Bojan Nikolic || http://www.bnikolic.co.uk ------------------------------------------------------------------------------ Special Offer-- Download ArcSight Logger for FREE (a $49 USD value)! Finally, a world-class log management solution at an even better price-free! Download using promo code Free_Logger_4_Dev2Dev. Offer expires February 28th, so secure your free ArcSight Logger TODAY! http://p.sf.net/sfu/arcsight-sfd2d _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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>>> In fact thinking now about this, I see there could be a nice shortcut in
>>> enabling this: write the Excel interface in Python. This would allow the >>> work to concentrate on the C++ -> Python SWIG wrapper, and Python >>> modules could then quite easily re-wrap this functionality for >>> Excel. This would also have the added advantage that a lot of >>> higher-level functionality could be in Python but still easily >>> accessible from Excel. What do people think about this? >> >> I think the Excel-Python interface looks interesting and could have >> useful applications but it would not be my choice for the QuantLibXL >> architecture. Excel's C API, while obscure, is mature and robust and >> remains the fastest way to access Excel's internals. > > I was thinking of actually using Python packaged into a DLL and > accessing directly Excel's C API. So you get the benefits of using > Python (and SWIG-ed QuantLib in this case) combined with the > traditional Excel C interface. > > Perhaps surprisingly, this works really quite well and enables direct > interaction with Python quite easily. We've used it in a project and it > worked very well. There is a little spin-off example at > http://www.bnikolic.co.uk/expy/. There is also another project with code > available at http://code.google.com/p/pyinex/downloads/list. I'll have a look at the examples as soon as I can. For now let me request a quick clarification: Under this proposed new design, would it be possible to invoke existing QLXL functionality on a machine where Python is not installed in any shape or form? I would hesitate to move to any design where the answer to that question is no. At present the crux of our architecture is: QL -> XL API -> EXCEL Adding any other component into that mix would be guaranteed not to speed things up and I would certainly have reservations about having the Python interpreter on our critical path when calculating a price. As I said before, I agree that an Excel-Python interface could have interesting applications. And other people have already put similar ideas to me. I'm entirely open to the possibility of having Python functionality available as an auxiliary to the core build, and I would be very interested in having something like that included in the prototype of the new design. Kind Regards, Eric ------------------------------------------------------------------------------ Special Offer-- Download ArcSight Logger for FREE (a $49 USD value)! Finally, a world-class log management solution at an even better price-free! Download using promo code Free_Logger_4_Dev2Dev. Offer expires February 28th, so secure your free ArcSight Logger TODAY! http://p.sf.net/sfu/arcsight-sfd2d _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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Hi Eric, Eric Ehlers <[hidden email]> writes: >>>> In fact thinking now about this, I see there could be a nice shortcut in >>>> enabling this: write the Excel interface in Python. This would allow the >>>> work to concentrate on the C++ -> Python SWIG wrapper, and Python >>>> modules could then quite easily re-wrap this functionality for >>>> Excel. This would also have the added advantage that a lot of >>>> higher-level functionality could be in Python but still easily >>>> accessible from Excel. What do people think about this? >>> >>> I think the Excel-Python interface looks interesting and could have >>> useful applications but it would not be my choice for the QuantLibXL >>> architecture. Excel's C API, while obscure, is mature and robust and >>> remains the fastest way to access Excel's internals. >> >> I was thinking of actually using Python packaged into a DLL and >> accessing directly Excel's C API. So you get the benefits of using >> Python (and SWIG-ed QuantLib in this case) combined with the >> traditional Excel C interface. >> >> Perhaps surprisingly, this works really quite well and enables direct >> interaction with Python quite easily. We've used it in a project and it >> worked very well. There is a little spin-off example at >> http://www.bnikolic.co.uk/expy/. There is also another project with code >> available at http://code.google.com/p/pyinex/downloads/list. > > I'll have a look at the examples as soon as I can. For now let me > request a quick clarification: Under this proposed new design, would > it be possible to invoke existing QLXL functionality on a machine > where Python is not installed in any shape or form? Yes, but only because the Python interpreter would be statically linked into the add in. > I would hesitate to move to any design where the answer to that > question is no. At present the crux of our architecture is: > > QL -> XL API -> EXCEL > > Adding any other component into that mix would be guaranteed not to > speed things up and I would certainly have reservations about having > the Python interpreter on our critical path when calculating a price. Well I was suggesting writing the XL API in Python, so yes, there would be an additional overhead of a Python layer. In practice these overheads are small and not noticeable unless one tries to do very fine-grained calculations from Excel. I think this overhead would be more than offset by the ability to remove certain portions of calculations entirely from Excel and have them in the Python layer. Best, Bojan -- Bojan Nikolic || http://www.bnikolic.co.uk ------------------------------------------------------------------------------ Special Offer-- Download ArcSight Logger for FREE (a $49 USD value)! Finally, a world-class log management solution at an even better price-free! Download using promo code Free_Logger_4_Dev2Dev. Offer expires February 28th, so secure your free ArcSight Logger TODAY! http://p.sf.net/sfu/arcsight-sfd2d _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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Hi Bojan,
Quoting Bojan Nikolic <[hidden email]>: > Well I was suggesting writing the XL API in Python, so yes, there would > be an additional overhead of a Python layer. In practice these overheads > are small and not noticeable unless one tries to do very fine-grained > calculations from Excel. I think this overhead would be more than offset > by the ability to remove certain portions of calculations entirely from > Excel and have them in the Python layer. For the moment I still have reservations this approach for reasons mentioned previously. But I welcome your interest and would like to keep options open. AS mentioned I'm prototyping the use of SWIG, that project will include a build of QuantLibXL which retains the existing architecture, once that's ready would you be interested in adding to the prototype a parallel build of QuantLibXL using Python as you suggest? That would keep your idea on the table and we could decide later how to proceed. Regards, Eric ------------------------------------------------------------------------------ Special Offer-- Download ArcSight Logger for FREE (a $49 USD value)! Finally, a world-class log management solution at an even better price-free! Download using promo code Free_Logger_4_Dev2Dev. Offer expires February 28th, so secure your free ArcSight Logger TODAY! http://p.sf.net/sfu/arcsight-sfd2d _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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