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suggested project

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Mark joshi

suggested project

If anyone wants a suggestion for something to add to quantlib, I would suggest
that an implementation of

A new approximate swaption formula in the LIBOR
market model: an asymptotic expansion approach by
Atsushi Kawai

would be very handy and stand alone.

regards

Mark

On 02/10/06, [hidden email]
<[hidden email]> wrote:

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> Today's Topics:
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> 1. [ quantlib-Patches-1568794 ] Patch for PseudoSqrt
> (SourceForge.net)
> 2. [ quantlib-Patches-1568795 ] Patch for PseudoSqrt 2
> (SourceForge.net)
> 3. [ quantlib-Patches-1568796 ] test program of PseudoSqrt
> (SourceForge.net)
> 4. Want to be a developer and just submitted a patch (Yiping Chen)
>
>
> ----------------------------------------------------------------------
>
> Message: 1
> Date: Sun, 01 Oct 2006 08:49:10 -0700
> From: "SourceForge.net" <[hidden email]>
> Subject: [Quantlib-dev] [ quantlib-Patches-1568794 ] Patch for
> PseudoSqrt
> To: [hidden email]
> Message-ID: <[hidden email]>
> Content-Type: text/plain; charset="UTF-8"
>
> Patches item #1568794, was opened at 2006-10-01 11:49
> Message generated for change (Tracker Item Submitted) made by Item Submitter
> You can respond by visiting:
> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1568794&group_id=12740
>
> Please note that this message will contain a full copy of the comment thread,
> including the initial issue submission, for this request,
> not just the latest update.
> Category: None
> Group: None
> Status: Open
> Resolution: None
> Priority: 5
> Submitted By: Yiping Chen (champing)
> Assigned to: Nobody/Anonymous (nobody)
> Summary: Patch for PseudoSqrt
>
> Initial Comment:
> Added HyperSphere salvage algorithm. A test program is
> attached.
>
> ----------------------------------------------------------------------
>
> You can respond by visiting:
> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1568794&group_id=12740
>
>
>
> ------------------------------
>
> Message: 2
> Date: Sun, 01 Oct 2006 08:50:14 -0700
> From: "SourceForge.net" <[hidden email]>
> Subject: [Quantlib-dev] [ quantlib-Patches-1568795 ] Patch for
> PseudoSqrt 2
> To: [hidden email]
> Message-ID: <[hidden email]>
> Content-Type: text/plain; charset="UTF-8"
>
> Patches item #1568795, was opened at 2006-10-01 11:50
> Message generated for change (Tracker Item Submitted) made by Item Submitter
> You can respond by visiting:
> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1568795&group_id=12740
>
> Please note that this message will contain a full copy of the comment thread,
> including the initial issue submission, for this request,
> not just the latest update.
> Category: None
> Group: None
> Status: Open
> Resolution: None
> Priority: 5
> Submitted By: Yiping Chen (champing)
> Assigned to: Nobody/Anonymous (nobody)
> Summary: Patch for PseudoSqrt 2
>
> Initial Comment:
> Added HyperSphere salvage algorithm. A test program is
> attached.
>
> ----------------------------------------------------------------------
>
> You can respond by visiting:
> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1568795&group_id=12740
>
>
>
> ------------------------------
>
> Message: 3
> Date: Sun, 01 Oct 2006 08:51:23 -0700
> From: "SourceForge.net" <[hidden email]>
> Subject: [Quantlib-dev] [ quantlib-Patches-1568796 ] test program of
> PseudoSqrt
> To: [hidden email]
> Message-ID: <[hidden email]>
> Content-Type: text/plain; charset="UTF-8"
>
> Patches item #1568796, was opened at 2006-10-01 11:51
> Message generated for change (Tracker Item Submitted) made by Item Submitter
> You can respond by visiting:
> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1568796&group_id=12740
>
> Please note that this message will contain a full copy of the comment thread,
> including the initial issue submission, for this request,
> not just the latest update.
> Category: None
> Group: None
> Status: Open
> Resolution: None
> Priority: 5
> Submitted By: Yiping Chen (champing)
> Assigned to: Nobody/Anonymous (nobody)
> Summary: test program of PseudoSqrt
>
> Initial Comment:
> Added HyperSphere salvage algorithm. A test program is
> attached.
>
> ----------------------------------------------------------------------
>
> You can respond by visiting:
> https://sourceforge.net/tracker/?func=detail&atid=312740&aid=1568796&group_id=12740
>
>
>
> ------------------------------
>
> Message: 4
> Date: Sun, 01 Oct 2006 11:59:21 -0400
> From: Yiping Chen <[hidden email]>
> Subject: [Quantlib-dev] Want to be a developer and just submitted a
> patch
> To: [hidden email]
> Message-ID: <[hidden email]>
> Content-Type: text/plain; charset=ISO-8859-1; format=flowed
>
> Hi guys,
> This project is interesting and I want to participate as a developer.
> I have PhD degree in computational physics and several years
> experience in Monte Carlo programming.
> Just submitted a patch adding HyperSphere salvage algorithm to
> PseudoSqrt.
>
> Best,
> Yiping
>
>
>
> ------------------------------
>
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> End of QuantLib-dev Digest, Vol 5, Issue 1
> ******************************************
>

--
Assoc Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com