Release candidates for QuantLib 1.6
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Release candidates for QuantLib 1.6
 
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candidates for next release are available at <https://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/>. If you have some spare time, please download them, check if they compile and work on your machine, and report the results here. Thanks, Luigi ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: Release candidates for QuantLib 1.6
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no issue on VC9 with boost 1.56 and boost 1.58 On Fri, Jun 5, 2015 at 10:35 AM, Luigi Ballabio <[hidden email]> wrote:
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Re: Release candidates for QuantLib 1.6
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In reply to this post by Luigi Ballabio
No problem with VC12 target Win32 boost 1.57 and 1.58 . Paolo From: Luigi Ballabio [mailto:[hidden email]]
Hi all, candidates for next release are available at <https://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/>. If you have some spare time, please download them, check if they compile and work on your machine, and report the results here. Thanks, Luigi Prima di stampare, pensa all'ambiente ** Think about the environment before printing Il presente messaggio, inclusi gli eventuali allegati, ha natura aziendale e potrebbe contenere informazioni confidenziali e/o riservate. Chiunque lo ricevesse per errore, è pregato di avvisare tempestivamente il mittente e di cancellarlo. E’ strettamente vietata qualsiasi forma di utilizzo, riproduzione o diffusione non autorizzata del contenuto di questo messaggio o di parte di esso. Pur essendo state assunte le dovute precauzioni per ridurre al minimo il rischio di trasmissione di virus, si suggerisce di effettuare gli opportuni controlli sui documenti allegati al presente messaggio. Non si assume alcuna responsabilità per eventuali danni o perdite derivanti dalla presenza di virus. Per lo svolgimento delle attività di investimento nel Regno Unito, la società è autorizzata da Banca d'Italia ed è soggetta alla vigilanza limitata della Financial Conduct Authority ( FCA ) e della Prudential Regulation Authority ( PRA ) . Maggiori informazioni in merito ai poteri di vigilanza della Financial Conduct Authority ( FCA ) e della Prudential Regulation Authority ( PRA ) sono a disposizione previa richiesta. Nel Regno Unito Intesa Sanpaolo S.p.A. opera attraverso la filiale di Londra, sita in 90 Queen Street, London EC4N 1SA, registrata in Inghilterra & Galles sotto No.FC016201, Branch No.BR000036 In osservanza dei requisito imposti dal Internal Revenue Service (Agenzia delle Entrate degli Stati Uniti), qualunque discussione relativa a temi di natura fiscale contenuta in questo messaggio o nei suoi allegati non e’ intesa ne’ e’ stata scritta per essere utilizzata, ne’ puo’ essere utilizata per (i) evitare l’imposizione di gravami fiscali secondo il codice tributario vigente negli Stati Uniti o (ii) per promuovere, sollecitare o raccomandare una operazione finanziaria o altra transazione indirizzata ad un altro destinatario. Nella Repubblica d’Irlanda, Intesa Sanpaolo Bank Ireland plc è regolamentata dalla Banca Centrale d’Irlanda ed è parte del Gruppo Bancario Intesa Sanpaolo S.p.A. Registrata in Irlanda come società numero 125216 – IVA Reg. IE4817418C IE, sita in, KBC House, 4 George Dock, IFSC, Dublino 1, Irlanda. *** This email (including any attachment) is a corporate message and may contain confidential and/or privileged and/or proprietary information. If you have received this email in error, please notify the sender immediately, do not use or share it and destroy this email. Any unauthorised use, copying or disclosure of the material in this email or of parts hereof (including reliance thereon) is strictly forbidden. We have taken precautions to minimize the risk of transmitting software viruses but nevertheless advise you to carry out your own virus checks on any attachment of this message. We accept no liability for loss or damage caused by software viruses. For the conduct of investment business in the UK, the Company is authorised by Banca