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Today's Topics:
1. Re: Linux gcc vs Windows Studo Net 2005 (Luigi Ballabio)
2. Re: Linux gcc vs Windows Studo Net 2005 (Luigi Ballabio)
3. Credit Derivatives Implementation ([hidden email])
4. Re: Credit
Derivatives Implementation (Ferdinando Ametrano)
5. Re: Credit Derivatives Implementation (Toyin Akin)
6. Re: Linux gcc vs Windows Studo Net 2005 (Tamas R Sashalmi)
7. No floatingDayCounter for SwapRateHelper (ago)
Date: Fri, 3 Feb 2006 10:27:30 +0100
From: Luigi Ballabio <[hidden email]>
To: Tamas R Sashalmi <[hidden email]>
Subject: Re: [Quantlib-users] Linux gcc vs Windows Studo Net 2005
CC: [hidden email]
On 2/3/06, Tamas R Sashalmi wrote:
> so I've checked again. The differnces are around:
> 1.11022e-16
> so very small.
>
> Also there is a second solution for this (if you don't like the tolerance)
I do like setting a tolerance---checking floating-point values for
strict equality is not a good idea in general---but 1e-7 had me
worried. If we had needed such a large value, it might have pointed at
some problem in the
implementation. 1e-15 is ok, I will update the
test shortly.
Thanks,
Luigi
Date: Fri, 3 Feb 2006 11:50:40 +0100
From: Luigi Ballabio <[hidden email]>
To: Tamas R Sashalmi <[hidden email]>
Subject: Re: [Quantlib-users] Linux gcc vs Windows Studo Net 2005
CC: [hidden email]
On 2/3/06, Luigi Ballabio wrote:
> I will update the test shortly.
Done. Can you update from CVS and confirm that the tests pass?
Thanks,
Luigi
From: [hidden email]
Date: Fri, 3 Feb 2006 06:21:46 EST
To: [hidden email]
Subject: [Quantlib-users] Credit Derivatives Implementation
Hi Toyin/Luigi,
Are you guys proposing a Credit Derivatives Implementation for QuantLib. If so I may be interested. I would check out the site mentioned by Toyin. Regards Theo Date: Fri, 3 Feb 2006 13:05:26 +0100
From: Ferdinando Ametrano <[hidden email]>
To: "[hidden email]" <[hidden email]>
Subject: Re: [Quantlib-users] Credit Derivatives Implementation
CC: [hidden email]
On 2/3/06, [hidden email] wrote:
> Are you guys proposing a Credit Derivatives Implementation for QuantLib.
> If so I may be interested. I would check out the site mentioned by Toyin.
please note that GPL licensing is not compatible with (too much
restrictive for) the QuantLib license
ciao -- Nando
From: "Toyin Akin" <[hidden email]>
To: [hidden email], [hidden email]
CC:
[hidden email]
Subject: Re: [Quantlib-users] Credit Derivatives Implementation
Date: Fri, 03 Feb 2006 14:14:05 +0000
True,
However we could ask them whether we could use some of their code under the
quantlib licence.
(if the c++ code passes quantlib's coding standard).
Again, the spreadsheet implementation is quite self-contained and from
memory, reproduces the results within Hull, Options, Futures and Other
Derivatives (6th edition).
The team has based their code on top of quantlib (a very cut down version).
Toy out.
>From: Ferdinando Ametrano
>To: "[hidden email]"
>CC: [hidden email]
>Subject: Re: [Quantlib-users] Credit Derivatives Implementation
>Date: Fri, 3 Feb 2006 13:05:26 +0100
>
>On 2/3/06, [hidden email] wrote:
> > Are you guys proposing a Credit
Derivatives Implementation for
>QuantLib.
> > If so I may be interested. I would check out the site mentioned by
>Toyin.
>
>please note that GPL licensing is not compatible with (too much
>restrictive for) the QuantLib license
>
>ciao -- Nando
>
>
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To: "Luigi Ballabio" <[hidden email]>
CC:
[hidden email]
Subject: Re: [Quantlib-users] Linux gcc vs Windows Studo Net 2005
Date: Fri, 03 Feb 2006 08:58:13 -0600
From: "Tamas R Sashalmi" <[hidden email]>
Confirmed,
Also maybe this is the time to change to 64bit. Same machine on 32bit will
do this test in 7 m 41s.
Thank you.
Tamas
Tests completed in 5 m 44 s
*** No errors detected
PASS: quantlib-test-suite
On Fri, 03 Feb 2006 04:50:40 -0600, Luigi Ballabio wrote:
> On 2/3/06, Luigi Ballabio wrote:
>> I will update the test shortly.
>
> Done. Can you update from CVS and confirm that the tests pass?
>
> Thanks,
> Luigi
To: [hidden email]
From: ago <[hidden email]>
Date: Fri, 3 Feb 2006 15:07:17 +0000 (UTC)
Subject: [Quantlib-users] No floatingDayCounter for SwapRateHelper
The constructor for SwapRateHelper
does not accept a DayCounter for the floating
leg. This creates problems when fitting real world swap curves. Is there a
reason for that? Is it going to be fixed in the next release?
On a similar topic: is there any plan to include wrappers for
InterpolatedZeroCurve in the next release?
Thanks
Ago
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