http://quantlib.414.s1.nabble.com/Re-QuantLib-dev-Digest-boostrapping-multiple-interest-rate-yield-curves-tp13495p13497.html
We do need an example of this, though. Nando, do you have a dataset
> check
> a) iterative boostrap
> b) SwapRateHelper which can be used with a discount curve different
> from the forwarding one being boostrapped
>
> On Tue, Jul 10, 2012 at 1:34 PM, <
[hidden email]> wrote:
>> Hi Ferdinando,
>>
>> I have a question on the paper Bootstrapping the Illiquidity. Please where
>> in Quantlib is the code for boostrapping multiple interest rate yield curves
>> implemented?
>>
>> Is there an example in Quantlib?
>>
>> Regards
>>
>> Theo
>>
>>
>> -----Original Message-----
>> From: quantlib-dev-request <
[hidden email]>
>> To: quantlib-dev <
[hidden email]>
>> Sent: Tue, 10 Jul 2012 9:56
>> Subject: QuantLib-dev Digest, Vol 74, Issue 2
>>
>> Send QuantLib-dev mailing list submissions to
>>
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>> To subscribe or unsubscribe via the World Wide Web, visit
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>> When replying, please edit your Subject line so it is more specific
>> than "Re: Contents of QuantLib-dev digest..."
>>
>>
>> Today's Topics:
>>
>> 1. Re: Use QuantLib Swig Python Extension with VS2010
>> (Ferdinando Ametrano)
>> 2. Re: Use QuantLib Swig Python Extension with VS2010 (Didrik Pinte)
>> 3. Re: Use QuantLib Swig Python Extension with VS2010
>> (Luigi Ballabio)
>> 4. Re: Use QuantLib Swig Python Extension with VS2010
>> (Ferdinando Ametrano)
>> 5. Re: Use QuantLib Swig Python Extension with VS2010 (Eric Ehlers)
>> 6. swapindex clone (Peter Caspers)
>> 7. Re: QuantLibXL / ObjectHandler 1.2 Prerelease Files (Eric Ehlers)
>> 8. [ quantlib-Patches-3541625 ] Math macros redefinition
>> warnings on VC++ (SourceForge.net)
>> 9. [ quantlib-Patches-3541627 ] Upgrade boost::filesystem
>> functions to version 3 (SourceForge.net)
>>
>>
>> ----------------------------------------------------------------------
>>
>> Message: 1
>> Date: Thu, 5 Jul 2012 16:40:00 +0200
>> From: Ferdinando Ametrano <
[hidden email]>
>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>> VS2010
>> To: Luigi Ballabio <
[hidden email]>
>> Cc: Michael <
[hidden email]>,
[hidden email]
>> Message-ID:
>> <CAEH5GqyiKUBFLSHP9N4ekfn5z5A1y=ffB=
[hidden email]>
>> Content-Type: text/plain; charset=ISO-8859-1
>>
>>> I agree with VC2008 being the preferred compiler for the Python
>>> module, but what do you mean with "QL is not friendly with VC2010"?
>>
>> Is the 2010 project actively maintained?
>>
>>
>>
>> ------------------------------
>>
>> Message: 2
>> Date: Thu, 5 Jul 2012 16:22:59 +0200
>> From: Didrik Pinte <
[hidden email]>
>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>> VS2010
>> To: Ferdinando Ametrano <
[hidden email]>
>> Cc: Michael <
[hidden email]>,
[hidden email]
>> Message-ID:
>> <
[hidden email]>
>> Content-Type: text/plain; charset=UTF-8
>>
>> On 5 July 2012 16:09, Ferdinando Ametrano <
[hidden email]> wrote:
>>> Hi Micheal
>>>
>>> in order to achieve your goal you should compile Python with VC2010,
>>> or Pyhton and QL bindings would never link.
>>> Anyway that is definitely not the suggested way to go, as you might
>>> discover that also QL is not friendly with VC2010.
