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SWIG problem with asian options

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Petr.JANDA

SWIG problem with asian options

Hi all

I want to ask you for help with SWIG.
We want to use asian options in python quatlib library and in manual there are several engines to work with.
But if we download quantlib library, and wrap it with SWIG, it does not contain these engines.
After some examination of SWIG we found that SWIG interface file for asian options is missing.
Can anyone help us how to overcome this problem?

regards
Petr

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Dirk Eddelbuettel

Re: SWIG problem with asian options

On 25 October 2007 at 10:37, [hidden email] wrote:
| I want to ask you for help with SWIG.
| We want to use asian options in python quatlib library and in manual
| there are several engines to work with.
| But if we download quantlib library, and wrap it with SWIG, it does not
| contain these engines.
| After some examination of SWIG we found that SWIG interface file for
| asian options is missing.
| Can anyone help us how to overcome this problem?

You will probably have to write those interface files yourself. I'd start by
trying to re-create the simpler standard options ones and work my way up to
the exotics you're interested in.

Needless to say, it would be nice if you could contribute your new swig
interface files back to the QL project. And as they may well get better /
broader testing, you are likely to benefit from contributing.

Cheers, Dirk

--
Three out of two people have difficulties with fractions.

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Luigi Ballabio

Re: SWIG problem with asian options

On Thu, 2007-10-25 at 14:47 -0500, Dirk Eddelbuettel wrote:
> On 25 October 2007 at 10:37, [hidden email] wrote:
> | After some examination of SWIG we found that SWIG interface file for
> | asian options is missing.
> | Can anyone help us how to overcome this problem?
>
> You will probably have to write those interface files yourself. I'd start by
> trying to re-create the simpler standard options ones and work my way up to
> the exotics you're interested in.

Yes. You can start by looking at the options.i file and copy what's done
for European options and engines. Write to the list if you get stuck and
I'll try to help.

> Needless to say, it would be nice if you could contribute your new swig
> interface files back to the QL project. And as they may well get better /
> broader testing, you are likely to benefit from contributing.

I second this.

Later,
Luigi

--

Any software problem can be solved by adding another layer of
indirection.
-- Steven M. Bellovin

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Toyin Akin

FixedRateBond constructor...

Hi Luigi,

It appears that one of the constructors for the FixedRateBond class takes a "backward" parameter, however this parameter is never used.

Toy out.

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Ferdinando M. Ametrano-3

Re: FixedRateBond constructor...

On Oct 30, 2007 7:39 AM, Toyin Akin <[hidden email]> wrote:
> It appears that one of the constructors for the FixedRateBond class takes a
> "backward" parameter, however this parameter is never used.

fixed in the current SVN repository. Thank you for pointing that out

ciao -- Nando

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Toyin Akin

Money class...

In reply to this post by Toyin Akin

Hi Luigi,
Any chance of refactoring the Money class so that there isn't any static members?
This class is not safe within a multi-threaded environment.
Placing mutexes within a higher level to control access to this class creates a real mess...
Thanks in advance,
Toy out...

Luigi Ballabio

Re: Money class...

On Thu, 2007-11-01 at 14:06 +0000, Toyin Akin wrote:
> Hi Luigi,
> Any chance of refactoring the Money class so that there isn't
> any static members?
> This class is not safe within a multi-threaded environment.

Hmm. They could go into the Settings class---this way, one could at
least define QL_ENABLE_SESSIONS and have one copy per thread. Are you
willing to have a try at it?

Later,
Luigi

--

I've finally learned what `upward compatible' means. It means we
get to keep all our old mistakes.
-- Dennie van Tassel

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Toyin Akin

Re: Money class...

Yes, I am.

I'll have a look at it.

Toy out.

> Subject: Re: Money class...
> From: [hidden email]
> To: [hidden email]
> CC: [hidden email]
> Date: Fri, 2 Nov 2007 16:41:46 +0100
>
>
> On Thu, 2007-11-01 at 14:06 +0000, Toyin Akin wrote:
> > Hi Luigi,
> > Any chance of refactoring the Money class so that there isn't
> > any static members?
> > This class is not safe within a multi-threaded environment.
>
> Hmm. They could go into the Settings class---this way, one could at
> least define QL_ENABLE_SESSIONS and have one copy per thread. Are you
> willing to have a try at it?
>
> Later,
> Luigi
>
>
> --
>
> I've finally learned what `upward compatible' means. It means we
> get to keep all our old mistakes.
> -- Dennie van Tassel
>
>