Re: test suite programs for HaganIrregularSwaptionEngine/S
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Re: test suite programs for HaganIrregularSwaptionEngine/S
 
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Dear QuantLib,
Do we have some examples on use of HaganIrregularSwaptionEngine? Also Is there an implementation for a Stochastic Local Vol Model or Local Stochastic vol in the context of heston?
Regards
Theo
-----Original Message-----
From: quantlib-users-request <[hidden email]> To: quantlib-users <[hidden email]> Sent: Thu, 14 Aug 2014 3:55 Subject: QuantLib-users Digest, Vol 99, Issue 19 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: SWIG Python - failure to register observer with
observable (aborodya)
2. Curve Building with Cubic Spline (suhasg)
3. About QuantLib compile with mingw and boost header.
(Hsiao-nan Cheung)
4. ??: About QuantLib compile with mingw and boost header.
(cheng li)
5. ??: Curve Building with Cubic Spline (cheng li)
Attached Message
Sorry, Luigi, didn't see you reply -
I was to reproduce the functionality of TermStructureTest::testImpliedObs()
from the test suite.
So I defined a Flag class in Python
class Flag(Observer):
def __init__(self):
self.up_ = False
def raiseFlag(self):
self.up_ = True
def lowerFlag(self):
self.up_ = False
def isUp(self):
return self.up_
def update(self):
self.raiseFlag()
and created a function
def testImpliedObs(logger):
vars = CommonVars()
today = Settings.instance().evaluationDate
newToday = today + Period(3,Years)
newSettlement = vars.calendar.advance(newToday,
vars.settlementDays, Days)
h = RelinkableYieldTermStructureHandle()
implied = ImpliedTermStructure(h, newSettlement)
flag = Flag()
flag.registerWith(implied)
h.linkTo(vars.termStructure)
This gives me the error I mentioned earlier
Thanks,
Anatoly
--
View this message in context: http://quantlib.10058.n7.nabble.com/SWIG-Python-failure-to-register-observer-with-observable-tp15650p15755.html
Sent from the quantlib-users mailing list archive at Nabble.com.
Attached Message
I have modified discountcurve.i SWIG interface to export CubicDiscountCurve, but I am not sure how to use it. We specifically need to use LogCubicNaturalSpline method for interpolation. Can you please give me an example in Python of how to use this interpolation method? I have tried various combinations of following but none have worked. logcubic = LogCubicNaturalSpline(LogCubicNaturalSpline.secondDerivative(LogCubicNaturalSpline(0,0)), LogCubicNaturalSpline.secondDerivative(LogCubicNaturalSpline(0,0)),True) forecastingCurve = CubicDiscountCurve(libordates,disfactors,Actual360(),calendar,logcubic) Also, is there a general way to find out a previous fixing date for LIBOR curve? Our curves are stored in database and I extract settlement date curve points from the database. But when settlement date is between 2 fixing dates, I need to provide the previous fixing date and rate. What is the correct way to derive the last fixing date for different settlement dates? Thank you. -- View this message in context: http://quantlib.10058.n7.nabble.com/Curve-Building-with-Cubic-Spline-tp15756.html Sent from the quantlib-users mailing list archive at Nabble.com. Attached Message
Hi,
Recently I try to compile QuantLib-1.40 using MinGW and Boost header file on a Win7 x64 machine. I use following cmd in a msys console:
configure --with-boost-include=d:/programming/boost/boost_1_56_0 --prefix=d:/programming/quantlib
then the configure give me warnings that the boost unit-test framework is not found, as:
WARNING: Boost unit-test framework not found.
WARNING: The test suite will be disabled.
Does this mean I have to compile the Boost unit-test library? And how do I do it?
Thanks.
Hsiao-nan Cheung
Aug. 12, 2014
Attached Message
If you don’t bother to build the test suit, no need to do so.
Just ignore the warning.
Regards,
Cheng
发件人: Hsiao-nan Cheung [[hidden email]]
发送时间: 2014年8月14日 8:48 收件人: [hidden email] 主题: [Quantlib-users] About QuantLib compile with mingw and boost header. Hi,
Recently I try to compile QuantLib-1.40 using MinGW and Boost header file on a Win7 x64 machine. I use following cmd in a msys console:
configure --with-boost-include=d:/programming/boost/boost_1_56_0 --prefix=d:/programming/quantlib
then the configure give me warnings that the boost unit-test framework is not found, as:
WARNING: Boost unit-test framework not found.
WARNING: The test suite will be disabled.
Does this mean I have to compile the Boost unit-test library? And how do I do it?
Thanks.
Hsiao-nan Cheung
Aug. 12, 2014
Attached Message
Hi suhasg, 1. The function name CubicDiscountCurve has already indicated that the interpolation trais should be set as Cubic. You can’t mess CubicDiscountCurve and LogCubicNaturalSpline together. If you really want to use LogCubic NaturalSpline, you have to do below: a. Add a line “export_discount_curve(LogCubic DiscountCurve, LogCubic);” at the end of discountcurve.i b. change the file interpolation.i accordingly to export LogCubic traits. Be cafeful! you have to do more than other traits since you have to export the constructor of LogCubic. The reason is that currently the default choice of LogCubic traits is MonotonicLogCubicNatural not LogCubicNatural. 2. This problem is simpler than the first one. Historical fixing can be handled by Index method addFixing. You can add specific value on a specific date as historical fixing for that index. Regards, Cheng -----邮件原件----- 发件人: suhasg [[hidden email]] 发送时间: 2014年8月14日 0:16 收件人: [hidden email] 主题: [Quantlib-users] Curve Building with Cubic Spline I have modified discountcurve.i SWIG interface to export CubicDiscountCurve, but I am not sure how to use it. We specifically need to use LogCubicNaturalSpline method for interpolation. Can you please give me an example in Python of how to use this interpolation method? I have tried various combinations of following but none have worked. logcubic = LogCubicNaturalSpline(LogCubicNaturalSpline.secondDerivative(LogCubicNatural Spline(0,0)), LogCubicNaturalSpline.secondDerivative(LogCubicNaturalSpline(0,0)),True) forecastingCurve = CubicDiscountCurve(libordates,disfactors,Actual360(),calendar,logcubic) Also, is there a general way to find out a previous fixing date for LIBOR curve? Our curves are stored in database and I extract settlement date curve points from the database. But when settlement date is between 2 fixing dates, I need to provide the previous fixing date and rate. What is the correct way to derive the last fixing date for different settlement dates? Thank you. -- View this message in context: http://quantlib.10058.n7.nabble.com/Curve-Building-with-Cubic-Spline-tp15756 .html Sent from the quantlib-users mailing list archive at Nabble.com. ---------------------------------------------------------------------------- -- _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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