>>>
>>> Try to go back to VC2008. I for one would probably just skip VC2010
>>> altogheter
>>>
>>> ciao -- Nando
>>>
>>> On Wed, Jul 4, 2012 at 10:00 PM, Michael <
[hidden email]> wrote:
>>>> Dear all,
>>>>
>>>> I'm trying to compile the python swig extension. Unfortunately this is
>>>> not
>>>> working. My current setup looks like this.
>>>>
>>>> - QuantLib Version 1.1
>>>> - Python Version 2.7.2
>>>> - Visual Studio 2010 SP1
>>>>
>>>> When I try to compile the python swig extensions I get the following
>>>> error:
>>>>
>>>> running build
>>>> running build_py
>>>> running build_ext
>>>> building 'QuantLib._QuantLib' extension
>>>> error: Unable to find vcvarsall.ba
>>
>> This is an issue with distutils that is not aware of VC2010. By
>> tweaking your environment variables, you can bypass that.
>>
>> You might have issues related to the manifest in you files. I have
>> solved that issue with Cython and some wrappers built under VS2010
>> lately. I don't know how SWIG behaves though.
>>
>> -- Didrik
>>
>>
>>
>> ------------------------------
>>
>> Message: 3
>> Date: Thu, 5 Jul 2012 17:37:41 +0200
>> From: Luigi Ballabio <
[hidden email]>
>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>> VS2010
>> To: Ferdinando Ametrano <
[hidden email]>
>> Cc: Michael <
[hidden email]>,
[hidden email]
>> Message-ID:
>> <CAJkxnzeyJGWfg+HDh0kUi4DuONvBcOLXU5bCdN3nyD=
[hidden email]>
>> Content-Type: text/plain; charset=ISO-8859-1
>>
>> Sure it is. At the very least, the one released in 1.2 works.
>>
>> Luigi
>>
>> On Thu, Jul 5, 2012 at 4:40 PM, Ferdinando Ametrano <
[hidden email]>
>> wrote:
>>> Is the 2010 project actively maintained?
>>
>>
>>
>> ------------------------------
>>
>> Message: 4
>> Date: Thu, 5 Jul 2012 17:48:44 +0200
>> From: Ferdinando Ametrano <
[hidden email]>
>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>> VS2010
>> To: Luigi Ballabio <
[hidden email]>
>> Cc: Michael <
[hidden email]>,
[hidden email]
>> Message-ID:
>> <CAEH5GqzWpVum6trht8NxtEbxJp=
[hidden email]>
>> Content-Type: text/plain; charset=ISO-8859-1
>>
>> ok... so shame on me as the problem is just for QLXL which is not
>> supported in 2010... :-(
>>
>> On Thu, Jul 5, 2012 at 5:37 PM, Luigi Ballabio <
[hidden email]>
>> wrote:
>>> Sure it is. At the very least, the one released in 1.2 works.
>>>
>>> Luigi
>>>
>>> On Thu, Jul 5, 2012 at 4:40 PM, Ferdinando Ametrano <
[hidden email]>
>> wrote:
>>>> Is the 2010 project actively maintained?
>>
>>
>>
>> ------------------------------
>>
>> Message: 5
>> Date: Thu, 05 Jul 2012 22:21:40 +0200
>> From: Eric Ehlers <
[hidden email]>
>> Subject: Re: [Quantlib-dev] Use QuantLib Swig Python Extension with
>> VS2010
>> To: Ferdinando Ametrano <
[hidden email]>
>> Cc: Michael <
[hidden email]>,
[hidden email],
>> Luigi Ballabio <
[hidden email]>
>> Message-ID: <
[hidden email]>
>> Content-Type: text/plain; charset=ISO-8859-1; DelSp="Yes";
>> format="flowed"
>>
>> Quoting Ferdinando Ametrano <
[hidden email]>:
>>
>>> ok... so shame on me as the problem is just for QLXL which is not
>>> supported in 2010... :-(
>>
>> i can try to rectify that when i package up the final release.
