Re: QuantLib-users Digest, Vol 85, Issue 5
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Re: QuantLib-users Digest, Vol 85, Issue 5
 
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Hi Klaus,
Is the piecewisetimedependenthestonmodel.hpp based on time dependent heston model by Eric Benhamou?
Regards Theo
-----Original Message-----
From: quantlib-users-request <[hidden email]> To: quantlib-users <[hidden email]> Sent: Sat, 15 Jun 2013 20:54 Subject: QuantLib-users Digest, Vol 85, Issue 5 Send QuantLib-users mailing list submissions to [hidden email] To subscribe or unsubscribe via the World Wide Web, visit https://lists.sourceforge.net/lists/listinfo/quantlib-users 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-users digest..." Today's Topics: 1. Re: 1.3.x branch (Luigi Ballabio) 2. Re: 1.3.x branch (Peter Caspers) 3. Re: Canadian OIS (emmajyu) 4. Re: Prototype changes to sessions and singletons (Klaus Spanderen) 5. Re: Prototype changes to sessions and singletons (Luigi Ballabio) Attached Message
Hi Peter,
the way I'd do is:
1) set up a remote pointing to my repo, as explained in
<https://help.github.com/articles/fork-a-repo>, "Step 3: Configure
remotes". After doing this, if you run "git branch -r" you should see
upstream/R01030x-branch among your remote branches.
2) create a branch from my 1.3 branch; the command is simply
git branch R01030x-branch upstream/R01030x-branch
(if you used "upstream"; you can use "official" just as well)
After you've done it, you can push it to your repo with
git push origin R01030x-branch
(assuming that you call "origin" your repo).
3) When you want to get the changes from the official repo into your
repo, follow the instructions in the page I linked above, "Pull in
upstream changes". They work for master as for any other branch.
Hope this helps,
Luigi
On Thu, Jun 13, 2013 at 6:07 PM, Peter Caspers <[hidden email]> wrote:
> Luigi, please, could you advise what is the best way to get the new branch
> into own repositories forked
> from yours before ? Would the following be correct and safe:
>
> git checkout vendor
>
> (where vendor is the master branch in your repo, ideally on the same version
> as when you created
> the R01030 branch, but possibly older)
>
> git branch R01030
>
> git pull official R01030
>
> (where official is your repo)
> Thank you
> Peter
> On 13 June 2013 16:39, Luigi Ballabio <[hidden email]> wrote:
>>
>> Hi all,
>> I've just created a "R01030x-branch" branch for the upcoming 1.3
>> release.
>> If you want to submit bug fixes to be included, please work off that
>> branch. As usual, new features should be developed off the master
>> branch.
>>
>> Thanks,
>> Luigi
>>
>>
>> ------------------------------------------------------------------------------
>> This SF.net email is sponsored by Windows:
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>
>
Attached Message
that works fine, thank you Peter Luigi Ballabio <[hidden email]> writes: > Hi Peter, > the way I'd do is: > 1) set up a remote pointing to my repo, as explained in > <https://help.github.com/articles/fork-a-repo>, "Step 3: Configure > remotes". After doing this, if you run "git branch -r" you should see > upstream/R01030x-branch among your remote branches. > 2) create a branch from my 1.3 branch; the command is simply > git branch R01030x-branch upstream/R01030x-branch > (if you used "upstream"; you can use "official" just as well) > After you've done it, you can push it to your repo with > git push origin R01030x-branch > (assuming that you call "origin" your repo). > 3) When you want to get the changes from the official repo into your > repo, follow the instructions in the page I linked above, "Pull in > upstream changes". They work for master as for any other branch. > > Hope this helps, > Luigi > > > On Thu, Jun 13, 2013 at 6:07 PM, Peter Caspers <[hidden email]> wrote: >> Luigi, please, could you advise what is the best way to get the new branch >> into own repositories forked >> from yours before ? Would the following be correct and safe: >> >> git checkout vendor >> >> (where vendor is the master branch in your repo, ideally on the same version >> as when you created >> the R01030 branch, but possibly older) >> >> git branch R01030 >> >> git pull official R01030 >> >> (where official is your repo) >> Thank you >> Peter >> On 13 June 2013 16:39, Luigi Ballabio <[hidden email]> wrote: >>> >>> Hi all, >>> I've just created a "R01030x-branch" branch for the upcoming 1.3 >>> release. >>> If you want to submit bug fixes to be included, please work off that >>> branch. As usual, new features should be developed off the master >>> branch. >>> >>> Thanks, >>> Luigi >>> >>> >>> ------------------------------------------------------------------------------ >>> This SF.net email is sponsored by Windows: >>> >>> Build for Windows Store. >>> >>> http://p.sf.net/sfu/windows-dev2dev >>> _______________________________________________ >>> QuantLib-users mailing list >>> [hidden email] >>> https://lists.sourceforge.net/lists/listinfo/quantlib-users >> >> Attached Message
thanks a lot, that works. the targets numbers are calculated by my colleague from excel vba to compare against. -- View this message in context: http://quantlib.10058.n7.nabble.com/Canadian-OIS-tp14353p14356.html Sent from the quantlib-users mailing list archive at Nabble.com. Attached Message
Hi Luigi
even though I currently use a solution very simillar to the "generalized-sessions" I'd now prefer the thread-local-singleton because the contract does not depend on an external sessionId function. If we change the singleton implementation then IMO we should also change the observer/observable implementation to use boost::signal2 in order to make this pattern more thread-safe (I can provide an signal2 based implementation if you want).
