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Re: QuantLib-dev Digest, boostrapping multiple interest rate yield curves

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Theo Boafo

Re: QuantLib-dev Digest, boostrapping multiple interest rate yield curves

Hi Ferdinando,

I have a question on the paper Bootstrapping the Illiquidity. Please where in Quantlib is the code for boostrapping multiple interest rate yield curves implemented?

Is there an example in Quantlib?

Regards

Theo

-----Original Message-----
From: quantlib-dev-request <[hidden email]>
To: quantlib-dev <[hidden email]>
Sent: Tue, 10 Jul 2012 9:56
Subject: QuantLib-dev Digest, Vol 74, Issue 2

Send QuantLib-dev mailing list submissions to
	[hidden email]

To subscribe or unsubscribe via the World Wide Web, visit
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When replying, please edit your Subject line so it is more specific
than "Re: Contents of QuantLib-dev digest..."


Today's Topics:

   1. Re: Use QuantLib Swig Python Extension with VS2010
      (Ferdinando Ametrano)
   2. Re: Use QuantLib Swig Python Extension with VS2010 (Didrik Pinte)
   3. Re: Use QuantLib Swig Python Extension with VS2010
      (Luigi Ballabio)
   4. Re: Use QuantLib Swig Python Extension with VS2010
      (Ferdinando Ametrano)
   5. Re: Use QuantLib Swig Python Extension with VS2010 (Eric Ehlers)
   6. swapindex clone (Peter Caspers)
   7. Re: QuantLibXL / ObjectHandler 1.2 Prerelease Files (Eric Ehlers)
   8. [ quantlib-Patches-3541625 ] Math macros	redefinition
      warnings on VC++ (SourceForge.net)
   9. [ quantlib-Patches-3541627 ] Upgrade	boost::filesystem
      functions to version 3 (SourceForge.net)


----------------------------------------------------------------------

Message: 1
Date: Thu, 5 Jul 2012 16:40:00 +0200
From: Ferdinando Ametrano <[hidden email]>
Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
	VS2010
To: Luigi Ballabio <[hidden email]>
Cc: Michael <[hidden email]>, [hidden email]
Message-ID:
	<CAEH5GqyiKUBFLSHP9N4ekfn5z5A1y=ffB=[hidden email]>
Content-Type: text/plain; charset=ISO-8859-1

>     I agree with VC2008 being the preferred compiler for the Python
> module, but what do you mean with "QL is not friendly with VC2010"?

Is the 2010 project actively maintained?



------------------------------

Message: 2
Date: Thu, 5 Jul 2012 16:22:59 +0200
From: Didrik Pinte <[hidden email]>
Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
	VS2010
To: Ferdinando Ametrano <[hidden email]>
Cc: Michael <[hidden email]>, [hidden email]
Message-ID:
	<[hidden email]>
Content-Type: text/plain; charset=UTF-8

On 5 July 2012 16:09, Ferdinando Ametrano <[hidden email]> wrote:
> Hi Micheal
>
> in order to achieve your goal you should compile Python with VC2010,
> or Pyhton and QL bindings would never link.
> Anyway that is definitely not the suggested way to go, as you might
> discover that also QL is not friendly with VC2010.
>
> Try to go back to VC2008. I for one would probably just skip VC2010 altogheter
>
> ciao -- Nando
>
> On Wed, Jul 4, 2012 at 10:00 PM, Michael <[hidden email]> wrote:
>> Dear all,
>>
>> I'm trying to compile the python swig extension. Unfortunately this is not
>> working. My current setup looks like this.
>>
>> - QuantLib Version 1.1
>> - Python Version 2.7.2
>> - Visual Studio 2010 SP1
>>
>> When I try to compile the python swig extensions I get the following error:
>>
>> running build
>> running build_py
>> running build_ext
>> building 'QuantLib._QuantLib' extension
>> error: Unable to find vcvarsall.ba

This is an issue with distutils that is not aware of VC2010. By
tweaking your environment variables, you can bypass that.

You might have issues related to the manifest in you files. I have
solved that issue with Cython and some wrappers built under VS2010
lately. I don't know how SWIG behaves though.

-- Didrik



------------------------------

Message: 3
Date: Thu, 5 Jul 2012 17:37:41 +0200
From: Luigi Ballabio <[hidden email]>
Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
	VS2010
To: Ferdinando Ametrano <[hidden email]>
Cc: Michael <[hidden email]>, [hidden email]
Message-ID:
	<CAJkxnzeyJGWfg+HDh0kUi4DuONvBcOLXU5bCdN3nyD=[hidden email]>
Content-Type: text/plain; charset=ISO-8859-1

Sure it is.  At the very least, the one released in 1.2 works.

Luigi

On Thu, Jul 5, 2012 at 4:40 PM, Ferdinando Ametrano <[hidden email]> wrote:
> Is the 2010 project actively maintained?



------------------------------

Message: 4
Date: Thu, 5 Jul 2012 17:48:44 +0200
From: Ferdinando Ametrano <[hidden email]>
Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
	VS2010
To: Luigi Ballabio <[hidden email]>
Cc: Michael <[hidden email]>, [hidden email]
Message-ID:
	<CAEH5GqzWpVum6trht8NxtEbxJp=[hidden email]>
Content-Type: text/plain; charset=ISO-8859-1

ok... so shame on me as the problem is just for QLXL which is not
supported in 2010... :-(

On Thu, Jul 5, 2012 at 5:37 PM, Luigi Ballabio <[hidden email]> wrote:
> Sure it is.  At the very least, the one released in 1.2 works.
>
> Luigi
>
> On Thu, Jul 5, 2012 at 4:40 PM, Ferdinando Ametrano <[hidden email]> 
wrote:
>> Is the 2010 project actively maintained?



------------------------------

Message: 5
Date: Thu, 05 Jul 2012 22:21:40 +0200
From: Eric Ehlers <[hidden email]>
Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
	VS2010
To: Ferdinando Ametrano <[hidden email]>
Cc: Michael <[hidden email]>, [hidden email],
	Luigi Ballabio <[hidden email]>
Message-ID: <[hidden email]>
Content-Type: text/plain; charset=ISO-8859-1; DelSp="Yes";
	format="flowed"

Quoting Ferdinando Ametrano <[hidden email]>:

> ok... so shame on me as the problem is just for QLXL which is not
> supported in 2010... :-(

i can try to rectify that when i package up the final release.

===================================================
Eric Ehlers
nazcatech sprl | Brussels | http://www.nazcatech.be
* Distributed computing for pricing analytics
* Use Microsoft Excel as a client to the Grid




------------------------------

Message: 6
Date: Fri, 06 Jul 2012 20:24:32 +0200
From: Peter Caspers <[hidden email]>
Subject: [Quantlib-dev] swapindex clone
To: [hidden email]
Message-ID: <[hidden email]>
Content-Type: text/plain; charset=ISO-8859-15; format=flowed

Hi,

can we add the following to swapindex ?