>>
>> ===================================================
>> Eric Ehlers
>> nazcatech sprl | Brussels |
http://www.nazcatech.be>> * Distributed computing for pricing analytics
>> * Use Microsoft Excel as a client to the Grid
>>
>>
>>
>>
>> ------------------------------
>>
>> Message: 6
>> Date: Fri, 06 Jul 2012 20:24:32 +0200
>> From: Peter Caspers <
[hidden email]>
>> Subject: [Quantlib-dev] swapindex clone
>> To:
[hidden email]
>> Message-ID: <
[hidden email]>
>> Content-Type: text/plain; charset=ISO-8859-15; format=flowed
>>
>> Hi,
>>
>> can we add the following to swapindex ?
>>
>> Peter
>>
>> //! returns a copy of itself linked to a different forwarding curve and
>> discount curve
>> virtual boost::shared_ptr<SwapIndex> clone(
>> const Handle<YieldTermStructure>& forwarding,
>> const Handle<YieldTermStructure>& discount) const;
>>
>> shared_ptr<SwapIndex>
>> SwapIndex::clone(const Handle<YieldTermStructure>& forwarding,
>> const Handle<YieldTermStructure>& discount) const {
>>
>> return shared_ptr<SwapIndex>(new
>> SwapIndex(familyName(),
>> tenor(),
>> fixingDays(),
>> currency(),
>> fixingCalendar(),
>> fixedLegTenor(),
>> fixedLegConvention(),
>> dayCounter(),
>> iborIndex_->clone(forwarding),
>> discount));
>>
>> }
>>
>>
>>
>> ------------------------------
>>
>> Message: 7
>> Date: Fri, 06 Jul 2012 21:57:40 +0200
>> From: Eric Ehlers <
[hidden email]>
>> Subject: Re: [Quantlib-dev] QuantLibXL / ObjectHandler 1.2 Prerelease
>> Files
>> To: QuantLib developers <
[hidden email]>
>> Message-ID: <
[hidden email]>
>> Content-Type: text/plain; charset=ISO-8859-1; DelSp="Yes";
>> format="flowed"
>>
>> Hi All,
>>
>> Many thanks to those who have gotten back to me so far with feedback.
>>
>> I will be offline for the next few days, I will try to resolve any
>> open issues before the final release, which I hope to ship on 30 July.
>>
>> Kind Regards,
>> Eric
>>
>> Quoting Eric Ehlers <
[hidden email]>:
>>
>>> Hi All,
>>>
>>> The prerelease files for version 1.2 of QuantLibXL, QuantLibAddin,
>>> and ObjectHandler are available at this link:
>>>
>>>
http://sourceforge.net/projects/quantlib/files/QuantLib/prerelease/>>>
>>> I'd be grateful to anyone who could spare some time to test the files and
>>> let
>>> me know how it goes.
>>>
>>> Kind Regards,
>>> Eric
>>>
>>> ===================================================
>>> Eric Ehlers
>>> nazcatech sprl | Brussels |
http://www.nazcatech.be>>> * Distributed computing for pricing analytics
>>> * Use Microsoft Excel as a client to the Grid
>>>
>>>
>>>
>>> ------------------------------------------------------------------------------
>>> Live Security Virtual Conference
>>> Exclusive live event will cover all the ways today's security and
>>> threat landscape has changed and how IT managers can respond. Discussions
>>> will include endpoint security, mobile security and the latest in malware
>>> threats.
