Windows Setup

[Todd Page]

I apologize if this sort of thing has been asked before (I suspect so
but I was unable to turn anything up in the archives)

Is there a --comprehensive-- guide to building QuantLib (including
boost) on a windows environment? I think I have a fairly typical setup
(WinXP, gcc, cygwin, dev-C++) and am fairly proficient in a *nix
environment, but I seem to come to brick walls at every other step
(boost, quantlib, or both), and google/list archive searches are
usually of little help.

I know it sounds kind of lazy, but I think there are probably more
people in the same boat as I am; people that would normally be
interested but come across barriers to entry due to lack of technical
expertise in specific areas (e.g. linux, compiling large-scale c++
applications, etc).

So, can someone point me in the direction of a (reasonably) simple
boost/quantlib guide? I realize there are lots of user-specific
configurations, but I think 95% of windows users would fall into the
same 'bucket'.

Thanks in advance... if I come across anything I will certainly post.

- twp

[Moreton, Peter]

Hi all, can anyone tell me which Quantlib function I should be calling to calculate something described as 'Exotic Option - European Digital Call'?

I have a worked example which I am trying to replicate: Underlying : 100, Strike: 105, Payout if 100 or 0, Volatility: 20%, Interest  3%, Time to Maturity: 1/3 year, no external force / dividend, Monte Carlo: 1.000 steps, 100.000 simulations. This should give a Result of: 34.46

Using the examples\EquityOption example, I get a result of 6.8... I must be using the wrong library function?

Thanks, Peter Moreton

[Toyin Akin]

Hi,

I think you might be trying to price an Asset-Or-Nothing type option.

You need the following objects to be created before using the VanillaOption
(EuropeanOption) class.

An AssetOrNothing PayOff object
A European Exercise object
An Analytical European Engine object
A GBM Process object.

I've priced this at around 39.16

I'm not too sure whether there is a monte-carlo engine that can handle this.
Perhaps Luigi can help you here...

Toy out...

>From: "Moreton, Peter" <[hidden email]>
>To: "Todd Page" <[hidden email]>,<[hidden email]>
>Subject: [Quantlib-users] European Digital Call?
>Date: Sun, 11 Jun 2006 13:20:29 +0200
>
>Hi all, can anyone tell me which Quantlib function I should be calling to
>calculate something described as 'Exotic Option - European Digital Call'?
>
>I have a worked example which I am trying to replicate: Underlying : 100,
>Strike: 105, Payout if 100 or 0, Volatility: 20%, Interest  3%, Time to
>Maturity: 1/3 year, no external force / dividend, Monte Carlo: 1.000 steps,
>100.000 simulations. This should give a Result of: 34.46
>
>Using the examples\EquityOption example, I get a result of 6.8... I must be
>using the wrong library function?
>
>Thanks, Peter Moreton
>
>
>_______________________________________________
>QuantLib-users mailing list
>[hidden email]
>https://lists.sourceforge.net/lists/listinfo/quantlib-users

[Luigi Ballabio]

On 06/13/2006 05:07:03 AM, Toyin Akin wrote:
> I think you might be trying to price an Asset-Or-Nothing type option.
>
> You need the following objects to be created before using the
> VanillaOption (EuropeanOption) class.
>
> An AssetOrNothing PayOff object
> A European Exercise object
> An Analytical European Engine object
> A GBM Process object.

Yes, that is correct. You can look at test-suite/digitaloption.cpp for  
an example.


> I'm not too sure whether there is a monte-carlo engine that can  
> handle this.

No, not yet. And besides, Monte Carlo is not quite the optimal choice  
for digital payoffs...

Luigi


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An ideal world is left as an exercise to the reader.
-- Paul Graham

[Luigi Ballabio]

On 06/10/2006 11:19:59 PM, Todd Page wrote:
> I apologize if this sort of thing has been asked before (I suspect so
> but I was unable to turn anything up in the archives)
>
> Is there a --comprehensive-- guide to building QuantLib (including
> boost) on a windows environment? I think I have a fairly typical setup
> (WinXP, gcc, cygwin, dev-C++) and am fairly proficient in a *nix
> environment, but I seem to come to brick walls at every other step
> (boost, quantlib, or both), and google/list archive searches are
> usually of little help.

Todd,
        Terry August has put together instructions for MinGW users  
which can be found at <http://www.stanford.edu/~taugust/quantlib.html>.
You might want to check them out.

As for cygwin, I'm not sure that there are instructions around. If  
Terry's instructions point you in the right direction, you might  
contact him and have the cygwin-specific part integrated in his guide.

Later,
        Luigi


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The young man knows the rules, but the old man knows the exceptions.
-- O. W. Holmes