Peter

//! returns a copy of itself linked to a different forwarding curve and 
discount curve
         virtual boost::shared_ptr<SwapIndex> clone(
                         const Handle<YieldTermStructure>& forwarding,
                         const Handle<YieldTermStructure>& discount) const;

shared_ptr<SwapIndex>
     SwapIndex::clone(const Handle<YieldTermStructure>& forwarding,
                      const Handle<YieldTermStructure>& discount) const {

             return shared_ptr<SwapIndex>(new
                 SwapIndex(familyName(),
                           tenor(),
                           fixingDays(),
                           currency(),
                           fixingCalendar(),
                           fixedLegTenor(),
                           fixedLegConvention(),
                           dayCounter(),
                           iborIndex_->clone(forwarding),
                           discount));

     }



------------------------------

Message: 7
Date: Fri, 06 Jul 2012 21:57:40 +0200
From: Eric Ehlers <[hidden email]>
Subject: Re: [Quantlib-dev] QuantLibXL / ObjectHandler 1.2 Prerelease
	Files
To: QuantLib developers <[hidden email]>
Message-ID: <[hidden email]>
Content-Type: text/plain; charset=ISO-8859-1; DelSp="Yes";
	format="flowed"

Hi All,

Many thanks to those who have gotten back to me so far with feedback.

I will be offline for the next few days, I will try to resolve any  
open issues before the final release, which I hope to ship on 30 July.

Kind Regards,
Eric

Quoting Eric Ehlers <[hidden email]>:

> Hi All,
>
> The prerelease files for version 1.2 of QuantLibXL, QuantLibAddin,
> and ObjectHandler are available at this link:
>
> http://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/
>
> I'd be grateful to anyone who could spare some time to test the files and let
> me know how it goes.
>
> 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
>
>
> ------------------------------------------------------------------------------
> Live Security Virtual Conference
> Exclusive live event will cover all the ways today's security and
> threat landscape has changed and how IT managers can respond. Discussions
> will include endpoint security, mobile security and the latest in malware
> threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev




------------------------------

Message: 8
Date: Mon, 09 Jul 2012 08:27:10 -0700
From: SourceForge.net <[hidden email]>
Subject: [Quantlib-dev] [ quantlib-Patches-3541625 ] Math macros
	redefinition warnings on VC++
To: SourceForge.net <[hidden email]>
Message-ID:
	<[hidden email]>
Content-Type: text/plain; charset=UTF-8

Patches item #3541625, was opened at 2012-07-09 08:27
Message generated for change (Tracker Item Submitted) made by piterdias
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541625&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Piter Dias (piterdias)
Assigned to: Nobody/Anonymous (nobody)
Summary: Math macros redefinition warnings on VC++

Initial Comment:
Macro redefinition warnings on VC++ due to math.h and qldefines.h math 
constants.
Proposed solution is control QL macro creation based on _USE_MATH_DEFINES 
definition.

----------------------------------------------------------------------

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541625&group_id=12740



------------------------------

Message: 9
Date: Mon, 09 Jul 2012 08:31:37 -0700
From: SourceForge.net <[hidden email]>
Subject: [Quantlib-dev] [ quantlib-Patches-3541627 ] Upgrade
	boost::filesystem functions to version 3
To: SourceForge.net <[hidden email]>
Message-ID:
	<[hidden email]>
Content-Type: text/plain; charset=UTF-8

Patches item #3541627, was opened at 2012-07-09 08:31
Message generated for change (Tracker Item Submitted) made by piterdias
You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&group_id=12740

Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Piter Dias (piterdias)
Assigned to: Nobody/Anonymous (nobody)
Summary: Upgrade boost::filesystem functions to version 3

Initial Comment:
Newest Boost (1.50.0) does not support version 2 as explained at 
http://www.boost.org/doc/libs/1_50_0/libs/filesystem/doc/index.htm.

----------------------------------------------------------------------

You can respond by visiting: 
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&group_id=12740



------------------------------

------------------------------------------------------------------------------
Live Security Virtual Conference
Exclusive live event will cover all the ways today's security and 
threat landscape has changed and how IT managers can respond. Discussions 
will include endpoint security, mobile security and the latest in malware 
threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/

------------------------------

_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev


End of QuantLib-dev Digest, Vol 74, Issue 2
*******************************************

------------------------------------------------------------------------------
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Exclusive live event will cover all the ways today's security and
threat landscape has changed and how IT managers can respond. Discussions
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Ferdinando M. Ametrano-3

Re: QuantLib-dev Digest, boostrapping multiple interest rate yield curves

check
a) iterative boostrap
b) SwapRateHelper which can be used with a discount curve different
from the forwarding one being boostrapped

On Tue, Jul 10, 2012 at 1:34 PM, <[hidden email]> wrote:

> Hi Ferdinando,
>
> I have a question on the paper Bootstrapping the Illiquidity. Please where
> in Quantlib is the code for boostrapping multiple interest rate yield curves
> implemented?
>
> Is there an example in Quantlib?
>
> Regards
>
> Theo
>
>
> -----Original Message-----
> From: quantlib-dev-request <[hidden email]>
> To: quantlib-dev <[hidden email]>
> Sent: Tue, 10 Jul 2012 9:56
> Subject: QuantLib-dev Digest, Vol 74, Issue 2
>
> Send QuantLib-dev mailing list submissions to
> [hidden email]
>
> To subscribe or unsubscribe via the World Wide Web, visit
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
> or, via email, send a message with subject or body 'help' to
> [hidden email]
>
> You can reach the person managing the list at
> [hidden email]
>
> When replying, please edit your Subject line so it is more specific
> than "Re: Contents of QuantLib-dev digest..."
>
>
> Today's Topics:
>
> 1. Re: Use QuantLib Swig Python Extension with VS2010
> (Ferdinando Ametrano)
> 2. Re: Use QuantLib Swig Python Extension with VS2010 (Didrik Pinte)
> 3. Re: Use QuantLib Swig Python Extension with VS2010
> (Luigi Ballabio)
> 4. Re: Use QuantLib Swig Python Extension with VS2010
> (Ferdinando Ametrano)
> 5. Re: Use QuantLib Swig Python Extension with VS2010 (Eric Ehlers)
> 6. swapindex clone (Peter Caspers)
> 7. Re: QuantLibXL / ObjectHandler 1.2 Prerelease Files (Eric Ehlers)
> 8. [ quantlib-Patches-3541625 ] Math macros redefinition
> warnings on VC++ (SourceForge.net)
> 9. [ quantlib-Patches-3541627 ] Upgrade boost::filesystem
> functions to version 3 (SourceForge.net)
>
>
> ----------------------------------------------------------------------
>
> Message: 1
> Date: Thu, 5 Jul 2012 16:40:00 +0200
> From: Ferdinando Ametrano <[hidden email]>
> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
> VS2010
> To: Luigi Ballabio <[hidden email]>
> Cc: Michael <[hidden email]>, [hidden email]
> Message-ID:
> <CAEH5GqyiKUBFLSHP9N4ekfn5z5A1y=ffB=[hidden email]>
> Content-Type: text/plain; charset=ISO-8859-1
>
>> I agree with VC2008 being the preferred compiler for the Python
>> module, but what do you mean with "QL is not friendly with VC2010"?
>
> Is the 2010 project actively maintained?
>
>
>
> ------------------------------
>
> Message: 2
> Date: Thu, 5 Jul 2012 16:22:59 +0200
> From: Didrik Pinte <[hidden email]>
> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
> VS2010
> To: Ferdinando Ametrano <[hidden email]>
> Cc: Michael <[hidden email]>, [hidden email]
> Message-ID:
> <[hidden email]>
> Content-Type: text/plain; charset=UTF-8
>
> On 5 July 2012 16:09, Ferdinando Ametrano <[hidden email]> wrote:
>> Hi Micheal
>>
>> in order to achieve your goal you should compile Python with VC2010,
>> or Pyhton and QL bindings would never link.
>> Anyway that is definitely not the suggested way to go, as you might
>> discover that also QL is not friendly with VC2010.
>>
>> Try to go back to VC2008. I for one would probably just skip VC2010
>> altogheter
>>
>> ciao -- Nando
>>
>> On Wed, Jul 4, 2012 at 10:00 PM, Michael <[hidden email]> wrote:
>>> Dear all,
>>>
>>> I'm trying to compile the python swig extension. Unfortunately this is
>>> not
>>> working. My current setup looks like this.
>>>
>>> - QuantLib Version 1.1
>>> - Python Version 2.7.2
>>> - Visual Studio 2010 SP1
>>>
>>> When I try to compile the python swig extensions I get the following
>>> error:
>>>
>>> running build
>>> running build_py
>>> running build_ext
>>> building 'QuantLib._QuantLib' extension
>>> error: Unable to find vcvarsall.ba
>
> This is an issue with distutils that is not aware of VC2010. By
> tweaking your environment variables, you can bypass that.
>
> You might have issues related to the manifest in you files. I have
> solved that issue with Cython and some wrappers built under VS2010
> lately. I don't know how SWIG behaves though.
>
> -- Didrik
>
>
>
> ------------------------------
>
> Message: 3
> Date: Thu, 5 Jul 2012 17:37:41 +0200
> From: Luigi Ballabio <[hidden email]>
> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
> VS2010
> To: Ferdinando Ametrano <[hidden email]>
> Cc: Michael <[hidden email]>, [hidden email]
> Message-ID:
> <CAJkxnzeyJGWfg+HDh0kUi4DuONvBcOLXU5bCdN3nyD=[hidden email]>
> Content-Type: text/plain; charset=ISO-8859-1
>
> Sure it is. At the very least, the one released in 1.2 works.
>
> Luigi
>
> On Thu, Jul 5, 2012 at 4:40 PM, Ferdinando Ametrano <[hidden email]>
> wrote:
>> Is the 2010 project actively maintained?
>
>
>
> ------------------------------
>
> Message: 4
> Date: Thu, 5 Jul 2012 17:48:44 +0200
> From: Ferdinando Ametrano <[hidden email]>
> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
> VS2010
> To: Luigi Ballabio <[hidden email]>
> Cc: Michael <[hidden email]>, [hidden email]
> Message-ID:
> <CAEH5GqzWpVum6trht8NxtEbxJp=[hidden email]>
> Content-Type: text/plain; charset=ISO-8859-1
>
> ok... so shame on me as the problem is just for QLXL which is not
> supported in 2010... :-(
>
> On Thu, Jul 5, 2012 at 5:37 PM, Luigi Ballabio <[hidden email]>
> wrote:
>> Sure it is. At the very least, the one released in 1.2 works.
>>
>> Luigi
>>
>> On Thu, Jul 5, 2012 at 4:40 PM, Ferdinando Ametrano <[hidden email]>
> wrote:
>>> Is the 2010 project actively maintained?
>
>
>
> ------------------------------
>
> Message: 5
> Date: Thu, 05 Jul 2012 22:21:40 +0200
> From: Eric Ehlers <[hidden email]>
> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
> VS2010
> To: Ferdinando Ametrano <[hidden email]>
> Cc: Michael <[hidden email]>, [hidden email],
> Luigi Ballabio <[hidden email]>
> Message-ID: <[hidden email]>
> Content-Type: text/plain; charset=ISO-8859-1; DelSp="Yes";
> format="flowed"
>
> Quoting Ferdinando Ametrano <[hidden email]>:
>
>> ok... so shame on me as the problem is just for QLXL which is not
>> supported in 2010... :-(
>
> i can try to rectify that when i package up the final release.
>
> ===================================================
> Eric Ehlers
> nazcatech sprl | Brussels | http://www.nazcatech.be
> * Distributed computing for pricing analytics
> * Use Microsoft Excel as a client to the Grid
>
>
>
>
> ------------------------------
>
> Message: 6
> Date: Fri, 06 Jul 2012 20:24:32 +0200
> From: Peter Caspers <[hidden email]>
> Subject: [Quantlib-dev] swapindex clone
> To: [hidden email]
> Message-ID: <[hidden email]>
> Content-Type: text/plain; charset=ISO-8859-15; format=flowed
>
> Hi,
>
> can we add the following to swapindex ?
>
> Peter
>
> //! returns a copy of itself linked to a different forwarding curve and
> discount curve
> virtual boost::shared_ptr<SwapIndex> clone(
> const Handle<YieldTermStructure>& forwarding,
> const Handle<YieldTermStructure>& discount) const;
>
> shared_ptr<SwapIndex>
> SwapIndex::clone(const Handle<YieldTermStructure>& forwarding,
> const Handle<YieldTermStructure>& discount) const {
>
> return shared_ptr<SwapIndex>(new
> SwapIndex(familyName(),
> tenor(),
> fixingDays(),
> currency(),
> fixingCalendar(),
> fixedLegTenor(),
> fixedLegConvention(),
> dayCounter(),
> iborIndex_->clone(forwarding),
> discount));
>
> }
>
>
>
> ------------------------------
>
> Message: 7
> Date: Fri, 06 Jul 2012 21:57:40 +0200
> From: Eric Ehlers <[hidden email]>
> Subject: Re: [Quantlib-dev] QuantLibXL / ObjectHandler 1.2 Prerelease
> Files
> To: QuantLib developers <[hidden email]>
> Message-ID: <[hidden email]>
> Content-Type: text/plain; charset=ISO-8859-1; DelSp="Yes";
> format="flowed"
>
> Hi All,
>
> Many thanks to those who have gotten back to me so far with feedback.
>
> I will be offline for the next few days, I will try to resolve any
> open issues before the final release, which I hope to ship on 30 July.
>
> Kind Regards,
> Eric
>
> Quoting Eric Ehlers <[hidden email]>:
>
>> Hi All,
>>
>> The prerelease files for version 1.2 of QuantLibXL, QuantLibAddin,
>> and ObjectHandler are available at this link:
>>
>> http://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/
>>
>> I'd be grateful to anyone who could spare some time to test the files and
>> let
>> me know how it goes.
>>
>> 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
>>
>>
>>
>> ------------------------------------------------------------------------------
>> Live Security Virtual Conference
>> Exclusive live event will cover all the ways today's security and
>> threat landscape has changed and how IT managers can respond. Discussions
>> will include endpoint security, mobile security and the latest in malware
>> threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
>> _______________________________________________
>> QuantLib-dev mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>
>
>
> ------------------------------
>
> Message: 8
> Date: Mon, 09 Jul 2012 08:27:10 -0700
> From: SourceForge.net <[hidden email]>
> Subject: [Quantlib-dev] [ quantlib-Patches-3541625 ] Math macros
> redefinition warnings on VC++
> To: SourceForge.net <[hidden email]>
> Message-ID:
> <[hidden email]>
> Content-Type: text/plain; charset=UTF-8
>
> Patches item #3541625, was opened at 2012-07-09 08:27
> Message generated for change (Tracker Item Submitted) made by piterdias
> You can respond by visiting:
> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541625&group_id=12740
>
> Please note that this message will contain a full copy of the comment
> thread,
> including the initial issue submission, for this request,
> not just the latest update.
> Category: None
> Group: None
> Status: Open
> Resolution: None
> Priority: 5
> Private: No
> Submitted By: Piter Dias (piterdias)
> Assigned to: Nobody/Anonymous (nobody)
> Summary: Math macros redefinition warnings on VC++
>
> Initial Comment:
> Macro redefinition warnings on VC++ due to math.h and qldefines.h math
> constants.
> Proposed solution is control QL macro creation based on _USE_MATH_DEFINES
> definition.
>
> ----------------------------------------------------------------------
>
> You can respond by visiting:
> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541625&group_id=12740
>
>
>
> ------------------------------
>
> Message: 9
> Date: Mon, 09 Jul 2012 08:31:37 -0700
> From: SourceForge.net <[hidden email]>
> Subject: [Quantlib-dev] [ quantlib-Patches-3541627 ] Upgrade
> boost::filesystem functions to version 3
> To: SourceForge.net <[hidden email]>
> Message-ID:
> <[hidden email]>
> Content-Type: text/plain; charset=UTF-8
>
> Patches item #3541627, was opened at 2012-07-09 08:31
> Message generated for change (Tracker Item Submitted) made by piterdias
> You can respond by visiting:
> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&group_id=12740
>
> Please note that this message will contain a full copy of the comment
> thread,
> including the initial issue submission, for this request,
> not just the latest update.
> Category: None
> Group: None
> Status: Open
> Resolution: None
> Priority: 5
> Private: No
> Submitted By: Piter Dias (piterdias)
> Assigned to: Nobody/Anonymous (nobody)
> Summary: Upgrade boost::filesystem functions to version 3
>
> Initial Comment:
> Newest Boost (1.50.0) does not support version 2 as explained at
> http://www.boost.org/doc/libs/1_50_0/libs/filesystem/doc/index.htm.
>
> ----------------------------------------------------------------------
>
> You can respond by visiting:
> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&group_id=12740
>
>
>
> ------------------------------
>
> ------------------------------------------------------------------------------
> Live Security Virtual Conference
> Exclusive live event will cover all the ways today's security and
> threat landscape has changed and how IT managers can respond. Discussions
> will include endpoint security, mobile security and the latest in malware
> threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
>
> ------------------------------
>
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>
> End of QuantLib-dev Digest, Vol 74, Issue 2
> *******************************************
>
>
> ------------------------------------------------------------------------------
> Live Security Virtual Conference
> Exclusive live event will cover all the ways today's security and
> threat landscape has changed and how IT managers can respond. Discussions
> will include endpoint security, mobile security and the latest in malware
> threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