d’Italia and subject to limited regulation in the UK by the Financial Conduct Authority ( FCA ) and the Prudential Regulation Authority ( PRA ). Details about the extent of our regulation by the Financial Conduct Authority ( FCA ) and the Prudential Regulation Authority ( PRA ) are available from us on request. In the UK Intesa Sanpaolo S.p.A. operates through its London Branch, located at 90 Queen Street, London EC4N 1SA. Registered in England & Wales under No.FC016201, Branch No.BR000036 To comply with requirements imposed by the IRS, we inform you that any discussion of U.S. federal tax issues contained herein (including any attachments) was not intended or written to be used, and cannot be used by you, for the purpose of (i) avoiding penalties under the Internal Revenue Code or (ii) promoting, marketing or recommending any transaction or matter addressed herein to another party. In the Republic of Ireland, Intesa Sanpaolo Bank Ireland plc is regulated by the Central Bank of Ireland and is a member of the Intesa Sanpaolo Group. It is registered in Ireland as company no.125216 – VAT Reg. No. IE 4817418C and located at, 3rd Floor, KBC House, 4 George’s Dock, IFSC, Dublin 1, Ireland. ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: Release candidates for QuantLib 1.6
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In reply to this post by Luigi Ballabio
Hi all candidates for QuantLibXL 1.6 are available too:https://sourceforge.net/projects/quantlib/files/QuantLibXL/prerelease/ For the time being it's just win32: tomorrow x64 target will be added. The branch for any QuantLibXL pull requests is: https://github.com/fametrano/quantlib/tree/v1.6.x ciao -- Nando On Fri, Jun 5, 2015 at 10:35 AM, Luigi Ballabio <[hidden email]> wrote:
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On Win32, VC10, Boost 1.55, the test suite gives this error: c:/dev/quantlib/quantlib/test-suite/marketmodel.cpp(3638): fatal error in "QuantLib::detail::quantlib_test_case(&MarketModelTest::testPathwiseVegas)": caps Pathwise vega test fails : 1 Francois Botha On 8 June 2015 at 19:47, Ferdinando M. Ametrano <[hidden email]> wrote:
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Re: Release candidates for QuantLib 1.6
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In reply to this post by Luigi Ballabio
Hi Luigi,
under Ubuntu Linux 15.04 I get a couple of error messages from the test suite: All are from functions.cpp, here is an example: functions.cpp(254): error in "QuantLib::detail::quantlib_test_case(&FunctionsTest::testWeightedModifiedBesselFunctions)": failed to verify exponentially weightedmodified Bessel function of second kind order : -5 argument : 13.1 calcuated : -0 expecetd : -0.000921309 If of interest, I can send the whole bunch. Kind regards, Johannes uname -a: Linux medusa 3.19.0-18-generic #18-Ubuntu SMP Tue May 19 18:30:59 UTC 2015 i686 i686 i686 GNU/Linux gcc --version: gcc (Ubuntu 4.9.2-10ubuntu13) 4.9.2 On Friday, June 05, 2015 10:35:31 AM Luigi Ballabio wrote: > Hi all, > candidates for next release are available at < > https://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/>. > If you have some spare time, please download them, check if they compile > and work on your machine, and report the results here. > > Thanks, > Luigi ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: Release candidates for QuantLib 1.6
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In reply to this post by igitur
Hi Francois, Luigi On 15:38, Tue, Jun 9, 2015 Francois Botha <[hidden email]> wrote:
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Re: Release candidates for QuantLib 1.6
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In reply to this post by Johannes Göttker-Schnetmann
Thanks. Which Boost version? Luigi On 11:30, Thu, Jun 11, 2015 Johannes Göttker-Schnetmann <[hidden email]> wrote: Hi Luigi, -- <http://leanpub.com/implementingquantlib/> ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: Release candidates for QuantLib 1.6
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In reply to this post by Luigi Ballabio
I burned some cycles, building QuantLibXL in various forms using Visual Studio 2012 on a Win 7, 64 bit box.
