cubic spline with overshooting minimization
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cubic spline with overshooting minimization
 
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Hi everyone,
For those who don't remember, those are cubic splines that minimize the integral of the first (or second) derivatives.
As they're widely used, I was wondering if that would be a feature that you would like to see in QuantLib?
Regards, Sylvain
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Re: cubic spline with overshooting minimization
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On Fri, 2008-07-11 at 09:44 -0400, Sylvain Bertrand wrote:
> For those who don't remember, those are cubic splines that minimize > the integral of the first (or second) derivatives. > As they're widely used, I was wondering if that would be a feature > that you would like to see in QuantLib? Yes, it would be nice. Luigi -- Within C++, there is a much smaller and cleaner language struggling to get out. -- Bjarne Stroustrup ------------------------------------------------------------------------- Sponsored by: SourceForge.net Community Choice Awards: VOTE NOW! Studies have shown that voting for your favorite open source project, along with a healthy diet, reduces your potential for chronic lameness and boredom. Vote Now at http://www.sourceforge.net/community/cca08 _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: cubic spline with overshooting minimization
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As I've done some coding I'd like to try it out with the test-suite... however, compiling the test-suite from HEAD gives:
=========================== CUT HERE =============================
marketmodel.o: In function `MarketModelTest::testPathwiseVegas()':
/home/sylvain/quantlib/trunk/QuantLib/test-suite/marketmodel.cpp:2347: undefined reference to `QuantLib::RatePseudoRootJacobian::RatePseudoRootJacobian(QuantLib ::Matrix const&, unsigned int, unsigned int, std::vector<double, std::allocator< double> > const&, std::vector<QuantLib::Matrix, std::allocator<QuantLib::Matrix> > const&, std::vector<double, std::allocator<double> > const&)' /home/sylvain/quantlib/trunk/QuantLib/test-suite/marketmodel.cpp:2354: undefined reference to `QuantLib::RatePseudoRootJacobianNumerical::RatePseudoRootJacobian Numerical(QuantLib::Matrix const&, unsigned int, unsigned int, std::vector<doubl e, std::allocator<double> > const&, std::vector<QuantLib::Matrix, std::allocator <QuantLib::Matrix> > const&, std::vector<double, std::allocator<double> > const& )' /home/sylvain/quantlib/trunk/QuantLib/test-suite/marketmodel.cpp:2361: undefined reference to `QuantLib::RatePseudoRootJacobianNumerical::RatePseudoRootJacobian Numerical(QuantLib::Matrix const&, unsigned int, unsigned int, std::vector<doubl e, std::allocator<double> > const&, std::vector<QuantLib::Matrix, std::allocator <QuantLib::Matrix> > const&, std::vector<double, std::allocator<double> > const& )' /home/sylvain/quantlib/trunk/QuantLib/test-suite/marketmodel.cpp:2421: undefined reference to `QuantLib::RatePseudoRootJacobian::getBumps(std::vector<double, st d::allocator<double> > const&, std::vector<double, std::allocator<double> > cons t&, std::vector<double, std::allocator<double> > const&, std::vector<double, std ::allocator<double> > const&, QuantLib::Matrix&)' /home/sylvain/quantlib/trunk/QuantLib/test-suite/marketmodel.cpp:2422: undefined reference to `QuantLib::RatePseudoRootJacobianNumerical::getBumps(std::vector<d ouble, std::allocator<double> > const&, std::vector<double, std::allocator<doubl e> > const&, std::vector<double, std::allocator<double> > const&, std::vector<do uble, std::allocator<double> > const&, QuantLib::Matrix&)' /home/sylvain/quantlib/trunk/QuantLib/test-suite/marketmodel.cpp:2423: undefined reference to `QuantLib::RatePseudoRootJacobianNumerical::getBumps(std::vector<d ouble, std::allocator<double> > const&, std::vector<double, std::allocator<doubl e> > const&, std::vector<double, std::allocator<double> > const&, std::vector<do uble, std::allocator<double> > const&, QuantLib::Matrix&)' collect2: ld returned 1 exit status make[1]: *** [quantlib-test-suite] Error 1 make[1]: Leaving directory `/home/sylvain/quantlib/trunk/QuantLib/test-suite' make: *** [all-recursive] Error 1 =========================== CUT HERE ============================= I was wondering if that's something that needs to be fixed?
Sylvain On 7/11/08, Luigi Ballabio <[hidden email]> wrote:
On Fri, 2008-07-11 at 09:44 -0400, Sylvain Bertrand wrote: ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: cubic spline with overshooting minimization
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On Wed, 2008-07-16 at 17:33 -0400, Sylvain Bertrand wrote:
> As I've done some coding I'd like to try it out with the test-suite... > however, compiling the test-suite from HEAD gives: [error snipped] Sylvain, does it work now? Luigi -- A child of five would understand this. Send someone to fetch a child of five. -- Groucho Marx ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: cubic spline with overshooting minimization
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I've done the test without the test suite and the code seems to work.
And I've implemented Akima as well.
The diff will hopefully be ready after the week end.
Sylvain
On 7/18/08, Luigi Ballabio <[hidden email]> wrote:
On Wed, 2008-07-16 at 17:33 -0400, Sylvain Bertrand wrote: ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: cubic spline with overshooting minimization
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On Fri, 2008-07-18 at 10:41 -0400, Sylvain Bertrand wrote:
> I've done the test without the test suite and the code seems to work. > And I've implemented Akima as well. > > The diff will hopefully be ready after the week end. Glad to hear it---but I just meant, does HEAD compile correctly now? Luigi -- Flon's Law: There is not now, and never will be, a language in which it is the least bit difficult to write bad programs. ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: cubic spline with overshooting minimization
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Now it does (with the HEAD from yesterday)
Sylvain
On 7/18/08, Luigi Ballabio <[hidden email]> wrote:
On Fri, 2008-07-18 at 10:41 -0400, Sylvain Bertrand wrote: ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
Re: cubic spline with overshooting minimization
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On Jul 18, 2008, at 8:42 PM, Sylvain Bertrand wrote: > Now it does (with the HEAD from yesterday) ok ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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