Luigi Ballabio

Re: QuantLib-dev Digest, boostrapping multiple interest rate yield curves

We do need an example of this, though. Nando, do you have a dataset
we can use? I'll try and find a volunteer for the example...

Luigi

On Tue, Jul 10, 2012 at 2:39 PM, Ferdinando Ametrano <[hidden email]> wrote:

> check
> a) iterative boostrap
> b) SwapRateHelper which can be used with a discount curve different
> from the forwarding one being boostrapped
>
> On Tue, Jul 10, 2012 at 1:34 PM, <[hidden email]> wrote:
>> Hi Ferdinando,
>>
>> I have a question on the paper Bootstrapping the Illiquidity. Please where
>> in Quantlib is the code for boostrapping multiple interest rate yield curves
>> implemented?
>>
>> Is there an example in Quantlib?
>>
>> Regards
>>
>> Theo
>>
>>
>> -----Original Message-----
>> From: quantlib-dev-request <[hidden email]>
>> To: quantlib-dev <[hidden email]>
>> Sent: Tue, 10 Jul 2012 9:56
>> Subject: QuantLib-dev Digest, Vol 74, Issue 2
>>
>> Send QuantLib-dev mailing list submissions to
>> [hidden email]
>>
>> To subscribe or unsubscribe via the World Wide Web, visit
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>> or, via email, send a message with subject or body 'help' to
>> [hidden email]
>>
>> You can reach the person managing the list at
>> [hidden email]
>>
>> When replying, please edit your Subject line so it is more specific
>> than "Re: Contents of QuantLib-dev digest..."
>>
>>
>> Today's Topics:
>>
>> 1. Re: Use QuantLib Swig Python Extension with VS2010
>> (Ferdinando Ametrano)
>> 2. Re: Use QuantLib Swig Python Extension with VS2010 (Didrik Pinte)
>> 3. Re: Use QuantLib Swig Python Extension with VS2010
>> (Luigi Ballabio)
>> 4. Re: Use QuantLib Swig Python Extension with VS2010
>> (Ferdinando Ametrano)
>> 5. Re: Use QuantLib Swig Python Extension with VS2010 (Eric Ehlers)
>> 6. swapindex clone (Peter Caspers)
>> 7. Re: QuantLibXL / ObjectHandler 1.2 Prerelease Files (Eric Ehlers)
>> 8. [ quantlib-Patches-3541625 ] Math macros redefinition
>> warnings on VC++ (SourceForge.net)
>> 9. [ quantlib-Patches-3541627 ] Upgrade boost::filesystem
>> functions to version 3 (SourceForge.net)
>>
>>
>> ----------------------------------------------------------------------
>>
>> Message: 1
>> Date: Thu, 5 Jul 2012 16:40:00 +0200
>> From: Ferdinando Ametrano <[hidden email]>
>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>> VS2010
>> To: Luigi Ballabio <[hidden email]>
>> Cc: Michael <[hidden email]>, [hidden email]
>> Message-ID:
>> <CAEH5GqyiKUBFLSHP9N4ekfn5z5A1y=ffB=[hidden email]>
>> Content-Type: text/plain; charset=ISO-8859-1
>>
>>> I agree with VC2008 being the preferred compiler for the Python
>>> module, but what do you mean with "QL is not friendly with VC2010"?
>>
>> Is the 2010 project actively maintained?
>>
>>
>>
>> ------------------------------
>>
>> Message: 2
>> Date: Thu, 5 Jul 2012 16:22:59 +0200
>> From: Didrik Pinte <[hidden email]>
>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>> VS2010
>> To: Ferdinando Ametrano <[hidden email]>
>> Cc: Michael <[hidden email]>, [hidden email]
>> Message-ID:
>> <[hidden email]>
>> Content-Type: text/plain; charset=UTF-8
>>
>> On 5 July 2012 16:09, Ferdinando Ametrano <[hidden email]> wrote:
>>> Hi Micheal
>>>
>>> in order to achieve your goal you should compile Python with VC2010,
>>> or Pyhton and QL bindings would never link.
>>> Anyway that is definitely not the suggested way to go, as you might
>>> discover that also QL is not friendly with VC2010.
>>>
>>> Try to go back to VC2008. I for one would probably just skip VC2010
>>> altogheter
>>>
>>> ciao -- Nando
>>>
>>> On Wed, Jul 4, 2012 at 10:00 PM, Michael <[hidden email]> wrote:
>>>> Dear all,
>>>>
>>>> I'm trying to compile the python swig extension. Unfortunately this is
>>>> not
>>>> working. My current setup looks like this.
>>>>
>>>> - QuantLib Version 1.1
>>>> - Python Version 2.7.2
>>>> - Visual Studio 2010 SP1
>>>>
>>>> When I try to compile the python swig extensions I get the following
>>>> error:
>>>>
>>>> running build
>>>> running build_py
>>>> running build_ext
>>>> building 'QuantLib._QuantLib' extension
>>>> error: Unable to find vcvarsall.ba
>>
>> This is an issue with distutils that is not aware of VC2010. By
>> tweaking your environment variables, you can bypass that.
>>
>> You might have issues related to the manifest in you files. I have
>> solved that issue with Cython and some wrappers built under VS2010
>> lately. I don't know how SWIG behaves though.
>>
>> -- Didrik
>>
>>
>>
>> ------------------------------
>>
>> Message: 3
>> Date: Thu, 5 Jul 2012 17:37:41 +0200
>> From: Luigi Ballabio <[hidden email]>
>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>> VS2010
>> To: Ferdinando Ametrano <[hidden email]>
>> Cc: Michael <[hidden email]>, [hidden email]
>> Message-ID:
>> <CAJkxnzeyJGWfg+HDh0kUi4DuONvBcOLXU5bCdN3nyD=[hidden email]>
>> Content-Type: text/plain; charset=ISO-8859-1
>>
>> Sure it is. At the very least, the one released in 1.2 works.
>>
>> Luigi
>>
>> On Thu, Jul 5, 2012 at 4:40 PM, Ferdinando Ametrano <[hidden email]>
>> wrote:
>>> Is the 2010 project actively maintained?
>>
>>
>>
>> ------------------------------
>>
>> Message: 4
>> Date: Thu, 5 Jul 2012 17:48:44 +0200
>> From: Ferdinando Ametrano <[hidden email]>
>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>> VS2010
>> To: Luigi Ballabio <[hidden email]>
>> Cc: Michael <[hidden email]>, [hidden email]
>> Message-ID:
>> <CAEH5GqzWpVum6trht8NxtEbxJp=[hidden email]>
>> Content-Type: text/plain; charset=ISO-8859-1
>>
>> ok... so shame on me as the problem is just for QLXL which is not
>> supported in 2010... :-(
>>
>> On Thu, Jul 5, 2012 at 5:37 PM, Luigi Ballabio <[hidden email]>
>> wrote:
>>> Sure it is. At the very least, the one released in 1.2 works.
>>>
>>> Luigi
>>>
>>> On Thu, Jul 5, 2012 at 4:40 PM, Ferdinando Ametrano <[hidden email]>
>> wrote:
>>>> Is the 2010 project actively maintained?
>>
>>
>>
>> ------------------------------
>>
>> Message: 5
>> Date: Thu, 05 Jul 2012 22:21:40 +0200
>> From: Eric Ehlers <[hidden email]>
>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>> VS2010
>> To: Ferdinando Ametrano <[hidden email]>
>> Cc: Michael <[hidden email]>, [hidden email],
>> Luigi Ballabio <[hidden email]>
>> Message-ID: <[hidden email]>
>> Content-Type: text/plain; charset=ISO-8859-1; DelSp="Yes";
>> format="flowed"
>>
>> Quoting Ferdinando Ametrano <[hidden email]>:
>>
>>> ok... so shame on me as the problem is just for QLXL which is not
>>> supported in 2010... :-(
>>
>> i can try to rectify that when i package up the final release.
>>
>> ===================================================
>> Eric Ehlers
>> nazcatech sprl | Brussels | http://www.nazcatech.be
>> * Distributed computing for pricing analytics
>> * Use Microsoft Excel as a client to the Grid
>>
>>
>>
>>
>> ------------------------------
>>
>> Message: 6
>> Date: Fri, 06 Jul 2012 20:24:32 +0200
>> From: Peter Caspers <[hidden email]>