Here are my results. I built the “full” QuantLibXL add-in in 32 bit without a problem. It even works with the cell menu from the earlier version of the framework, once I updated cells C17 and C25 in the “Loader.xls” file in the “..\framework\config\” folder. I also built the “full” QuantLibXL add-in in 64 bit as Static. To use it in Excel 2010 and later, however, the “Declare” statements in the VBA for Utilities.xla, FixedIncome.xla and FixedIncome2.xla in the “..\framework\addin\” folder need to be followed with “PtrSafe” in order to work. Actually, any “Declare” statement should get the same treatment. There could be other cases lurking out there in other macros I just did not find. The "full" Static build in 64 bit does not try to build the framework, i.e. QuantLib.xla in “..\QuantLibXL\framework\". The “full” Static build also does not create the ObjectHandler-xll-vc110-x64-mt-1_5_0.xll folder or file, which makes it impossible to completely set up the Loader.xls file mentioned above. I have been unable to get the previous version of the framework working in 64-bit Excel, running into issues with the testVbaTrusted subroutine in the FixedIncome.xla file as noted in the following message when trying to load FixedIncome from the add-in tab: “Fatal error-In order to run QuantLibXL, you must enable ‘Trust access to Visual Basic’: Under Tools/Macros/Security/, tab ‘Trusted Sources’, enable ‘Trust access to Visual Basic Project’”. I have adjusted the Trust settings to include all the files resulting from the building process, so I am not sure what that is about. When I try to load FixedIncome2 from the add-in tab, I get the following message: “Error initializing fixed income 2: Unable to convert parameter ‘Set Evaluation Date’ to Boolean”. I was unsure what to expect from the “QuantLibAllDynamic_vc11.sln”. I built it as Release–x64. It built QuantLib, and tested it (which the “full” build does not do). It built the ObjectHandler-xll-vc110-x64-mt-1_5_0.xll folder and file, and of course the QuantLibXLDynamic_vc110-x64-mt-1_6_0.xll. It failed to build the document files for QuantLibXL and QuantLibAddin. These look like NMAKE problems, but trying the Python path mod did not fix it. The error messages are included below. I was also unsure about how I might best use the outputs from building QuantLibAllDynamic_vc11.sln in practice. The examples in the “..\ObjectHandler\Examples\xl\” folder and the instructions on the O-H web page do not seem to reflect the current results of the build process. If I try to attach the xll as an add-in, Excel tries to load it as a spreadsheet, creating problems of its own. How do you recommend using the outputs from building the sln file with Excel? Great work on what you have done, but I could use some directions to files to update to get the framework for the “full” Static state working for x64, should you want the assistance. -Nick ------------------------------------------------ QuantLibAllDynamic_vc11.sln Build Errors: Error 32 error U1077: '..\..\ObjectHandler\Docs\preprocess_doxyfile.py' : return code '0x1' C:\build_ql_1_6_0\QuantLibXL\Docs\NMAKE docs-QuantLibXL Error 33 error MSB3073: The command "NMAKE /f Makefile.vc" exited with code 2. C:\Program Files (x86)\MSBuild\Microsoft.Cpp\v4.0\V110\Microsoft.MakeFile.Targets 38 5 docs-QuantLibXL Error 34 error U1077: '..\..\ObjectHandler\Docs\preprocess_doxyfile.py' : return code '0x1' C:\build_ql_1_6_0\QuantLibAddin\Docs\NMAKE docs-QuantLibAddin Error 35 error MSB3073: The command "NMAKE /f Makefile.vc" exited with code 2. C:\Program Files (x86)\MSBuild\Microsoft.Cpp\v4.0\V110\Microsoft.MakeFile.Targets 38 5 docs-QuantLibAddin Any advice for me? -Nick ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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In reply to this post by Luigi Ballabio
I tried, but unfortunately I don't know much about pathwise vegas. What I can tell you is that the test fails in \test-suite\marketmodel.cpp line 3628 for (Size s=0; s < capsDeflated.numberOfProducts(); ++s) { Real mcVega = vegasMatrix[s][b]; Real analyticVega = vegaCaps[s]; Real thisError = mcVega - analyticVega; Real thisSE = standardErrors[s][b]; if (fabs(thisError) > 0.0) { Real errorInSEs = fabs(thisError/thisSE); if (errorInSEs > 3.5) ++numberErrors; } } with
The errorInSEs is just outside the 3.5 threshold. Anyone else on 32bit getting this test failure? regards Francois Botha On 11 June 2015 at 11:44, Luigi Ballabio <[hidden email]> wrote:
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