http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/>>> _______________________________________________
>>> QuantLib-dev mailing list
>>>
[hidden email]
>>>
https://lists.sourceforge.net/lists/listinfo/quantlib-dev>>
>>
>>
>>
>> ------------------------------
>>
>> Message: 8
>> Date: Mon, 09 Jul 2012 08:27:10 -0700
>> From: SourceForge.net <
[hidden email]>
>> Subject: [Quantlib-dev] [ quantlib-Patches-3541625 ] Math macros
>> redefinition warnings on VC++
>> To: SourceForge.net <
[hidden email]>
>> Message-ID:
>> <
[hidden email]>
>> Content-Type: text/plain; charset=UTF-8
>>
>> Patches item #3541625, was opened at 2012-07-09 08:27
>> Message generated for change (Tracker Item Submitted) made by piterdias
>> You can respond by visiting:
>>
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541625&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
>> Private: No
>> Submitted By: Piter Dias (piterdias)
>> Assigned to: Nobody/Anonymous (nobody)
>> Summary: Math macros redefinition warnings on VC++
>>
>> Initial Comment:
>> Macro redefinition warnings on VC++ due to math.h and qldefines.h math
>> constants.
>> Proposed solution is control QL macro creation based on _USE_MATH_DEFINES
>> definition.
>>
>> ----------------------------------------------------------------------
>>
>> You can respond by visiting:
>>
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541625&group_id=12740>>
>>
>>
>> ------------------------------
>>
>> Message: 9
>> Date: Mon, 09 Jul 2012 08:31:37 -0700
>> From: SourceForge.net <
[hidden email]>
>> Subject: [Quantlib-dev] [ quantlib-Patches-3541627 ] Upgrade
>> boost::filesystem functions to version 3
>> To: SourceForge.net <
[hidden email]>
>> Message-ID:
>> <
[hidden email]>
>> Content-Type: text/plain; charset=UTF-8
>>
>> Patches item #3541627, was opened at 2012-07-09 08:31
>> Message generated for change (Tracker Item Submitted) made by piterdias
>> You can respond by visiting:
>>
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&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
>> Private: No
>> Submitted By: Piter Dias (piterdias)
>> Assigned to: Nobody/Anonymous (nobody)
>> Summary: Upgrade boost::filesystem functions to version 3
>>
>> Initial Comment:
>> Newest Boost (1.50.0) does not support version 2 as explained at
>>
http://www.boost.org/doc/libs/1_50_0/libs/filesystem/doc/index.htm.
>>
>> ----------------------------------------------------------------------
>>
>> You can respond by visiting:
>>
https://sourceforge.net/tracker/?func=detail&atid=312740&aid=3541627&group_id=12740>>
>>
>>
>> ------------------------------
>>
>> ------------------------------------------------------------------------------
>> Live Security Virtual Conference
>> Exclusive live event will cover all the ways today's security and
>> threat landscape has changed and how IT managers can respond. Discussions
>> will include endpoint security, mobile security and the latest in malware
>> threats.
http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/>>
>> ------------------------------
>>
>> _______________________________________________
>> QuantLib-dev mailing list
>>
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>>
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>>
>> End of QuantLib-dev Digest, Vol 74, Issue 2
>> *******************************************
>>
>>
>> ------------------------------------------------------------------------------
>> Live Security Virtual Conference
>> Exclusive live event will cover all the ways today's security and
>> threat landscape has changed and how IT managers can respond. Discussions
>> will include endpoint security, mobile security and the latest in malware
>> threats.
http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/>> _______________________________________________
>> QuantLib-dev mailing list
>>
[hidden email]
>>
https://lists.sourceforge.net/lists/listinfo/quantlib-dev>>
>
> ------------------------------------------------------------------------------
> Live Security Virtual Conference
> Exclusive live event will cover all the ways today's security and
> threat landscape has changed and how IT managers can respond. Discussions
> will include endpoint security, mobile security and the latest in malware
> threats.
http://www.accelacomm.com/jaw/sfrnl04242012/114/50122263/> _______________________________________________
> QuantLib-dev mailing list
>
[hidden email]
>
https://lists.sourceforge.net/lists/listinfo/quantlib-devthreat landscape has changed and how IT managers can respond. Discussions
threats.