>> Subject: [Quantlib-dev] swapindex clone
>> To: [hidden email]
>> Message-ID: <[hidden email]>
>> Content-Type: text/plain; charset=ISO-8859-15; format=flowed
>>
>> Hi,
>>
>> can we add the following to swapindex ?
>>
>> Peter
>>
>> //! returns a copy of itself linked to a different forwarding curve and
>> discount curve
>> virtual boost::shared_ptr<SwapIndex> clone(
>> const Handle<YieldTermStructure>& forwarding,
>> const Handle<YieldTermStructure>& discount) const;
>>
>> shared_ptr<SwapIndex>
>> SwapIndex::clone(const Handle<YieldTermStructure>& forwarding,
>> const Handle<YieldTermStructure>& discount) const {
>>
>> return shared_ptr<SwapIndex>(new
>> SwapIndex(familyName(),
>> tenor(),
>> fixingDays(),
>> currency(),
>> fixingCalendar(),
>> fixedLegTenor(),
>> fixedLegConvention(),
>> dayCounter(),
>> iborIndex_->clone(forwarding),
>> discount));
>>
>> }
>>
>>
>>
>> ------------------------------
>>
>> Message: 7
>> Date: Fri, 06 Jul 2012 21:57:40 +0200
>> From: Eric Ehlers <[hidden email]>
>> Subject: Re: [Quantlib-dev] QuantLibXL / ObjectHandler 1.2 Prerelease
>> Files
>> To: QuantLib developers <[hidden email]>
>> Message-ID: <[hidden email]>
>> Content-Type: text/plain; charset=ISO-8859-1; DelSp="Yes";
>> format="flowed"
>>
>> Hi All,
>>
>> Many thanks to those who have gotten back to me so far with feedback.
>>
>> I will be offline for the next few days, I will try to resolve any
>> open issues before the final release, which I hope to ship on 30 July.
>>
>> Kind Regards,
>> Eric
>>
>> Quoting Eric Ehlers <[hidden email]>:
>>
>>> Hi All,
>>>
>>> The prerelease files for version 1.2 of QuantLibXL, QuantLibAddin,
>>> and ObjectHandler are available at this link:
>>>
>>> http://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/
>>>
>>> I'd be grateful to anyone who could spare some time to test the files and
>>> let
>>> me know how it goes.
>>>
>>> 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
>>>
>>>
>>>
>>> ------------------------------------------------------------------------------
>>> Live Security Virtual Conference
>>> Exclusive live event will cover all the ways today's security and
>>> threat landscape has changed and how IT managers can respond. Discussions
>>> will include endpoint security, mobile security and the latest in malware
>>> threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
>>> _______________________________________________
>>> QuantLib-dev mailing list
>>> [hidden email]
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
>>
>>
>>
>> ------------------------------
>>
>> Message: 8
>> Date: Mon, 09 Jul 2012 08:27:10 -0700
>> From: SourceForge.net <[hidden email]>
>> Subject: [Quantlib-dev] [ quantlib-Patches-3541625 ] Math macros
>> redefinition warnings on VC++
>> To: SourceForge.net <[hidden email]>
>> Message-ID:
>> <[hidden email]>
>> Content-Type: text/plain; charset=UTF-8
>>
>> Patches item #3541625, was opened at 2012-07-09 08:27
>> Message generated for change (Tracker Item Submitted) made by piterdias
>> You can respond by visiting:
>> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541625&group_id=12740
>>
>> Please note that this message will contain a full copy of the comment
>> thread,
>> including the initial issue submission, for this request,
>> not just the latest update.
>> Category: None
>> Group: None
>> Status: Open
>> Resolution: None
>> Priority: 5
>> Private: No
>> Submitted By: Piter Dias (piterdias)
>> Assigned to: Nobody/Anonymous (nobody)
>> Summary: Math macros redefinition warnings on VC++
>>
>> Initial Comment:
>> Macro redefinition warnings on VC++ due to math.h and qldefines.h math
>> constants.
>> Proposed solution is control QL macro creation based on _USE_MATH_DEFINES
>> definition.
>>
>> ----------------------------------------------------------------------
>>
>> You can respond by visiting:
>> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541625&group_id=12740
>>
>>
>>
>> ------------------------------
>>
>> Message: 9
>> Date: Mon, 09 Jul 2012 08:31:37 -0700
>> From: SourceForge.net <[hidden email]>
>> Subject: [Quantlib-dev] [ quantlib-Patches-3541627 ] Upgrade
>> boost::filesystem functions to version 3
>> To: SourceForge.net <[hidden email]>
>> Message-ID:
>> <[hidden email]>
>> Content-Type: text/plain; charset=UTF-8
>>
>> Patches item #3541627, was opened at 2012-07-09 08:31
>> Message generated for change (Tracker Item Submitted) made by piterdias
>> You can respond by visiting:
>> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&group_id=12740
>>
>> Please note that this message will contain a full copy of the comment
>> thread,
>> including the initial issue submission, for this request,
>> not just the latest update.
>> Category: None
>> Group: None
>> Status: Open
>> Resolution: None
>> Priority: 5
>> Private: No
>> Submitted By: Piter Dias (piterdias)
>> Assigned to: Nobody/Anonymous (nobody)
>> Summary: Upgrade boost::filesystem functions to version 3
>>
>> Initial Comment:
>> Newest Boost (1.50.0) does not support version 2 as explained at
>> http://www.boost.org/doc/libs/1_50_0/libs/filesystem/doc/index.htm.
>>
>> ----------------------------------------------------------------------
>>
>> You can respond by visiting:
>> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&group_id=12740
>>
>>
>>
>> ------------------------------
>>
>> ------------------------------------------------------------------------------
>> Live Security Virtual Conference
>> Exclusive live event will cover all the ways today's security and
>> threat landscape has changed and how IT managers can respond. Discussions
>> will include endpoint security, mobile security and the latest in malware
>> threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
>>
>> ------------------------------
>>
>> _______________________________________________
>> QuantLib-dev mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
>>
>> End of QuantLib-dev Digest, Vol 74, Issue 2
>> *******************************************
>>
>>
>> ------------------------------------------------------------------------------
>> Live Security Virtual Conference
>> Exclusive live event will cover all the ways today's security and
>> threat landscape has changed and how IT managers can respond. Discussions
>> will include endpoint security, mobile security and the latest in malware
>> threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
>> _______________________________________________
>> QuantLib-dev mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
>
> ------------------------------------------------------------------------------
> Live Security Virtual Conference
> Exclusive live event will cover all the ways today's security and
> threat landscape has changed and how IT managers can respond. Discussions
> will include endpoint security, mobile security and the latest in malware
> threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Ferdinando M. Ametrano-3

