Sessions and QuantLib

[Dowman, Guy]

Hi

 

I'm building the Java interface to QuantLib 0.9.7 via SWIG and am having a few issues.

 

1. experimental/finitedifferences/fdmhestonvariancemesher.cpp and Examples/CDS/CDS.cpp do not compile, as pulled out of the tarball - are they expected to?

 

2. I would like to enable sessions so that my Java application can use different valuation dates per thread.  I ran configure with --enable-sessions=yes and built the C++, and then to test it's working, added a print statement to sessionId() in the EquityOptions.cpp example, but it never gets called.  Does anyone know what am I missing?

 

Many thanks in advance,

Guy

 

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[Bojan Nikolic]

"Dowman, Guy" <[hidden email]> writes:

> 2. I would like to enable sessions so that my Java application can use
> different valuation dates per thread.  I ran configure with
> --enable-sessions=yes and built the C++, and then to test it's working,
> added a print statement to sessionId() in the EquityOptions.cpp example,
> but it never gets called.  Does anyone know what am I missing?

This should work, and does work on my machines. Maybe it is worth
checking that QL_ENABLE_SESSIONS is defined in your ql/config.hpp?

Best,
Bojan

--
Bojan Nikolic          ||          http://www.bnikolic.co.uk

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[Yan Kuang]

Hi All,

I am going to use just linear interpolation of absolute vol on absolute strike axis. Which one should I use: SwaptionVolCube1 or SwaptionVolCube2?
Having said that I would like to know the difference. I think each head file should contain a basic description. (Sorry I start to complain ;) ).

Thanks in advance,
Yan
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[Yan Kuang]

Hi All,

I am going to input forward volatility (caplet) surface. Am I right to use  CapFloorTermVolSurface. I am hoping CapFloorTermVolSurface
will do linear interpolation on strike. Am I right to use one of the following constructor? What's the difference?

//! fixed reference date, fixed market data
        CapFloorTermVolSurface(const Date& settlementDate,
                               const Calendar& calendar,
                               BusinessDayConvention bdc,
                               const std::vector<Period>& optionTenors,
                               const std::vector<Rate>& strikes,
                               const Matrix& volatilities,
                               const DayCounter& dc = Actual365Fixed());
        //! floating reference date, fixed market data
        CapFloorTermVolSurface(Natural settlementDays,
                               const Calendar& calendar,
                               BusinessDayConvention bdc,
                               const std::vector<Period>& optionTenors,
                               const std::vector<Rate>& strikes,
                               const Matrix& volatilities,
                               const DayCounter& dc = Actual365Fixed());

For  'const Matrix& volatilities',  guess the row axis must be optionTenors? Is there any example code on using CapFloorTermVolSurface?

Many thanks,
Yan
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