regards
Klaus
On Wednesday, June 12, 2013 04:00:01 PM Luigi Ballabio wrote:
> Hi all,
> I've just pushed on GitHub two branches with contributions from
> mortoray and Riccardo Ghetta. The first is at
> provides a generalized mechanism to provide multiple sessions in
> multi-threaded programs using QuantLib. The second is at
> and implements a simpler modification that causes each thread to have
> its own session. I'd be grateful if someone could check them out, try
> them, and comment.
>
> Thanks,
> Luigi
>
> ----------------------------------------------------------------------------
> -- This SF.net email is sponsored by Windows:
>
> Build for Windows Store.
>
> _______________________________________________
> QuantLib-users mailing list
Attached Message
Hi Klaus,
yes, boost::signal was also on my wish list. With regard to
singletons, the ideal change would be doing away with them entirely;
but I'm not sure how to do it yet (the general idea would be to turn
the Settings class into some kind of Context class, of which one could
have different instances to pass to instruments etc., but here might
be problems in making sure that, for instance, an instrument and the
curves it's using are in the same context. I'm open to ideas, of
course.)
All of this would not be backward compatible with the current library.
It might be a version 2.0. It might also be the excuse to ditch older
compilers and start using C++11 features. In short, you all would have
to force me to get my acts together and stop stagnating :)
Thoughts everyone?
Luigi
On Sat, Jun 15, 2013 at 4:54 PM, Klaus Spanderen <[hidden email]> wrote:
> Hi Luigi
>
>
>
> even though I currently use a solution very simillar to the
> "generalized-sessions" I'd now prefer the thread-local-singleton because the
> contract does not depend on an external sessionId function. If we change the
> singleton implementation then IMO we should also change the
> observer/observable implementation to use boost::signal2 in order to make
> this pattern more thread-safe (I can provide an signal2 based implementation
> if you want).
>
>
>
> regards
>
> Klaus
>
>
>
> On Wednesday, June 12, 2013 04:00:01 PM Luigi Ballabio wrote:
>
>> Hi all,
>
>> I've just pushed on GitHub two branches with contributions from
>
>> mortoray and Riccardo Ghetta. The first is at
>
>> <https://github.com/lballabio/quantlib/tree/generalized-sessions> and
>
>> provides a generalized mechanism to provide multiple sessions in
>
>> multi-threaded programs using QuantLib. The second is at
>
>> <https://github.com/lballabio/quantlib/tree/thread-local-singleton>
>
>> and implements a simpler modification that causes each thread to have
>
>> its own session. I'd be grateful if someone could check them out, try
>
>> them, and comment.
>
>>
>
>> Thanks,
>
>> Luigi
>
>>
>
>>
>> ----------------------------------------------------------------------------
>
>> -- This SF.net email is sponsored by Windows:
>
>>
>
>> Build for Windows Store.
>
>>
>
>> http://p.sf.net/sfu/windows-dev2dev
>
>> _______________________________________________
>
>> QuantLib-users mailing list
>
>> [hidden email]
>
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
> ------------------------------------------------------------------------------
> This SF.net email is sponsored by Windows:
>
> Build for Windows Store.
>
> http://p.sf.net/sfu/windows-dev2dev
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
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Re: QuantLib-users Digest, Vol 85, Issue 5
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Hi
the implementation is mainly based on
A. Elices, Models with time-dependent parameters using transform methods: application to Heston’s model, http://arxiv.org/pdf/0708.2020
which outlines an exact method for timedependent but piecewise constant model parameters.
On Sunday, June 16, 2013 10:51:06 AM Theo Boafo wrote: Hi Klaus, Is the piecewisetimedependenthestonmodel.hpp based on time dependent heston model by Eric Benhamou?
Theo ------------------------------------------------------------------------------ This SF.net email is sponsored by Windows: Build for Windows Store. http://p.sf.net/sfu/windows-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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