Re: QuantLib-dev Digest, boostrapping multiple interest rate yield curves

I would just add a fictitious flat discount curve in the existing
bootstrapping example, passing it to the SwapRateHelpers. A realistic
coherent dataset would get old anyway without adding to much to the
example logic.

If we want to go the extra mile it might be better to show in the
example the difference in the implied fwd rates obtained bootstrapping
the same swap rates with exogenous discounting.

do you agree?

On Mon, Jul 16, 2012 at 5:46 PM, Luigi Ballabio
<[hidden email]> wrote:

> We do need an example of this, though. Nando, do you have a dataset
> we can use? I'll try and find a volunteer for the example...
>
> Luigi
>
> On Tue, Jul 10, 2012 at 2:39 PM, Ferdinando Ametrano <[hidden email]> wrote:
>> check
>> a) iterative boostrap
>> b) SwapRateHelper which can be used with a discount curve different
>> from the forwarding one being boostrapped
>>
>> On Tue, Jul 10, 2012 at 1:34 PM, <[hidden email]> wrote:
>>> Hi Ferdinando,
>>>
>>> I have a question on the paper Bootstrapping the Illiquidity. Please where
>>> in Quantlib is the code for boostrapping multiple interest rate yield curves
>>> implemented?
>>>
>>> Is there an example in Quantlib?
>>>
>>> Regards
>>>
>>> Theo
>>>
>>>
>>> -----Original Message-----
>>> From: quantlib-dev-request <[hidden email]>
>>> To: quantlib-dev <[hidden email]>
>>> Sent: Tue, 10 Jul 2012 9:56
>>> Subject: QuantLib-dev Digest, Vol 74, Issue 2
>>>
>>> Send QuantLib-dev mailing list submissions to
>>> [hidden email]
>>>
>>> To subscribe or unsubscribe via the World Wide Web, visit
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>> or, via email, send a message with subject or body 'help' to
>>> [hidden email]
>>>
>>> You can reach the person managing the list at
>>> [hidden email]
>>>
>>> When replying, please edit your Subject line so it is more specific
>>> than "Re: Contents of QuantLib-dev digest..."
>>>
>>>
>>> Today's Topics:
>>>
>>> 1. Re: Use QuantLib Swig Python Extension with VS2010
>>> (Ferdinando Ametrano)
>>> 2. Re: Use QuantLib Swig Python Extension with VS2010 (Didrik Pinte)
>>> 3. Re: Use QuantLib Swig Python Extension with VS2010
>>> (Luigi Ballabio)
>>> 4. Re: Use QuantLib Swig Python Extension with VS2010
>>> (Ferdinando Ametrano)
>>> 5. Re: Use QuantLib Swig Python Extension with VS2010 (Eric Ehlers)
>>> 6. swapindex clone (Peter Caspers)
>>> 7. Re: QuantLibXL / ObjectHandler 1.2 Prerelease Files (Eric Ehlers)
>>> 8. [ quantlib-Patches-3541625 ] Math macros redefinition
>>> warnings on VC++ (SourceForge.net)
>>> 9. [ quantlib-Patches-3541627 ] Upgrade boost::filesystem
>>> functions to version 3 (SourceForge.net)
>>>
>>>
>>> ----------------------------------------------------------------------
>>>
>>> Message: 1
>>> Date: Thu, 5 Jul 2012 16:40:00 +0200
>>> From: Ferdinando Ametrano <[hidden email]>
>>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>>> VS2010
>>> To: Luigi Ballabio <[hidden email]>
>>> Cc: Michael <[hidden email]>, [hidden email]
>>> Message-ID:
>>> <CAEH5GqyiKUBFLSHP9N4ekfn5z5A1y=ffB=[hidden email]>
>>> Content-Type: text/plain; charset=ISO-8859-1
>>>
>>>> I agree with VC2008 being the preferred compiler for the Python
>>>> module, but what do you mean with "QL is not friendly with VC2010"?
>>>
>>> Is the 2010 project actively maintained?
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 2
>>> Date: Thu, 5 Jul 2012 16:22:59 +0200
>>> From: Didrik Pinte <[hidden email]>
>>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>>> VS2010
>>> To: Ferdinando Ametrano <[hidden email]>
>>> Cc: Michael <[hidden email]>, [hidden email]
>>> Message-ID:
>>> <[hidden email]>
>>> Content-Type: text/plain; charset=UTF-8
>>>
>>> On 5 July 2012 16:09, Ferdinando Ametrano <[hidden email]> wrote:
>>>> Hi Micheal
>>>>
>>>> in order to achieve your goal you should compile Python with VC2010,
>>>> or Pyhton and QL bindings would never link.
>>>> Anyway that is definitely not the suggested way to go, as you might
>>>> discover that also QL is not friendly with VC2010.
>>>>
>>>> Try to go back to VC2008. I for one would probably just skip VC2010
>>>> altogheter
>>>>
>>>> ciao -- Nando
>>>>
>>>> On Wed, Jul 4, 2012 at 10:00 PM, Michael <[hidden email]> wrote:
>>>>> Dear all,
>>>>>
>>>>> I'm trying to compile the python swig extension. Unfortunately this is
>>>>> not
>>>>> working. My current setup looks like this.
>>>>>
>>>>> - QuantLib Version 1.1
>>>>> - Python Version 2.7.2
>>>>> - Visual Studio 2010 SP1
>>>>>
>>>>> When I try to compile the python swig extensions I get the following
>>>>> error:
>>>>>
>>>>> running build
>>>>> running build_py
>>>>> running build_ext
>>>>> building 'QuantLib._QuantLib' extension
>>>>> error: Unable to find vcvarsall.ba
>>>
>>> This is an issue with distutils that is not aware of VC2010. By
>>> tweaking your environment variables, you can bypass that.
>>>
>>> You might have issues related to the manifest in you files. I have
>>> solved that issue with Cython and some wrappers built under VS2010
>>> lately. I don't know how SWIG behaves though.
>>>
>>> -- Didrik
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 3
>>> Date: Thu, 5 Jul 2012 17:37:41 +0200
>>> From: Luigi Ballabio <[hidden email]>
>>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>>> VS2010
>>> To: Ferdinando Ametrano <[hidden email]>
>>> Cc: Michael <[hidden email]>, [hidden email]
>>> Message-ID:
>>> <CAJkxnzeyJGWfg+HDh0kUi4DuONvBcOLXU5bCdN3nyD=[hidden email]>
>>> Content-Type: text/plain; charset=ISO-8859-1
>>>
>>> Sure it is. At the very least, the one released in 1.2 works.
>>>
>>> Luigi
>>>
>>> On Thu, Jul 5, 2012 at 4:40 PM, Ferdinando Ametrano <[hidden email]>
>>> wrote:
>>>> Is the 2010 project actively maintained?
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 4
>>> Date: Thu, 5 Jul 2012 17:48:44 +0200
>>> From: Ferdinando Ametrano <[hidden email]>
>>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>>> VS2010
>>> To: Luigi Ballabio <[hidden email]>
>>> Cc: Michael <[hidden email]>, [hidden email]
>>> Message-ID:
>>> <CAEH5GqzWpVum6trht8NxtEbxJp=[hidden email]>
>>> Content-Type: text/plain; charset=ISO-8859-1
>>>
>>> ok... so shame on me as the problem is just for QLXL which is not
>>> supported in 2010... :-(
>>>
>>> On Thu, Jul 5, 2012 at 5:37 PM, Luigi Ballabio <[hidden email]>
>>> wrote:
>>>> Sure it is. At the very least, the one released in 1.2 works.
>>>>
>>>> Luigi
>>>>
>>>> On Thu, Jul 5, 2012 at 4:40 PM, Ferdinando Ametrano <[hidden email]>
>>> wrote:
>>>>> Is the 2010 project actively maintained?
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 5
>>> Date: Thu, 05 Jul 2012 22:21:40 +0200
>>> From: Eric Ehlers <[hidden email]>
>>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>>> VS2010
>>> To: Ferdinando Ametrano <[hidden email]>
>>> Cc: Michael <[hidden email]>, [hidden email],
>>> Luigi Ballabio <[hidden email]>
>>> Message-ID: <[hidden email]>
>>> Content-Type: text/plain; charset=ISO-8859-1; DelSp="Yes";
>>> format="flowed"
>>>
>>> Quoting Ferdinando Ametrano <[hidden email]>:
>>>
>>>> ok... so shame on me as the problem is just for QLXL which is not
>>>> supported in 2010... :-(
>>>
>>> i can try to rectify that when i package up the final release.
>>>
>>> ===================================================
>>> Eric Ehlers
>>> nazcatech sprl | Brussels | http://www.nazcatech.be
>>> * Distributed computing for pricing analytics
>>> * Use Microsoft Excel as a client to the Grid
>>>
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 6
>>> Date: Fri, 06 Jul 2012 20:24:32 +0200
>>> From: Peter Caspers <[hidden email]>
>>> Subject: [Quantlib-dev] swapindex clone
>>> To: [hidden email]
>>> Message-ID: <[hidden email]>
>>> Content-Type: text/plain; charset=ISO-8859-15; format=flowed
>>>
>>> Hi,
>>>
>>> can we add the following to swapindex ?
>>>
>>> Peter
>>>
>>> //! returns a copy of itself linked to a different forwarding curve and
>>> discount curve
>>> virtual boost::shared_ptr<SwapIndex> clone(
>>> const Handle<YieldTermStructure>& forwarding,
>>> const Handle<YieldTermStructure>& discount) const;
>>>
>>> shared_ptr<SwapIndex>
>>> SwapIndex::clone(const Handle<YieldTermStructure>& forwarding,
>>> const Handle<YieldTermStructure>& discount) const {
>>>
>>> return shared_ptr<SwapIndex>(new
>>> SwapIndex(familyName(),
>>> tenor(),
>>> fixingDays(),
>>> currency(),
>>> fixingCalendar(),
>>> fixedLegTenor(),
>>> fixedLegConvention(),
>>> dayCounter(),
>>> iborIndex_->clone(forwarding),
>>> discount));
>>>
>>> }
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 7
>>> Date: Fri, 06 Jul 2012 21:57:40 +0200
>>> From: Eric Ehlers <[hidden email]>
>>> Subject: Re: [Quantlib-dev] QuantLibXL / ObjectHandler 1.2 Prerelease
>>> Files
>>> To: QuantLib developers <[hidden email]>
>>> Message-ID: <[hidden email]>
>>> Content-Type: text/plain; charset=ISO-8859-1; DelSp="Yes";
>>> format="flowed"
>>>
>>> Hi All,
>>>
>>> Many thanks to those who have gotten back to me so far with feedback.
>>>
>>> I will be offline for the next few days, I will try to resolve any
>>> open issues before the final release, which I hope to ship on 30 July.
>>>
>>> Kind Regards,
>>> Eric
>>>
>>> Quoting Eric Ehlers <[hidden email]>:
>>>
>>>> Hi All,
>>>>
>>>> The prerelease files for version 1.2 of QuantLibXL, QuantLibAddin,
>>>> and ObjectHandler are available at this link:
>>>>
>>>> http://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/
>>>>
>>>> I'd be grateful to anyone who could spare some time to test the files and
>>>> let
>>>> me know how it goes.
>>>>
>>>> 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
>>>>
>>>>
>>>>
>>>> ------------------------------------------------------------------------------
>>>> Live Security Virtual Conference
>>>> Exclusive live event will cover all the ways today's security and
>>>> threat landscape has changed and how IT managers can respond. Discussions
>>>> will include endpoint security, mobile security and the latest in malware
>>>> threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
>>>> _______________________________________________
>>>> QuantLib-dev mailing list
>>>> [hidden email]
>>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>>
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 8
>>> Date: Mon, 09 Jul 2012 08:27:10 -0700
>>> From: SourceForge.net <[hidden email]>
>>> Subject: [Quantlib-dev] [ quantlib-Patches-3541625 ] Math macros
>>> redefinition warnings on VC++
>>> To: SourceForge.net <[hidden email]>
>>> Message-ID:
>>> <[hidden email]>
>>> Content-Type: text/plain; charset=UTF-8
>>>
>>> Patches item #3541625, was opened at 2012-07-09 08:27
>>> Message generated for change (Tracker Item Submitted) made by piterdias
>>> You can respond by visiting:
>>> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541625&group_id=12740
>>>
>>> Please note that this message will contain a full copy of the comment
>>> thread,
>>> including the initial issue submission, for this request,
>>> not just the latest update.
>>> Category: None
>>> Group: None
>>> Status: Open
>>> Resolution: None
>>> Priority: 5
>>> Private: No
>>> Submitted By: Piter Dias (piterdias)
>>> Assigned to: Nobody/Anonymous (nobody)
>>> Summary: Math macros redefinition warnings on VC++
>>>
>>> Initial Comment:
>>> Macro redefinition warnings on VC++ due to math.h and qldefines.h math
>>> constants.
>>> Proposed solution is control QL macro creation based on _USE_MATH_DEFINES
>>> definition.
>>>
>>> ----------------------------------------------------------------------
>>>
>>> You can respond by visiting:
>>> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541625&group_id=12740
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> Message: 9
>>> Date: Mon, 09 Jul 2012 08:31:37 -0700
>>> From: SourceForge.net <[hidden email]>
>>> Subject: [Quantlib-dev] [ quantlib-Patches-3541627 ] Upgrade
>>> boost::filesystem functions to version 3
>>> To: SourceForge.net <[hidden email]>
>>> Message-ID:
>>> <[hidden email]>
>>> Content-Type: text/plain; charset=UTF-8
>>>
>>> Patches item #3541627, was opened at 2012-07-09 08:31
>>> Message generated for change (Tracker Item Submitted) made by piterdias
>>> You can respond by visiting:
>>> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&group_id=12740
>>>
>>> Please note that this message will contain a full copy of the comment
>>> thread,
>>> including the initial issue submission, for this request,
>>> not just the latest update.
>>> Category: None
>>> Group: None
>>> Status: Open
>>> Resolution: None
>>> Priority: 5
>>> Private: No
>>> Submitted By: Piter Dias (piterdias)
>>> Assigned to: Nobody/Anonymous (nobody)
>>> Summary: Upgrade boost::filesystem functions to version 3
>>>
>>> Initial Comment:
>>> Newest Boost (1.50.0) does not support version 2 as explained at
>>> http://www.boost.org/doc/libs/1_50_0/libs/filesystem/doc/index.htm.
>>>
>>> ----------------------------------------------------------------------
>>>
>>> You can respond by visiting:
>>> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&group_id=12740
>>>
>>>
>>>
>>> ------------------------------
>>>
>>> ------------------------------------------------------------------------------
>>> Live Security Virtual Conference
>>> Exclusive live event will cover all the ways today's security and
>>> threat landscape has changed and how IT managers can respond. Discussions
>>> will include endpoint security, mobile security and the latest in malware
>>> threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
>>>
>>> ------------------------------
>>>
>>> _______________________________________________
>>> QuantLib-dev mailing list
>>> [hidden email]
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>>
>>>
>>> End of QuantLib-dev Digest, Vol 74, Issue 2
>>> *******************************************
>>>
>>>
>>> ------------------------------------------------------------------------------
>>> Live Security Virtual Conference
>>> Exclusive live event will cover all the ways today's security and
>>> threat landscape has changed and how IT managers can respond. Discussions
>>> will include endpoint security, mobile security and the latest in malware
>>> threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
>>> _______________________________________________
>>> QuantLib-dev mailing list
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>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>>
>>
>> ------------------------------------------------------------------------------
>> Live Security Virtual Conference
>> Exclusive live event will cover all the ways today's security and
>> threat landscape has changed and how IT managers can respond. Discussions
>> will include endpoint security, mobile security and the latest in malware
>> threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
>> _______________________________________________
>> QuantLib-dev mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Luigi Ballabio

Re: QuantLib-dev Digest, boostrapping multiple interest rate yield curves

On Mon, Jul 16, 2012 at 6:02 PM, Ferdinando Ametrano <[hidden email]> wrote:
> I would just add a fictitious flat discount curve in the existing
> bootstrapping example, passing it to the SwapRateHelpers. A realistic
> coherent dataset would get old anyway without adding to much to the
> example logic.

Except that it doesn't seem clear to many people how to get the discount curve.
A given dataset might get old, but it would at least show what
instruments to use and how.

Luigi

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threat landscape has changed and how IT managers can respond. Discussions
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Ferdinando M. Ametrano-3

Re: QuantLib-dev Digest, boostrapping multiple interest rate yield curves

code example shouldn't teach finance... and a comment about the need to use ON discounting might be enough.

Maybe just bootstrap a discount curve with a single OISHelper...

On Mon, Jul 16, 2012 at 6:09 PM, Luigi Ballabio <[hidden email]> wrote:

On Mon, Jul 16, 2012 at 6:02 PM, Ferdinando Ametrano <[hidden email]> wrote:
> I would just add a fictitious flat discount curve in the existing
> bootstrapping example, passing it to the SwapRateHelpers. A realistic
> coherent dataset would get old anyway without adding to much to the
> example logic.

Except that it doesn't seem clear to many people how to get the discount curve.
A given dataset might get old, but it would at least show what
instruments to use and how.

Luigi

Luigi Ballabio

Re: QuantLib-dev Digest, boostrapping multiple interest rate yield curves

On Mon, Jul 16, 2012 at 6:55 PM, Ferdinando Ametrano <[hidden email]> wrote:
> code example shouldn't teach finance...

It can teach what classes to use without hunting in the code, though.
Like the current bootstrapping example does.

Anyway, how about we just agree to disagree, you point me at a
spreadsheet in the QuantLibXL tree where you do the
double-bootstrapping thing, and someone else takes care of the rest?

Luigi

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Live Security Virtual Conference
Exclusive live event will cover all the ways today's security and
threat landscape has changed and how IT managers can respond. Discussions
will include endpoint security, mobile security and the latest in malware
threats. http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/
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